Putnam
Variable
Trust
SEMIANNUAL REPORT
June 30, 2000
* Putnam Variable Trust
* Putnam VT American Government Income Fund
* 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 Growth Opportunities Fund
* Putnam VT Health Sciences Fund
* Putnam VT High Yield Fund
* Putnam VT Income Fund
* Putnam VT International Growth Fund
* Putnam VT International Growth and Income Fund
* Putnam VT International New Opportunities Fund
* Putnam VT Investors Fund
* Putnam VT Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT New Value Fund
* Putnam VT OTC & Emerging Growth Fund
* Putnam VT Research Fund
* Putnam VT Small Cap Value Fund
* Putnam VT Technology Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Vista Fund
* Putnam VT Voyager Fund
A series of mutual fund portfolios for variable insurance investors
[SCALE LOGO OMITTED:
BOSTON * LONDON * TOKYO]
To the shareholders of Putnam Variable Trust
Over the past six months, volatility was on the rise in the financial
markets of the United States and, to some extent, in other markets
around the world. Global growth continued to strengthen, and this was
generally positive for the world's equity markets. Fixed-income
investors faced a less buoyant environment, as inflationary fears,
interest-rate increases by the world's central banks, and the ongoing
appeal of equity investments kept a lid on bond market returns. As
always, Putnam's portfolio managers sought out opportunity amid the
volatility, while keeping a tight reign on risk management. Overall,
U.S. equities again led world performance and emerging-markets bonds
outperformed other fixed-income investments.
EQUITIES
* United States The strength that has characterized the equity market
for almost ten years continued until mid-March, when performance began
to cool. In April, stocks sold off sharply, with the Dow Jones
Industrial Average, the NASDAQ, and the Standard & Poor's 500 suffering
huge declines. By mid-May, signs of an economic slowdown began to
emerge, as data on retail sales, manufacturing, construction spending,
and new-car purchasing activity indicated activity substantially below
year-ago levels. Equities regained some momentum in the latter half of
the semiannual period, although economic uncertainty and inflation
concerns continued to create volatility. At the end of the period,
small-capitalization stocks offered the greatest performance potential,
although selected medium and large companies continued to show excellent
profit growth.
* Europe The core European stock markets of France and Germany provided
handsome returns and attractive opportunities over the period. Amid a
general acceleration of global growth, France's healthy economy showed
particular vigor in the technology and telecommunications sectors. The
industrial bias of Germany's equity market gave it renewed strength,
while valuations have become more attractive since last year's
below-average performance. United Kingdom stocks battled expectations of
a continued rise in interest rates and a poor earnings outlook. The
peripheral markets of Ireland, Switzerland, and Spain also fared
marginally.
* Asia and Emerging Markets The rising tide of global growth lifted most
emerging market economies along with it; many emerged from the 1997-98
recession stronger and more sharply focused on productive growth.
Although Japan's economy remained somewhat sluggish, its equity market
presented some attractive opportunities as many companies showed
excellent trends in profitability. South Korea was another strong
performer. Latin American markets also performed well on firming
commodities prices and generally solid economic performance.
FIXED INCOME
* United States The past six months proved another challenging period
for most fixed-income securities. One exception was U.S. Treasuries,
especially long-term Treasuries, which benefited from the government's
buyback program that reduced supply. Elsewhere in the bond market,
returns were disappointing as the spread sectors -- securities offering
a yield advantage over Treasuries -- underperformed. These sectors
include investment-grade as well as lower-rated, high-yield corporate
bonds, agency, and mortgage-backed securities (MBS). All saw their
returns dampened by increases in the Federal Funds rate, a volatile
yield curve and negative technicals. As the period ended, however, the
general market appeared to be stabilizing as the economy slowed and the
prospect of future rate increases diminished. Spread securities are
expected to benefit from this trend.
* Global Unhedged international government bonds mostly underperformed
due to currency weakness and the continued flight of capital to the U.S.
The weakness in the euro was particularly damaging to performance.
Certain peripheral non-euro markets including Denmark, look more
promising going forward since they may benefit from the next phase of
European Monetary Union. The emerging markets were the world's top
fixed-income performers for most of the period, although they did
experience a selloff in May. Valuations improved after the correction,
however, and fundamentals remain sound in an environment of general
global economic growth and firming commodity prices. Mexico and Russia
are clearly improving; Argentina and Chile, however, are deteriorating.
* High Yield Along with most of the U.S. fixed-income market, high-yield
bonds faced a weak market environment over the past six months. After
signs of strength late in 1999, yield spreads between high-yield bonds
and Treasuries widened to near-record levels. Sharp increases in
short-term interest rates, an inversion of the yield curve, and an
increase in defaults among high-yield issuers all contributed to this
underperformance. Once the Fed reaches the end of its rate-tightening
agenda, the outlook for high-yield bonds, which are currently trading at
extremely low valuations, may improve.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice.
<TABLE>
<CAPTION>
PERFORMANCE SUMMARY
---------------------------------------------------------------------------------------------------------------------------
Total return at net asset value (as of 6/30/00)
Five years 10 years Life
Putnam VT -- Class 1A shares 6 months 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
American Government
Income Fund --% --% --% --% --% --% 4.60%[l] --%
...........................................................................................................................
Asia Pacific Growth Fund -22.40 23.09 47.06 8.02 -- -- 45.01[f] 7.45
...........................................................................................................................
Diversified
Income Fund 1.50 2.95 27.34 4.95 -- -- 38.78[d] 4.94
...........................................................................................................................
George Putnam Fund -0.70 -6.66 -- -- -- -- 2.59[h] 1.19
...........................................................................................................................
Global Asset Allocation Fund -0.65 7.07 93.52 14.12 208.16 11.91 291.53[a] 11.63
...........................................................................................................................
Global Growth Fund -10.59 36.78 183.91 23.21 310.42 15.17 315.35[b] 15.03
...........................................................................................................................
Growth and
Income Fund -2.93 -10.85 98.32 14.68 247.16 13.25 423.69[a] 14.27
...........................................................................................................................
Growth
Opportunities Fund -- -- -- -- -- -- 7.00[l] --
...........................................................................................................................
Health Sciences Fund 30.86 34.96 -- -- -- -- 37.66[h] 15.87
...........................................................................................................................
High Yield Fund -1.21 0.70 36.56 6.43 177.41 10.74 189.37[a] 8.94
...........................................................................................................................
Income Fund 2.01 2.01 29.67 5.33 107.39 7.57 147.86[a] 7.59
...........................................................................................................................
International Growth Fund 0.58 43.43 -- -- -- -- 122.11[g] 25.69
...........................................................................................................................
International Growth and
Income Fund 5.78 16.14 -- -- -- -- 75.16[g] 17.42
...........................................................................................................................
International New
Opportunities Fund -15.44 43.56 -- -- -- -- 98.14[g] 21.64
...........................................................................................................................
Investors Fund -2.77 15.25 -- -- -- -- 47.60[h] 19.65
...........................................................................................................................
Money Market Fund 2.79 5.38 28.78 5.19 60.79 4.86 92.66[a] 5.43
...........................................................................................................................
New
Opportunities Fund 6.47 60.41[n] 279.70 30.58 -- -- 377.52[e] 28.89
...........................................................................................................................
New Value Fund 3.00 -9.71 -- -- -- -- 29.05[g] 7.58
...........................................................................................................................
OTC & Emerging Growth Fund -11.93 68.88[n] -- -- -- -- 101.39[h] 38.07
...........................................................................................................................
Research Fund 4.60 18.94 -- -- -- -- 59.49[i] 30.57
...........................................................................................................................
Small Cap Value 6.98 0.72 -- -- -- -- 10.70[k] 9.07
...........................................................................................................................
Technology Fund -- -- -- -- -- -- 7.50[m] --
...........................................................................................................................
Utilities Growth and
Income Fund 2.37 -1.53 97.91 14.63 -- -- 154.63[c] 12.14
...........................................................................................................................
Vista Fund 16.25 57.61[n] -- -- -- -- 161.65[g] 31.73
...........................................................................................................................
Voyager Fund 1.37 40.04 241.53 27.85 649.27 22.31 935.91[a] 20.73
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Past performance is not indicative of future results. All total return
figures are at net asset value. The charges and expenses at the
insurance company separate account level are not reflected.
[a] Commencement of operations: February 1, 1988.
[b] Commencement of operations: May 1, 1990.
[c] Commencement of operations: May 4, 1992. The fund's inception date
was May 1, 1992.
[d] Commencement of operations: September 15, 1993. An expense
limitation was in effect during the period; without the limitation,
total return would have been lower.
[e] Commencement of operations: May 2, 1994.
[f] Commencement of operations: May 1, 1995. An expense limitation was
in effect during the period; without the limitation, total return would
have been lower.
[g] 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.
[h] Commencement of operations: April 30, 1998. The short-term results
of a relatively new fund, such as these funds, are not necessarily
indicative of their long-term prospects. Expense limitations were in
effect for 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. Returns for
class 1B shares for periods prior to their inception are derived from
the historical performance of class 1A shares, adjusted to reflect the
applicable contingent deferred sales charges (CDSC) and the higher
operating expenses applicable to such shares.
[i] Commencement of operations: September 30, 1998. The short-term
results of a relatively new fund, such as these funds, are not
necessarily indicative of their long-term prospects. Expense limitations
were in effect for this fund during the period; without the limitation,
total return would have been lower.
[j] Commencement of operations: April 6, 1998. Returns for class 1B
shares for periods prior to their inception are derived from the
historical performance of class 1A shares, adjusted to reflect the
applicable contingent deferred sales charges (CDSC) and the higher
operating expenses applicable to such shares.
[k] Commencement of operations: April 30, 1999.
[l] Commencement of operations: February 1, 2000.
[m] Commencement of operations: June 14, 2000.
[n] Recent returns were achieved during favorable market conditions that
may not be sustainable.
<TABLE>
<CAPTION>
Total return at net asset value (as of 6/30/00)
Five years 10 years Life
Putnam VT -- Class 1B shares 6 months 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
American Government
Income Fund --% --% --% --% --% --% 4.60%[l] --%
...........................................................................................................................
Asia Pacific Growth Fund -22.48 22.91 45.98 7.86 -- -- 55.13[f] 22.43
...........................................................................................................................
Diversified
Income Fund 1.36 2.81 26.40 4.80 -- -- 37.33[d] 4.78
...........................................................................................................................
George Putnam Fund -0.80 -6.80 -- -- -- -- 2.43[h] 1.11
...........................................................................................................................
Global Asset Allocation Fund -0.59 7.13 92.81 14.03 204.59 11.78 285.90[a] 11.50
...........................................................................................................................
Global Growth Fund -10.65 36.54 181.74 23.02 304.26 14.99 309.06[b] 14.86
...........................................................................................................................
Growth and
Income Fund -3.01 -10.97 96.92 14.51 242.26 13.09 414.54[a] 14.11
...........................................................................................................................
Growth
Opportunities Fund -- -- -- -- -- -- 6.90[l] --
...........................................................................................................................
Health Sciences Fund 30.67 34.70 -- -- -- -- 37.38[h] 15.76
...........................................................................................................................
High Yield Fund -1.17 0.65 35.89 6.33 174.10 10.61 -5.88[a] -2.75
...........................................................................................................................
Income Fund 1.97 1.88 28.97 5.22 104.61 7.42 5.61[a] 2.55
...........................................................................................................................
International Growth Fund 0.52 43.33 -- -- -- -- 121.08[g] 25.52
...........................................................................................................................
International Growth and
Income Fund 5.69 15.81 -- -- -- -- 74.27[g] 17.25
...........................................................................................................................
International New
Opportunities Fund -15.51 43.36 -- -- -- -- 97.26[g] 21.49
...........................................................................................................................
Investors Fund -2.84 15.02 -- -- -- -- 47.17[h] 19.49
...........................................................................................................................
Money Market Fund 2.69 5.17 28.35 5.12 58.62 4.72 90.03[a] 5.31
...........................................................................................................................
New
Opportunities Fund 6.37 60.17[n] 276.99 30.40 -- -- 373.17[e] 28.70
...........................................................................................................................
New Value Fund 2.96 -9.76 -- -- -- -- 28.61[g] 7.48
...........................................................................................................................
OTC & Emerging Growth Fund -11.99 68.54[n] -- -- -- -- 100.94[h] 37.93
...........................................................................................................................
Research Fund 4.54 18.85 -- -- -- -- 59.10[i] 30.39
...........................................................................................................................
Small Cap Value 6.89 0.54 -- -- -- -- 10.50[k] 8.91
...........................................................................................................................
Technology Fund -- -- -- -- -- -- 7.50[m] --
...........................................................................................................................
Utilities Growth and
Income Fund 2.32 -1.68 96.73 14.49 -- -- 151.88[c] 11.99
...........................................................................................................................
Vista Fund 16.22 57.46[n] -- -- -- -- 160.72[g] 31.60
...........................................................................................................................
Voyager Fund 1.31 39.85 239.07 27.66 638.64 22.14 917.67[a] 20.56
---------------------------------------------------------------------------------------------------------------------------
</TABLE>
Past performance is not indicative of future results. All total return
figures are at net asset value. The charges and expenses at the
insurance company separate account level are not reflected.
[a] Commencement of operations: February 1, 1988.
[b] Commencement of operations: May 1, 1990.
[c] Commencement of operations: May 4, 1992. The fund's inception date
was May 1, 1992.
[d] Commencement of operations: September 15, 1993. An expense
limitation was in effect during the period; without the limitation,
total return would have been lower.
[e] Commencement of operations: May 2, 1994.
[f] Commencement of operations: May 1, 1995. An expense limitation was
in effect during the period; without the limitation, total return would
have been lower.
[g] 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.
[h] Commencement of operations: April 30, 1998. The short-term results
of a relatively new fund, such as these funds, are not necessarily
indicative of their long-term prospects. Expense limitations were in
effect for The George Putnam Fund of Boston, Health Sciences Fund,
Investors Fund, and OTC and Emerging Growth Fund during the period;
without the limitation, total return would have been lower. Returns for
class 1B shares for periods prior to their inception are derived from
the historical performance of class 1A shares, adjusted to reflect the
applicable contingent deferred sales charges (CDSC) and the higher
operating expenses applicable to such shares.
[i] Commencement of operations: September 30, 1998. The short-term
results of a relatively new fund, such as these funds, are not
necessarily indicative of their long-term prospects. Expense limitations
were in effect for this fund during the period; without the limitation,
total return would have been lower.
[j] Commencement of operations: April 6, 1998. Returns for class 1B
shares for periods prior to their inception are derived from the
historical performance of class 1A shares, adjusted to reflect the
applicable contingent deferred sales charges (CDSC) and the higher
operating expenses applicable to such shares.
[k] Commencement of operations: April 30, 1999.
[l] Commencement of operations: February 1, 2000.
[m] Commencement of operations: June 14, 2000.
[n] Recent returns were achieved during favorable market conditions that
may not be sustainable.
Putnam VT American Government Income Fund
For most fixed-income investors, the past five months have presented a
difficult market environment. Robust economic growth, rising short-term
interest rates, and blazing stock market performance sapped investor
interest in bonds while inflationary concerns further dampened returns
on most fixed-income investments. The exception was long-term Treasury
bonds, which enjoyed strong price appreciation due to surging demand and
waning supply. Fortunately, Putnam VT American Government Income Fund
maintained an overweight position in long-term Treasury bonds over the
period and this boosted performance considerably. From inception on
February 1, 2000 through June 30, 2000, the fund's class IA shares
tallied a total return of 4.60% at net asset value.
When the Federal Reserve Board raised short-term interest rates four
times in seven months and the federal government initiated a huge
buyback of 30-year Treasury bonds, the yield curve inverted. This meant
that long-term interest rates declined while short-term rates rose.
Intermediate-maturity bonds also benefited from the trend toward lower
rates. While the fund's Treasury holdings benefited from the decline in
rates, its mortgage-backed securities (MBS) holdings, which had boosted
performance in the fourth quarter of 1999, did not. As Treasury yields
declined, the difference, or spread, between Treasuries and MBSs
increased, hurting the latter's relative performance. Fortunately, we
kept the fund's MBS weighting neutral over the period, or about the same
as its peer group average. To take advantage of the yield curve
inversion, we also utilized a barbell strategy, establishing positions
in bonds of both short- and long-term maturities.
In the months ahead, we plan to add to the fund's MBS holdings, since
the recent widening of spreads has made prices more attractive. We will
also keep the portfolio's overall duration neutral relative to its
peers, since the immediate direction of interest rates remains
uncertain.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities or backed by the credit
of the government agency
---------------------------------------
NET ASSET VALUE
Class IA $10.46
Class IB $10.46
June 30, 2000
---------------------------------------
While U.S. government backing of individual securities does not insure
your principal, which will fluctuate with market conditions, it does
guarantee that the fund's government-backed holdings will make timely
payments of interest and principal.
Putnam VT Asia Pacific Growth Fund
Putnam VT Asia Pacific Growth Fund began its semiannual period in the
midst of a robust rally across Asia and the Pacific Basin. However, that
rally gave way to waves of volatility beginning in January. As a result,
for the six months ended June 30, 2000, the fund's class IA shares
tallied a total return of -22.40% at net asset value.
After especially dramatic gains in the fourth quarter of 1999, many
stocks, particularly in Japan, came off their peaks. Though they
rebounded in February, stocks weakened again in March and April before
strengthening toward the end of the period. Amid this volatility, we
took steps to limit risk by selling the stocks we considered most
vulnerable.
Japan remained the fund's largest country weighting by far and was one
of the world's best-performing markets. During the period, we added
several new Japanese holdings of companies enacting profit-enhancing
restructuring and reforms. We also modified Japanese positions to
reflect changes in prospects for different companies.
In terms of sectors, technology remains the fund's largest
concentration. Despite the volatility of recent months, we remain
confident that our rigorous research process has led to investment in
companies that are well-managed and positioned to stay profitable while
benefiting from opportunities made possible by new technologies. Several
fund holdings outside the technology sector are poised to enhance
profits by adding business-to-business capabilities, which should
improve efficiency.
Our outlook is quite constructive. Although U.S. stock market volatility
has spilled over into Asia, the fundamental situation remains solid.
While monitoring risks, we continue to focus on stocks with attractive
growth prospects.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
---------------------------------------
NET ASSET VALUE
Class IA $12.95
Class IB $12.91
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam VT Diversified Income Fund
Robust economic growth worldwide, tightened monetary policy by central
banks across the globe, and the dramatic strength of stock markets at
home and abroad dampened the performance potential of most bonds
throughout most of the period. Putnam VT Diversified Income Fund's
multisector strategy served the portfolio relatively well in this
difficult environment. For the six months ended June 30, 2000, the
fund's class IA shares tallied a total return of 1.50% at net asset
value.
In addition to the unfavorable environment for fixed income, U.S.
Treasury securities experienced an added layer of volatility -- the
government's huge buyback program for long-term Treasury bonds. This
program had the effect of encouraging investors to bid up the prices of
30-year Treasuries, thereby bringing their yields below those of
short-term Treasuries and inverting the traditional yield curve.
With the future direction of interest rates uncertain, we focused mainly
on 10-year Treasury notes while keeping some exposure to longer-term
issues that helped contribute to performance as their prices rose. We
also took advantage of opportunities in mortgage-backed securities that
should benefit from improving rates and fundamentals.
High-yield corporate bonds were the fund's primary emphasis, with
telecommunications issues dominating the fund's high-yield exposure. The
telecommunications industry lends itself well to leverage and,
therefore, it is not surprising that telecommunications issues make up
roughly 25% to 30% of the high-yield market. This industry remains
attractive given the advances in technology and its potential growth.
Emerging-markets bonds have been the best-performing fixed-income asset
class over the past six months. Over the period, we maintained the
fund's exposure to these bonds and participated in their dramatic price
appreciation. In the developed world, the portfolio also held Danish and
Canadian bonds while underweighting Japan.
Clearly today's bond market offers both value and opportunity although
volatility is likely to continue as the world's central banker strive to
contain inflation.
------------------------------------------------------------------------
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 and corporate investment-grade
securities, high-yield bonds, and international instruments
---------------------------------------
NET ASSET VALUE
Class IA $9.27
Class IB $9.24
June 30, 2000
---------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the
issuer's financial condition, or in general economic conditions, may
hinder the issuer's ability to pay principal and interest on the
securities. Foreign investments may be subject to certain risks, such as
currency fluctuations and political developments. While U.S. government
backing of individual securities does not insure your principal, which
will fluctuate with market conditions, it does guarantee that the fund's
government-backed holdings will make timely payments of interest and
principal.
Putnam VT The George Putnam Fund of Boston
Volatility was the rule over the past six months in both stock and bond
markets. Ongoing economic strength, rising short-term interest rates,
and renewed inflationary concerns made investors jittery. Fortunately,
Putnam VT The George Putnam Fund of Boston is well-diversified across a
variety of stock and bond sectors, and this gave it the agility to
manage the volatility reasonably well. For the six months ended June 30,
2000, the fund's class IA shares posted a total return of -0.70% at net
asset value.
For the bond market, most of the news during the first quarter was dim
as the factors listed above dampened returns on all sectors except
long-term U.S. Treasuries. Treasury returns benefited from the federal
government's buyback program that diminished supply just as demand was
accelerating. Returns on corporate bonds and mortgage-backed securities
picked up in June, however, and the fund's large position in these
securities boosted performance during that month.
The stock market experienced the most significant changes over the
period. January, February, and half of March continued the leading trend
of late 1999 with growth stocks leading market performance by a wide
margin. Within the growth arena, investors remained fairly narrowly
focused on technology, telecommunications, and media. Then in mid-March,
growth stocks corrected sharply and investor interest began to focus
more toward the value stocks that form the backbone of this portfolio.
The broadening continued through the end of the period and the portfolio
benefited, especially from its positions in the top- performing
financial, communications, and energy sectors.
Exercising our value strategy, we have positioned the fund to perform
well in an environment characterized by lower economic growth with a
minimal increase in inflation.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation and current income
------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds
---------------------------------------
NET ASSET VALUE
Class IA $9.91
Class IB $9.90
June 30, 2000
---------------------------------------
Putnam VT Global Asset Allocation Fund
As global markets exhibited varying degrees of volatility over the
period, Putnam VT Global Asset Allocation Fund again demonstrated the
advantages of its diversified, multi-sector approach. For the six months
ended June 30, 2000, the fund's class IA shares posted a total return of
-0.65% at net asset value.
The first quarter of 2000 continued largely as 1999 concluded. Stocks
once again outperformed bonds, with growth outperforming value.
International markets generally followed the same trends. During the
second quarter of 2000, the U.S. stock market became quite volatile,
with some of this volatility spilling over into foreign markets. Given
this rising volatility, fund management continued to favor bonds
slightly.
Among U.S. equities, the small subset of issues known as "new economy"
stocks outperformed in the first quarter of 2000, only to falter during
the second. Performance among these stocks continued to seesaw right up
to the end of the semiannual period. Given this challenging environment,
we kept the portfolio underexposed to general stock market risk and
slightly overweighted in selected industries and companies. With the
exception of long-term Treasury bonds, the U.S. bond market fared poorly
over the period. Fortunately, the fund had a solid position in long-term
Treasuries and so was able to capitalize on their strength.
International equities provided attractive opportunities over the
period, while most bond markets outside the United States provided
lackluster results, hampered by rising rates and a strong U.S. dollar.
We maintained an overweight position in Continental Europe, along with
Japan. The prospects for emerging equities markets also remain
favorable, especially Latin America and Asia. Accelerating global growth
was less favorable for foreign bond markets, with the notable exception
of emerging-markets bonds, which were top performers.
Going forward, international equities appear more attractive than the
domestic market, while U.S. bonds offer more opportunity than their
foreign counterparts.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of
capital
------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
---------------------------------------
NET ASSET VALUE
Class IA $17.40
Class IB $17.42
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT Global Growth Fund
A global rally in growth stocks at the start of the semiannual period
generated strong performance for Putnam VT Global Growth Fund, but was
offset by a retrenchment in March and April. Stocks in the
telecommunications, media, and technology sectors continued to
demonstrate strong potential, as investors recognized the demand for new
technologies and services. Our research had identified these new
technologies and your fund was well positioned in many innovative
companies. For the six months ended June 30, 2000, the fund's class IA
shares posted a total return of -10.59% at net asset value.
Early in the period, with global growth on the upswing, and interest
rates moderate, stocks in general looked attractive but growth stocks
especially so. Above all, spending on technology and communications
products stoked investor interest in these areas. Fund performance
benefited as investors favored the kinds of companies we emphasize:
those with high rates of earnings growth, strong management, dominant
market positions, and expanding businesses. Telecommunications holdings
were particularly strong.
In April, investor concerns about the Federal Reserve Board's four
interest-rate hikes and their potential to choke off growth produced
volatility and a waning of interest in high-growth stocks. Nonetheless,
the outlook for these companies remains positive and we remain confident
of their long-term performance potential.
The portfolio remained widely diversified among different countries over
the period, with its largest position in stocks of companies based in
the U.S. Management also maintained significant exposure to Japan, the
United Kingdom, and France. Similarly, although the fund had a large
commitment in the technology and telecommunications areas, it remains
fully diversified with attractive companies in all sectors. The
expansion of financial services is a trend that has benefited several
holdings, especially in Europe.
We remain pleased with the fundamental performance of companies in the
portfolio and believe that demand can remain strong without igniting
inflation and that the global economy will continue showing positive
growth.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
---------------------------------------
NET ASSET VALUE
Class IA $23.00
Class IB $22.92
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT Growth and Income Fund
Putnam VT Growth and Income Fund has struggled to defy the odds stacked
against value investing in recent months as record-breaking performance
by a narrow band of growth companies preempted investors' attention.
However, the bull market in growth stocks experienced a sharp correction
in early March and volatility continued throughout the end of the
semiannual period. Value stocks rebounded vigorously, and we took
advantage of the growth-stock downturn to add stocks suddenly priced
within our reach. Nevertheless, for the six months ended June 30, 2000,
the fund's class IA shares provided a total return of -2.93% at net
asset value.
Shrewd and opportunistic stock selection has been the key to fund
performance over the period. Concerns about interest rates helped push
down valuations on many top-name companies discarded by shortsighted
momentum investors. We stepped in, finding steeply discounted prices on
stocks of superior companies across all sectors. Consequently, we
upgraded the portfolio, buying higher-quality companies with higher
growth rates at reasonable valuations.
Pharmaceuticals, technology, and financial services were three sectors
that offered especially attractive opportunities. Although
pharmaceutical companies have been out of favor, they continue to have
strong fundamentals and have already begun to rebound. In fact, we have
increased the portfolio's proportion of these stocks to its highest
level since the mid-1990s. We also built up holdings in financial
companies when their prices declined. We have added many top names,
companies that continue to grow earnings and dividends despite adverse
market conditions. We have been especially selective in the technology
sector, where the recent volatility provided many unusual opportunities
to purchase stocks of companies with what we consider extraordinary
growth potential at extremely reasonable prices. Energy represents
another large position in the portfolio. Recently, these stocks have
benefited from rising oil and natural gas prices.
Going forward, we will continue to take advantage of such rare buying
opportunities while managing the fund with an eye on positive, long-term
performance.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
---------------------------------------
NET ASSET VALUE
Class IA $23.21
Class IB $23.15
June 30, 2000
---------------------------------------
Putnam VT Growth Opportunities Fund
Like most growth stock funds, Putnam VT Growth Opportunities Fund faced
a changeable environment over the past five months. After stellar
growth-stock performance at the start of the period, the market
experienced a sharp selloff in mid-March, followed by another rally,
then another selloff, then a rally again. The volatility continued
through the end of the period. Astute stock selection helped temper some
of the negative effects of the volatility, but performance reflects this
challenging climate. From inception on February 1, 2000 through June 30,
2000, the fund's class IA shares provided a total return of 7.00% at net
asset value.
As the period opened, rising economic growth in the United States and
abroad set the stage for continued strong performance by the
large-capitalization growth stocks that are this fund's focus. With
interest rates remaining moderate and inflation seemingly at bay,
investors continued to concentrate on growth stocks, particularly in the
technology sector. Above all, spending on technology and communications
products -- computers, wireless telephones, networking equipment, and
software -- stoked investor interest in these areas.
This fund participated fully in the market rally. Technology in varied
sectors, which represents approximately 50% of the fund's holdings, was
the primary driver of performance; consequently, in April, weakness in
growth stocks dampened the fund's returns. The hardest-hit stocks were
those that had been our best performers earlier on -- cellular,
telecommunications, and technology stocks. These companies were
particularly affected by rising interest rates since most of their
growth is in the future. Also, many of these stocks have risen
dramatically over the past year and were vulnerable to profit-taking in
a less positive market environment.
Despite the market's recent volatility, we remain confident of the
fundamentals of the portfolio's technology holdings. As we look ahead,
technology continues to offer the most promising growth stock
opportunities. Media is another sector with strong potential. While
short-term volatility may continue, the long-term outlook for these
sectors is positive.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of large companies believed to offer
above-average growth potential
---------------------------------------
NET ASSET VALUE
Class IA $10.70
Class IB $10.69
June 30, 2000
---------------------------------------
This fund's concentrated portfolio may add a measure of volatility to
performance as major fluctuations in any one holding will likely affect
the fund more than a fund with greater diversification.
Putnam VT Health Sciences Fund
Health care stocks continued to offer attractive investment
opportunities throughout the semiannual period. Along with the general
equity market, health care issues exhibited rising volatility during the
second quarter of 2000. Growth stocks were particularly hard hit,
including many of the biotechnology stocks that had excelled over the
past year. Nonetheless, with its broadly diversified portfolio and
prudent risk management strategies, Putnam VT Health Sciences Fund was
able to deliver solid returns, posting a total return of 30.86% for its
class IA shares for the six months ended June 30, 2000.
The fund's sector weightings remained largely constant over the period.
Large-capitalization pharmaceuticals represented the largest position,
followed by biotechnology, medical technology, including instrumentation
and equipment companies, and health care services.
For much of 1999 and early 2000, biotechnology stocks were steady top
performers. Many companies boasted newly FDA-approved blockbuster drugs
and numerous other products in the development pipeline. Genomics, the
identification of the human genome, promises even more discoveries going
forward. Biotechnology stocks peaked in early March, and then began a
sharp correction. Fortunately, we had begun to reduce positions in late
February and so avoided the full impact of the selloff.
While biotechnology stocks soared, large-capitalization pharmaceutical
stocks faltered. Strong economic growth made these more defensive stocks
less attractive while concerns continued around the Medicare drug
proposal. Consolidation within the industry has also created uncertainty
for pharmaceuticals, although this can be good news if it leads to
larger companies with larger research and development budgets and sales
forces, and, therefore, potentially more drugs and revenues. Once
investors began shifting assets out of high-growth areas like
biotechnology, large-cap pharmaceutical stocks began to rally. The rally
stalled toward the end of the period, however, as biotech, drug
delivery, and medical technology stocks began to surge once again.
The outlook for the industry remains very favorable with solid earnings
and revenue growth continuing.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in the health sciences industries
---------------------------------------
NET ASSET VALUE
Class IA $13.74
Class IB $13.72
June 30, 2000
---------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam VT High Yield Fund
After rallying in the final months of 1999, high-yield bonds entered
2000 on weaker footing. Since the beginning of the year, the yield
difference, or spread, between high-yield bonds and Treasury bonds has
widened to a level approaching an all-time high. Thus, while Putnam VT
High Yield Fund has delivered strong competitive performance, its
results in absolute terms are disappointing. The fund posted a total
return of -1.21% for its class IA shares for the six months ended June
30, 2000.
The fund's solid relative performance can be attributed to an overweight
position in the telecommunications sector, which generally performed
well, despite being hurt (along with the technology sector) in April and
May of this year. Merger and acquisition activity resulted in sharp
price appreciation for several fund holdings. In addition, several
portfolio holdings went public during the period. Stock offerings tend
to boost the value of a company's high-yield bonds because they add more
equity and cash to its balance sheet and thus improve its credit
profile. Careful security selection was also important in enabling us to
select bonds of companies with solid fundamentals while helping us avoid
many of the high-yield bonds that experienced defaults during the
period.
To meet the challenge of managing a high-yield bond portfolio in a
rising-rate environment, we increased the fund's exposure to
floating-rate commercial bank loans. These securities increase the
portfolio's credit risk; however, they also provide a good defense
against rising rates. Because their rates are reset as market interest
rates rise, their prices typically do not decline in a rising-rate
environment like this one.
Early in the year, we sold some of the fund's holdings after their
prices had risen, locking in attractive gains. When the high-yield
market corrected in March and April, we diversified the portfolio by
adding attractively priced bonds in value-added cyclical sectors,
including paper, steel, and chemicals.
Barring any significant economic disruptions, high-yield bonds have the
potential to post solid returns in the coming months -- especially if
the Fed stops tightening interest rates.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding lower-rated corporate bonds and notes
---------------------------------------
NET ASSET VALUE
Class IA $9.69
Class IB $9.69
June 30, 2000
---------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the
issuer's financial condition or in general economic conditions may
hinder the issuer's ability to pay principal and interest on the
securities.
Putnam VT Income Fund
The past six months have been a difficult time for fixed-income
investors. With the exception of long-term Treasuries, which benefited
from the government's buyback program to pay down the national debt,
bonds have performed poorly. With its emphasis on
higher-income-producing securities such as corporate bonds, agencies and
mortgage-backed securities (MBS), this fund's performance was negatively
affected by the harsh market environment. The fund turned in a total
return of 2.01% for its class IA shares for the six months ended June
30, 2000.
As the economic expansion entered into a record 10th consecutive year,
many investors abandoned bonds to focus on higher stock market returns.
Concurrently, the stock market's growth has spooked bond investors, who
have been wary of the potential for higher inflation. The Federal
Reserve Board shared this concern, raising interest rates three times
over the period. A key event over the period was an inversion in the
yield curve, which was caused by the combination of higher short-term
interest rates and a sharp decline in the yield on the 30-year Treasury
bond. Unfortunately, the yield curve inversion has meant that the
performance of the non-Treasury sectors of the bond market -- which form
the backbone of this fund's portfolio -- has lagged that of Treasuries.
In addition, as expectations about future Fed rate increases have risen,
the risks associated with corporate bonds have also increased, hurting
their performance.
As part of our income strategy, we have focused a significant portion of
assets on investment-grade corporate bonds and have increased the fund's
holdings of higher-quality high-yield bonds. While these high-yield
bonds underperformed over the recent period, we believe that over the
long-term they will provide solid returns. They generate a higher level
of income and we have acquired them at attractive valuations. In April,
we also increased holdings of MBSs to capture some excellent values in
anticipation of better performance later in the year. We are also
employing a barbell strategy, with holdings concentrated in both short-
and long-term bonds, to protect against any further dramatic changes in
the yield curve.
As the economy begins to slow and increasing stock market volatility
encourages investors to seek stability and capital preservation in the
bond market, bond yields may begin to decline and prices appreciate.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities or backed by the credit
of the government agency, plus corporate bonds rated B or above
---------------------------------------
NET ASSET VALUE
Class IA $11.91
Class IB $11.90
June 30, 2000
---------------------------------------
While U.S. government backing of individual securities does not insure
your principal, which will fluctuate with market conditions, it does
guarantee that the fund's government-backed holdings will make timely
payments of interest and principal.
Putnam VT International Growth Fund
Worldwide economic growth continued to accelerate throughout the
semiannual period. With rising growth came a renewed fear of inflation,
and central banks responded by tightening interest rates, showing a
determination to reign in growth with measured but substantive monetary
policy actions. Equities enjoyed quite a run during the first quarter,
only to falter in the second as growth stocks experienced a massive
valuation correction. A diversified portfolio and some strategic
repositioning of assets helped Putnam VT International Growth Fund to
manage the volatility. For the six months ended June 30, 2000, the
fund's class IA shares provided a total return of 0.58% at net asset
value.
Once again, well-researched stock and sector selection propelled fund
returns. As in the previous six months, sector strategies mattered more
than country weightings due to a welcome lack of regional currency
problems and the increasing integration of the global economy. As
international markets showed increasing confidence in the potential of
the New Economy during the period, growth stocks in the
telecommunications, media, and technology sectors outperformed. The
market also recognized fundamental improvements in more traditional
industries like energy, pharmaceuticals, and financial services. With
its diversified portfolio, the fund benefited from many of these
factors.
The growth stock rally peaked in the first quarter of 2000. As sometimes
happens, market enthusiasm had pushed stock prices a little beyond what
company earnings justified. Fortunately, we had reduced positions in
traditional fixed-line phone companies while maintaining exposure to
wireless opportunities. In addition, we deployed more assets into energy
companies benefiting from industry consolidation and rising oil and gas
prices. We also added relatively undervalued financial services and
pharmaceuticals companies which then outperformed. Finally, we benefited
from an underweight position in Japanese equities; while several
Japanese companies offer attractive profit potential, most have been
affected by the country's sluggish economy and rising public debt.
In the coming months, we expect both growth companies and more cyclical
companies to continue achieving solid profits. With its diversified
portfolio, the fund is well-positioned to benefit.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
---------------------------------------
NET ASSET VALUE
Class IA $19.69
Class IB $19.65
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT International Growth and Income Fund
Putnam VT International Growth and Income Fund's performance reflects
the challenges value investors faced in a largely growth-oriented
environment. For most of the period, the world's markets favored
technology, telecommunications, and Internet-related stocks. Exorbitant
prices for such stocks precluded fund participation in the tech rally of
1999, however, our value approach protected shareholders from the losses
sustained by many investors in the market correction of March, 2000.
Following the correction, as market sentiment shifted to favor less
risky securities, the fund's holdings rebounded significantly. For the
six months ended June 30, 2000, the fund's class IA shares posted a
total return of 5.78% at net asset value.
During this spring's market decline, stocks in the fund's portfolio
behaved defensively, retaining more of their value than their
growth-stock counterparts. The correction reminded investors of the risk
of investing in stocks with high valuations and investors returned to
established companies with compelling valuations and strong
fundamentals: precisely those stocks that form the backbone of this
portfolio. This in turn lifted the share price of many of the fund's
holdings. At the same time, we took advantage of newly reduced prices on
some high-quality growth stocks to add new holdings.
In moves reminiscent of those taken by U.S. companies over the past 15
years, European and Japanese companies are restructuring, shedding
unprofitable divisions, and incorporating new technologies. Mergers and
acquisitions continue unabated as well. Amidst all this change, the fund
selected winners from many different sectors. Over the past six months,
stocks in consumer electronics, telecommunications, financial services,
media, and pharmaceuticals all contributed significantly to performance.
We are optimistic in our outlook for international value investing.
Stronger companies engaging in beneficial consolidation trends should
lead international markets to continuing strong, positive returns in the
coming year. Additionally, many sectors should experience improving
performance as a result of the rotation out of technology stocks. With
heightened volatility likely to accompany these changes, the fund's
conservative strategy should help it weather any adverse conditions.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
------------------------------------------------------------------------
PORTFOLIO
Common stocks
---------------------------------------
NET ASSET VALUE
Class IA $13.86
Class IB $13.82
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam VT International New Opportunities Fund
As investors focused attention on the potential for new technologies to
transform business productivity, technology stocks became the market's
darlings. They were top performers as 2000 began, only to falter in
mid-March as inflation and interest-rate concerns provoked a sell-off.
As an aggressive growth fund, Putnam VT International New Opportunities
was inevitably affected by this volatility and the strong gains it had
produced earlier in the period were offset by the impact of the
correction. Thus, for the six months ended June 30, 2000, the fund's
class IA shares posted a total return of -15.44% at net asset value.
Nevertheless, the fund's long-term strategy -- building a global
portfolio of leading growth companies -- remains unchanged. We seek
companies that are capitalizing on a variety of trends to achieve
exceptionally high rates of earnings growth. These trends may be
technological, structural -- such as the deepening integration of the
European Union -- or even social trends that create business
opportunities by changing consumer behavior.
Of course, we do not merely invest in trends. We perform rigorous
analysis on companies to make sure they are managed effectively and in a
way that produces strong profits for their shareholders. During the
period, our stock selection led us to emphasize relatively large
positions in developed markets. Many of the holdings are in the
technology, media, and telecommunications sectors, where performance has
been leading that of more traditional sectors lately. We also believe
that many of these companies are well-positioned to capitalize on the
trends mentioned above. In addition, we favor companies outside the
tech/telecom/media sectors that are benefiting indirectly from these
trends. A limited exposure to emerging markets included technology and
telecom stocks as well as a number of cyclical stocks more sensitive to
the global economic upswing.
Although stocks in the telecommunications, technology, and media sectors
have experienced significant volatility over the period, we remain
confident that our research leads us to companies with the most
competitive long-term prospects. With global growth on the rise and the
Federal Reserve Board endeavoring to restrain U.S. growth, international
markets are poised to outperform the United States. These markets are
also benefiting from deregulation and a rising number of stock
offerings, which provide a fertile field for our stock selection.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally traded outside the United States
---------------------------------------
NET ASSET VALUE
Class IA $18.87
Class IB $18.83
June 30, 2000
---------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments. This
fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
Putnam VT Investors Fund
After the big surge in the market in December 1999, stocks struggled to
find a footing in January. Some likely and understandable profit-taking
and a growing concern about upcoming Federal Reserve Board decisions led
to a fairly sharp sell-off in the first few days of the new year, which
was followed by a surge in the bond market. For the remainder of the
period, stocks alternated between rally and correction. A bias toward
growth companies along with astute sector allocation and stock selection
enabled Putnam VT Investors Fund to weather these storms reasonably
well. For the six months ended June 30, 2000, the fund's class IA shares
posted a total return of -2.77% at net asset value.
In the early months of the period, small- and mid-cap stocks generally
outperformed the large-capitalization stocks that dominate this fund's
portfolio. Market sentiment did shift briefly toward large-cap stocks in
April, and the fund took full advantage of the rally. Throughout the
semiannual period, the fund held its own thanks to its combination of
superior stock and sector selection. These sectors include technology,
biotechnology, media, and telecommunications, and within them we
emphasized "new economy" stocks which are expected to do well even after
economy slows down. We also paid close attention to risk management, and
this helped moderate the fund's volatility relative to the market.
We expect further evidence of a slowing in the economy to emerge in the
coming months. As long as that slowing is not so pronounced as to induce
a recession, we believe that the outlook for the type of
large-capitalization growth stocks we invest in will remain positive.
The outlook for technology remains good, despite the recent corrections,
as many companies in this sector continue to grow earnings and increase
market share. The demand for semiconductors, cellular telephones, fiber
optics, computer storage and the like continues to grow, driven by the
growth of the Internet. In this fast-changing environment, we will
continue to manage the fund with an eye toward conservative, long-term
growth.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality common stocks
---------------------------------------
NET ASSET VALUE
Class IA $14.74
Class IB $14.70
June 30, 2000
---------------------------------------
Putnam VT Money Market Fund
The past six months represented a relatively positive period for money
market investors. The transition from 1999 to 2000 brought little of the
disruption anticipated by many analysts, and the money market remained
fairly stable as the new year began. The economy has continued to grow,
and employment data have stayed strong. Inflation remains largely at
bay, providing solid underpinnings for the money market and attractive
results for Putnam VT Money Market Fund. For the six months ended June
30, 2000, the fund's class IA shares posted a total return of 2.79% at
net asset value.
Yields on money market securities have become attractive over the past
six months, especially relative to yields on longer-term bonds. The
Federal Reserve Board raised short-term interest rates three times in
the past six months. Also during the period, the federal government
initiated a buyback program for 30-year Treasury bonds. This program,
coupled with the interest-rate hikes, caused an inverted yield curve.
Thus, yields on short-term money market securities were higher than
those of long-term Treasury bonds, which is exactly the reverse of the
normal upward-sloping relationship between short- and long-term yields.
Demand and supply of money market securities have both grown over the
period. New supply has not kept pace with demand, however, creating a
favorable environment for investors in money market funds.
In this environment of higher interest rates, we have kept portfolio
duration neutral or slightly shorter than the market average for two
main reasons. First, this kept the fund flexible amid the volatility
that swept the money market as investors reacted to waves of volatility
in the stock market. Second, by keeping the portfolio's holdings
barbelled (concentrated in long- and short-term maturities), we have
maintained enough liquidity to handle shareholder redemptions and take
advantage of higher rates as they become available in the money market.
We also sought to boost income by increasing the fund's allocation to
floating-rate money market securities.
Going forward, this money market fund remains an attractive option for
investors seeking a combination of liquidity, superior quality, and
relative stability.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance
of liquidity
------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
---------------------------------------
NET ASSET VALUE
Class IA $1.00
Class IB $1.00
June 30, 2000
---------------------------------------
An investment in Putnam VT Money Market Fund, in which annuity
subaccounts invest, is not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the fund
seeks to preserve your investment at $1.00 per share, it is possible to
lose money by investing in the fund.
Putnam VT New Opportunities Fund
The first six months of 2000 brought a great deal of volatility to the
entire U.S. stock market, as robust economic growth, rising interest
rates, and inflationary concerns spooked investors. The market
alternated between rally and correction throughout the period. As
investors took profits on some of the growth stocks that had been such
high flyers over the past two years, other buyers -- including this fund
-- stepped in to take advantage of newly attractive growth stock prices.
Putnam VT New Opportunities Fund rode out the waves of volatility fairly
well, and the fund's class IA shares posted a total return of 6.47% at
net asset value for the six months ending June 30, 2000.
As technology, communications and media stocks corrected in March and
early April, fund performance suffered due to our large positions in
these sectors. Unfortunately, the portfolio's large-capitalization
stocks also underperformed during these months. The portfolio did enjoy
outperformance by selected technology and media stocks, however, and we
continue to believe firmly in these sectors' long-term performance
potential. In fact, we took advantage of the market correction to
bolster the portfolio with some attractively priced stocks with solid
growth prospects.
Although the growth stocks that are this fund's focus may continue to
experience some volatility over the short term, their fundamental
characteristics remain solid and we remain convinced of their long-term
performance potential.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average
long-term growth potential
---------------------------------------
NET ASSET VALUE
Class IA $43.06
Class IB $42.91
June 30, 2000
---------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam VT New Value Fund
Putnam VT New Value Fund navigated the choppy waters of stock market
volatility fairly well over the past six months. During the initial
months of the period, growth stocks continued to captivate investor
attention while value stocks lagged. Then in mid-March, growth stocks
experienced a huge correction and value stock performance began to
improve. Astute stock and sector selection guided the fund to solid
performance, and for the six months ended June 30, 2000, the fund's IA
shares posted a total return of 3.00% at net asset value.
Stock market volatility, though unsettling for investors, can be
beneficial for the fund. Over this period, the sell-off in growth stocks
brought some of these companies within our reach, as their stock prices
declined into the value range. In the heat of the downturn, growth fund
managers discarded many excellent stocks, and we took advantage of their
temporary price setbacks to scoop them up.
Our mandate to invest in undervalued stocks of large and midsize
companies has kept the fund's technology position relatively small since
valuations on these stocks have been extremely high for some time. While
this may have dampened returns during the technology-stock heyday, it
certainly shielded the fund from precipitous losses when tech stocks
sold off. The portfolio is diversified across many industrial sectors
and as market leadership broadened, the fund benefited. In particular,
the fund enjoyed solid returns from its large positions in financial
services and energy sectors that strengthened over the period.
It appears that the Federal Reserve Board's interest-rate increases have
begun to slow the economy. Going forward, we have positioned the fund to
perform well in an environment characterized by lower economic growth
with no large increase in inflation.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Undervalued common stocks
---------------------------------------
NET ASSET VALUE
Class IA $11.36
Class IB $11.35
June 30, 2000
---------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam VT OTC & Emerging Growth Fund
Stock market conditions over the past six months can be divided into two
distinct parts. The first, which lasted until mid-March, saw growth
stocks continuing 1999's stellar outperformance. The second, which
lasted almost to the period's end, was a reversal of fortune as the
market experienced a sharp valuation correction. With its portfolio of
emerging growth stocks, Putnam VT OTC & Emerging Growth Fund was
substantially affected by this volatility and the fund's performance
reflects this challenging environment. For the six months ended June 30,
2000, the fund's class IA shares tallied a total return of -11.93% at
net asset value.
The period began as a continuation of the growth stock rally of late
1999, with technology, media, and telecommunication stocks leading the
way in a robust market environment. The fund held overweight positions
in all these sectors, and so benefited from their outperformance.
Business services stocks were another significant contributor to fund
returns early in the period. An underweight position in financial
services stocks also helped the fund, as rising interest rates hurt
their performance. Unfortunately, the fund was also underweight in
health care stocks, which outperformed in January and February.
From mid-March through May, growth stocks corrected sharply when
investors began to question the huge valuations these stocks commanded.
Fund performance suffered accordingly, although there were pockets of
strength in the portfolio.
We remain confident in the fundamental characteristics of the
portfolio's holdings. Even within the volatile technology and
telecommunications sectors, corporate earnings growth is still robust
and the outlook for long-term performance remains positive.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Above-average growth potential
------------------------------------------------------------------------
PORTFOLIO
Common stocks primarily of small to medium-sized emerging growth
companies
---------------------------------------
NET ASSET VALUE
Class IA $19.89
Class IB $19.85
June 30, 2000
---------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam VT Research Fund
The past six months have been a time of changing directions for U.S.
stocks, as ongoing economic strength, rising short-term interest rates,
and renewed fears of inflation precipitated a great deal of market
volatility. Technology, media, and telecommunications stocks, which had
been top performers for many months, gave up their lead in mid-March and
value stocks edged forward. Then growth stocks staged a comeback,
another sell-off, and another rally toward the period's end. Through all
the ups and downs, Putnam VT Research Fund remained focused on its
intensive research and stock selection process. Market volatility did
dampen performance somewhat, however, and for the six months ended June
30, 2000, the fund's class IA shares posted a total return of 4.60% at
net asset value.
The so-called "new economy" industries were well represented in the
fund's portfolio over the period, including stocks in the biotechnology
and medical technology, telecommunications, media, and technology
sectors. These stocks contributed strong returns at the start of the
semiannual period, but as they experienced valuation corrections,
performance declined. Nonetheless, we remain confident of their
fundamental characteristics and believe that accelerating demand for
these products and services positions the stocks well for positive
long-term performance. We also took advantage of the downturn to add
many additional stocks in these sectors at attractive valuations.
Fund holdings in some of the more traditional industrial sectors
experienced gains as investor sentiment shifted away from the
high-flying growth stocks. Despite rising interest rates that hurt some
larger financial institutions, the fund's regional bank stocks fared
well. The fund also enjoyed positive returns from its energy,
pharmaceuticals, and communications holdings.
In the months ahead, we will continue to utilize our intensive research
process to uncover the most attractive stock opportunities throughout
the full spectrum of industrial sectors.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks including growth and value stocks
---------------------------------------
NET ASSET VALUE
Class IA $15.26
Class IB $15.23
June 30, 2000
---------------------------------------
Putnam VT Small Cap Value Fund
Volatility took hold in the stock market over the past six months as
continued economic strength, rising interest rates, and renewed
inflationary concerns made investors jittery. In this environment,
undervalued stocks of small and mid-size companies performed somewhat
better than large-capitalization stocks. For the six months ended June
30, 2000, Putnam VT Small Cap Value Fund's class IA shares posted a
total return of 6.98% at net asset value.
As the semiannual period began, technology, media, and
telecommunications stocks continued to dominate market performance. This
narrow band of "new economy" stocks enjoyed huge gains from late-1999
through mid-March 2000, when concerns about their high valuations led to
a sell-off. The market seesawed back and forth between rally and
correction for the remainder of the period. We took advantage of the low
points to add attractively priced stocks in a variety of industries.
Industrial manufacturing and regional bank stocks contributed strongly
to fund performance over the period. Although larger, money center banks
were hurt by rising short-term interest rates, the smaller, regional
banks proved less sensitive. Many of these stocks had underperformed
growth stocks in previous quarters. When investors sought more defensive
stocks in the wake of the market sell-off, these stocks offered solid
fundamental financial characteristics that proved most attractive.
Looking ahead, we remain confident in the basic strength of the
portfolio and in the outlook for small-capitalization value stocks in
general. The broadening of market leadership that began in the second
quarter of 2000 bodes well for these stocks. In addition, stocks of
small companies are still priced attractively relative to large
companies and have a long way to appreciate to close the gap.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks of small-capitalization companies with potential for
above-average capital growth
---------------------------------------
NET ASSET VALUE
Class IA $11.03
Class IB $11.01
June 30, 2000
---------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam VT Technology Fund
Putnam VT Technology Fund was introduced a scant two weeks before the
close of the fiscal year's end as the equity markets continued to
experience volatility, thus there is little to discuss yet relative to
its performance. With technology-related issues still among the most
popular among investors, however, the new fund's future would seem
promising.
It is difficult to identify a segment of the economy that has not been
profoundly influenced by technology. From traditional manufacturers
developing e-commerce strategies to emerging companies with
revolutionary new products, technology is changing businesses and
creating unprecedented opportunities for investors.
Technology represents nearly half of all business equipment spending by
U.S. companies. Consumer spending on information technology as a
percentage of disposable income has nearly tripled in the past 12 years.
Today, nearly one third of the Standard & Poor's Index is made up of
technology stocks, up from just 7% in 1990.
Technology today encompasses a broad range of industries and the fund
has the flexibility to invest across this spectrum. Holdings in the
fund's portfolio may include computer software, hardware, semiconductor,
and networking companies; Internet service providers; data storage
companies; and data security companies. Other targeted industries may
include telecommunications, wireless, fiber optics, and biotechnology.
Any company whose products or services are related to advanced
technology may be considered for the fund's portfolio. Because of this
broad reach, the fund may offer less volatility than technology funds
that are concentrated in fewer industries.
The fund may invest in companies of all sizes and at different stages of
growth, such as midsize companies with significant market share in new
industries and global technology giants with years of experience and
profitability. It may also invest in stocks of companies at their
entrepreneurial stage and hold item in the portfolio until they grow
into dominant worldwide corporations.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks primarily of U.S. companies in the technology industries
with a focus on growth stocks
---------------------------------------
NET ASSET VALUE
Class IA $10.75
Class IB $10.75
June 30, 2000
---------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment. This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam VT Utilities Growth and Income Fund
A fundamental shift in market dynamics took place at the mid-point of
the semiannual period. Stocks of old-economy companies with solid
earnings histories sprang back into vogue, and utilities stocks followed
suit. This shift may well represent some light at the end of the tunnel,
for the fund's performance for the period has been disappointing. For
the six months ended June 30, 2000, Putnam Utilities Growth and Income
Fund's class IA shares posted a total return of 2.37% at unit value.
Through February, the market continued to favor a narrow bank of
dot-coms and other high-tech stocks. Meanwhile, stocks of many
established utilities went almost unnoticed by Wall Street, including
many that are positioned for a key role as service providers and
innovators. But in March and April what has been called a virtual crash
led to an abrupt swing toward more traditional equities. Utilities
stocks began to move counter to the high-tech sector. While the future
is not assured, we remain confident that investor interest will continue
to broaden and believe utilities stocks will benefit as a result.
One result of the lack of investor interest in utilities has been an
increase in the number of companies spinning off high-growth units whose
strength had been largely ignored when they were part of the parent
company. Many of these compa-nies have been among the underlying fund's
largest holdings for some time, providing a combination of steady growth
and current income. We have also taken part in some of the more
attractive wireless offerings.
One of our primary strategies is to identify hidden values within
utilities companies -- businesses or assets that do not seem to be
adequately reflected in the stock's prices. The current period provided
ample opportunity throughout the utilities sector. If the groundswell of
interest in undervalued stocks and the demand for high-quality,
established companies continues through the balance of the year, as we
believe it will, this fund's shareholders should continue to benefit.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
---------------------------------------
NET ASSET VALUE
Class IA $15.78
Class IB $15.76
June 30, 2000
---------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam VT Vista Fund
The past six months have been a period of extreme volatility in the
stock market. Rising interest rates, inflationary concerns, and
uncertainty about the pace of economic growth have all contributed to
the volatility. Astute stock selection and rigorous risk management
enabled Putnam VT Vista Fund to weather the challenging environment. For
the six months ended June 30, 2000, the fund's class IA shares provided
a total return of 16.25% at net asset value.
During the first quarter of 2000, small and mid-cap growth stocks
outperformed their large-cap counterparts. With its portfolio of mid-cap
stocks, the fund benefited from this trend. We kept the portfolio
diversified across all the industry groups in its benchmark, the Russell
Mid-Cap Growth Index. When the market became volatile, we took advantage
of the volatility by watching stock prices closely, aggressively
trimming high-priced stocks and identifying potential portfolio
additions early on and waiting for the right price to buy them.
In terms of sectors, technology remains the portfolio's largest
position, although the fund's tech weighting is still lower than that of
its benchmark index. The second largest weighting is in health care.
Consumer staples, mainly restaurants, broadcasting, and cosmetics, and
consumer cyclicals including retail and advertising make up the next
largest concentration of assets. We have a solid position in the energy
sector, which enjoyed rising oil and gas prices and was one of the
period's best-performing sectors.
Overall, we remain confident of the fundamental characteristics of these
portfolio holdings and of their long-term performance potential. Market
volatility will almost certainly continue over the short-term, however,
and we will continue to utilize the risk management techniques that have
served the fund well thus far.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
---------------------------------------
NET ASSET VALUE
Class IA $23.79
Class IB $23.75
June 30, 2000
---------------------------------------
The fund invests all or a portion of its assets in small to medium-size
companies. Such investments increase the risk of greater price
fluctuations.
Putnam VT Voyager Fund
Growth stocks faced a volatile environment over the past six months, as
rally gave way to correction, then back to rally, and so on. Throughout
this volatility, Putnam VT Voyager Fund stayed its course as strong
stock selection and diversification across small-, mid-, and large-cap
stocks helped the fund achieve respectable performance. For the six
months ended June 30, 2000, the fund's class IA shares provided a total
return of 1.37% at net asset value.
Overall, we continue to focus on companies of all sizes that we believe
are benefiting from the changes brought on by new technologies, such as
the growth of the Internet and telecommunications. These so-called "new
economy" companies are largely concentrated in technology, and for this
reason, technology remains the largest weighting in the portfolio.
Within this sector, our holdings in the semiconductor, biotechnology,
and communications industries were particularly strong until the Federal
Reserve Board raised short-term interest rates for the fifth time in
less than eight months. This resulted in a decline for the technology
sector as the market took profits in a group that had been very
successful in the last two years.
We have taken advantage of the volatile environment to add positions
some of the companies we believe have a viable long term future. As the
market digests all the macroeconomic concerns about the Fed raising
rates, we expect volatility to continue. Nonetheless, we have a very
constructive outlook for growth stocks, particularly within the
technology sector. The earnings potential and fundamental outlook for
many of these companies remain very strong.
------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential
and established companies with positive growth prospects
---------------------------------------
NET ASSET VALUE
Class IA $59.21
Class IB $59.04
June 30, 2000
---------------------------------------
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
David L. King has been appointed to the management team of Putnam VT
George Putnam Fund of Boston. He is also portfolio manager of Putnam VT
New Value Fund. Mr. King is a managing director and senior portfolio
manager in the Large Cap Value Equity Group. He joined Putnam in 1983 as
a securities analyst; from 1990 to 1992, he managed closed-end and
open-end convertible securities portfolios. Before joining Putnam he was
with Citibank, N.A. and Manufacturers Hanover Trust. He has 18 years of
investment experience.
Jeanne L. Mockard has been appointed to the management team of Putnam VT
George Putnam Fund of Boston. She is also a member of the management
team of Putnam VT Utilities Growth and Income Fund. Ms. Mockard is a
senior vice president and senior portfolio manager in Global Large Cap
Value Equity Group. Previously, she was an analyst in the Global Equity
Research Group, where she covered the electric utilities, retail,
textile, apparel, shoes, and telecommunications industries. She has 15
years of investment experience.
Stephen P. Dexter has been appointed to the management team of Putnam VT
Global Growth Fund. He is also a member of the management team of Putnam
VT International New Opportunities Fund. Mr. Dexter is a senior vice
president and senior portfolio manager in the International Growth
Equities group. Before joining Putnam in 1999, he was with Scudder
Kemper Investments, Kemper Financial Services, and Sears Investment
Management. He has 16 years of experience.
Christopher G. Miller has been appointed to the management team of
Putnam VT Growth and Income Fund. He is also a member of the management
team of Putnam VT New Opportunities Fund. Mr. Miller is senior vice
president and portfolio manager in the Quantitative Equity Group. He is
responsible for researching optimal portfolio structure and modeling
asset returns. Before joining Putnam he was with Analytic TSA Global
Asset Management. He is a Chartered Financial Analyst, holds Series 2
and 3 licenses with the NASD, and has 7 years of investment experience.
Colin Moore has been appointed to the management team of Putnam VT
International Growth and Income Fund. He is a managing director and the
chief investment officer of Putnam Global Value Equities Group. In
addition, he is a member of Putnam's Executive and Management
Committees. Prior to joining Putnam in 2000, he was chief investment
officer of Rockefeller & Co. He has 18 years of investment experience.
Peter Hadden has been appointed to the management team of Putnam VT
International New Opportunities Fund. Mr. Hadden is a senior vice
president and portfolio manager in the International Growth Equities
Group. Previously, he was senior analyst in the Specialty Growth
Equities group focusing on the Internet and technology companies. Prior
to joining Putnam in 1992, he was with Travelers Insurance, Bank of New
England, and FDIC Bank. He has 13 years of investment experience.
Paul E. Marrkand has been appointed to the management team of Putnam VT
Voyager Fund. He is also a member of the management team of Putnam VT
Technology Fund. Mr. Marrkand is a senior vice president and portfolio
manager in the Global Core Equity Group. Prior to joining Putnam in
1987, he was with McGraw-Hill/DRI and State Street Boston Corp. He has 7
years of investment experience.
Kevin M. Divney has been appointed to the management team of Putnam VT
Voyager Fund. Mr. Divney is a senior vice president and the equity risk
manager. He is responsible for providing chief investment officers,
senior investment management, and portfolio managers with robust
analytical tools to monitor risks at the security, portfolio and firm
levels. Before joining Putnam, he was with Franklin Portfolio Associates
and State Street Bank. He has 10 years of investment experience.
James C. Wiess has been appointed to the management team of Putnam VT
Voyager Fund. Mr. Wiess is a senior vice president and director of U.S.
Diversified Core Equity in the Global Core Equity Group. He heads the
team responsible for managing U.S. Diversified Equity institutional and
retail portfolios. Prior to joining Putnam in 2000, he was with J.P.
Morgan Investment Management, Oppenheimer & Company, Inc., and Data
Resources. He has 16 years of investment experience.
<TABLE>
<CAPTION>
Putnam VT American Government Fund
The fund's portfolio
June 30, 2000 (Unaudited)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (73.6%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C>
........................................................................................................................
U.S. Government Agency Mortgage Obligations (36.0%)
........................................................................................................................
Federal National Mortgage Association
........................................................................................................................
$250,000 6 5/8s, September 15, 2009 $241,523
........................................................................................................................
250,000 6 1/2s, August 15, 2004 245,195
........................................................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................................................
74,993 8s, with due dates from July 15, 2026
to December 15, 2027 75,842
........................................................................................................................
1,249,876 7 1/2s, with due dates from
September 15, 2029 to June 15, 2030 1,241,327
........................................................................................................................
449,483 7s, with due dates from January 15, 2030
to February 15, 2030 436,996
........................................................................................................................
108,301 6 1/2s, February 15, 2029 102,803
------------------------------------------------------------------------------------------------------------------------
2,343,686
------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (37.6%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
300,000 6 1/4s, May 15, 2030 314,766
........................................................................................................................
625,000 6 1/8s, November 15, 2027 623,631
........................................................................................................................
U.S. Treasury Notes
........................................................................................................................
375,000 6 3/4s, May 15, 2005 383,730
........................................................................................................................
290,000 6 1/2s, February 15, 2010 299,924
........................................................................................................................
425,000 6 3/8s, January 31, 2002 424,337
........................................................................................................................
200,000 6s, August 15, 2009 198,406
........................................................................................................................
200,000 5 7/8s, November 15, 2004 197,093
------------------------------------------------------------------------------------------------------------------------
2,441,887
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $4,707,947) $4,785,573
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (24.8%) (a) (cost $1,615,115)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,616,000 Federal Home Loan Mortgage Corp.,
effective yield of 6.57%, July 3, 2000 $1,615,115
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $6,323,062) (b) $6,400,688
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Asia Pacific Growth Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (97.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Australia (9.6%)
........................................................................................................................
174,900 Austar United Communications (NON) $592,380
........................................................................................................................
213,400 Australia and New Zealand Banking
Group, Ltd. 1,640,466
........................................................................................................................
225,448 Broken Hill Proprietary Co., Ltd. 2,672,029
........................................................................................................................
318,600 Cable & Wireless Optus, Ltd. (NON) 952,135
........................................................................................................................
155,100 Cable & Wireless Optus, Ltd. 144A (NON) 463,516
........................................................................................................................
148,100 Commonwealth Bank of Australia 2,460,943
........................................................................................................................
106,456 News Corp., Ltd. ADR 4,304,502
........................................................................................................................
132,068 Publishing & Broadcasting, Ltd. 1,018,414
........................................................................................................................
418,800 Westpac Banking Corp., Ltd. 3,028,429
........................................................................................................................
75,500 Woodside Petroleum, Ltd. 588,998
------------------------------------------------------------------------------------------------------------------------
17,721,812
------------------------------------------------------------------------------------------------------------------------
Hong Kong (15.0%)
........................................................................................................................
732,400 Cable & Wireless HKT, Ltd. 1,611,415
........................................................................................................................
247,000 Cheung Kong Holdings 2,733,072
........................................................................................................................
537,500 China Telecom, Ltd. (NON) 4,740,741
........................................................................................................................
602,000 China Unicom, Ltd. (NON) 1,278,173
........................................................................................................................
235,000 CLP Holdings, Ltd. 1,094,383
........................................................................................................................
681,000 Hong Kong and China Gas Co., Ltd. 764,452
........................................................................................................................
399,600 Hutchison Whampoa, Ltd. 5,023,965
........................................................................................................................
430,500 Johnson Electric Holdings, Ltd. 4,073,148
........................................................................................................................
490,000 Legend Holdings, Ltd. 474,611
........................................................................................................................
712,000 Li & Fung, Ltd. 3,562,375
........................................................................................................................
115,000 Sun Hung Kai Properties, Ltd. 826,192
........................................................................................................................
226,000 Swire Pacific, Ltd. 1,322,112
------------------------------------------------------------------------------------------------------------------------
27,504,639
------------------------------------------------------------------------------------------------------------------------
India (--%)
........................................................................................................................
14,300 SSI, Ltd 144A GDR (NON) 89,375
------------------------------------------------------------------------------------------------------------------------
Japan (50.3%)
........................................................................................................................
4,100 Advantest Corp. 916,667
........................................................................................................................
70 Ariake Japan Co., Ltd. 4,421
........................................................................................................................
500 Asahi Bank, Ltd. (The) 2,108
........................................................................................................................
70,000 Asahi Glass Co., Ltd. 784,175
........................................................................................................................
75,000 Denso Corp. 1,829,268
........................................................................................................................
68,000 Eisai Co., Ltd. 2,185,668
........................................................................................................................
1,560 Fancl Corp. 148,803
........................................................................................................................
119,000 Fuji Bank (The), Ltd. 906,731
........................................................................................................................
32,800 Fuji Machine Manufacturing Co., Ltd. 1,727,132
........................................................................................................................
44,300 Fujisawa Pharmaceutical Co. 1,796,625
........................................................................................................................
167,000 Fujitsu, Ltd. 5,794,006
........................................................................................................................
27,000 Furukawa Electric Co., Ltd. 565,372
........................................................................................................................
21,000 Hitachi Information Systems, Ltd. 815,939
........................................................................................................................
126,000 Industrial Bank of Japan (The), Ltd. 957,686
........................................................................................................................
37,000 INES Corp. 620,514
........................................................................................................................
5,600 Kadokawa Shoten Publishing Co., Ltd. 566,459
........................................................................................................................
87 KDD Corp. 8,800
........................................................................................................................
5,400 Keyence Corp. 1,786,727
........................................................................................................................
76,000 Kirin Brewery Co., Ltd. 951,976
........................................................................................................................
18,200 Kojima Co., Ltd. 584,988
........................................................................................................................
19,100 Kyocera Corp. 3,248,336
........................................................................................................................
3,000 MACNICA, Inc. 465,116
........................................................................................................................
119,000 Mitsubishi Chemical Corporation 489,365
........................................................................................................................
89,000 Mitsubishi Trust and Banking
Corporation (The) 692,447
........................................................................................................................
500 Mitsumi Electric Co., Ltd. 18,434
........................................................................................................................
27,000 Murata Manufacturing Co., Ltd. 3,884,855
........................................................................................................................
238,000 NEC Corp. 7,492,343
........................................................................................................................
678,000 Nikko Securities Co., Ltd. 6,730,006
........................................................................................................................
12,300 Nintendo Co., Ltd. 2,153,488
........................................................................................................................
489 Nippon Telegraph and Telephone Corp. 6,518,151
........................................................................................................................
5,500 Nippon Television Network Corp. 3,587,635
........................................................................................................................
78,000 Nomura Securities Co., Ltd. 1,913,500
........................................................................................................................
92 NTT DoCoMo 2,496,124
........................................................................................................................
9,800 Rohm Co., Ltd. 2,871,998
........................................................................................................................
17,100 Sanix, Inc. 144A 905,275
........................................................................................................................
8,300 Seven-Eleven Japan Co., Ltd. 695,982
........................................................................................................................
47,200 Sharp Corp. 836,642
........................................................................................................................
84,000 Shiseido Co., Ltd. 1,302,326
........................................................................................................................
27,500 Sony Corp. 2,573,738
........................................................................................................................
146,046 Sumitomo Corp. 1,647,125
........................................................................................................................
60,000 Sumitomo Electric Industries, Ltd. 1,031,197
........................................................................................................................
20,000 Taisho Pharmaceutical Co., Ltd. 718,472
........................................................................................................................
63,000 Takeda Chemical Industries 4,145,207
........................................................................................................................
218,000 Teijin, Ltd. 1,065,476
........................................................................................................................
22,700 THK Co., Ltd. 1,150,236
........................................................................................................................
14,000 Tokyo Electron, Ltd. 1,921,724
........................................................................................................................
96,900 Toyota Motor Corp. 4,424,532
........................................................................................................................
5,500 Trend Micro, Inc. (NON) 909,907
........................................................................................................................
4 Yahoo Japan Corp. (NON) 1,590,093
........................................................................................................................
20,000 Yamada Denki Co., Ltd. 1,798,071
------------------------------------------------------------------------------------------------------------------------
92,231,866
------------------------------------------------------------------------------------------------------------------------
Malaysia (1.2%)
........................................................................................................................
655,000 Public Bank Berhad 603,289
........................................................................................................................
177,000 Resorts World Berhad 484,421
........................................................................................................................
160,000 Tanjong Public, Ltd. 383,158
........................................................................................................................
200,000 Telekom Malaysia Berhad 689,474
------------------------------------------------------------------------------------------------------------------------
2,160,342
------------------------------------------------------------------------------------------------------------------------
Singapore (4.4%)
........................................................................................................................
118,500 Chartered Semiconductor Manufacturing (NON) 1,035,204
........................................................................................................................
78,000 DBS Group Holdings, Ltd. 1,001,793
........................................................................................................................
209,750 Overseas-Chinese Banking Corp. 1,444,041
........................................................................................................................
71,000 Singapore Airlines, Ltd. 702,401
........................................................................................................................
63,000 Singapore Press Holdings, Ltd. 984,090
........................................................................................................................
45,800 St. Assembly Test Services, Ltd. (NON) 117,647
........................................................................................................................
8,400 St. Assembly Test Services, Ltd. (NON) 216,300
........................................................................................................................
250,500 Venture Manufacturing, Ltd. 2,550,651
------------------------------------------------------------------------------------------------------------------------
8,052,127
------------------------------------------------------------------------------------------------------------------------
South Korea (10.0%)
........................................................................................................................
5,870 Cheil Communications, Inc. 766,064
........................................................................................................................
71,100 Hyundai Electronics Industries Co., Ltd. 1,402,996
........................................................................................................................
68,800 Korea Electric Power Corp. 2,135,151
........................................................................................................................
28,400 Korea Telecom Corp. ADR 1,373,850
........................................................................................................................
8,210 Pohang Iron & Steel Company, Ltd. 707,073
........................................................................................................................
22,300 Pohang Iron & Steel Company, Ltd. ADR 535,200
........................................................................................................................
33,600 Samsung Electro Mechanics Co., Ltd. (NON) 2,106,593
........................................................................................................................
20,113 Samsung Electronics Co. 6,656,828
........................................................................................................................
96,700 Shinhan Bank 910,709
........................................................................................................................
46,900 SK Telecom Co., Ltd. ADR 1,703,056
------------------------------------------------------------------------------------------------------------------------
18,297,520
------------------------------------------------------------------------------------------------------------------------
Taiwan (5.9%)
........................................................................................................................
31,200 ASE Test, Ltd. (NON) 918,450
........................................................................................................................
303,600 Hon Hai Precision Industry 2,744,741
........................................................................................................................
210,740 President Chain Store Corp. 788,133
........................................................................................................................
383,000 Siliconware Precision Industries Co. 859,415
........................................................................................................................
763,916 Taiwan Semiconductor
Manufacturing Co. 3,627,048
........................................................................................................................
27,972 Winbond Electronics Corp. GDR 144A (NON) 811,188
........................................................................................................................
39,960 Winbond Electronics Corp. GDR (NON) 1,158,840
------------------------------------------------------------------------------------------------------------------------
10,907,815
------------------------------------------------------------------------------------------------------------------------
Thailand (0.5%)
........................................................................................................................
33,600 Advanced Info Service Public Co., Ltd.(NON) 418,179
........................................................................................................................
390,000 TelecomAsia Corporation
Public Co., Ltd. (NON) 432,670
------------------------------------------------------------------------------------------------------------------------
850,849
------------------------------------------------------------------------------------------------------------------------
United Kingdom (0.9%)
........................................................................................................................
140,400 HSBC Holdings PLC 1,603,069
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $164,330,209) $179,419,414
------------------------------------------------------------------------------------------------------------------------
UNITS (0.3%) (a) (NON) (cost $534,525)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
800 Nippon Television Structured Call
Warrants expiration 8/4/00 (issued by
Lehman Brothers Finance S.A.) (Japan) $520,904
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $164,864,734) (b) $179,940,318
------------------------------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than
10% at June 30, 2000 (as a percentage of market value):
Technology 32.4%
Financial 15.3
Consumer Cyclicals 12.8
Communication Services 12.6
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Diversified Income Fund
The fund's portfolio
June 30, 2000 (Unaudited)
CORPORATE BONDS AND NOTES (44.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.5%)
........................................................................................................................
$500,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $513,750
........................................................................................................................
587,750 Interact Operating Co. notes 14s, 2003 176,325
........................................................................................................................
1,200,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 1,176,000
........................................................................................................................
1,035,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 988,425
------------------------------------------------------------------------------------------------------------------------
2,854,500
------------------------------------------------------------------------------------------------------------------------
Aerospace and Defense (0.5%)
........................................................................................................................
500,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 350,000
........................................................................................................................
550,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 390,500
........................................................................................................................
145,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 133,400
........................................................................................................................
900,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 760,500
........................................................................................................................
380,000 Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 338,200
........................................................................................................................
250,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 253,750
........................................................................................................................
320,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 294,400
........................................................................................................................
400,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 356,000
........................................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 497,500
........................................................................................................................
80,000 Sequa Corp. sr. notes 9s, 2009 76,800
------------------------------------------------------------------------------------------------------------------------
3,451,050
------------------------------------------------------------------------------------------------------------------------
Agriculture (0.1%)
........................................................................................................................
374,855 Premium Standard Farms, Inc.
sr. sec. notes 11s, 2003 (PIK) 341,118
------------------------------------------------------------------------------------------------------------------------
Airlines (0.5%)
........................................................................................................................
857,955 Airbus Industries 144A notes
12.266s, 2020 890,643
........................................................................................................................
390,000 Calair LLC 144A company guaranty
8 1/8s, 2008 335,400
........................................................................................................................
160,000 Continental Airlines, Inc. notes 8s, 2005 148,026
........................................................................................................................
320,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 291,651
........................................................................................................................
1,770,000 US Air, Inc. pass-through certificates
Ser. 93-A2, 9 5/8s, 2003 1,668,278
------------------------------------------------------------------------------------------------------------------------
3,333,998
------------------------------------------------------------------------------------------------------------------------
Automotive (1.0%)
........................................................................................................................
240,000 Aftermarket Technology Corp.
sr. sub. notes 12s, 2004 240,000
........................................................................................................................
770,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 679,525
........................................................................................................................
210,000 Exide Corp. sr. notes 10s, 2005 185,850
........................................................................................................................
1,670,000 Federal Mogul Corp. notes 7 3/4s, 2006 1,227,450
........................................................................................................................
460,000 Federal Mogul Corp. notes 7 3/8s, 2006 338,100
........................................................................................................................
910,000 Hayes Lemmerz International, Inc.
company guaranty Ser. B, 8 1/4s, 2008 764,400
........................................................................................................................
755,000 Lear Corp. sub. notes 9 1/2s, 2006 737,416
........................................................................................................................
1,200,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,104,000
........................................................................................................................
568,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 522,560
........................................................................................................................
430,000 Tenneco, Inc. company guaranty
Ser. B, 11 5/8s, 2009 381,625
------------------------------------------------------------------------------------------------------------------------
6,180,926
------------------------------------------------------------------------------------------------------------------------
Banking (1.1%)
........................................................................................................................
150,000 Bank United Corp. sub. notes 8 7/8s, 2007 139,874
........................................................................................................................
300,000 Chevy Chase Savings Bank, Inc. sub. deb.
9 1/4s, 2008 268,500
........................................................................................................................
465,000 Chevy Chase Savings Bank, Inc. sub. deb.
9 1/4s, 2005 437,100
........................................................................................................................
525,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 481,212
........................................................................................................................
260,000 CSBI Capital Trust I 144A company
guaranty 11 3/4s, 2027 278,200
........................................................................................................................
65,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 59,357
........................................................................................................................
1,500,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,358,385
........................................................................................................................
1,365,000 Hanvit Bank 144A sub. notes 11 3/4s,
2010 (Korea) 1,320,638
........................................................................................................................
570,000 Local Financial Corp. sr. notes 11s, 2004 568,575
........................................................................................................................
100,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 95,423
........................................................................................................................
120,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 116,968
........................................................................................................................
365,000 Provident Capital Trust company
guaranty 8.6s, 2026 350,068
........................................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 127,083
........................................................................................................................
750,000 Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 750,000
........................................................................................................................
245,000 Sovereign Capital Trust company
guaranty 9s, 2027 171,574
........................................................................................................................
540,000 Superior Financial 144A sr. notes
8.65s, 2003 515,797
........................................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 173,261
------------------------------------------------------------------------------------------------------------------------
7,212,015
------------------------------------------------------------------------------------------------------------------------
Beverage (0.2%)
........................................................................................................................
1,230,000 Triarc Consumer Products, Inc.
company guaranty 10 1/4s, 2009 1,186,950
------------------------------------------------------------------------------------------------------------------------
Broadcasting (3.3%)
........................................................................................................................
1,170,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 1,117,350
........................................................................................................................
1,030,000 Allbritton Communications Co. sr.
sub. notes Ser. B, 8 7/8s, 2008 942,450
........................................................................................................................
317,900 AMFM Operating, Inc. deb. 12 5/8s,
2006 (PIK) 365,585
........................................................................................................................
10,795 Australis Media, Ltd. sr. disc. notes
15 3/4s, 2003 (In default)
(Australia) (NON) (PIK) 1
........................................................................................................................
2,250,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,755,000
........................................................................................................................
1,250,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 1,146,875
........................................................................................................................
310,400 Capstar Broadcasting sub. deb.
12s, 2009 (PIK) 360,064
........................................................................................................................
980,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 977,550
........................................................................................................................
190,000 Central European Media Enterprises,
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 68,400
........................................................................................................................
1,400,000 Chancellor Media Corp. company
guaranty 8s, 2008 1,405,250
........................................................................................................................
208,290 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 211,414
........................................................................................................................
460,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 448,500
........................................................................................................................
1,996,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 1,057,880
........................................................................................................................
2,040,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 1,968,600
........................................................................................................................
240,000 Fox Family Worldwide, Inc. sr. disc.
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 151,200
........................................................................................................................
704,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 630,080
........................................................................................................................
225,000 Golden Sky DBS, Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(13 1/2s, 3/1/04), 2007 (STP) 151,313
........................................................................................................................
600,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 654,000
........................................................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 447,500
........................................................................................................................
825,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 437,250
........................................................................................................................
450,000 Lin Holdings Corp. sr. disc. notes
stepped-coupon zero %
(10s, 3/1/03), 2008 (STP) 292,500
........................................................................................................................
1,050,000 LIN Television Corp. company guaranty
8 3/8s, 2008 960,750
........................................................................................................................
645,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 322,500
........................................................................................................................
410,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 419,225
........................................................................................................................
180,000 Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 173,700
........................................................................................................................
710,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 738,400
........................................................................................................................
1,318,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 1,179,346
........................................................................................................................
445,000 Radio One, Inc. company guaranty
Ser. B, 12s, 2004 $475,038
........................................................................................................................
420,000 RCN Corp. sr. notes 10 1/8s, 2010 352,800
........................................................................................................................
90,000 Spanish Broadcasting System, Inc.
sr. sub notes 9 5/8s, 2009 88,875
........................................................................................................................
200,000 TV Azteca Holdings S.A. de C.V. sr. notes
11s, 2002 (Mexico) 193,500
........................................................................................................................
1,100,000 TV Azteca Holdings S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 968,000
------------------------------------------------------------------------------------------------------------------------
20,460,896
------------------------------------------------------------------------------------------------------------------------
Building Materials (0.2%)
........................................................................................................................
240,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 40,800
........................................................................................................................
860,000 American Standard, Inc. company
guaranty 7 5/8s, 2010 786,900
........................................................................................................................
220,000 Atrium Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2009 187,000
........................................................................................................................
560,000 Building Materials Corp. company
guaranty 8s, 2008 439,600
........................................................................................................................
40,000 NCI Building Systems, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2009 37,200
------------------------------------------------------------------------------------------------------------------------
1,491,500
------------------------------------------------------------------------------------------------------------------------
Cable Television (2.2%)
........................................................................................................................
1,060,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,017,600
........................................................................................................................
70,000 Adelphia Communications Corp.
sr. notes 7 3/4s, 2009 59,150
........................................................................................................................
560,000 Century Communications Corp.
sr. notes 8 7/8s, 2007 511,000
........................................................................................................................
1,000,000 Century Communications bank term loan
FRN 9.73s, 2009 1,000,000
........................................................................................................................
460,000 Charter Communications Holdings bank
term loan FRN 8.79s, 2008 457,700
........................................................................................................................
2,730,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 2,412,638
........................................................................................................................
520,000 Classic Cable, Inc. company guaranty
10 1/2s, 2010 479,700
........................................................................................................................
140,000 Classic Cable, Inc. company guaranty
Ser. B, 9 3/8s, 2009 122,150
........................................................................................................................
1,575,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 1,492,313
........................................................................................................................
230,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 236,038
........................................................................................................................
2,450,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,886,500
........................................................................................................................
150,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 150,750
........................................................................................................................
500,000 NTL, Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 475,000
........................................................................................................................
480,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (In default) (Argentina) (NON) 201,600
........................................................................................................................
1,020,000 TeleWest Communications PLC 144A .
sr disc. notes stepped-coupon
zero % (11 3/8s, 2/1/05), 2010
(United Kingdom) (STP) 561,000
........................................................................................................................
340,000 TeleWest Communications PLC,
structured note (issued by DLJ
International Capital), 10 7/8s, 2005
(United Kingdom) 351,016
........................................................................................................................
90,000 TeleWest Communications PLC sr. disc.
notes stepped-coupon zero % (9 1/4s,
4/15/04), 2009 (United Kingdom) (STP) 48,600
........................................................................................................................
1,360,000 United Pan-Europe N.V. sr. disc. notes
stepped-coupon Ser. B, zero % (13 3/4s,
2/01/05), 2010 (Netherlands) (STP) 639,200
........................................................................................................................
2,070,000 United Pan-Europe N.V. sr. disc. notes
stepped-coupon zero % (12 1/2s,
8/1/04), 2009 (Netherlands) 1,035,000
........................................................................................................................
790,000 United Pan-Europe N.V. sr. notes
Ser. B, 10 7/8s, 2009 (Netherlands) 695,200
------------------------------------------------------------------------------------------------------------------------
13,832,155
------------------------------------------------------------------------------------------------------------------------
Chemicals (1.9%)
........................................................................................................................
70,000 Borden Chemical, Inc. notes 9 1/2s, 2005 63,350
........................................................................................................................
410,000 Geo Specialty Chemicals, Inc. sr. sub. notes
10 1/8s, 2008 348,500
........................................................................................................................
250,000 Georgia Gulf Corp. company guaranty
10 3/8s, 2007 256,875
........................................................................................................................
530,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 482,300
........................................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.188s, 2007 500,500
........................................................................................................................
1,980,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 1,989,900
........................................................................................................................
240,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 232,600
........................................................................................................................
200,000 ISP Holdings, Inc. sr. notes Ser. B, 9s, 2003 186,000
........................................................................................................................
240,000 Koppers Industries, Inc. 144A company
guaranty 9 7/8s, 2007 223,200
........................................................................................................................
270,000 Lyondell Petrochemical Co. sr. sub. notes
10 7/8s, 2009 267,975
........................................................................................................................
1,600,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 1,584,000
........................................................................................................................
1,480,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 1,465,200
........................................................................................................................
1,000,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 660,000
........................................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 252,000
........................................................................................................................
170,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 144,500
........................................................................................................................
280,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 235,200
........................................................................................................................
590,099 Polytama International notes 11 1/4s,
2007 (Indonesia) 29,505
........................................................................................................................
740,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 606,800
........................................................................................................................
360,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero % (13 1/2s,
8/15/01), 2008 (STP) 154,800
........................................................................................................................
580,000 Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 597,400
........................................................................................................................
430,000 Sterling Chemicals, Inc. sr. sub. notes
11 3/4s, 2006 348,300
........................................................................................................................
330,000 Sterling Chemicals, Inc. sr. sub. notes
Ser. A, 11 1/4s, 2007 260,700
........................................................................................................................
90,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 75,150
........................................................................................................................
170,000 Texas Petrochemical Corp. sr. sub. notes
Ser. B, 11 1/8s, 2006 142,800
........................................................................................................................
705,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 521,700
------------------------------------------------------------------------------------------------------------------------
11,629,255
------------------------------------------------------------------------------------------------------------------------
Coal (--%)
........................................................................................................................
800,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 144,000
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.3%)
........................................................................................................................
1,060,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 1,017,600
........................................................................................................................
380,000 GS Superhighway Holdings sr. notes
10 1/4s, 2007 (China) 253,812
........................................................................................................................
705,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 493,500
------------------------------------------------------------------------------------------------------------------------
1,764,912
------------------------------------------------------------------------------------------------------------------------
Computers (0.2%)
........................................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 699,600
........................................................................................................................
870,000 Unisys Corp. sr. notes 7 7/8s, 2008 809,100
------------------------------------------------------------------------------------------------------------------------
1,508,700
------------------------------------------------------------------------------------------------------------------------
Construction (0.5%)
........................................................................................................................
1,200,000 Better Minerals & Aggregates Co.
company guaranty 13s, 2009 1,170,000
........................................................................................................................
700,000 Morrison Knudsen Corp. 144A sr. notes
11s, 2010 698,250
........................................................................................................................
370,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 307,100
........................................................................................................................
965,853 Terex bank term loan FRN 9.434s, 2005 961,023
------------------------------------------------------------------------------------------------------------------------
3,136,373
------------------------------------------------------------------------------------------------------------------------
Consumer (0.2%)
........................................................................................................................
590,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 371,700
........................................................................................................................
1,250,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 1,040,625
------------------------------------------------------------------------------------------------------------------------
1,412,325
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (0.1%)
........................................................................................................................
650,000 Contifinancial Corp. sr. notes
8 3/8s, 2003 (In default) (NON) 86,125
........................................................................................................................
750,000 Contifinancial Corp. sr. notes
8 1/8s, 2008 (In default) (NON) 99,375
........................................................................................................................
1,260,000 Contifinancial Corp. sr. notes
7 1/2s, 2002 (In default) (NON) 138,600
........................................................................................................................
130,000 Finova Capital Corp. sr. notes 7 5/8s, 2009 110,500
........................................................................................................................
485,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 421,950
------------------------------------------------------------------------------------------------------------------------
856,550
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.4%)
........................................................................................................................
190,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 183,350
........................................................................................................................
150,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 141,000
........................................................................................................................
450,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 324,000
........................................................................................................................
1,300,000 NBTY, Inc. 144A sr. sub. notes 8 5/8s, 2007 1,131,000
........................................................................................................................
490,000 Revlon Consumer Products sr. notes
9s, 2006 347,900
........................................................................................................................
420,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 210,000
........................................................................................................................
430,000 Revlon Consumer Products sr. notes
8 1/8s, 2006 301,000
------------------------------------------------------------------------------------------------------------------------
2,638,250
------------------------------------------------------------------------------------------------------------------------
Consumer Services (0.3%)
........................................................................................................................
360,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 331,200
........................................................................................................................
1,590,000 Iron Mountain, Inc. sr. sub. notes
8 1/4s, 2011 1,391,250
------------------------------------------------------------------------------------------------------------------------
1,722,450
------------------------------------------------------------------------------------------------------------------------
Consumer Staples (--%)
........................................................................................................................
480,000 Doskcil Manufacturing Co 144A
sr. sub. notes 10 1/8s, 2007 168,000
------------------------------------------------------------------------------------------------------------------------
Containers (0.9%)
........................................................................................................................
1,160,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 1,020,800
........................................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 500,000
........................................................................................................................
1,000,000 Huntsman Packaging Corp. bank term
loan FRN 9.25s, 2008 1,000,000
........................................................................................................................
620,000 Impac Group, Inc. company guaranty
Ser. B, 10 1/8s, 2008 672,700
........................................................................................................................
350,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 325,304
........................................................................................................................
750,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 661,208
........................................................................................................................
1,150,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 1,051,238
........................................................................................................................
150,000 Radnor Holdings, Inc. sr. notes 10s, 2003 130,875
------------------------------------------------------------------------------------------------------------------------
5,362,125
------------------------------------------------------------------------------------------------------------------------
Distribution (0.1%)
........................................................................................................................
790,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 525,350
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.7%)
........................................................................................................................
680,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 448,800
........................................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 375,417
........................................................................................................................
160,000 CMS Energy Corp. sr. notes 7 1/2s, 2009 141,600
........................................................................................................................
1,120,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,031,150
........................................................................................................................
130,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 119,275
........................................................................................................................
609,882 Northeast Utilities System notes
Ser. A, 8.58s, 2006 613,176
........................................................................................................................
205,333 Northeast Utilities System notes
Ser. B, 8.38s, 2005 204,824
........................................................................................................................
1,075,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 483,750
........................................................................................................................
1,000,000 TNP Enterprises bank term loan FRN
9.385s, 2005 998,747
------------------------------------------------------------------------------------------------------------------------
4,416,739
------------------------------------------------------------------------------------------------------------------------
Energy (0.5%)
........................................................................................................................
500,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 510,000
........................................................................................................................
470,000 Parker Drilling Corp. company
guaranty Ser. D, 9 3/4s, 2006 454,725
........................................................................................................................
320,000 RBF Finance Co. company guaranty
11 3/8s, 2009 345,600
........................................................................................................................
1,600,000 RBF Finance Co. company guaranty
11s, 2006 1,712,000
------------------------------------------------------------------------------------------------------------------------
3,022,325
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.6%)
........................................................................................................................
290,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 136,300
........................................................................................................................
390,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 187,200
........................................................................................................................
495,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 (Mexico) 257,400
........................................................................................................................
940,000 SFX Entertainment, Inc. company
guaranty 9 1/8s, 2008 949,400
........................................................................................................................
650,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 654,875
........................................................................................................................
670,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 (In default) (NON) 67,000
........................................................................................................................
950,000 Six Flags Corp. sr. notes 8 7/8s, 2006 904,875
........................................................................................................................
1,031,000 United Artists Theatre 144A sr. sub.
notes 10.415s, 2007 (In default) (NON) 20,620
........................................................................................................................
973,479 United Artists Theatre bank term loan
FRN 10.313s, 2006 710,639
........................................................................................................................
899,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 (In default) (NON) 17,980
------------------------------------------------------------------------------------------------------------------------
3,906,289
------------------------------------------------------------------------------------------------------------------------
Financial (1.1%)
........................................................................................................................
1,375,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 632,500
........................................................................................................................
50,000 Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 31,000
........................................................................................................................
340,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 317,550
........................................................................................................................
1,080,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 946,004
........................................................................................................................
640,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A,
10s, 2004 352,000
........................................................................................................................
290,000 AMRESCO, Inc. sr. sub. notes Ser. 98-A,
9 7/8s, 2005 156,600
........................................................................................................................
250,000 Conseco Finance Trust III, Inc. bonds
8.796s, 2027 107,500
........................................................................................................................
600,000 Conseco Financial Corp. sr. sub. notes
10 1/4s, 2002 438,000
........................................................................................................................
1,170,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 526,500
........................................................................................................................
825,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 701,250
........................................................................................................................
185,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 132,275
........................................................................................................................
370,000 Nationwide Credit, Inc. sr. notes Ser. A,
10 1/4s, 2008 259,000
........................................................................................................................
320,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 161,600
........................................................................................................................
510,000 Ocwen Federal Bank sub. deb. 12s, 2005 474,300
........................................................................................................................
415,000 Ocwen Financial Corp. notes
11 7/8s, 2003 381,800
........................................................................................................................
814,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 634,920
........................................................................................................................
1,000,000 Resource America, Inc. 144A sr. notes
12s, 2004 880,000
------------------------------------------------------------------------------------------------------------------------
7,132,799
------------------------------------------------------------------------------------------------------------------------
Food (0.2%)
........................................................................................................................
630,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 371,700
........................................................................................................................
480,000 Aurora Foods, Inc. 144A sr. sub. notes
Ser. D, 9 7/8s, 2007 283,200
........................................................................................................................
825,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 495,000
........................................................................................................................
840,000 Vlasic Foods Intl., Inc. sr. sub notes Ser. B,
10 1/4s, 2009 336,000
------------------------------------------------------------------------------------------------------------------------
1,485,900
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (1.8%)
........................................................................................................................
220,000 Ameristar Casinos, Inc. company
guaranty Ser. B, 10 1/2s, 2004 221,100
........................................................................................................................
1,020,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 979,200
........................................................................................................................
810,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 453,600
........................................................................................................................
280,000 Harrahs Entertainment, Inc. company
guaranty 7 1/2s, 2009 259,818
........................................................................................................................
1,700,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 1,738,250
........................................................................................................................
410,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 407,950
........................................................................................................................
1,420,000 International Game Technology sr. notes
7 7/8s, 2004 1,363,200
........................................................................................................................
520,000 Isle of Capri Black Hawk LLC 144A
1st mtge. Ser. B, 13s, 2004 566,800
........................................................................................................................
360,000 Isle of Capri Black Hawk LLC company
guaranty 8 3/4s, 2009 332,100
........................................................................................................................
700,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 668,500
........................................................................................................................
250,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 237,500
........................................................................................................................
80,000 Park Place Entertainment, Inc. sr. sub.
notes 9 3/8s, 2007 80,000
........................................................................................................................
50,000 Park Place Entertainment, Inc. sr. sub.
notes 7 7/8s, 2005 47,000
........................................................................................................................
1,750,000 Trump A.C. 1st mtge. 11 1/4s, 2006 1,225,000
........................................................................................................................
2,010,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 2,030,100
........................................................................................................................
720,000 Venetian Casino, Inc. company
guaranty 12 1/4s, 2004 727,200
------------------------------------------------------------------------------------------------------------------------
11,337,318
------------------------------------------------------------------------------------------------------------------------
Health Care (1.2%)
........................................................................................................................
480,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 316,800
........................................................................................................................
280,000 Bio-Rad Labs Corp. 144A sr. sub. notes
11 5/8s, 2007 288,400
........................................................................................................................
210,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 185,850
........................................................................................................................
1,675,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 1,469,813
........................................................................................................................
300,000 Columbia/HCA Healthcare Corp. notes
6.91s, 2005 272,250
........................................................................................................................
140,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 133,309
........................................................................................................................
350,000 Conmed Corp. company guaranty
9s, 2008 320,250
........................................................................................................................
515,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 283,250
........................................................................................................................
530,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 392,200
........................................................................................................................
470,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 347,800
........................................................................................................................
410,000 Lifepoint Hospital Holdings company
guaranty Ser. B, 10 3/4s, 2009 421,275
........................................................................................................................
790,000 Magellan Health sr. sub. notes 9s, 2008 402,900
........................................................................................................................
760,000 Mediq, Inc. company guaranty 11s, 2008 76,000
........................................................................................................................
495,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 24,750
........................................................................................................................
800,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 (In default) (NON) 192,000
........................................................................................................................
350,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 334,250
........................................................................................................................
585,000 Tenet Healthcare Corp. sr. notes Ser. B,
8 1/8s, 2008 533,813
........................................................................................................................
310,000 Tenet Healthcare Corp. sr. notes 8s, 2005 296,825
........................................................................................................................
410,000 Tenet Healthcare Corp. sr. notes Ser. B,
7 5/8s, 2008 375,150
........................................................................................................................
1,050,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 1,076,250
------------------------------------------------------------------------------------------------------------------------
7,743,135
------------------------------------------------------------------------------------------------------------------------
Homebuilding (0.3%)
........................................................................................................................
440,000 D.R. Horton, Inc. company guaranty
8s, 2009 378,400
........................................................................................................................
270,000 Del Webb Corp. sr. sub. deb. 10 1/4s, 2010 232,200
........................................................................................................................
240,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 195,600
........................................................................................................................
320,000 Lennar Corp. 144A sr. notes 9.95s, 2010 308,800
........................................................................................................................
300,000 Lennar Corp. sr. notes 7 5/8s, 2009 262,500
........................................................................................................................
170,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 148,750
........................................................................................................................
540,000 Toll Corp. company guaranty 8 1/8s, 2009 486,000
------------------------------------------------------------------------------------------------------------------------
2,012,250
------------------------------------------------------------------------------------------------------------------------
Household Furniture & Appliances (0.3%)
........................................................................................................................
800,000 Albecca, Inc. company guaranty
10 3/4s, 2008 656,000
........................................................................................................................
1,000,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 712,500
........................................................................................................................
220,000 Sealy Mattress Co. sr. sub. notes Ser. B,
9 7/8s, 2007 210,100
------------------------------------------------------------------------------------------------------------------------
1,578,600
------------------------------------------------------------------------------------------------------------------------
Industrial (0.1%)
........................................................................................................................
470,000 Levi Strauss & Co. 144A notes 6.8s, 2003 383,050
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.5%)
........................................................................................................................
630,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 315,000
........................................................................................................................
120,000 HMH Properties, Inc. sr. notes Ser. C,
8.45s, 2008 111,000
........................................................................................................................
1,550,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 1,391,125
........................................................................................................................
1,100,000 ITT Corp. notes 6 3/4s, 2005 991,309
........................................................................................................................
120,000 Starwood Hotels & Resorts notes
6 3/4s, 2003 112,609
------------------------------------------------------------------------------------------------------------------------
2,921,043
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.8%)
........................................................................................................................
280,000 Applied Power, Inc. sr. sub. notes
8 3/4s, 2009 291,900
........................................................................................................................
880,000 Axia, Inc. company guaranty 10 3/4s, 2008 686,400
........................................................................................................................
1,000,000 Blount, Inc. company guaranty 13s, 2009 1,020,000
........................................................................................................................
125,000 Celestica International, Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 131,250
........................................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 84,500
........................................................................................................................
570,000 Flextronics International Ltd. 144A
sr. sub. notes 9 7/8s, 2010 571,425
........................................................................................................................
970,000 Flextronics International, Ltd. sr. sub.
notes Ser. B, 8 3/4s, 2007 931,200
........................................................................................................................
145,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 60,900
........................................................................................................................
1,070,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 1,037,900
........................................................................................................................
260,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 237,900
------------------------------------------------------------------------------------------------------------------------
5,053,375
------------------------------------------------------------------------------------------------------------------------
Medical Services (0.1%)
........................................................................................................................
910,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 382,200
........................................................................................................................
680,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 13,600
........................................................................................................................
430,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 8,600
........................................................................................................................
280,000 Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B, zero %
(10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 1,750
........................................................................................................................
1,395,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 8,719
........................................................................................................................
1,465,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 73,250
........................................................................................................................
745,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 18,625
........................................................................................................................
720,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 (In default) (NON) 18,000
------------------------------------------------------------------------------------------------------------------------
524,744
------------------------------------------------------------------------------------------------------------------------
Medical Technology (--%)
........................................................................................................................
250,000 Hanger Orthopedic Group, Inc. sr. sub.
notes 11 1/4s, 2009 217,500
------------------------------------------------------------------------------------------------------------------------
Metals (1.0%)
........................................................................................................................
850,000 AK Steel Corp. company guaranty
7 7/8s, 2009 754,375
........................................................................................................................
295,665 Anker Coal Group, Inc. company
guaranty Ser. B, 14 1/4s, 2007 (PIK) 133,049
........................................................................................................................
250,000 Armco, Inc. sr. notes 9s, 2007 240,000
........................................................................................................................
670,000 Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 614,725
........................................................................................................................
1,200,000 LTV Corp. company guaranty
11 3/4s, 2009 1,008,000
........................................................................................................................
1,110,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 943,500
........................................................................................................................
240,000 Oregon Steel Mills 1st mtge. 11s, 2003 156,000
........................................................................................................................
996,667 Union Carbide Global bank term loan
FRN 9.362s, 2008 996,667
........................................................................................................................
800,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 758,000
........................................................................................................................
820,000 Wheeling-Pittsburgh Steel Corp. sr. notes
9 1/4s, 2007 631,400
........................................................................................................................
390,000 WHX Corp. sr. notes 10 1/2s, 2005 323,700
------------------------------------------------------------------------------------------------------------------------
6,559,416
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (--%)
........................................................................................................................
412,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 82,400
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (1.2%)
........................................................................................................................
1,110,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 1,118,325
........................................................................................................................
350,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 323,750
........................................................................................................................
70,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 40,950
........................................................................................................................
360,000 Giant Industries Corp. company
guaranty 9s, 2007 324,000
........................................................................................................................
190,000 Gulf Canada Resources, Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 192,375
........................................................................................................................
700,000 HS Resources, Inc. company guaranty
9 1/4s, 2006 686,000
........................................................................................................................
600,000 Nuevo Energy Co. sr. sub. notes Ser. B,
9 1/2s, 2008 585,000
........................................................................................................................
250,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 248,750
........................................................................................................................
1,340,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 1,299,800
........................................................................................................................
310,000 Pinnacle Holdings, Inc. sr. disc. notes
stepped-coupon zero % (10s,
3/15/03), 2008 (STP) 215,450
........................................................................................................................
400,000 Pioneer Natural Resources Co. company
guaranty 9 5/8s, 2010 412,000
........................................................................................................................
320,000 RAM Energy, Inc. sr. notes 11 1/2s, 2008 156,800
........................................................................................................................
990,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 247,500
........................................................................................................................
340,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 336,600
........................................................................................................................
190,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 179,550
........................................................................................................................
1,050,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 1,060,500
........................................................................................................................
200,000 XCL, Ltd. 144A company guaranty
13 1/2s, 2004 (In default) (NON) 36,000
------------------------------------------------------------------------------------------------------------------------
7,463,350
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (1.8%)
........................................................................................................................
1,515,000 APP Finance II Mauritius, Ltd. bonds
stepped-coupon zero % (16s, 2/15/04),
2049 (Indonesia) (STP) 787,800
........................................................................................................................
1,100,000 Doman Industries, Ltd. 144A sr. notes
8 3/4s, 2004 869,000
........................................................................................................................
360,000 Gaylord Container Corp. sr. sub. notes
9 7/8s, 2008 234,000
........................................................................................................................
280,000 Gaylord Container Corp. sr. notes Ser. B,
9 3/8s, 2007 218,400
........................................................................................................................
127,778 Jefferson Smurfit bank term loan FRN
9.875s, 2006 127,778
........................................................................................................................
545,000 Indah Kiat Financial Mauritius, Ltd.
company guaranty 10s, 2007 (Indonesia) 327,000
........................................................................................................................
880,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 875,600
........................................................................................................................
410,000 Packaging Corp. company guaranty
9 5/8s, 2009 408,463
........................................................................................................................
1,575,000 Pindo Deli Finance Mauritius, Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 945,000
........................................................................................................................
845,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 540,800
........................................................................................................................
1,647,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 1,449,360
........................................................................................................................
2,020,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,757,400
........................................................................................................................
185,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 180,375
........................................................................................................................
100,000 Stone Container Corp. sr. notes
12.58s, 2016 104,000
........................................................................................................................
1,000,000 Stone Containers Corp. bank term loan
FRN 9.625s, 2006 997,500
........................................................................................................................
20,000 Stone Container Corp. sr. sub. notes
stepped-coupon zero % (12 1/4s,
8/14/00), 2002 (STP) 20,150
........................................................................................................................
1,050,000 Tekni-Plex, Inc. 144A sr. sub. notes
12 3/4s, 2010 1,047,375
........................................................................................................................
630,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 598,500
------------------------------------------------------------------------------------------------------------------------
11,488,501
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (0.2%)
........................................................................................................................
610,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 600,850
........................................................................................................................
820,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 803,600
........................................................................................................................
30,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 29,400
------------------------------------------------------------------------------------------------------------------------
1,433,850
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (--%)
........................................................................................................................
60,000 Orbital Imaging Corp. sr. notes Ser. D,
11 5/8s, 2005 27,600
------------------------------------------------------------------------------------------------------------------------
Power Producers (1.6%)
........................................................................................................................
1,000,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,035,000
........................................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 496,250
........................................................................................................................
660,000 Calpine Corp. sr. notes 7 7/8s, 2008 631,902
........................................................................................................................
610,000 Calpine Corp. sr. notes 7 3/4s, 2009 575,688
........................................................................................................................
500,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 588,010
........................................................................................................................
4,945,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 5,535,532
........................................................................................................................
991,000 York Power Funding 144A company
guaranty 12s, 2007 (Cayman Islands) 991,000
------------------------------------------------------------------------------------------------------------------------
9,853,382
------------------------------------------------------------------------------------------------------------------------
Publishing (0.5%)
........................................................................................................................
1,460,000 Affinity Group Holdings sr. notes
11s, 2007 1,226,400
........................................................................................................................
456,435 Big Flower Holdings bank term loan
FRN 9.688s, 2010 455,294
........................................................................................................................
880,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 800,800
........................................................................................................................
610,000 Garden State Newspapers, Inc. sr. sub.
notes 8 5/8s, 2011 536,800
------------------------------------------------------------------------------------------------------------------------
3,019,294
------------------------------------------------------------------------------------------------------------------------
Railroads (0.1%)
........................................................................................................................
995,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero % (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 684,063
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.3%)
........................................................................................................................
630,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 296,100
........................................................................................................................
1,200,000 Sbarro, Inc. company guaranty 11s, 2009 1,224,000
........................................................................................................................
380,000 Tricon Global Restaurants, Inc. sr. notes
7.65s, 2008 339,291
------------------------------------------------------------------------------------------------------------------------
1,859,391
------------------------------------------------------------------------------------------------------------------------
Retail (0.9%)
........................................................................................................................
1,240,000 Amazon.com, Inc. sr. disc. notes stepped-
coupon zero % (10s, 5/01/03), 2008 (STP) 725,400
........................................................................................................................
575,000 Groupo Elektra S.A. de C.V. 144A
sr. notes 12s, 2008 523,250
........................................................................................................................
370,000 Iron Age Corp. company guaranty
9 7/8s, 2008 259,000
........................................................................................................................
30,000 Iron Age Holdings Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
5/1/03), 2009 (STP) 4,500
........................................................................................................................
1,030,000 K mart Corp. notes 8 3/8s, 2004 977,213
........................................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 393,672
........................................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 223,305
........................................................................................................................
820,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 758,500
........................................................................................................................
980,000 Saks, Inc. company guaranty 8 1/4s, 2008 870,465
........................................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 701,250
------------------------------------------------------------------------------------------------------------------------
5,436,555
------------------------------------------------------------------------------------------------------------------------
Semiconductor (0.2%)
........................................................................................................................
330,000 Amkor Technologies, Inc., structured
note (issued by Steers, Credit linked
Trust 2000), 12.58%, 2005 331,650
........................................................................................................................
330,000 Amkor Technologies, Inc. sr. sub. notes
10 1/2s, 2009 329,175
........................................................................................................................
220,000 Chippac Intl., Ltd. company guaranty
Ser. B, 12 3/4s, 2009 238,700
------------------------------------------------------------------------------------------------------------------------
899,525
------------------------------------------------------------------------------------------------------------------------
Shipping (0.1%)
........................................................................................................................
180,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 153,000
........................................................................................................................
620,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 (In default) (NON) 260,400
........................................................................................................................
145,000 Transportacion Maritima Mexicana S.A.
de C.V. notes 9 1/4s, 2003 (Mexico) 118,900
------------------------------------------------------------------------------------------------------------------------
532,300
------------------------------------------------------------------------------------------------------------------------
Software (0.2%)
........................................................................................................................
1,320,000 Exodus Communications 144A sr. notes
11 5/8s, 2010 1,323,300
........................................................................................................................
360,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 18,000
------------------------------------------------------------------------------------------------------------------------
1,341,300
------------------------------------------------------------------------------------------------------------------------
Specialty Printing (0.1%)
........................................................................................................................
570,000 Perry-Judd company guaranty 10 5/8s,
2007 478,800
........................................................................................................................
136,932 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 123,239
........................................................................................................................
160,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 150,400
------------------------------------------------------------------------------------------------------------------------
752,439
------------------------------------------------------------------------------------------------------------------------
Technology (0.6%)
........................................................................................................................
1,145,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 1,153,588
........................................................................................................................
1,060,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 975,200
........................................................................................................................
360,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 311,400
........................................................................................................................
1,060,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 901,000
........................................................................................................................
550,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 475,750
------------------------------------------------------------------------------------------------------------------------
3,816,938
------------------------------------------------------------------------------------------------------------------------
Technology Services (0.5%)
........................................................................................................................
160,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 168,400
........................................................................................................................
630,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 3/15/03), 2008 (STP) 340,200
........................................................................................................................
870,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 739,500
........................................................................................................................
404,000 Covad Communications Group, Inc.
sr. notes Ser. B, 12s, 2010 315,120
........................................................................................................................
120,000 Cybernet Internet Services Intl., Inc.
144A sr. notes 14s, 2009 52,800
........................................................................................................................
310,000 Exodus Communications, Inc. sr. notes
10 3/4s, 2009 299,150
........................................................................................................................
530,000 Globix Corp. sr. notes 12 1/2s, 2010 439,900
........................................................................................................................
265,000 PSINet, Inc. sr. notes 11s, 2009 246,450
........................................................................................................................
440,000 Rhythms Netconnections, Inc. 144A
sr. notes 14s, 2010 310,200
........................................................................................................................
350,000 Verio, Inc. sr. notes 11 1/4s, 2008 392,875
------------------------------------------------------------------------------------------------------------------------
3,304,595
------------------------------------------------------------------------------------------------------------------------
Telecommunications (6.7%)
........................................................................................................................
1,560,000 360Networks, Inc. 144A sr. notes 13s,
2008 (Canada) 1,575,600
........................................................................................................................
400,000 Alaska Communications Systems Corp.
company guaranty 9 3/8s, 2009 370,000
........................................................................................................................
30,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 23,400
........................................................................................................................
360,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 (STP) 226,800
........................................................................................................................
710,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 355,000
........................................................................................................................
410,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 291,100
........................................................................................................................
180,000 Call-Net Enterprises, Inc. sr. notes
9 3/8s, 2009 (Canada) 109,800
........................................................................................................................
670,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero % (8.94s,
8/15/03), 2008 (Canada) (STP) 271,350
........................................................................................................................
430,000 Call-Net Enterprises, Inc. sr. notes
8s, 2008 (Canada) 258,000
........................................................................................................................
750,000 Carrier1 Intl. SA sr. notes Ser. B,
13 1/4s, 2009 (Luxembourg) 738,750
........................................................................................................................
1,515,000 Celcaribe S.A. sr. notes
stepped-coupon zero % (13 1/2s,
3/15/04), 2004 (Colombia) (STP) 1,212,000
........................................................................................................................
3,345,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 259,238
........................................................................................................................
80,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 81,900
........................................................................................................................
640,000 Crown Castle Intl., Corp. sr. notes
10 3/4s, 2011 649,600
........................................................................................................................
1,100,000 Dobson Communications, Inc. 144A
sr. notes 10 7/8s, 2010 1,102,750
........................................................................................................................
510,000 Dobson/Sygnet Communications, Inc.
sr. notes 12 1/4s, 2008 541,875
........................................................................................................................
580,000 Econophone, Inc. company guaranty
13 1/2s, 2007 516,200
........................................................................................................................
280,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 224,000
........................................................................................................................
980,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 862,400
........................................................................................................................
1,720,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/2s, 2009 (Bermuda) 1,659,800
........................................................................................................................
480,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/8s, 2006 (Bermuda) 460,800
........................................................................................................................
500,000 Grupo Iusacell sr. notes 14 1/4s, 2006 523,750
........................................................................................................................
310,000 ICG Holdings, Inc. company guaranty
stepped-coupon zero % (12 1/2s,
5/1/01), 2006 (STP) 256,525
........................................................................................................................
330,000 ICG Services, Inc. sr. disc. notes stepped-
coupon zero % (10s, 2/15/03), 2008 (STP) 174,900
........................................................................................................................
2,750,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 1,430,000
........................................................................................................................
815,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 757,950
........................................................................................................................
650,000 Intira Corp. bonds stepped-coupon
zero % (13s, 2/1/05), 2010 (STP) 372,125
........................................................................................................................
1,600,000 IPC Information Systems, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 5/1/03), 2008 (STP) 1,416,000
........................................................................................................................
450,000 Level 3 Communication, Inc. 144A
sr. notes 11 1/4s, 2010 443,250
........................................................................................................................
450,000 Level 3 Communication, Inc. 144A
sr. notes 11s, 2008 445,500
........................................................................................................................
890,000 Level 3 Communication, Inc. sr. notes
9 1/8s, 2008 798,775
........................................................................................................................
1,790,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 626,500
........................................................................................................................
280,000 Loral Space & Communication, Ltd.
sr. notes 9 1/2s, 2006 209,300
........................................................................................................................
1,410,000 McCaw International, Ltd. sr. disc. notes
stepped coupon zero % (13s,
4/15/02), 2007 (STP) 1,036,350
........................................................................................................................
190,000 Metrocall, Inc. sr. sub. notes 11s, 2008 132,050
........................................................................................................................
70,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 48,650
........................................................................................................................
440,000 Metromedia Fiber Network, Inc.
sr. notes 10s, 2009 435,600
........................................................................................................................
1,180,000 Metromedia Fiber Network, Inc.
sr. notes Ser. B, 10s, 2008 1,165,250
........................................................................................................................
2,690,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 2,313,400
........................................................................................................................
400,000 Nextel Communicaitons, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 262,000
........................................................................................................................
1,130,000 Nextel Communications, Inc. sr. notes
12s, 2008 1,220,400
........................................................................................................................
4,100,000 Nextel Communications, Inc. sr. notes
9 3/8s, 2009 3,936,000
........................................................................................................................
150,000 Nextel Partners, Inc. 144A sr. notes
11s, 2010 149,250
........................................................................................................................
750,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 697,500
........................................................................................................................
1,450,000 NorthPoint Communications Group, Inc.
sr. notes 12 7/8s, 2010 1,015,000
........................................................................................................................
500,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 230,000
........................................................................................................................
790,000 Pagemart Wireless, Inc. sr. disc. notes
stepped-coupon zero % (11 1/4s,
2/1/03), 2008 (STP) 316,000
........................................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 10,750
........................................................................................................................
80,000 Paging Network, Inc. sr. sub. notes
10 1/8s, 2007 33,600
........................................................................................................................
430,000 Paging Network, Inc. sr. sub. notes
10s, 2008 176,300
........................................................................................................................
1,260,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 718,200
........................................................................................................................
695,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 695,000
........................................................................................................................
820,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 615,000
........................................................................................................................
250,000 RSL Communications PLC 144A company
guaranty 12 7/8s, 2010 185,000
........................................................................................................................
797,000 RSL Communications PLC company
guaranty 12 1/4s, 2006 653,540
........................................................................................................................
430,000 RSL Communications PLC 144A company
guaranty 10 1/2s, 2008 292,400
........................................................................................................................
500,000 RSL Communications PLC company
guaranty, stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 200,000
........................................................................................................................
730,000 RSL Communications PLC company
guaranty 9 1/8s, 2008 467,200
........................................................................................................................
320,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 214,400
........................................................................................................................
350,000 Spectrasite Holdings, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 7/8s, 3/15/05), 2010 (STP) 190,750
........................................................................................................................
260,000 Spectrasite Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 1/4s,
4/15/04), 2009 (STP) 150,800
........................................................................................................................
950,000 Startec Global Communications Corp.
sr. notes 12s, 2008 760,000
........................................................................................................................
290,000 Verio, Inc. sr. notes 10 5/8s, 2009 323,350
........................................................................................................................
730,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 343,100
........................................................................................................................
912,000 Viatel, Inc. sr. notes 11 1/2s, 2009 729,600
........................................................................................................................
1,470,000 Viatel, Inc. sr. notes 11 1/4s, 2008 1,087,800
........................................................................................................................
1,000,000 Western Wireless bank term loan FRN
9.5s, 2008 1,000,000
........................................................................................................................
60,000 Williams Communications Group, Inc.
sr. notes 10 7/8s, 2009 58,800
........................................................................................................................
875,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 765,625
------------------------------------------------------------------------------------------------------------------------
41,873,603
------------------------------------------------------------------------------------------------------------------------
Telephone (3.3%)
........................................................................................................................
1,105,000 Airgate PCS, Inc. sr. sub. notes
stepped-coupon zero % (13 1/2s,
10/1/04), 2009 (STP) 651,950
........................................................................................................................
1,780,000 Alamosa PCS Holdings, Inc. company
guaranty stepped-coupon zero %
(12 7/8s, 2/15/05), 2010 (STP) 925,600
........................................................................................................................
1,066,667 American Cellular bank term loan FRN
9.56s, 2008 1,064,000
........................................................................................................................
933,333 American Cellular bank term loan FRN
9.31s, 2008 931,000
........................................................................................................................
410,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 397,700
........................................................................................................................
1,100,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 838,750
........................................................................................................................
1,630,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13, 4/15/03), 2008 (STP) 766,100
........................................................................................................................
1,505,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 2/15/03), 2008 (STP) 1,015,875
........................................................................................................................
480,000 Focal Communications Corp. 144A sr.
notes 11 7/8s, 2010 477,600
........................................................................................................................
335,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 340,025
........................................................................................................................
470,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero% (121/4s, 3/1/04), 2009 (STP) 287,875
........................................................................................................................
590,000 KMC Telecommunications Holdings, Inc.
sr. notes 13 1/2s, 2009 519,200
........................................................................................................................
2,700,000 KMC Telecommunications Holdings, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 1,323,000
........................................................................................................................
1,240,000 Madison River Capital 144A sr. notes
13 1/4s, 2010 1,128,400
........................................................................................................................
1,190,000 McLeodUSA, Inc. sr. notes 9 1/2s, 2008 1,154,300
........................................................................................................................
1,030,000 MGC Communications, Inc. 144A
sr. notes 13s, 2010 957,900
........................................................................................................................
980,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 901,600
........................................................................................................................
520,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 349,700
........................................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 148,500
........................................................................................................................
780,000 NEXTLINK Communications, Inc.
sr. notes 10 1/2s, 2009 764,400
........................................................................................................................
300,000 Telecorp PCS, Inc. company guaranty
stepped-coupon zero % (11 5/8s,
4/15/04), 2009 (STP) 196,500
........................................................................................................................
410,000 Time Warner Telecom, Inc. sr. notes
9 3/4s, 2008 397,700
........................................................................................................................
315,000 Transtel S.A. pass-through certificates
12 1/2s, 2007 103,950
........................................................................................................................
390,000 US Xchange LLC sr. notes 15s, 2008 425,100
........................................................................................................................
975,000 US Unwired, Inc. company guaranty,
stepped-coupon Ser. B, zero %
(13 3/8s, 11/1/04), 2009 (STP) 526,500
........................................................................................................................
170,000 Versatel Telecom N.V. sr. notes
13 1/4s, 2008 144A (Netherlands) 173,400
........................................................................................................................
440,000 Versatel Telecom N.V. sr. notes
13 1/4s, 2008 (Netherlands) 448,800
........................................................................................................................
1,370,000 VoiceStream Wire, Inc. sr. notes
10 3/8s, 2009 1,411,100
........................................................................................................................
1,621,000 WinStar Communications, Inc. 144A .
sr disc. notes stepped-coupon zero %
(14 3/4s, 4/15/05), 2010 (STP) 745,660
........................................................................................................................
1,685,000 WinStar Communications, Inc. 144A
sr. notes 12 3/4s, 2010 1,583,900
------------------------------------------------------------------------------------------------------------------------
20,956,085
------------------------------------------------------------------------------------------------------------------------
Textiles (0.4%)
........................................................................................................................
330,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 149,325
........................................................................................................................
1,120,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 1,114,400
........................................................................................................................
460,000 Kasper A.S.L., Ltd. sr. notes 12 3/4s, 2004 230,000
........................................................................................................................
200,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 159,000
........................................................................................................................
620,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2005 517,700
........................................................................................................................
265,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 247,775
------------------------------------------------------------------------------------------------------------------------
2,418,200
------------------------------------------------------------------------------------------------------------------------
Tobacco (0.1%)
........................................................................................................................
915,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 814,350
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.4%)
........................................................................................................................
485,000 Transportacion Maritima Mexicana S.A.
de C.V. sr. notes 10s, 2006 (Mexico) 339,500
........................................................................................................................
2,000,000 Transportation Tech bank term loan
FRN 10.53s, 2007 1,980,038
------------------------------------------------------------------------------------------------------------------------
2,319,538
------------------------------------------------------------------------------------------------------------------------
Trucks & Parts (0.1%)
........................................................................................................................
380,000 Transportation Manufacturing Operations,
Inc. company guaranty 11 1/4s, 2009 326,800
------------------------------------------------------------------------------------------------------------------------
Utilities (0.1%)
........................................................................................................................
1,235,000 Cathay International, Ltd. 144A sr. notes
13s, 2008 (China) 617,500
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.8%)
........................................................................................................................
2,025,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 10s, 2009 1,711,125
........................................................................................................................
640,000 Allied Waste Industries, Inc. bank
term loan FRN 9.563s, 2006 598,854
........................................................................................................................
750,000 Allied Waste Industries, Inc. bank
term loan FRN 9.375s, 2007 701,798
........................................................................................................................
1,140,000 Browning-Ferris Industries, Inc. deb.
7.4s, 2035 786,600
........................................................................................................................
270,000 USA Waste Services, Inc. sr. notes
7 1/8s, 2007 244,442
........................................................................................................................
384,000 USA Waste Services, Inc. sr. notes
6 1/2s, 2002 356,237
........................................................................................................................
30,000 Waste Management, Inc. company
guaranty 6 7/8s, 2009 26,284
........................................................................................................................
706,000 Waste Management, Inc. notes
6 5/8s, 2002 676,666
------------------------------------------------------------------------------------------------------------------------
5,102,006
------------------------------------------------------------------------------------------------------------------------
Water Utilities (0.1%)
........................................................................................................................
480,000 Azurix Corp. 144A notes 10 3/8s, 2007 463,200
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $314,825,907) $276,394,646
------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (21.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
U.S. Government Agency Mortgage Obligations (6.6%)
........................................................................................................................
$246,598 Federal Home Loan Mortgage
Corporation 6s, July 1, 2029 $225,894
........................................................................................................................
1,030,000 Federal National Mortgage Association
7 1/2s, TBA, June 1, 2030 1,015,353
........................................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
........................................................................................................................
82,767 8s, October 1, 2029 83,137
........................................................................................................................
5,208,745 7 1/2s, with due dates from
September 1, 2029 to June 1, 2030 5,135,457
........................................................................................................................
400,000 7s, April 1, 2030 386,208
........................................................................................................................
1,897,000 6 5/8s, September 15, 2009 1,832,673
........................................................................................................................
234,581 6 1/2s, August 1, 2010 226,143
........................................................................................................................
6,934,717 6s, with due dates from April 1, 2029
to September 1, 2029 6,345,959
........................................................................................................................
333,410 5 1/2s, August 15, 2014 308,761
........................................................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................................................
6,413,087 8s, with due dates from
January 15,2022 to December 15, 2027 6,486,359
........................................................................................................................
3,263,481 7 1/2s, with due dates from
January 15, 2023 to January 15, 2024 3,249,317
........................................................................................................................
13,038,961 7s, with due dates from March 15, 2023
to July 15, 2028 12,710,234
........................................................................................................................
3,506,989 6 1/2s, with due dates from
February 15, 2027 to January 15, 2029 3,336,313
------------------------------------------------------------------------------------------------------------------------
41,341,808
------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (14.6%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
24,750,000 6 1/2s, November 15, 2026 25,852,118
........................................................................................................................
8,650,000 6 1/8s, November 15, 2027 8,631,057
........................................................................................................................
U.S. Treasury Notes
........................................................................................................................
23,415,000 6 1/2s, February 15, 2010 24,216,261
........................................................................................................................
1,310,000 6 1/8s, December 31, 2001 1,303,660
........................................................................................................................
1,868,000 5 7/8s, November 15, 2004 1,840,858
........................................................................................................................
30,848,000 5 1/4s, May 15, 2004 (SEG) 29,763,384
------------------------------------------------------------------------------------------------------------------------
91,607,338
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $133,874,006) $132,949,146
------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (16.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
USD 1,498,000 Argentina (Republic of) bonds
11 3/4s, 2015 $1,355,690
........................................................................................................................
USD 4,301,000 Argentina (Republic of) unsub.
11 3/4s, 2009 3,994,769
........................................................................................................................
AUD 8,180,000 Australia (Government of) bonds
Ser. 909, 7 1/2s, 2009 5,357,975
........................................................................................................................
USD 3,775,000 Brazil (Federal Republic of) notes
14 1/2s, 2009 4,025,283
........................................................................................................................
USD 1,160,000 Brazil (Federal Republic of) bonds
12 3/4s, 2020 1,104,900
........................................................................................................................
CAD 1,440,000 Canada (Government of) bonds
Ser. WB60, 7 1/4s, 2007 1,042,279
........................................................................................................................
CAD 14,290,000 Canada (Government of) bonds
Ser. WL43, 5 3/4s, 2029 9,927,363
........................................................................................................................
USD 610,000 Colombia (Republic of) bonds
11 3/4s, 2020 500,200
........................................................................................................................
DKK 26,865,000 Denmark (Kingdom of) bonds 7s, 2024 3,971,918
........................................................................................................................
DKK 94,375,000 Denmark (Kingdom of) bonds 6s, 2009 12,373,908
........................................................................................................................
EUR 14,370,000 Germany (Federal Republic of) bonds
Ser. 132, 4 1/8s, 2004 13,290,181
........................................................................................................................
GRD 1,924,000,000 Hellenic Greece (Republic of) bonds
6 1/2s, 2014 5,608,563
........................................................................................................................
EUR 3,000,000 Italy (Government of) sr. unsub.
4 1/4s, 2002 2,869,450
........................................................................................................................
USD 790,000 Korea (Republic of) unsub. 8 7/8s, 2008 817,650
........................................................................................................................
USD 935,000 Morocco (Government of) bonds Ser. A,
6.844s, 2009 790,335
........................................................................................................................
NZD 10,725,000 New Zealand (Government of) bonds
Ser. 709, 7s, 2009 5,113,148
........................................................................................................................
USD 1,740,000 Philippines (Republic of) notes
10 5/8s, 2025 1,492,050
........................................................................................................................
USD 1,020,000 Philippines (Republic of) bonds
9 7/8s, 2019 832,626
........................................................................................................................
USD 2,310,000 Russia (Federation of) 144A bonds
12 3/4s, 2028 1,989,488
........................................................................................................................
USD 1,905,000 Russia (Federation of) unsub. 10s, 2007 1,462,088
........................................................................................................................
USD 18,820,000 Russia (Federation of) deb. FRN
6.719s, 2020 (In default) (NON) 5,763,625
........................................................................................................................
GBP 2,510,000 United Kingdom Treasury bonds 10s, 2003 4,239,556
........................................................................................................................
GBP 2,590,000 United Kingdom Treasury bonds Ser. 85,
9 3/4s, 2002 4,206,122
........................................................................................................................
GBP 860,000 United Kingdom Treasury bonds 8s, 2000 1,312,674
........................................................................................................................
USD 2,140,000 United Mexican States bonds
11 3/8s, 2016 2,442,382
........................................................................................................................
USD 5,045,000 United Mexican States bonds Ser. XW,
10 3/8s, 2009 5,347,700
........................................................................................................................
USD 1,225,000 Venezuela (Republic of) bonds 9 1/4s,
2027 805,438
------------------------------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $100,576,998) $102,037,361
------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$3,540,000 Amresco Commercial Mortgage Funding I
Ser. 97-C1, Class F, 7.64s, 2029 $3,323,175
........................................................................................................................
1,415,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class D, 7.05s, 2010 1,306,001
........................................................................................................................
45,045,590 Commercial Mortgage Asset Trust
Ser. 99-C1, Class X, Interest Only (IO),
0.99s, 2020 2,797,753
........................................................................................................................
1,575,000 Countrywide Home Loan Ser. 98-3,
Class A5, 6 3/4s, 2028 1,459,582
........................................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 93-C, Class A8,
6 1/2s, 2024 1,791,326
........................................................................................................................
26,925,573 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.244s, 2031 1,391,505
........................................................................................................................
Fannie Mae
........................................................................................................................
1,069,126 Ser. 252, Class 2, IO, 7.5s, 2023 332,097
........................................................................................................................
629,475 Ser. 218, Class 2, IO, 7.5s, 2023 192,580
........................................................................................................................
1,191,485 Ser. 304, Class 2, IO, 6s, 2028 344,414
........................................................................................................................
784,574 Ser. 251, Class 2, IO, 4.371s, 2023 236,353
........................................................................................................................
694,000 Ser. 203, Class 2, IO, 4.371s, 2023 209,068
........................................................................................................................
2,871,603 Ser. 281, Class 2, IO, 3.422s, 2026 806,741
........................................................................................................................
6,787,145 Ser. 266, Class 2, IO, 3.401s, 2024 2,057,353
........................................................................................................................
Freddie Mac
........................................................................................................................
599,353 Ser. 147, IO, 8s, 2023 179,057
........................................................................................................................
403,806 Ser. 2113, Class ZM, 6.5s, 2028 327,462
........................................................................................................................
745,302 Ser. 1717, Class L, 6.5s, 2024 712,287
........................................................................................................................
985,462 Ser. 2122, Class ZA, 6 1/4s, 2028 748,951
........................................................................................................................
1,225,000 Ser. 44, IO, Class SG, IO, 2.89s, 2023 191,789
........................................................................................................................
1,903,219 Ser. 2090, Class SC, IO, 2.15s, 2028 97,243
........................................................................................................................
1,885,361 Ser. 2090, Class SA, IO, 2.15s, 2028 96,330
........................................................................................................................
1,719,579 Ser. 2090, Class SD, IO, 2.15s, 2028 87,860
........................................................................................................................
1,896,476 Ser. 2090, Class SB, IO, 2.15s, 2028 96,898
........................................................................................................................
5,563,744 Ser. 2191, Class MS, IO, 1.75s, 2027 266,017
........................................................................................................................
287,433 Ser. 2182, Class EC, Principal Only (PO),
zero %, 2025 211,263
........................................................................................................................
925,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 860,250
........................................................................................................................
1,675,000 General Growth Properties Ala Moa
Ser. 99-C1, Class E, FRB, 8.88s, 2004 1,677,617
........................................................................................................................
350,000 General Growth Properties-Homart
Ser. 99-C1, Class G, 9.13s, 2003 350,793
........................................................................................................................
General Growth Properties-Ivanhoe
........................................................................................................................
430,000 Ser. 99-C1, Class G, FRB, 9.88s, 2004 430,722
........................................................................................................................
729,000 Ser. 99-C1, Class F, FRB, 9.13s, 2004 730,310
........................................................................................................................
Government National Mortgage
Association
........................................................................................................................
844,231 Ser. 00-17, Class SB, 13.2s, 2026 816,025
........................................................................................................................
1,243,183 Ser. 98-2, Class EA, PO, zero %, 2028 842,645
........................................................................................................................
Merrill Lynch Mortgage Investors, Inc.
........................................................................................................................
915,000 Ser. 96-C2, Class E 6.96s, 2028 784,613
........................................................................................................................
14,628,277 Ser. 96-C2, IO, 1.61s, 2028 962,266
........................................................................................................................
14,585,644 Ser. 98-C2, IO, 1.57s, 2030 1,011,879
........................................................................................................................
4,911,152 Mortgage Capital Funding, Inc.
Ser. 97-MC2, Class X, IO, 1.58s, 2012 323,062
........................................................................................................................
913,580 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 905,871
........................................................................................................................
197,988 Prudential Home Mortgage Securities
Ser. 93-57, Class A4, 5.9s, 2023 194,014
........................................................................................................................
1,000,000 Residential Mortgage Securities
Ser. 8, Class M, FRB, 7.43s, 2038 1,497,154
........................................................................................................................
591,752 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 571,041
........................................................................................................................
2,125,000 Starwood Asset Receivables Trust
Ser. 00-1, Class E, 9.40s, 2005 2,126,328
------------------------------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $33,873,519) $33,347,695
------------------------------------------------------------------------------------------------------------------------
BRADY BONDS (2.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,775,000 Argentina (Republic of) gov't. guaranty
6s, 2023 $1,171,500
........................................................................................................................
548,000 Argentina (Republic of) deb. FRB
6.688s, 2005 499,392
........................................................................................................................
8,041,107 Brazil (Federal Republic of) bonds
8s, 2014 5,900,565
........................................................................................................................
315,000 Bulgaria (Government of) deb.
Ser. PDI, FRB, 6.688s, 2011 248,472
........................................................................................................................
1,070,000 Bulgaria (Government of) Ser. A, FRB,
6 1/2s, 2024 842,625
........................................................................................................................
2,585,000 Bulgaria (Government of) Ser. A,
FLIRB, 2 3/4s, 2012 1,880,588
........................................................................................................................
5,605,000 United Mexican States sec. Ser. W-B,
6 1/4s, 2019 4,638,138
........................................................................................................................
1,265,000 Venezuela (Republic of) Ser. W-A,
6 3/4s, 2020 882,338
........................................................................................................................
1,607,130 Venezuela (Republic of) deb. Ser. DL,
FRB, 6.762s, 2007 1,303,865
------------------------------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $16,913,020) $17,367,483
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (2.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
12,100 AmeriKing, Inc. $3.25 cum. pfd. $96,800
........................................................................................................................
289 Benedek Communications Corp.
11.50% pfd. (PIK) 206,635
........................................................................................................................
36,699 CGA Group, Ltd. 144A Ser. A,
13.75% pfd. (PIK) 990,873
........................................................................................................................
26,390 Chevy Chase Preferred Corporation
Ser. A, $5.19 pfd. 1,240,330
........................................................................................................................
3,300 Chevy Chase Savings Bank, Inc. $3.25 pfd. 83,325
........................................................................................................................
3,759 Citadel Broadcasting, Inc.
$13.25 cum. pfd. (PIK) 405,972
........................................................................................................................
14,528 CSC Holdings, Inc. Ser. M,
$11.13 cum. pfd. (PIK) 1,532,704
........................................................................................................................
34,000 Diva Systems Corp. zero% pfd. 204,000
........................................................................................................................
22,720 Diva Systems Corp. Ser. C, $6.00 pfd. 136,320
........................................................................................................................
1,140 Doane Pet Care Enterprise $7.12 pfd. 51,300
........................................................................................................................
1,045 Dobson Communications Corp.
13.00% pfd. (PIK) 1,076,350
........................................................................................................................
675 Dobson Communications Corp.
12.25% pfd. (PIK) 648,000
........................................................................................................................
310 First Republic Cap Corp. Ser. 144A,
10.50% pfd. 269,700
........................................................................................................................
10,600 Fitzgeralds Gaming Corp. $3.75 pfd. 106
........................................................................................................................
425 Fresenius Medical Capital Trust I Ser. D,
9.00% company guaranty, pfd. (Germany) 410,125
........................................................................................................................
860 Fresenius Medical Capital Trust II 7.875%
company guaranty, pfd. (Germany) 769,700
........................................................................................................................
4,880 Global Crossing Holdings, Ltd.
$10.50 cum. pfd. (PIK) 466,040
........................................................................................................................
46,000 Golden State Bancorp Ser. A, $2.28 pfd. 1,069,500
........................................................................................................................
838 Granite Broadcasting 12.75% cum. pfd. (PIK) 712,300
........................................................................................................................
1,017 ICG Holdings, Inc. 14.25% pfd. (PIK) 793,260
........................................................................................................................
560 ICG Holdings, Inc. 14.00% pfd. (PIK) 408,800
........................................................................................................................
1,284 Intermedia Communications Ser. B,
13.50% pfd. (PIK) 1,232,640
........................................................................................................................
40,000 Lowen Group Capital LP. Ser. A,
$2.36 cum. pfd. 60,000
........................................................................................................................
663 Nextel Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 706,095
........................................................................................................................
19,805 NEXTLINK Communications, Inc.
$7.00 cum. pfd. (PIK) 1,029,860
........................................................................................................................
388 NEXTLINK Communications, Inc. Ser. B,
13.50% pfd. (PIK) 382,180
........................................................................................................................
134 Paxson Communications Corp. 144A
13.25% cum. pfd. (PIK) 1,286,400
........................................................................................................................
19,997 Public Service of New Hampshire
Ser. A, $2.65 cum. pfd. 499,925
........................................................................................................................
734 R & B Falcon Corp. 13.875% cum. pfd. (PIK) 833,090
........................................................................................................................
783 Rural Cellular Corp. 12.25% pfd. (PIK) 736,020
------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $19,922,035) $18,338,350
------------------------------------------------------------------------------------------------------------------------
UNITS (1.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
760 AP Pegasus Shipping units 14 1/2s, 2008 $34,200
........................................................................................................................
975 App China Group, Ltd. units 14s,
2010 (Singapore) 614,250
........................................................................................................................
840 Australis Media, Ltd. units 15 3/4s, 2003 84
........................................................................................................................
460 Colo.com units 13 7/8s, 2010 494,500
........................................................................................................................
690 Dayton Superior Corp. units 13s, 2009 681,375
........................................................................................................................
570 Equinix, Inc. units 13s, 2007 615,600
........................................................................................................................
960 Huntsman Packaging Corp. units 13s, 2010 960,000
........................................................................................................................
1,080 Investcorp units 12 3/4s, 2010 1,071,900
........................................................................................................................
620 IPCS, Inc. units stepped-coupon
zero % (14s 7/15/05), 2010 (STP) 322,400
........................................................................................................................
290 Leap Wireless units 12 1/2s, 2010 249,400
........................................................................................................................
885 Maxcom Telecomunicacione units
13 3/4s, 2007 (Mexico) 796,500
........................................................................................................................
1,260 TeleWest Communications PLC 144A
sr. notes 9 7/8s, 2010 (United Kingdom) 1,203,300
........................................................................................................................
1,420 Ubiquitel Operating Co. units company
guaranty stepped-coupon zero %
(14s, 4/15/05), 2010 (STP) 809,400
........................................................................................................................
650 XCL, Ltd. units 13 1/2s, 2004 117,000
........................................................................................................................
440 XM Satellite Radio, Inc. units 14s, 2010 387,200
------------------------------------------------------------------------------------------------------------------------
Total Units
(cost $10,452,217) $8,357,109
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,940,000 Cybernet Internet Services Intl., Inc. 144A
cv. sr. disc. notes stepped-coupon zero %
(13s, 8/15/04), 2009 (STP) $931,200
........................................................................................................................
1,050,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 509,250
........................................................................................................................
450,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 353,250
........................................................................................................................
1,000,000 Micron Technology, Inc cv. 6 1/2s, 2005 840,000
........................................................................................................................
150,000 Parker Drilling Corp. cv. sub. notes
5 1/2s, 2004 122,813
------------------------------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $2,979,643) $2,756,513
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
1,900 Global Crossing Ltd. 6.75% cum cv. pfd. $416,813
........................................................................................................................
1,400 Global Crossing, Ltd. 7.00% cum cv. pfd. 249,550
........................................................................................................................
24,670 Global Telesystems Group, Inc. 144A
$3.625 cv. pfd. 561,243
........................................................................................................................
650 Interact Systems, Inc. 14.00% cv. pfd. 650
........................................................................................................................
4,200 LTV Corp. (The) 144A $4.13 cv. pfd. 187,950
........................................................................................................................
30 Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) 288,000
........................................................................................................................
17,700 PSINet, Inc. 144A $3.50 cv. pfd. 601,800
........................................................................................................................
4,200 RSL Communications, Ltd. 144A
7.50% cv. pfd. (Bermuda) 140,175
........................................................................................................................
100 World Access 144A Series D,
zero % cv. pfd. 100,000
........................................................................................................................
2,800 XCL, Ltd. 144A 9.50% cv. pfd. (PIK) 1,400
........................................................................................................................
553 XCL, Ltd. 144A Ser. A, 9.50% cv. pfd. (PIK) 277
------------------------------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,767,572) $2,547,858
------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS (0.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
23,770 360Networks, Inc. 144A (Canada) (NON) $297,125
........................................................................................................................
200 AmeriKing, Inc. (NON) 2,000
........................................................................................................................
143,564 Celcaribe S.A. 144A (Colombia) (NON) 17,946
........................................................................................................................
30,000 Contour Energy Co. (NON) 60,938
........................................................................................................................
20,830 Fitzgeralds Gaming Corp. (NON) 208
........................................................................................................................
6,121 MGC Communications, Inc. 366,877
........................................................................................................................
233 Mothers Work, Inc. (NON) 2,621
........................................................................................................................
215 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) (NON) 2
........................................................................................................................
61 Premium Holdings 144A 611
........................................................................................................................
52,810 PSF Holdings LLC Class A 528,100
........................................................................................................................
8,850 Spanish Broadcasting System, Inc. (NON) 141,600
........................................................................................................................
2,907 Viatel, Inc. (NON) 83,038
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,875,708) $1,501,066
------------------------------------------------------------------------------------------------------------------------
WARRANTS (0.2%) (a) (NON)
------------------------------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................................................
6 Anker Coal
Group, Inc. 144A 10/28/09 $1
........................................................................................................................
410 Bestel S.A. de C.V. (Mexico) 5/15/05 49,200
........................................................................................................................
410 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 22,550
........................................................................................................................
713 Carrier1 Intl. SA 2/19/09 221,030
........................................................................................................................
2,575 CellNet Data Systems, Inc. 10/1/07 1
........................................................................................................................
36,500 CGA Group, Ltd. 144A 2/11/07 365
........................................................................................................................
1,100 Comunicacion Cellular
144A (Colombia) 11/15/03 2,200
........................................................................................................................
120 Cybernet Internet
Services Intl., Inc. 144A 7/1/09 2,400
........................................................................................................................
1,240 Decrane Aircraft Holdings 9/30/08 1
........................................................................................................................
515 Diva Systems Corp. 5/15/06 309,000
........................................................................................................................
5,988 Diva Systems Corp. 3/1/08 83,832
........................................................................................................................
670 Epic Resorts 6/15/05 7
........................................................................................................................
650 Firstworld Communication
Corp. 4/15/08 45,500
........................................................................................................................
300 Globalstar Telecommunications 2/15/04 300
........................................................................................................................
5,181 ICG Communications 10/15/05 82,896
........................................................................................................................
650 Interact Systems, Inc. 8/1/03 7
........................................................................................................................
650 Interact Systems, Inc. 144A 12/15/09 7
........................................................................................................................
270 International Wireless
Communications
Holdings 144A 8/15/01 1
........................................................................................................................
10,751 Intira Corp. Class A 2/1/10 1
........................................................................................................................
3,694 Intira Corp. Class B 2/1/10 1
........................................................................................................................
650 Iridium World Com 144A 7/15/05 1
........................................................................................................................
1,750 KMC Telecommunications
Holdings, Inc. 4/15/08 5,250
........................................................................................................................
1,035 Knology Holdings 10/22/07 7,763
........................................................................................................................
1,660 McCaw International, Ltd. 4/15/07 6,640
........................................................................................................................
495 Mediq, Inc. 144A 6/1/09 5
........................................................................................................................
30 Motient Corp. 144A 4/1/08 1,200
........................................................................................................................
235 Onepoint Communications, Inc. 6/1/08 4,700
........................................................................................................................
500 Orbital Imaging Corp. 144A 3/1/05 10,000
........................................................................................................................
585 Orion Network Systems 1/15/07 6,435
........................................................................................................................
460 Pagemart, Inc. 144A 12/31/03 5,060
........................................................................................................................
795 Pathnet, Inc. 144A 4/15/08 7,950
........................................................................................................................
960 Paxson Communications
Corp. 144A 6/30/03 2,122
........................................................................................................................
640 R & B Falcon Corp. 144A 5/1/09 320,000
........................................................................................................................
395 Raintree Resort Corp. 12/1/04 4
........................................................................................................................
750 Signature Brands, Ltd. 8/15/02 8
........................................................................................................................
950 Startec Global
Communications Corp. 5/15/08 3,325
........................................................................................................................
235 Sterling Chemicals Holdings 8/15/08 1,998
........................................................................................................................
360 Telehub Communications Corp. 7/31/05 180
........................................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 41,700
........................................................................................................................
30 Versatel Telecom N.V.
(Netherlands) 5/15/08 15,990
------------------------------------------------------------------------------------------------------------------------
Total Warrants
(cost $626,880) $1,259,631
------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (--%) (a) (cost $390,371)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$390,432 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2028 $190,518
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) (a) (cost $19,378,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$19,378,000 Interest in $500,000,000 joint repurchase
agreement dated June 30, 2000 with
S.B.C. Warburg, Inc. due July 3, 2000
with respect to various U.S.Treasury
obligations -- maturity value of
19,388,658, for an effective
yield of 6.60% $19,378,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $660,455,876) (b) $616,425,376
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Forward Currency Contracts to Buy at June 30, 2000 (Unaudited)
(aggregate face value $132,841,278)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
Australian Dollar $23,679,518 $23,329,300 9/20/00 $350,218
.............................................................................
Canadian Dollar 2,211,699 2,216,678 9/20/00 (4,979)
.............................................................................
Euro Dollar 65,908,558 65,593,145 9/20/00 315,413
.............................................................................
Japanese Yen 38,375,737 38,256,703 9/20/00 119,034
.............................................................................
Swedish Krone 1,932,560 1,922,917 9/20/00 9,643
.............................................................................
Swiss Franc 1,559,624 1,522,535 9/20/00 37,089
-----------------------------------------------------------------------------
$826,418
-----------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 2000 (Unaudited)
(aggregate face value $104,553,033)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
British Pounds $11,254,552 $11,312,869 9/20/00 $58,317
.............................................................................
Canadian Dollar 11,362,424 11,410,111 9/20/00 47,687
.............................................................................
Danish Krone 16,085,163 15,831,536 9/20/00 (253,627)
.............................................................................
Euro Dollar 11,187,833 11,177,440 9/20/00 (10,393)
.............................................................................
Greek Drachma 5,792,692 5,777,968 9/20/00 (14,724
.............................................................................
Japanese Yen 43,979,327 43,823,749 9/20/00 (155,578)
.............................................................................
New Zealand Dollar 5,179,924 5,219,356 9/20/00 39,432
-----------------------------------------------------------------------------
$(288,886)
-----------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
Euro-Bund (Short) $10,069,906 $9,940,665 Sep-00 $(129,241)
.............................................................................
EuroYen 3 Mo (Long) 5,640,669 5,646,703 Mar-01 (6,034)
.............................................................................
EuroYen 3 Mo (Short) 5,628,191 5,632,384 Sep-01 4,193
.............................................................................
US Treasury Note
10 Yr (Long) 12,113,578 11,752,295 Sep-00 361,283
.............................................................................
US Treasury Note
5 Yr (Short) 30,001,734 29,361,072 Sep-00 (640,662)
.............................................................................
US Treasury Bond
(Long) 292,031 282,267 Sep-00 9,764
.............................................................................
US Treasury Bond
(Long) 2,044,219 1,974,211 Sep-00 70,008
-----------------------------------------------------------------------------
$(330,689)
-----------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT George Putnam Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (62.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Aerospace/Defense (1.0%)
........................................................................................................................
55,300 Boeing Co. $2,312,231
........................................................................................................................
46,000 Lockheed Martin Corp. 1,141,375
------------------------------------------------------------------------------------------------------------------------
3,453,606
------------------------------------------------------------------------------------------------------------------------
Automotive (0.7%)
........................................................................................................................
32,900 Ford Motor Co. 1,414,700
........................................................................................................................
15,666 General Motors Corp. 909,607
........................................................................................................................
4,308 Visteon Corp. (NON) 52,231
------------------------------------------------------------------------------------------------------------------------
2,376,538
------------------------------------------------------------------------------------------------------------------------
Banking (6.8%)
........................................................................................................................
67,405 Bank of America Corp. 2,898,415
........................................................................................................................
68,300 BB&T Corp. 1,630,663
........................................................................................................................
66,300 Charter One Financial, Inc. 1,524,900
........................................................................................................................
45,750 Chase Manhattan Corp. 2,107,359
........................................................................................................................
50,500 Comerica, Inc. 2,266,188
........................................................................................................................
60,700 Firstar Corp. 1,278,494
........................................................................................................................
61,108 Fleet Boston Corporation 2,077,672
........................................................................................................................
50,700 Mellon Financial Corp. 1,847,381
........................................................................................................................
38,800 PNC Bank Corp. 1,818,750
........................................................................................................................
55,950 Synovus Financial Corp. 986,119
........................................................................................................................
59,700 U.S. Bancorp 1,149,225
........................................................................................................................
37,000 Washington Mutual, Inc. 1,068,375
........................................................................................................................
64,400 Wells Fargo Co. 2,495,500
------------------------------------------------------------------------------------------------------------------------
23,149,041
------------------------------------------------------------------------------------------------------------------------
Beverage (1.6%)
........................................................................................................................
14,400 Anheuser-Busch Cos., Inc. 1,075,500
........................................................................................................................
21,900 Coca-Cola Co. 1,257,881
........................................................................................................................
30,000 Diageo PLC ADR (United Kingdom) 1,066,875
........................................................................................................................
49,000 Fortune Brands, Inc. 1,130,063
........................................................................................................................
26,100 Pepsi Bottling Group, Inc. (The) 761,794
------------------------------------------------------------------------------------------------------------------------
5,292,113
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.1%)
........................................................................................................................
5,148 General Motors Corp. Class H (NON) 451,737
------------------------------------------------------------------------------------------------------------------------
Capital Goods (0.4%)
........................................................................................................................
19,200 Eaton Corp. 1,286,400
------------------------------------------------------------------------------------------------------------------------
Chemicals (1.6%)
........................................................................................................................
20,400 Dow Chemical Co. 615,825
........................................................................................................................
40,030 du Pont (E.I.) de Nemours & Co., Ltd. 1,751,313
........................................................................................................................
56,700 Engelhard Corp. 967,444
........................................................................................................................
14,900 Minnesota Mining & Manufacturing Co. 1,229,250
........................................................................................................................
21,100 PPG Industries, Inc. 934,994
------------------------------------------------------------------------------------------------------------------------
5,498,826
------------------------------------------------------------------------------------------------------------------------
Computers (2.8%)
........................................................................................................................
11,400 Gateway, Inc. (NON) 646,950
........................................................................................................................
34,900 Hewlett-Packard Co. 4,358,138
........................................................................................................................
43,100 IBM Corp. 4,722,144
------------------------------------------------------------------------------------------------------------------------
9,727,232
------------------------------------------------------------------------------------------------------------------------
Conglomerates (1.2%)
........................................................................................................................
1,200 Berkshire Hathaway, Inc. Class B (NON) 2,112,000
........................................................................................................................
20,900 Honeywell International, Inc. 704,069
........................................................................................................................
25,600 Tyco International, Ltd. 1,212,800
------------------------------------------------------------------------------------------------------------------------
4,028,869
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (1.0%)
........................................................................................................................
23,900 Capital One Financial Corp. 1,066,538
........................................................................................................................
41,400 Household International, Inc. 1,720,688
........................................................................................................................
23,100 MBNA Corp. 626,588
------------------------------------------------------------------------------------------------------------------------
3,413,814
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.5%)
........................................................................................................................
30,600 Kimberly-Clark Corp. 1,755,675
------------------------------------------------------------------------------------------------------------------------
Distribution (0.6%)
........................................................................................................................
45,100 SYSCO Corp. 1,899,838
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (3.5%)
........................................................................................................................
37,400 CiNergy Corp. 951,363
........................................................................................................................
40,600 CP&L, Inc. 1,296,663
........................................................................................................................
20,300 Dominion Resources, Inc. 870,363
........................................................................................................................
69,895 DPL, Inc. 1,533,322
........................................................................................................................
37,700 Duke Energy Corp. 2,125,338
........................................................................................................................
62,900 Entergy Corp. 1,710,094
........................................................................................................................
39,300 PG&E Corp. 967,763
........................................................................................................................
32,200 Reliant Energy, Inc. 951,913
........................................................................................................................
49,500 TXU Corp. 1,460,250
------------------------------------------------------------------------------------------------------------------------
11,867,069
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (0.8%)
........................................................................................................................
44,050 Emerson Electric Co. 2,659,519
------------------------------------------------------------------------------------------------------------------------
Electronics (0.6%)
........................................................................................................................
47,700 Motorola, Inc. 1,386,281
........................................................................................................................
20,300 W W Grainger 625,494
------------------------------------------------------------------------------------------------------------------------
2,011,775
------------------------------------------------------------------------------------------------------------------------
Energy (0.6%)
........................................................................................................................
10,300 Schlumberger, Ltd. 768,638
........................................................................................................................
25,800 Transocean Sedco Forex, Inc. 1,378,688
------------------------------------------------------------------------------------------------------------------------
2,147,326
------------------------------------------------------------------------------------------------------------------------
Financial (2.4%)
........................................................................................................................
78,800 Citigroup, Inc. 4,747,700
........................................................................................................................
52,500 Fannie Mae 2,739,844
........................................................................................................................
15,100 MGIC Investment Corp. 687,050
------------------------------------------------------------------------------------------------------------------------
8,174,594
------------------------------------------------------------------------------------------------------------------------
Food (1.7%)
........................................................................................................................
54,100 Archer Daniels Midland Co. 530,856
........................................................................................................................
43,300 General Mills, Inc. 1,656,225
........................................................................................................................
42,800 Heinz (H.J.) Co. 1,872,500
........................................................................................................................
94,800 Sara Lee Corp. 1,830,825
------------------------------------------------------------------------------------------------------------------------
5,890,406
------------------------------------------------------------------------------------------------------------------------
Health Care Services (2.1%)
........................................................................................................................
34,000 Baxter International, Inc. 2,390,625
........................................................................................................................
20,700 CIGNA Corp. 1,935,450
........................................................................................................................
46,900 HCA - The Healthcare Corp. 1,424,588
........................................................................................................................
88,900 HEALTHSOUTH Corp. (NON) 638,969
........................................................................................................................
19,000 Mallinckrodt, Inc. 825,313
------------------------------------------------------------------------------------------------------------------------
7,214,945
------------------------------------------------------------------------------------------------------------------------
Insurance (2.4%)
........................................................................................................................
21,800 AFLAC, Inc. 1,001,438
........................................................................................................................
28,100 American General Corp. 1,714,100
........................................................................................................................
25,200 AON Corp. 782,775
........................................................................................................................
51,400 Hartford Financial Services Group 2,875,188
........................................................................................................................
25,400 Lincoln National Corp. 917,575
........................................................................................................................
39,200 Torchmark Corp. 967,750
------------------------------------------------------------------------------------------------------------------------
8,258,826
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (0.5%)
........................................................................................................................
37,740 Bear Stearns Companies, Inc. 1,570,928
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.6%)
........................................................................................................................
63,100 Starwood Hotels & Resorts
Worldwide, Inc. 2,054,694
------------------------------------------------------------------------------------------------------------------------
Machinery (0.4%)
........................................................................................................................
13,800 Caterpillar, Inc. 467,475
........................................................................................................................
22,500 Dover Corp. 912,656
------------------------------------------------------------------------------------------------------------------------
1,380,131
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.5%)
........................................................................................................................
30,700 Illinois Tool Works, Inc. 1,749,900
------------------------------------------------------------------------------------------------------------------------
Media (0.5%)
........................................................................................................................
42,200 Disney (Walt) Productions, Inc. 1,637,888
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (0.6%)
........................................................................................................................
53,867 Sempra Energy 915,739
........................................................................................................................
31,100 Williams Cos., Inc. 1,296,481
------------------------------------------------------------------------------------------------------------------------
2,212,220
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (5.7%)
........................................................................................................................
42,600 BP Amoco PLC ADR (United Kingdom) 2,409,563
........................................................................................................................
48,100 Conoco, Inc. 1,058,200
........................................................................................................................
46,341 Conoco, Inc. Class B 1,138,251
........................................................................................................................
101,296 Exxon Mobil Corp. 7,951,736
........................................................................................................................
79,700 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 4,906,531
........................................................................................................................
26,800 Tosco Corp. 758,775
........................................................................................................................
59,600 Union Pacific Resources Group, Inc. 1,311,200
------------------------------------------------------------------------------------------------------------------------
19,534,256
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (1.1%)
........................................................................................................................
46,600 Mead Corp. 1,176,650
........................................................................................................................
51,800 Owens-Illinois, Inc. (NON) 605,413
........................................................................................................................
44,500 Weyerhaeuser Co. 1,913,500
------------------------------------------------------------------------------------------------------------------------
3,695,563
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (6.4%)
........................................................................................................................
77,600 Abbott Laboratories 3,458,050
........................................................................................................................
71,300 Bristol-Myers Squibb Co. 4,153,225
........................................................................................................................
47,100 Johnson & Johnson 4,798,313
........................................................................................................................
53,000 Merck & Co., Inc. 4,061,125
........................................................................................................................
57,522 Pharmacia Corp. 2,973,168
........................................................................................................................
48,800 Schering-Plough Corp. 2,464,400
------------------------------------------------------------------------------------------------------------------------
21,908,281
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (0.7%)
........................................................................................................................
25,700 Eastman Kodak Co. 1,529,150
........................................................................................................................
42,100 Xerox Corp. 873,575
------------------------------------------------------------------------------------------------------------------------
2,402,725
------------------------------------------------------------------------------------------------------------------------
Publishing (0.7%)
........................................................................................................................
28,000 McGraw-Hill, Inc. 1,512,000
........................................................................................................................
28,100 Tribune Co. 983,500
------------------------------------------------------------------------------------------------------------------------
2,495,500
------------------------------------------------------------------------------------------------------------------------
Railroads (0.4%)
........................................................................................................................
15,200 CSX Corp. 322,050
........................................................................................................................
29,300 Union Pacific Corp. 1,089,594
------------------------------------------------------------------------------------------------------------------------
1,411,644
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.9%)
........................................................................................................................
43,800 Equity Office Properties Trust (R) 1,207,238
........................................................................................................................
42,200 Equity Residential Properties Trust (R) 1,941,200
------------------------------------------------------------------------------------------------------------------------
3,148,438
------------------------------------------------------------------------------------------------------------------------
Regional Bells (4.6%)
........................................................................................................................
67,900 Bell Atlantic Corp. 3,450,169
........................................................................................................................
75,000 BellSouth Corp. 3,196,875
........................................................................................................................
48,200 GTE Corp. 3,000,450
........................................................................................................................
141,100 SBC Communications, Inc. (SEG) 6,102,575
------------------------------------------------------------------------------------------------------------------------
15,750,069
------------------------------------------------------------------------------------------------------------------------
Retail (1.8%)
........................................................................................................................
29,000 Albertsons, Inc. 964,250
........................................................................................................................
28,400 CVS Corp. 1,136,000
........................................................................................................................
53,900 Federated Department Stores, Inc. (NON) 1,819,125
........................................................................................................................
91,800 K mart Corp. (NON) 625,388
........................................................................................................................
30,800 Sears, Roebuck & Co. 1,004,850
........................................................................................................................
45,000 Staples, Inc. (NON) 691,875
------------------------------------------------------------------------------------------------------------------------
6,241,488
------------------------------------------------------------------------------------------------------------------------
Software (0.6%)
........................................................................................................................
38,700 Computer Associates International, Inc. 1,980,956
------------------------------------------------------------------------------------------------------------------------
Technology Services (0.4%)
........................................................................................................................
30,000 Electronic Data Systems Corp. 1,237,500
------------------------------------------------------------------------------------------------------------------------
Telecommunications (2.1%)
........................................................................................................................
38,050 ALLTEL Corp. 2,356,722
........................................................................................................................
76,150 AT&T Corp. 2,408,244
........................................................................................................................
44,000 Sprint Corp. 2,244,000
------------------------------------------------------------------------------------------------------------------------
7,008,966
------------------------------------------------------------------------------------------------------------------------
Textiles (0.3%)
........................................................................................................................
79,335 Shaw Industries, Inc. 991,688
------------------------------------------------------------------------------------------------------------------------
Tobacco (1.0%)
........................................................................................................................
130,600 Philip Morris Cos., Inc. 3,469,063
------------------------------------------------------------------------------------------------------------------------
Toys (0.1%)
........................................................................................................................
33,000 Hasbro, Inc. 497,063
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.5%)
........................................................................................................................
83,200 Waste Management, Inc. 1,580,800
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $215,335,498) $214,517,910
------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (15.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
Aerospace and Defense (0.8%)
........................................................................................................................
$560,000 Boeing Co. deb. 6 5/8s, 2038 $487,150
........................................................................................................................
410,000 Litton Industries Inc. sr. notes 8s, 2009 410,582
........................................................................................................................
720,000 Lockheed Martin Corp. bonds
8 1/2s, 2029 727,042
........................................................................................................................
405,000 Norsk Hydro ASA notes 6.36s,
2009 (Norway) 368,643
........................................................................................................................
600,000 Raytheon Co. deb. 6.4s, 2018 493,170
........................................................................................................................
170,000 Sequa Corp. sr. notes 9s, 2009 163,200
------------------------------------------------------------------------------------------------------------------------
2,649,787
------------------------------------------------------------------------------------------------------------------------
Airlines (0.5%)
........................................................................................................................
104,996 Airbus Industries 144A 8.027s, 2020 103,366
........................................................................................................................
276,821 Atlas Air, Inc. pass-through certificates
Ser. 99-1A, 7.2s, 2019 255,368
........................................................................................................................
22,193 Continental Airlines, Inc. pass-through
certificates Ser. 97-CI, 7.42s, 2007 21,628
........................................................................................................................
17,294 Continental Airlines, Inc. pass-through
certificates Ser. 97-4C, 6.8s, 2009 16,439
........................................................................................................................
386,690 Continental Airlines, Inc. pass-through
certificates Ser. 98-1 6.541s, 2009 364,521
........................................................................................................................
110,000 Continental Airlines, Inc. pass-thru
certificates Ser. 98-2, 6.32s, 2008 100,000
........................................................................................................................
445,000 Delta Air Lines, Inc.144A deb. 8.3s, 2029 389,086
........................................................................................................................
118,201 Northwest Airlines Corp. pass-thru
certificate Ser. 1999-1A, 6.81s, 2020 107,187
........................................................................................................................
150,000 Northwest Airlines, Inc. company
guaranty 8.7s, 2007 138,758
........................................................................................................................
40,000 Northwest Airlines, Inc. company
guaranty 7 7/8s, 2008 35,269
........................................................................................................................
255,000 United Air Lines Corp. deb. 9 3/4s, 2021 248,622
------------------------------------------------------------------------------------------------------------------------
1,780,244
------------------------------------------------------------------------------------------------------------------------
Automotive (0.8%)
........................................................................................................................
885,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 804,253
........................................................................................................................
85,000 Delphi Automotive Systems Corp. deb.
7 1/8s, 2029 72,468
........................................................................................................................
400,000 Federal Mogul Corp. notes 7 1/2s, 2009 280,000
........................................................................................................................
895,000 Ford Motor Co. deb. 7.4s, 2046 820,948
........................................................................................................................
490,000 Ford Motor Co. bonds 6 5/8s, 2028 412,605
........................................................................................................................
275,000 TRW, Inc. deb. 7 3/4s, 2029 244,822
------------------------------------------------------------------------------------------------------------------------
2,635,096
------------------------------------------------------------------------------------------------------------------------
Banking (2.1%)
........................................................................................................................
380,000 Abbey National Capital Trust I
company guaranty 8.963s, 2049 376,884
........................................................................................................................
87,000 Bank United Corp. 8 7/8s, 2007 81,127
........................................................................................................................
300,000 Bank United Corp. unit Ser. A, 8s, 2009 261,378
........................................................................................................................
815,000 Bayer Hypo-Vereinsbank 144A bonds
8.741s, 2031 (Denmark) 750,892
........................................................................................................................
580,000 Citicorp sub. notes 6 3/8s, 2008 532,365
........................................................................................................................
425,000 Colonial Bank sub. notes 8s, 2009 373,605
........................................................................................................................
250,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 228,295
........................................................................................................................
380,000 First Citizens Bank Capital Trust I
company guaranty 8.05s, 2028 309,765
........................................................................................................................
530,000 First Union Capital II company
guaranty Ser. A, 7.95s, 2029 463,745
........................................................................................................................
230,000 First Union Institute Capital I bonds
8.04s, 2026 200,590
........................................................................................................................
280,000 Fleet Boston Corp. sub. notes 7 3/8s, 2009 269,002
........................................................................................................................
390,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 353,180
........................................................................................................................
665,000 Imperial Bank sub. notes 8 1/2s, 2009 597,902
........................................................................................................................
170,000 Merita Bank, Ltd. sub. notes 6 1/2s,
2006 (Finland) 160,495
........................................................................................................................
495,000 NB Capital Trust IV company guaranty
8 1/4s, 2027 450,544
........................................................................................................................
490,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 447,468
........................................................................................................................
335,000 Royal Bank of Scotland Group PLC bonds
Ser. 2, 8.817s, 2049 (United Kingdom) 345,120
........................................................................................................................
310,000 Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 310,000
........................................................................................................................
385,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 369,565
........................................................................................................................
180,000 Webster Capital Trust I 144A bonds
9.36s, 2027 141,759
------------------------------------------------------------------------------------------------------------------------
7,023,681
------------------------------------------------------------------------------------------------------------------------
Beverages (0.1%)
........................................................................................................................
300,000 Pepsi Bottling Group, Inc. sr. notes
Ser. B, 7s, 2029 270,987
------------------------------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
........................................................................................................................
30,000 AMFM Operating, Inc. deb. 12 5/8s,
2006 (PIK) 34,500
........................................................................................................................
160,000 Chancellor Media Corp. company
guaranty 8s, 2008 160,600
........................................................................................................................
560,000 News America Holdings, Inc. deb.
7 3/4s, 2045 486,142
........................................................................................................................
330,000 News America Holdings, Inc. deb.
7.7s, 2025 300,531
------------------------------------------------------------------------------------------------------------------------
981,773
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.3%)
........................................................................................................................
250,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 240,000
........................................................................................................................
160,000 Adelphia Communications Corp. sr. notes
Ser. B, 8 3/8s, 2008 140,800
........................................................................................................................
362,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 371,503
........................................................................................................................
180,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 180,900
------------------------------------------------------------------------------------------------------------------------
933,203
------------------------------------------------------------------------------------------------------------------------
Chemicals (0.3%)
........................................................................................................................
195,000 IMC Global, Inc. notes 7.4s, 2002 191,112
........................................................................................................................
340,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 336,600
........................................................................................................................
500,000 Union Carbide Corp. notes 6 1/4s, 2003 485,745
------------------------------------------------------------------------------------------------------------------------
1,013,457
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (--%)
........................................................................................................................
35,000 Newell Co. notes 6.35s, 2008 33,367
------------------------------------------------------------------------------------------------------------------------
Conglomerates (0.3%)
........................................................................................................................
545,000 Tyco International, Ltd. company
guaranty 6 3/8s, 2005 519,892
........................................................................................................................
380,000 Tyco International, Ltd. company
guaranty 6 1/4s, 2003 362,816
------------------------------------------------------------------------------------------------------------------------
882,708
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (1.1%)
........................................................................................................................
75,000 Associates First Capital Corp. deb.
6.95s, 2018 67,209
........................................................................................................................
150,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 134,513
........................................................................................................................
350,000 Associates First Capital Corp. sub. deb.
8.15s, 2009 348,408
........................................................................................................................
220,000 Capital One Financial Corp. notes
7 1/4s, 2006 202,667
........................................................................................................................
420,000 Capital One Financial Corp. notes
7 1/4s, 2003 406,346
........................................................................................................................
90,000 Finova Capital Corp. notes 7.4s, 2007 74,700
........................................................................................................................
910,000 Finova Capital Corp. notes 6 1/4s, 2002 796,241
........................................................................................................................
540,000 Ford Motor Credit Corp. notes
7 3/8s, 2009 522,326
........................................................................................................................
20,000 Ford Motor Credit Corp. notes
6.55s, 2002 19,610
........................................................................................................................
105,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 91,349
........................................................................................................................
5,000 Household Finance Corp. notes
6 1/2s, 2008 4,549
........................................................................................................................
805,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 700,109
........................................................................................................................
450,000 Providian National Bank sr. notes
6 3/4s, 2002 438,755
------------------------------------------------------------------------------------------------------------------------
3,806,782
------------------------------------------------------------------------------------------------------------------------
Containers (0.1%)
........................................................................................................................
295,000 Ball Corp. company guaranty 7 3/4s, 2006 275,825
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.6%)
........................................................................................................................
275,000 CILCORP, Inc. sr. notes 8.7s, 2009 277,946
........................................................................................................................
340,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 311,950
........................................................................................................................
520,000 DPL, Inc. 144A sr. notes 8 1/4s, 2007 519,376
........................................................................................................................
105,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 102,342
........................................................................................................................
410,000 TXU Corp.deb. 7.46, 2015 385,511
........................................................................................................................
570,000 TXU Electrical Capital company guaranty
8.175s, 2037 568,165
------------------------------------------------------------------------------------------------------------------------
2,165,290
------------------------------------------------------------------------------------------------------------------------
Energy (0.3%)
........................................................................................................................
130,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 132,600
........................................................................................................................
255,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 244,777
........................................................................................................................
205,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 170,980
........................................................................................................................
90,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 88,200
........................................................................................................................
440,000 RBF Finance Co. company guaranty
11 3/8s, 2009 475,200
------------------------------------------------------------------------------------------------------------------------
1,111,757
------------------------------------------------------------------------------------------------------------------------
Financial (2.0%)
........................................................................................................................
330,000 Advanta Corp. notes Ser. C, 7.47s, 2001 300,455
........................................................................................................................
715,000 AFLAC, Inc. sr. notes 6 1/2s, 2009 648,391
........................................................................................................................
595,000 American General Institute 144A
company guaranty 8 1/8s, 2046 563,679
........................................................................................................................
360,000 AT&T Capital Corp. med. term notes
6.6s, 2005 338,785
........................................................................................................................
100,000 Conseco Financial Corp. sr. sub. notes
10 1/4s, 2002 73,000
........................................................................................................................
305,000 Conseco Financing Trust II company
guaranty 8.7s, 2026 131,150
........................................................................................................................
110,000 Conseco Inc. med-term notes 6 1/2s, 2002 72,600
........................................................................................................................
25,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 23,737
........................................................................................................................
40,000 Fremont General Corp. sr. notes
Ser. B, 7.7s, 2004 16,000
........................................................................................................................
40,000 General Motors Acceptance Corp. notes
5 3/4s, 2003 37,874
........................................................................................................................
410,000 Goldman Sachs Group, Inc. (The) notes
Ser. B, 7.35s, 2009 393,916
........................................................................................................................
540,000 Heller Financial, Inc. 144A notes
7 3/8s, 2009 509,468
........................................................................................................................
260,000 Liberty Mutual Insurance 144A notes
7.697s, 2097 189,899
........................................................................................................................
475,000 Markel Capital Trust I company
guaranty Ser. B, 8.71s, 2046 359,361
........................................................................................................................
95,000 Newcourt Credit Group Inc. company
guaranty Ser. A, 7 1/8s, 2003 92,654
........................................................................................................................
695,000 Newcourt Credit Group Inc. 6 7/8s, 2005 664,406
........................................................................................................................
110,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 94,600
........................................................................................................................
360,000 Principal Financial Group 144A notes
7.95s, 2004 (Australia) 358,272
........................................................................................................................
660,000 Provident Companies, Inc. bonds
7.405s, 2038 490,373
........................................................................................................................
240,000 Safeco Capital Trust I company
guaranty 8.072s, 2037 203,978
........................................................................................................................
615,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 536,471
........................................................................................................................
470,000 TIG Capital Trust I 144A bonds
8.597s, 2027 341,756
........................................................................................................................
525,000 Trenwick Capital Trust I company
guaranty 8.82s, 2037 403,400
------------------------------------------------------------------------------------------------------------------------
6,844,225
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (0.2%)
........................................................................................................................
110,000 International Game Technology 144A
sr. notes 8 3/8s, 2009 103,950
........................................................................................................................
300,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 286,500
........................................................................................................................
90,000 Park Place Entertainment, Inc. sr. notes
8 1/2s, 2006 88,433
........................................................................................................................
190,000 Park Place Entertainment, Inc. sr. sub. notes
9 3/8s, 2007 190,000
------------------------------------------------------------------------------------------------------------------------
668,883
------------------------------------------------------------------------------------------------------------------------
Health Care (0.4%)
........................................................................................................................
450,000 Columbia/HCA Healthcare Corp.
med term notes 6.63s, 2045 428,495
........................................................................................................................
410,000 Omega Healthcare Investors, Inc. notes
6.95s, 2002 338,250
........................................................................................................................
450,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 429,750
------------------------------------------------------------------------------------------------------------------------
1,196,495
------------------------------------------------------------------------------------------------------------------------
Homebuilding (0.1%)
........................................................................................................................
175,000 D.R. Horton, Inc. company guaranty
8s, 2009 150,500
........................................................................................................................
60,000 Lennar Corp. 144A sr. notes 9.95s, 2010 57,900
------------------------------------------------------------------------------------------------------------------------
208,400
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (0.6%)
........................................................................................................................
280,000 Bear Stearns Companies, Inc. sr.
unsecd. notes 7 5/8s, 2009 266,549
........................................................................................................................
115,000 Countrywide Home Loan Corp. company
guaranty 6.935s, 2007 106,620
........................................................................................................................
670,000 Countrywide Home Loan Corp. company
guaranty med term notes 6 1/4s, 2009 584,535
........................................................................................................................
570,000 Paine Webber Group, Inc. sr. med.
term notes 6.52s, 2005 534,418
........................................................................................................................
450,000 Salomon, Inc. sr. notes 6 3/4s, 2003 442,067
------------------------------------------------------------------------------------------------------------------------
1,934,189
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.1%)
........................................................................................................................
420,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 376,950
------------------------------------------------------------------------------------------------------------------------
Media (0.2%)
........................................................................................................................
590,000 TCI Communications, Inc. deb.
8 3/4s, 2015 630,863
........................................................................................................................
140,000 Time Warner Entertainment, Inc. sr. notes
8 3/8s, 2033 141,141
........................................................................................................................
45,000 Walt Disney Co. med. term notes
5.62s, 2008 40,057
------------------------------------------------------------------------------------------------------------------------
812,061
------------------------------------------------------------------------------------------------------------------------
Metals (0.1%)
........................................................................................................................
120,000 AK Steel Corp. company guaranty
7 7/8s, 2009 106,500
........................................................................................................................
250,000 AK Steel Corp. sr. notes 9 1/8s, 2006 239,375
........................................................................................................................
100,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 85,000
------------------------------------------------------------------------------------------------------------------------
430,875
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (1.2%)
........................................................................................................................
400,000 Amerada Hess Corp. bonds 7 7/8s, 2029 391,124
........................................................................................................................
500,000 CMS Panhandle Holding Corp. sr. notes
6 1/8s, 2004 469,965
........................................................................................................................
440,000 KN Capital Trust III company guaranty
7.63s, 2028 385,440
........................................................................................................................
185,000 Maritime & Northeast Pipeline 144A
sec. notes 7.7s, 2019 (Canada) 170,940
........................................................................................................................
240,000 Osprey Trust 144A sec. notes 8.31s, 2003 240,516
........................................................................................................................
20,000 Parker and Parsley Inc. sr. notes
8 1/4s, 2007 18,706
........................................................................................................................
365,000 Phillips Petroleum Co. notes 8 3/4s, 2010 384,498
........................................................................................................................
20,000 Pioneer Natural Resources Co. company
guaranty 9 5/8s, 2010 20,600
........................................................................................................................
188,000 Port Arthur Finance Corp. company
guaranty 12 1/2s, 2009 186,120
........................................................................................................................
110,000 Seagull Energy sr. sub notes 8 5/8s, 2005 106,150
........................................................................................................................
660,000 Sonat, Inc. notes 7 5/8s, 2011 644,655
........................................................................................................................
960,000 Union Oil Company of California
company guaranty 7 1/2s, 2029 900,941
........................................................................................................................
135,000 Union Pacific Resources Group, Inc.
notes 7.3s, 2009 129,712
------------------------------------------------------------------------------------------------------------------------
4,049,367
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.3%)
........................................................................................................................
475,000 Abitibi-Consolidated Inc. deb. 8 1/2s, 2029 443,617
........................................................................................................................
290,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 261,305
........................................................................................................................
160,000 Norampac, Inc. sr. notes 9 1/2s,
2008 (Canada) 154,400
........................................................................................................................
250,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 243,750
------------------------------------------------------------------------------------------------------------------------
1,103,072
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (--%)
........................................................................................................................
170,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 166,600
------------------------------------------------------------------------------------------------------------------------
Power Producers (--%)
........................................................................................................................
70,000 Calpine Corp. sr. notes 7 3/4s, 2009 66,063
------------------------------------------------------------------------------------------------------------------------
Railroads (0.1%)
........................................................................................................................
50,000 CSX Corp. deb. 7.95s, 2027 47,047
........................................................................................................................
445,000 Norfolk Southern Corp. sr. notes 6.2s, 2009 396,014
------------------------------------------------------------------------------------------------------------------------
443,061
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.1%)
........................................................................................................................
355,000 EOP Operating L.P. notes 6.8s, 2009 323,007
........................................................................................................................
50,000 EOP Operating L.P. notes 6 3/8s, 2002 48,925
------------------------------------------------------------------------------------------------------------------------
371,932
------------------------------------------------------------------------------------------------------------------------
Retail (0.3%)
........................................................................................................................
250,000 Federated Department Stores, Inc.
notes 6.3s, 2009 219,675
........................................................................................................................
251,000 K mart Corp. notes 8 3/8s, 2004 238,136
........................................................................................................................
335,000 Saks, Inc. company guaranty 8 1/4s, 2008 297,557
........................................................................................................................
70,000 Sears Roebuck Acceptance Corp. notes
6 7/8s, 2017 59,847
........................................................................................................................
260,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 204,425
........................................................................................................................
140,000 Southland Corp. sr. sub. deb. 5s, 2003 124,292
------------------------------------------------------------------------------------------------------------------------
1,143,932
------------------------------------------------------------------------------------------------------------------------
Semiconductor (--%)
........................................................................................................................
125,000 Amkor Technologies, Inc. sr. notes
9 1/4s, 2006 122,500
------------------------------------------------------------------------------------------------------------------------
Technology (0.2%)
........................................................................................................................
250,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 212,500
........................................................................................................................
70,000 IBM Corp. deb. 7 1/8s, 2096 65,912
........................................................................................................................
285,000 Xerox Corp. notes 5 1/2s, 2003 265,426
------------------------------------------------------------------------------------------------------------------------
543,838
------------------------------------------------------------------------------------------------------------------------
Telecommunications (0.7%)
........................................................................................................................
199,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/2s, 2009 (Bermuda) 192,035
........................................................................................................................
250,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 243,750
........................................................................................................................
110,000 MCI WorldCom, Inc. sr. notes 6.4s, 2005 104,711
........................................................................................................................
200,000 Nextel Communications, Inc. 144A
sr. notes 9 3/8s, 2009 192,000
........................................................................................................................
290,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 290,000
........................................................................................................................
150,000 Sprint Capital Corp. company guaranty
6.9s, 2019 133,374
........................................................................................................................
135,000 Sprint Capital Corp. company guaranty
6 7/8s, 2028 117,351
........................................................................................................................
245,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 218,386
........................................................................................................................
545,000 Sprint Capital Corp. company guaranty
5.7s, 2003 514,088
........................................................................................................................
475,000 US West, Inc. notes 5 5/8s, 2008 410,395
........................................................................................................................
30,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 28,106
........................................................................................................................
70,000 Williams Communications Group, Inc.
sr. notes 10 7/8s, 2009 68,600
------------------------------------------------------------------------------------------------------------------------
2,512,796
------------------------------------------------------------------------------------------------------------------------
Telephone (--%)
........................................................................................................................
140,000 GTE Corp. deb. 6.46s, 2008 129,310
------------------------------------------------------------------------------------------------------------------------
Tobacco (0.3%)
........................................................................................................................
590,000 Imperial Tobacco Global company
guaranty 7 1/8s, 2009 (Netherlands) 523,118
........................................................................................................................
345,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 336,792
------------------------------------------------------------------------------------------------------------------------
859,910
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.3%)
........................................................................................................................
320,000 Canadian Pacific Ltd. deb. 9.45s,
2021 (Canada) 341,283
........................................................................................................................
519,628 Federal Express Corp. pass thru
certificates Ser. 1998-1A, 6.72s, 2022 472,513
........................................................................................................................
25,000 Hertz Corp. sr. notes 7s, 2028 21,507
........................................................................................................................
265,000 Hertz Corp. sr. notes 6 1/2s, 2006 248,846
------------------------------------------------------------------------------------------------------------------------
1,084,149
------------------------------------------------------------------------------------------------------------------------
Utilities (0.1%)
........................................................................................................................
352,537 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 354,479
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.1%)
........................................................................................................................
180,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 154,800
........................................................................................................................
340,000 Browning-Ferris Industries, Inc.
deb. 7.4s, 2035 234,600
------------------------------------------------------------------------------------------------------------------------
389,400
------------------------------------------------------------------------------------------------------------------------
Water Utilities (0.1%)
........................................................................................................................
310,000 Azurix Corp. 144A notes 10 3/8s, 2007 299,150
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $55,483,070) $51,675,594
------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (8.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
U.S. Government Agency Mortgage Obligations (7.0%)
........................................................................................................................
$495,000 Fannie Mae 6 1/2s, August 15, 2004 $485,486
........................................................................................................................
5,200,000 Fannie Mae 7s, TBA, July 15, 2029 5,020,444
........................................................................................................................
Fannie Mae Pass-Through Certificates
........................................................................................................................
42,428 8s, September 1, 2029 42,617
........................................................................................................................
6,124,938 7 1/2s, with due dates from
August 1, 2029 to June 1, 2030 6,038,760
........................................................................................................................
3,764,624 7s, December 1, 2029 3,634,819
........................................................................................................................
492,844 6s, January 1, 2015 466,113
........................................................................................................................
468,858 Federal Home Loan Mortgage
Association 6s, April 1, 2014 444,308
........................................................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................................................
435,154 8 1/2s, with due dates from
October 15, 2017 to
November 15, 2017 447,154
........................................................................................................................
4,815,508 8s, with due dates from
December 15, 2022 to July 15, 2027 4,870,022
........................................................................................................................
2,182,610 7s, with due dates from
August 15,2023 to August 15, 2028 2,124,362
........................................................................................................................
386,897 6 1/2s, March 15, 2028 367,254
------------------------------------------------------------------------------------------------------------------------
23,941,339
------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (1.3%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
2,730,000 6 1/4s, May 15, 2030 2,864,371
........................................................................................................................
1,090,000 6 1/8s, August 15, 2029 1,100,900
........................................................................................................................
230,000 U.S. Treasury Notes 6 1/2s,
February 15, 2010 237,871
........................................................................................................................
695,000 U.S. Treasury Tiger Strip,10, zero %,
May 15, 2026 147,993
------------------------------------------------------------------------------------------------------------------------
4,351,135
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $28,302,237) $28,292,474
------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
Commercial Mortgage Asset Trust
........................................................................................................................
$1,460,000 Ser. 99-C1, Class A3, 6.64s, 2010 $1,377,932
........................................................................................................................
5,108,467 Ser. 99-C1, Class X, IO, 0.99s, 2020 317,284
........................................................................................................................
100,000 Countrywide Home Loan Ser. 98-A12,
Class A14, 8s, 2028 100,531
........................................................................................................................
170,000 CS First Boston Mortgage Securities
Corp. 8.18s, 2009 165,803
........................................................................................................................
488,074 DLJ Commercial Mortgage Corp.
Ser. 98-CG1, Class A1A, 6.11s, 2007 466,263
........................................................................................................................
Fannie Mae
........................................................................................................................
2,339,102 252, Class 2, 3.195s, 2023 726,584
........................................................................................................................
385,000 Ser. 96-5, Class SW, 12.684s, 2018 134,389
........................................................................................................................
1,915 Ser. 92-184, Class J, 11.46s, 2022 74,847
........................................................................................................................
1,609 Ser. 92-181, Class PJ, 10.07s, 2022 54,670
........................................................................................................................
435,000 Ser. 00-4, Class SX, 6.998s, 2023 408,832
........................................................................................................................
614,598 Ser. 97-23, Class SH, 4.74s, 2023 145,199
........................................................................................................................
670,543 Ser. 97-91, IO, Class SL, 4.15s, 2023 57,939
........................................................................................................................
954,262 Ser. 97-92, Class SM, 3.256s, 2022 76,043
........................................................................................................................
788,467 Ser. 99-51, Class S, 2.54s, 2029 56,671
........................................................................................................................
923,153 Ser. 98-66, IO, Class SB, 2.02s, 2028 42,263
........................................................................................................................
Fannie Mae Strip
........................................................................................................................
628,437 Ser. 203, IO, Class 2, 4.371s, 2023 189,317
........................................................................................................................
643,933 Ser. 218, Class 2, 3.104s, 2023 197,003
........................................................................................................................
543,722 Ser. 276, Class 2, 2.855s, 2024 162,947
........................................................................................................................
353,852 Ser. 237, IO, Class 2, 8s, 2023 106,819
........................................................................................................................
710,342 Ser. 251, IO, Class 2, 4.371s, 2023 213,991
........................................................................................................................
485,913 Ser. 304, Class 2, 6s, 2028 140,459
........................................................................................................................
87,951 Ser. 301, PO, zero %, 2029 54,475
........................................................................................................................
Freddie Mac
........................................................................................................................
565,000 Ser. 2028, Class SG, 6.78s, 2023 278,086
........................................................................................................................
40,453 Ser. 2113, Class ZM, 6 1/2s, 2028 32,804
........................................................................................................................
7,936 Freddie Mac Strip Ser. 180, 2026 (PO) 5,394
........................................................................................................................
70,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 65,100
........................................................................................................................
General Growth Properties-Homart
........................................................................................................................
60,000 Ser. 99-C1, Class G, 8.089s, 2003 60,136
........................................................................................................................
70,000 Ser. 99-C1, Class F, 7.839s, 2003 70,159
........................................................................................................................
1,955,000 GMAC Commercial Mortgage
Securities Inc. 6.175s, 2033 1,796,737
........................................................................................................................
Government National
Mortgage Association
........................................................................................................................
204,348 Ser. 99-30, Class SG, 15.39s, 2025 186,851
........................................................................................................................
1,026,226 Ser. 00-17, Class SB, 13.2s, 2026 991,940
........................................................................................................................
1,452,957 Ser 99-46, IO, class SQ 1.824s, 2027 69,015
........................................................................................................................
160,000 LB Commercial Conduit Mortgage Trust
Ser. 99-C2, Class B, 7.425s, 2009 157,296
........................................................................................................................
Merrill Lynch Mortgage Investors, Inc.
........................................................................................................................
160,000 6.96s, 2028 137,200
........................................................................................................................
275,089 Ser. 98-C2, Class A1, 6.22s, 2030 265,590
........................................................................................................................
3,565,914 Ser. 98-C2, Class IO, 1.076s, 2030 247,385
........................................................................................................................
377,483 Morgan Stanley Dean Witter Capital I
Ser. 98-HF1, Class A1, 6.19s, 2007 364,138
........................................................................................................................
85,000 Morgan Stanley Dean Witter Capital 1
Ser. 00, Class B, 7.638s, 2010 84,987
........................................................................................................................
221,203 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A1, 6.417s, 2007 213,711
........................................................................................................................
860,000 PNC Mortgage Acceptance Corp.
Ser. 00-C1 Class A2 7.61s, 2010 861,243
........................................................................................................................
365,000 Salomon Brothers Mortgage Securities
Ser. 00-C1 Class A2 7.52s, 2009 363,577
........................................................................................................................
405,854 TIAA Retail Commercial Mortgage Trust
Ser. 99-1, Class A, 7.17s, 2032 399,639
------------------------------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $11,700,193) $11,921,249
------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$470,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 (Canada) $421,458
........................................................................................................................
695,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) 622,338
------------------------------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $1,132,610) $1,043,796
------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$165,000 Advanta Mortgage Loan Trust
Ser. 00-1, Class A4, 8.61s, 2028 $168,856
........................................................................................................................
460,000 Ford Credit Auto Owner Trust 2000-c
A3 7.13s, 2002 459,856
........................................................................................................................
360,000 Mach One CDO, Ltd. Ser. 00-1, Class
A, 6.7s, 2030 334,013
------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $949,062) $962,725
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
190 Centaur Funding Corp 144A 9.08% pfd.
(Cayman Islands) $195,698
........................................................................................................................
140 Fresenius Medical Capital Trust II 7.875%
company guaranty, pfd. (Germany) 125,300
........................................................................................................................
330 Webster Preferred Capital Corp.
Ser. A, 7.375% cum. pfd. 325,050
------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $648,325) $646,048
------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.1%) (a) (cost $401,201)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Rating (RAT) Value
........................................................................................................................
$425,000 Mashantucket Western Pequot
Tribe 144A, 6.57s, 9/1/13 Aaa $369,793
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (10.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$12,005,000 Interest in $392,215 joint repurchase
agreement dated June 30, 2000 with
J.P. Morgan, NY due July 3, 2000 with
respect to various U.S. Treasury
obligations -- maturity value of
$12,011,453 for an effective
yield of 6.45% $12,005,000
........................................................................................................................
12,000,000 Interest in 275,000 joint tri-party
repurchase agreement dated
June 30, 2000 with Warburg Securities
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $12,006,600 for an effective
yield of 6.60% 12,000,000
........................................................................................................................
12,000,000 Interest in $405,205 joint tri-party
repurchase agreement dated June 30,
2000 with Goldman Sachs & Co. due
July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $12,006,500 for an effective
yield of 6.50% 12,000,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $36,005,000) $36,005,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $349,957,196) (b) $345,434,589
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Long) $2,936,200 $2,937,655 Sep-00 $(1,455)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Global Asset Allocation Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (59.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.5%)
........................................................................................................................
19,600 FreeShop.com, Inc. (NON) $116,375
........................................................................................................................
28,240 Havas Advertising SA (France) 648,212
........................................................................................................................
5,300 Interep National Radio Sales, Inc. (NON) 28,156
........................................................................................................................
47,600 Interpublic Group Cos., Inc. 2,046,800
........................................................................................................................
13,900 L90, Inc. (NON) 145,950
........................................................................................................................
11,200 Omnicom Group, Inc. 997,500
........................................................................................................................
905 Publicis S.A. (France) 356,482
........................................................................................................................
46,079 WPP Group PLC (United Kingdom) 672,996
------------------------------------------------------------------------------------------------------------------------
5,012,471
------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense (0.4%)
........................................................................................................................
14,600 Aeroflex, Inc. (NON) 725,438
........................................................................................................................
3,700 Anaren Microwave, Inc. (NON) 485,567
........................................................................................................................
34,960 Boeing Co. 1,461,765
........................................................................................................................
11,700 Signal Technology Corp. (NON) 292,500
........................................................................................................................
8,395 United Technologies Corp. 494,256
------------------------------------------------------------------------------------------------------------------------
3,459,526
------------------------------------------------------------------------------------------------------------------------
Airlines (--%)
........................................................................................................................
14,489 Deutsche Lufthansa AG (Germany) 340,213
------------------------------------------------------------------------------------------------------------------------
Automotive (0.1%)
........................................................................................................................
31,604 Bayerische Motoren Werke (BMW)
AG (Germany) 957,141
------------------------------------------------------------------------------------------------------------------------
Banking (3.3%)
........................................................................................................................
51,900 Banca Intesa SpA (Italy) 233,285
........................................................................................................................
18,170 Banco de Bilbao Vizcaya (BBV) (Spain) (NON) 272,531
........................................................................................................................
71,435 Bank of America Corp. 3,071,705
........................................................................................................................
3,800 Bank of New York Company, Inc. 176,700
........................................................................................................................
18,289 Bank of Nova Scotia (Canada) 448,211
........................................................................................................................
78,755 Bank One Corp. 2,091,930
........................................................................................................................
107,800 Charter One Financial, Inc. 2,479,400
........................................................................................................................
22,500 Chase Manhattan Corp. 1,036,406
........................................................................................................................
44,205 Comerica, Inc. 1,983,699
........................................................................................................................
24,001 DBS Group Holdings, Ltd. (Singapore) 308,257
........................................................................................................................
27,200 Fifth Third Bancorp 1,720,400
........................................................................................................................
31,970 First Union Corp. 793,256
........................................................................................................................
67,104 Firstar Corp. 1,413,378
........................................................................................................................
82,354 FleetBoston Financial Corp. 2,800,036
........................................................................................................................
57,000 Keppel Bank (Singapore) 96,951
........................................................................................................................
15,148 Morgan (J.P.) & Co., Inc. 1,668,174
........................................................................................................................
71,455 National City Corp. 1,219,201
........................................................................................................................
8,800 Northern Trust Corp. 572,550
........................................................................................................................
23,000 Overseas-Chinese Banking Corp.
(Singapore) 158,345
........................................................................................................................
52,127 PNC Bank Corp. 2,443,453
........................................................................................................................
36,900 Royal Bank of Scotland Group PLC 617,681
........................................................................................................................
1,700 State Street Corp. 180,306
........................................................................................................................
21,000 Svenska Handelsbanken (Sweden) 306,639
........................................................................................................................
52,790 Wells Fargo Co. 2,045,613
........................................................................................................................
51,600 Zions Bancorp 2,367,956
------------------------------------------------------------------------------------------------------------------------
30,506,063
------------------------------------------------------------------------------------------------------------------------
Beverage (1.0%)
........................................................................................................................
11,700 Anheuser-Busch Cos., Inc. 873,844
........................................................................................................................
68,000 Coca-Cola Co. 3,905,750
........................................................................................................................
62,100 Coca-Cola Enterprises, Inc. 1,013,006
........................................................................................................................
46,138 Diageo PLC (United Kingdom) 414,091
........................................................................................................................
76,250 PepsiCo, Inc. 3,388,359
------------------------------------------------------------------------------------------------------------------------
9,595,050
------------------------------------------------------------------------------------------------------------------------
Biotechnology (0.7%)
........................................................................................................................
3,500 Albany Molecular Research, Inc. (NON) 190,531
........................................................................................................................
38,500 Amgen, Inc. (NON) 2,704,625
........................................................................................................................
8,300 Cephalon, Inc. (NON) 496,963
........................................................................................................................
10,500 Genentech, Inc. (NON) 1,806,000
........................................................................................................................
9,200 IDEXX Laboratories, Inc. (NON) 210,450
........................................................................................................................
4,800 ILEX Oncology, Inc. (NON) 169,200
........................................................................................................................
3,400 Maxim Pharmaceuticals, Inc. (NON) 174,675
........................................................................................................................
12,000 Neurocrine Biosciences, Inc. (NON) 426,750
........................................................................................................................
5,200 OraPharma, Inc. (NON) 52,000
........................................................................................................................
2,800 Trimeris, Inc. (NON) 195,825
------------------------------------------------------------------------------------------------------------------------
6,427,019
------------------------------------------------------------------------------------------------------------------------
Broadcasting (1.0%)
........................................................................................................................
11,900 Ackerly Group, Inc. 139,825
........................................................................................................................
8,500 Acme Communications, Inc. (NON) 155,125
........................................................................................................................
12,300 Citadel Communications Corp. (NON) 429,731
........................................................................................................................
37,600 Clear Channel Communications, Inc. (NON) 2,820,000
........................................................................................................................
15,700 Echostar Communications Corp. Class A (NON) 519,817
........................................................................................................................
4,409 Grupo Televisa S.A. GDR (Mexico) (NON) 303,945
........................................................................................................................
40,022 Mediaset SpA (Italy) 613,713
........................................................................................................................
21,340 News Corp., Ltd. ADR (Australia) 1,163,030
........................................................................................................................
1,220 Nippon Television Network Corp. (Japan) 795,803
........................................................................................................................
17,800 Pegasus Communications Corp. (NON) 873,313
........................................................................................................................
17,800 Radio One, Inc., Class D (NON) 392,713
........................................................................................................................
8,900 Radio One, Inc., Class A (NON) 263,106
........................................................................................................................
17,100 Regent Communications, Inc. (NON) 146,953
........................................................................................................................
11,100 SAGA Communications, Inc. Class A (NON) 244,200
........................................................................................................................
8,800 Salem Communications Corp. Class A (NON) 81,675
........................................................................................................................
11,280 Societe Television Francaise (France) 789,185
........................................................................................................................
1,700 Spanish Broadcasting System, Inc. (NON) 27,200
------------------------------------------------------------------------------------------------------------------------
9,759,334
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.7%)
........................................................................................................................
31,800 Adelphia Communications Corp. ClassA (NON) 1,490,625
........................................................................................................................
172,592 AT&T Corp. - Liberty Media Group
Class A (NON) 4,185,356
........................................................................................................................
3,500 Classic Communications, Inc. (NON) 31,281
........................................................................................................................
11,700 General Motors Corp. Class H (NON) 1,026,677
------------------------------------------------------------------------------------------------------------------------
6,733,939
------------------------------------------------------------------------------------------------------------------------
Chemicals (0.8%)
........................................................................................................................
24,161 Akzo-Nobel NV (Netherlands) (NON) 1,030,438
........................................................................................................................
22,700 Avery Dennison Corp. 1,523,738
........................................................................................................................
43,930 BOC Group PLC (NON) 631,637
........................................................................................................................
1,231 Clariant AG (Switzerland) 458,899
........................................................................................................................
31,365 Dow Chemical Co. 946,831
........................................................................................................................
30,273 du Pont (E.I.) de Nemours & Co., Ltd. 1,324,444
........................................................................................................................
26,900 Praxair, Inc. 1,007,069
........................................................................................................................
16,500 Rohm & Haas Co. 569,250
------------------------------------------------------------------------------------------------------------------------
7,492,306
------------------------------------------------------------------------------------------------------------------------
Combined Utilities (--%)
........................................................................................................................
8,530 Korea Electric Power Corp. (South Korea) 264,722
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.3%)
........................................................................................................................
2,500 Asatsu, Inc. (Japan) 102,808
........................................................................................................................
12,500 CoStar Group, Inc. (NON) 313,281
........................................................................................................................
14,000 Hall, Kinion & Associates, Inc. (NON) 466,375
........................................................................................................................
10,200 Macrovision Corp. (NON) 652,003
........................................................................................................................
10,300 ProBusiness Services, Inc. (NON) 273,594
........................................................................................................................
7,900 Professional Detailing, Inc. (NON) 269,094
........................................................................................................................
167,370 Service Corp. International 533,492
........................................................................................................................
10,600 SkillSoft Corp. (NON) 149,725
------------------------------------------------------------------------------------------------------------------------
2,760,372
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (3.6%)
........................................................................................................................
18,500 Ancor Communications, Inc. (NON) 661,664
........................................................................................................................
8,800 Brocade Communications Systems (NON) 1,614,663
........................................................................................................................
7,800 California Amplifier, Inc. (NON) 356,850
........................................................................................................................
120,600 Cisco Systems, Inc. (NON) 7,665,638
........................................................................................................................
14,800 Comverse Technology, Inc. (NON) 1,376,400
........................................................................................................................
12,900 Corning, Inc. 3,481,388
........................................................................................................................
6,000 Crossroads Systems, Inc. (NON) 151,500
........................................................................................................................
9,700 Natural Microsystems Corp. (NON) 1,090,644
........................................................................................................................
49,271 Nokia Oyj AB Class A, (Finland) 2,523,980
........................................................................................................................
113,800 Nortel Networks Corp. (Canada) 7,766,850
........................................................................................................................
26,486 Nortel Networks Corp. (Canada) 1,836,394
........................................................................................................................
8,100 Powerwave Technologies, Inc. (NON) 356,400
........................................................................................................................
8,100 Proxim, Inc. (NON) 801,647
........................................................................................................................
11,200 SeaChange International, Inc. (NON) 323,400
........................................................................................................................
10,900 SpectraLink Corp. (NON) 159,413
........................................................................................................................
58,302 Telefonaktiebolaget LM Ericsson
Class B (Sweden) 1,160,586
........................................................................................................................
21,700 Tellabs, Inc. (NON) 1,485,094
........................................................................................................................
9,300 Tollgrade Communications, Inc. (NON) 1,232,250
------------------------------------------------------------------------------------------------------------------------
34,044,761
------------------------------------------------------------------------------------------------------------------------
Computers (3.4%)
........................................................................................................................
55,000 Apple Computer, Inc. (NON) 2,880,625
........................................................................................................................
9,050 Cybex Computer Products Corp. (NON) 383,494
........................................................................................................................
47,400 Dell Computer Corp. (NON) 2,337,413
........................................................................................................................
43,800 EMC Corp. (NON) 3,369,863
........................................................................................................................
49,900 Fujitsu Ltd. (Japan) 1,731,263
........................................................................................................................
25,200 Gateway, Inc. (NON) 1,430,100
........................................................................................................................
50,465 Hewlett-Packard Co. 6,301,817
........................................................................................................................
32,440 IBM Corp. 3,554,208
........................................................................................................................
35,600 Lexmark International Group, Inc.
Class A (NON) 2,394,100
........................................................................................................................
5,200 McAfee.com Corp. (NON) 135,525
........................................................................................................................
2,400 Mobility Electronics, Inc. (NON) 28,800
........................................................................................................................
12,860 NCR Corp. (NON) 500,736
........................................................................................................................
59,641 NEC Corp. (Japan) 1,877,524
........................................................................................................................
20,700 Parametric Technology Corp. (NON) 227,700
........................................................................................................................
11,615 Seagate Technology, Inc. (NON) 638,825
........................................................................................................................
600 Sharp Corp. (Japan) 10,635
........................................................................................................................
1,600 Spyglass, Inc. (NON) 50,100
........................................................................................................................
35,500 Sun Microsystems, Inc. (NON) 3,228,281
........................................................................................................................
44,000 Toshiba Corp. 497,901
........................................................................................................................
11,800 Universal Electronics, Inc. (NON) 289,838
........................................................................................................................
11,400 Vertel Corp. (NON) 199,500
------------------------------------------------------------------------------------------------------------------------
32,068,248
------------------------------------------------------------------------------------------------------------------------
Conglomerates (3.1%)
........................................................................................................................
112,479 Aegis Group PLC (United Kingdom) 331,111
........................................................................................................................
282,800 General Electric Co. 14,988,400
........................................................................................................................
17,760 Honeywell International, Inc. 598,290
........................................................................................................................
76,616 Investor AB (Sweden) 1,053,186
........................................................................................................................
14,985 Smiths Industries PLC (United Kingdom) 195,046
........................................................................................................................
36,300 Sumitomo Corp. (Japan) 409,396
........................................................................................................................
233,011 Tyco International, Ltd. 11,038,896
------------------------------------------------------------------------------------------------------------------------
28,614,325
------------------------------------------------------------------------------------------------------------------------
Construction (0.2%)
........................................................................................................................
46,807 CRH PLC (Ireland) (NON) 847,845
........................................................................................................................
16,600 CSR, Ltd. (Australia) 46,222
........................................................................................................................
7,174 Lafarge Coppee (France) 559,671
------------------------------------------------------------------------------------------------------------------------
1,453,738
------------------------------------------------------------------------------------------------------------------------
Consumer (--%)
........................................................................................................................
30,600 Williams PLC 178,305
------------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals (0.1%)
........................................................................................................................
6,500 Sony Corp. (Japan) 608,338
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.9%)
........................................................................................................................
12,800 Avon Products, Inc. 569,600
........................................................................................................................
28,000 Colgate-Palmolive Co. 1,676,500
........................................................................................................................
36,300 Estee Lauder Cos. Class A 1,794,581
........................................................................................................................
64,150 Kimberly-Clark Corp. 3,680,606
........................................................................................................................
33,000 Shiseido Co., Ltd. (Japan) 511,628
........................................................................................................................
8,600 Yankee Candle Company, Inc. (The) (NON) 185,975
------------------------------------------------------------------------------------------------------------------------
8,418,890
------------------------------------------------------------------------------------------------------------------------
Consumer Services (--%)
........................................................................................................................
8,300 Hotel Reservations Network, Inc.
Class A (NON) 246,925
........................................................................................................................
3,700 Multex.com, Inc. (NON) 93,194
------------------------------------------------------------------------------------------------------------------------
340,119
------------------------------------------------------------------------------------------------------------------------
Distribution (0.2%)
........................................................................................................................
5,900 Black Box Corp. (NON) 467,114
........................................................................................................................
24,200 SYSCO Corp. 1,019,425
------------------------------------------------------------------------------------------------------------------------
1,486,539
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (1.3%)
........................................................................................................................
68,245 CiNergy Corp. 1,735,982
........................................................................................................................
35,400 CP&L, Inc. 1,130,588
........................................................................................................................
42,245 Dominion Resources, Inc. 1,811,254
........................................................................................................................
69,872 Edison International 1,432,376
........................................................................................................................
77,980 Entergy Corp. 2,120,081
........................................................................................................................
6,000 Hongkong Electric Holdings, Ltd.
(Hong Kong) 19,321
........................................................................................................................
21,740 Iberdrola SA (Spain) (NON) 281,281
........................................................................................................................
35,700 NiSource, Inc. 664,913
........................................................................................................................
51,900 Reliant Energy, Inc. 1,534,294
........................................................................................................................
79,842 Scottish Power PLC (United Kingdom) 676,709
........................................................................................................................
32,720 TXU Corp. 965,240
------------------------------------------------------------------------------------------------------------------------
12,372,039
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (0.4%)
........................................................................................................................
2,360 ABB AG (Switzerland) 283,458
........................................................................................................................
690 ABB, Ltd. (Switzerland) 80,445
........................................................................................................................
33,110 Emerson Electric Co. 1,999,016
........................................................................................................................
18,100 Manufacturers' Services, Ltd. (NON) 372,181
........................................................................................................................
32,220 Rockwell International Corp. 1,014,930
........................................................................................................................
83,495 Siebe PLC (United Kingdom) 313,397
........................................................................................................................
2,100 Therma-Wave, Inc. (NON) 46,856
------------------------------------------------------------------------------------------------------------------------
4,110,283
------------------------------------------------------------------------------------------------------------------------
Electronics (4.6%)
........................................................................................................................
26,300 Act Manufacturing, Inc. (NON) 1,221,306
........................................................................................................................
12,344 Agilent Technologies, Inc. (NON) 910,371
........................................................................................................................
8,000 Alpha Industries, Inc. (NON) 352,500
........................................................................................................................
4,500 American Superconductor Corp. (NON) 217,125
........................................................................................................................
11,450 ANADIGICS, Inc. (NON) 390,016
........................................................................................................................
11,200 ARM Holdings PLC (United Kingdom) (NON) 120,015
........................................................................................................................
12,700 Aware, Inc. (NON) 649,288
........................................................................................................................
6,000 Benchmark Electronics, Inc. (NON) 219,375
........................................................................................................................
4,600 Broadcom Corp. (NON) 1,007,113
........................................................................................................................
4,800 Centillium Communications, Inc. (NON) 331,200
........................................................................................................................
10,700 Exar Corp. (NON) 932,906
........................................................................................................................
20,300 Integrated Silicon Solutions, Inc. (NON) 771,400
........................................................................................................................
96,400 Intel Corp. 12,887,475
........................................................................................................................
26,300 JDS Uniphase Corp. (NON) 3,152,713
........................................................................................................................
5,600 Keithley Instruments, Inc. 487,900
........................................................................................................................
8,600 Kent Electronics Corp. (NON) 256,388
........................................................................................................................
5,500 Kyocera Corp. (Japan) 935,385
........................................................................................................................
49,700 Linear Technology Corp. 3,177,694
........................................................................................................................
19,400 LSI Logic Corp. (NON) 1,050,025
........................................................................................................................
11,100 Micrel, Inc. (NON) 482,156
........................................................................................................................
30,270 Motorola, Inc. 879,722
........................................................................................................................
6,800 Nanometrics, Inc. (NON) 280,075
........................................................................................................................
7,700 Oak Technology, Inc. (NON) 166,031
........................................................................................................................
5,300 Power Integrations, Inc. 124,881
........................................................................................................................
19,400 PSi Technologies Holdings, Inc. ADR
(Philippines) (NON) 402,550
........................................................................................................................
300 Rohm Co., Ltd. (Japan) 87,918
........................................................................................................................
5,181 Samsung Electronics Co. (South Korea) 1,714,763
........................................................................................................................
26,500 SCI Systems, Inc. (NON) 1,038,469
........................................................................................................................
20,600 Sipex Corp. (NON) 570,363
........................................................................................................................
567 Swatch Group AG Class B
(The) (Switzerland) 723,399
........................................................................................................................
628 Swatch Group AG (The) (Switzerland) 164,379
........................................................................................................................
128,480 Taiwan Semiconductor
Manufacturing Co. (Taiwan) 610,019
........................................................................................................................
46,800 Texas Instruments, Inc. 3,214,575
........................................................................................................................
800 TranSwitch Corp. (NON) 61,750
........................................................................................................................
10,800 Trimble Navigation, Ltd. (NON) 527,175
........................................................................................................................
2,000 Venture Manufacturing, Ltd. (Singapore) 20,364
........................................................................................................................
10,705 W W Grainger 329,848
........................................................................................................................
24,100 Xilinx, Inc. (NON) 1,989,756
........................................................................................................................
14,700 Zoran Corp. (NON) 969,281
------------------------------------------------------------------------------------------------------------------------
43,427,669
------------------------------------------------------------------------------------------------------------------------
Energy (0.1%)
........................................................................................................................
14,100 Halliburton Co. 665,344
........................................................................................................................
7,420 Schlumberger, Ltd. 553,718
------------------------------------------------------------------------------------------------------------------------
1,219,062
------------------------------------------------------------------------------------------------------------------------
Engineering & Construction (0.2%)
........................................................................................................................
1,645 Bouygues S.A. (France) 1,103,598
........................................................................................................................
15,850 Dycom Industries, Inc. (NON) 729,100
........................................................................................................................
11,300 Insituform Technologies, Inc. (NON) 306,513
------------------------------------------------------------------------------------------------------------------------
2,139,211
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.8%)
........................................................................................................................
103,304 Viacom, Inc. Class B (NON) 7,044,042
------------------------------------------------------------------------------------------------------------------------
Financial (1.7%)
........................................................................................................................
104,400 American Express Co. 5,441,850
........................................................................................................................
25,250 Associates First Capital Corp. 563,391
........................................................................................................................
109,450 Citigroup, Inc. 6,594,363
........................................................................................................................
40,900 Fannie Mae 2,134,469
........................................................................................................................
198 Julius Baer Holdings AG (Switzerland) 785,618
------------------------------------------------------------------------------------------------------------------------
15,519,691
------------------------------------------------------------------------------------------------------------------------
Food (0.5%)
........................................................................................................................
33,135 General Mills, Inc. 1,267,414
........................................................................................................................
3,822 Groupe Danone (France) 509,158
........................................................................................................................
11,600 Hain Celestial Group, Inc. (NON) 425,575
........................................................................................................................
497 Nestle S.A. (Switzerland) 998,219
........................................................................................................................
18,695 Quaker Oats Co. (The) 1,404,462
------------------------------------------------------------------------------------------------------------------------
4,604,828
------------------------------------------------------------------------------------------------------------------------
Health Care Services (1.5%)
........................................................................................................................
12,900 Accredo Health, Inc. (NON) 445,856
........................................................................................................................
4,100 Allscripts, Inc. (NON) 94,300
........................................................................................................................
66,475 Baxter International, Inc. 4,674,023
........................................................................................................................
36,565 CIGNA Corp. 3,418,828
........................................................................................................................
8,800 Invitrogen Corp. (NON) 661,788
........................................................................................................................
8,900 LifePoint Hospitals, Inc. (NON) 198,025
........................................................................................................................
51,775 Mallinckrodt, Inc. 2,248,977
........................................................................................................................
15,100 On Assignment, Inc. (NON) 460,550
........................................................................................................................
20,600 Province Healthcare Co. (NON) 744,175
........................................................................................................................
21,800 RehabCare Group, Inc. (NON) 594,050
........................................................................................................................
25,600 Sun Life Financial Services of
Canada, Inc. (Canada) (NON) 431,218
------------------------------------------------------------------------------------------------------------------------
13,971,790
------------------------------------------------------------------------------------------------------------------------
Insurance (1.9%)
........................................................................................................................
700 Alleanza Assicurazioni (Italy) 9,359
........................................................................................................................
1,496 Allianz AG (Germany) 544,831
........................................................................................................................
24,350 American General Corp. 1,485,350
........................................................................................................................
75,885 American International Group, Inc. 8,916,488
........................................................................................................................
9,121 Axa S.A. (France) 1,442,358
........................................................................................................................
33,484 Internationale Nederlanden Groep
(ING) (Netherlands) 2,272,047
........................................................................................................................
13,305 Jefferson-Pilot Corp. 750,901
........................................................................................................................
34,085 Lincoln National Corp. 1,231,321
........................................................................................................................
465 Swiss Reinsurance Co. (Switzerland) 951,110
------------------------------------------------------------------------------------------------------------------------
17,603,765
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (1.0%)
........................................................................................................................
24,495 Merrill Lynch & Co., Inc. 2,816,925
........................................................................................................................
17,800 Morgan Stanley, Dean Witter,
Discover and Co. 1,481,850
........................................................................................................................
159,000 Nikko Securities Co., Ltd. (Japan) 1,578,276
........................................................................................................................
11,000 Nomura Securities Co., Ltd. (Japan) 269,853
........................................................................................................................
30,200 Paine Webber Group, Inc. 1,374,100
........................................................................................................................
56,850 Schwab (Charles) Corp. 1,911,581
------------------------------------------------------------------------------------------------------------------------
9,432,585
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.2%)
........................................................................................................................
140,606 Granada Group PLC (United Kingdom) 1,404,527
------------------------------------------------------------------------------------------------------------------------
Machinery (0.1%)
........................................................................................................................
13,000 Caterpillar, Inc. 440,375
........................................................................................................................
13,653 Sandvik AB (Sweden) (NON) 288,137
------------------------------------------------------------------------------------------------------------------------
728,512
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
........................................................................................................................
12,600 GSI Lumonics, Inc. (Canada) (NON) 442,575
........................................................................................................................
7,529 SKF Corp. AB (Sweden) (NON) 120,244
------------------------------------------------------------------------------------------------------------------------
562,819
------------------------------------------------------------------------------------------------------------------------
Media (0.5%)
........................................................................................................................
74,204 Carlton Communications PLC (United
Kingdom) 954,616
........................................................................................................................
64,227 EMI Group PLC (United Kingdom) 583,245
........................................................................................................................
6,500 Seagram Co., Ltd. 377,000
........................................................................................................................
38,100 Time Warner, Inc. 2,895,600
------------------------------------------------------------------------------------------------------------------------
4,810,461
------------------------------------------------------------------------------------------------------------------------
Medical Technology (0.6%)
........................................................................................................................
24,100 Allergan, Inc. 1,795,450
........................................................................................................................
6,600 ArthroCare Corp. (NON) 351,450
........................................................................................................................
19,245 Bausch & Lomb, Inc. 1,489,082
........................................................................................................................
2,600 Igen, Inc. (NON) 43,063
........................................................................................................................
3,900 Molecular Devices Corp. (NON) 269,831
........................................................................................................................
16,300 PE Corp. 1,073,763
........................................................................................................................
13,500 ResMed, Inc. (NON) 361,125
........................................................................................................................
2,900 Sonic Innovations, Inc. (NON) 53,831
........................................................................................................................
12,000 St. Jude Medical, Inc. (NON) 549,567
------------------------------------------------------------------------------------------------------------------------
5,987,162
------------------------------------------------------------------------------------------------------------------------
Metals (0.1%)
........................................................................................................................
30,460 Alcoa, Inc. 883,340
........................................................................................................................
580 Pohang Iron & Steel Company, Ltd.
(South Korea) 49,952
........................................................................................................................
7,890 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 189,360
------------------------------------------------------------------------------------------------------------------------
1,122,652
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (0.6%)
........................................................................................................................
27,985 El Paso Energy Corp. 1,425,486
........................................................................................................................
52,300 Enron Corp. 3,373,350
........................................................................................................................
12,000 Hong Kong and China Gas Co., Ltd.
(Hong Kong) 13,471
........................................................................................................................
26,785 Williams Cos., Inc. 1,116,600
------------------------------------------------------------------------------------------------------------------------
5,928,907
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (--%)
........................................................................................................................
9,300 Daisytek International Corp. (NON) 87,769
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (3.8%)
........................................................................................................................
23,500 Anadarko Petroleum Corp. 1,158,844
........................................................................................................................
20,600 Apache Corp. 1,211,538
........................................................................................................................
33,400 BP Amoco PLC ADR (United Kingdom) 1,889,188
........................................................................................................................
170,654 British Petroleum Co. PLC
(United Kingdom) 1,637,526
........................................................................................................................
122,140 Conoco, Inc. 2,687,080
........................................................................................................................
65,000 Conoco, Inc. Class B 1,596,563
........................................................................................................................
171,700 Ente Nazionale Idrocarburi (ENI)
SpA (Italy) 995,572
........................................................................................................................
114,218 ExxonMobil Corp. 8,966,113
........................................................................................................................
25,400 Pinnacle Holdings, Inc. (NON) 1,371,600
........................................................................................................................
90,035 Royal Dutch Petroleum Co.
PLC ADR (Netherlands) 5,542,780
........................................................................................................................
333,194 Shell Transportation & Trading
(United Kingdom) (NON) 2,781,154
........................................................................................................................
7,600 Suncor Energy, Inc. (Canada) (NON) 175,479
........................................................................................................................
44,900 Tosco Corp. 1,271,231
........................................................................................................................
25,699 Total Fina Elf S.A. Class B, (France) 3,955,565
------------------------------------------------------------------------------------------------------------------------
35,240,233
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.3%)
........................................................................................................................
23,110 Boise Cascade Corp. 597,971
........................................................................................................................
34,710 Owens-Illinois, Inc. (NON) 405,673
........................................................................................................................
13,400 Sealed Air Corp. (NON) 701,825
........................................................................................................................
32,295 Smurfit-Stone Container Corp. (NON) 415,798
........................................................................................................................
22,722 Stora Enso Oyj Class A (Finland) 207,968
........................................................................................................................
1,729 Stora Enso Oyj Class R (Finland) 15,908
........................................................................................................................
18,775 Weyerhaeuser Co. 807,325
------------------------------------------------------------------------------------------------------------------------
3,152,468
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (5.5%)
........................................................................................................................
47,695 Abbott Laboratories 2,125,408
........................................................................................................................
73,875 American Home Products Corp. 4,340,156
........................................................................................................................
25,500 Anesta Corp. (NON) 634,313
........................................................................................................................
6,900 Angiotech Pharmaceuticals, Inc. (Canada) (NON) 288,075
........................................................................................................................
1,372 Ares-Serono Group Class B, (Switzerland) 1,147,835
........................................................................................................................
25,036 Aventis S.A. (France) 1,834,380
........................................................................................................................
76,590 Bristol-Myers Squibb Co. 4,461,368
........................................................................................................................
13,800 ChiRex, Inc. (NON) 276,000
........................................................................................................................
13,000 Eisai Co., Ltd. (Japan) 417,848
........................................................................................................................
7,200 Elan Corp. PLC ADR (Ireland) (NON) 348,750
........................................................................................................................
14,001 Elan Corp. PLC (Ireland) (NON) 655,497
........................................................................................................................
3,600 Fujisawa Pharmaceutical Co. (Japan) 146,001
........................................................................................................................
58,200 Johnson & Johnson 5,929,125
........................................................................................................................
18,300 Lilly (Eli) & Co. 1,827,713
........................................................................................................................
4,600 Medicis Pharmaceutical Corp. Class A (NON) 262,200
........................................................................................................................
58,735 Merck & Co., Inc. 4,500,569
........................................................................................................................
198,550 Pfizer, Inc. 9,530,400
........................................................................................................................
88,575 Pharmacia Corp. 4,578,220
........................................................................................................................
11,000 Priority Healthcare Corp. Class B (NON) 817,438
........................................................................................................................
23,059 Sanofi-Synthelabo SA (France) 1,102,777
........................................................................................................................
109,900 Schering-Plough Corp. 5,549,950
........................................................................................................................
17,099 Zeneca Group PLC (United Kingdom) 798,378
------------------------------------------------------------------------------------------------------------------------
51,572,401
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (--%)
........................................................................................................................
7,800 T/R Systems, Inc. (NON) 49,725
------------------------------------------------------------------------------------------------------------------------
Publishing (0.4%)
........................................................................................................................
20,276 EMAP PLC (United Kingdom) 326,211
........................................................................................................................
9,700 Gannett Co., Inc. 580,181
........................................................................................................................
8,100 Information Holdings, Inc. (NON) 299,700
........................................................................................................................
1,000 Singapore Press Holdings, Ltd.
(Singapore) 15,620
........................................................................................................................
45,600 Tribune Co. 1,596,000
........................................................................................................................
23,623 Wolters Kluwer NV (Netherlands) 631,664
------------------------------------------------------------------------------------------------------------------------
3,449,376
------------------------------------------------------------------------------------------------------------------------
Railroads (0.1%)
........................................................................................................................
46,258 Burlington Northern Santa Fe Corp. 1,061,043
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.1%)
........................................................................................................................
92,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 1,017,986
------------------------------------------------------------------------------------------------------------------------
Regional Bells (1.3%)
........................................................................................................................
71,015 Bell Atlantic Corp. 3,608,450
........................................................................................................................
33,895 GTE Corp. 2,109,964
........................................................................................................................
148,388 SBC Communications, Inc. (SEG) 6,417,781
------------------------------------------------------------------------------------------------------------------------
12,136,195
------------------------------------------------------------------------------------------------------------------------
Restaurants (--%)
........................................................................................................................
130 AmeriKing, Inc. (NON) 1,300
........................................................................................................................
4,500 Applebee's International, Inc. 136,406
........................................................................................................................
4,900 P.F. Chang's China Bistro, Inc. (NON) 156,494
------------------------------------------------------------------------------------------------------------------------
294,200
------------------------------------------------------------------------------------------------------------------------
Retail (2.6%)
........................................................................................................................
7,266 99 Cents Only Stores (NON) 289,732
........................................................................................................................
22,000 Bulgari SpA (Italy) 295,187
........................................................................................................................
12,500 Cost Plus, Inc. (NON) 358,594
........................................................................................................................
85,700 CVS Corp. 3,428,000
........................................................................................................................
12,077 Factory 2-U Stores, Inc. (NON) 456,662
........................................................................................................................
21,960 Federated Department Stores, Inc. (NON) 741,150
........................................................................................................................
9,912 Gucci Group NV (Netherlands) 939,162
........................................................................................................................
77,900 Home Depot, Inc. (The) 3,890,131
........................................................................................................................
16,300 Kohls Corp. (NON) 906,688
........................................................................................................................
17,543 Koninklijke Ahold NV (Netherlands) 518,351
........................................................................................................................
9,000 Linens 'N Things, Inc. (NON) 244,125
........................................................................................................................
24,000 Lowe's Cos., Inc. 985,500
........................................................................................................................
38,800 RadioShack Corp. 1,838,150
........................................................................................................................
29,600 Sears, Roebuck & Co. 965,700
........................................................................................................................
29,000 Staples, Inc. (NON) 445,875
........................................................................................................................
29,900 Target Corp. 1,734,200
........................................................................................................................
186,417 Tesco PLC (United Kingdom) (NON) 579,802
........................................................................................................................
66,200 TJX Cos., Inc. (The) 1,241,250
........................................................................................................................
4,200 Tuesday Morning Corp. (NON) 44,100
........................................................................................................................
10,200 Tweeter Home Entertainment
Group, Inc. (NON) 309,825
........................................................................................................................
67,300 Wal-Mart Stores, Inc. 3,878,163
------------------------------------------------------------------------------------------------------------------------
24,090,347
------------------------------------------------------------------------------------------------------------------------
Schools (0.1%)
........................................................................................................................
6,200 Career Education Corp. (NON) 300,700
........................................................................................................................
13,100 Learning Tree International, Inc. (NON) 802,375
........................................................................................................................
16,800 ProsoftTraining.com (NON) 282,450
------------------------------------------------------------------------------------------------------------------------
1,385,525
------------------------------------------------------------------------------------------------------------------------
Semiconductor (0.9%)
........................................................................................................................
6,300 Advanced Energy Industries, Inc. (NON) 371,306
........................................................................................................................
33,100 Applied Materials, Inc. (NON) 2,999,688
........................................................................................................................
5,700 ATMI, Inc. (NON) 265,050
........................................................................................................................
11,000 Credence Systems Corp. (NON) 607,063
........................................................................................................................
15,300 Helix Technology Corp. 596,700
........................................................................................................................
24,500 LTX Corp. (NON) 855,969
........................................................................................................................
3,400 Photon Dynamics, Inc. (NON) 253,938
........................................................................................................................
4,400 Rudolph Technologies, Inc. (NON) 170,500
........................................................................................................................
20,400 Teradyne, Inc. (NON) 1,499,400
........................................................................................................................
7,600 Veeco Instruments, Inc. (NON) 556,700
........................................................................................................................
3,900 Zygo Corp. (NON) 354,169
------------------------------------------------------------------------------------------------------------------------
8,530,483
------------------------------------------------------------------------------------------------------------------------
Shipping (0.2%)
........................................................................................................................
11,900 EGL, Inc. (NON) 365,925
........................................................................................................................
10,400 Expeditors International of
Washington, Inc. 494,000
........................................................................................................................
10,600 Fritz Companies, Inc. (NON) 109,313
........................................................................................................................
14,000 United Parcel Service, Inc. 826,000
------------------------------------------------------------------------------------------------------------------------
1,795,238
------------------------------------------------------------------------------------------------------------------------
Software (2.7%)
........................................................................................................................
4,000 BackWeb Technologies, Ltd. (Israel) 91,500
........................................................................................................................
15,900 BEA Systems, Inc. (NON) 786,056
........................................................................................................................
29,600 BMC Software, Inc. (NON) 1,079,938
........................................................................................................................
1,600 Brio Technology, Inc. (NON) 33,900
........................................................................................................................
3,600 Clarus Corp. (NON) 139,950
........................................................................................................................
14,200 Click Commerce, Inc. (NON) 321,275
........................................................................................................................
42,800 Computer Associates International, Inc. 2,190,825
........................................................................................................................
12,500 Dendrite International, Inc. (NON) 416,406
........................................................................................................................
6,000 Digimarc Corp. (NON) 231,000
........................................................................................................................
14,200 DSET Corp. (NON) 431,325
........................................................................................................................
12,200 Exchange Applications, Inc. (NON) 324,825
........................................................................................................................
10,400 I2 Technologies, Inc. (NON) 1,084,363
........................................................................................................................
7,100 Informatica Corp. (NON) 581,756
........................................................................................................................
6,600 Kronos, Inc. (NON) 171,600
........................................................................................................................
13,800 Manugistics Group, Inc. (NON) 645,150
........................................................................................................................
104,900 Microsoft Corp. (NON) (SEG) 8,392,000
........................................................................................................................
37,600 Misys PLC (United Kingdom) 317,544
........................................................................................................................
5,900 Netegrity, Inc. (NON) 444,344
........................................................................................................................
9,300 Novadigm, Inc. (NON) 183,675
........................................................................................................................
32,100 Oracle Corp. (NON) 2,698,406
........................................................................................................................
8,000 Siebel Systems, Inc. (NON) 1,308,500
........................................................................................................................
22,000 VERITAS Software Corp. (NON) 2,486,344
........................................................................................................................
11,800 Verity, Inc. (NON) 448,400
------------------------------------------------------------------------------------------------------------------------
24,809,082
------------------------------------------------------------------------------------------------------------------------
Technology (0.3%)
........................................................................................................................
56,925 Philips Electronics N.V. (Netherlands) (NON) 2,695,112
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.1%)
........................................................................................................................
2,000 About.com, Inc. (NON) 63,000
........................................................................................................................
32,300 America Online, Inc. (NON) 1,703,825
........................................................................................................................
41,900 Automatic Data Processing, Inc. 2,244,269
........................................................................................................................
11,700 Braun Consulting, Inc. (NON) 247,163
........................................................................................................................
8,200 C-Bridge Internet Solutions, Inc. (NON) 142,475
........................................................................................................................
1 CMG Information Services, Inc. (NON) 46
........................................................................................................................
3,800 Cysive, Inc. (NON) 90,725
........................................................................................................................
54,855 Electronic Data Systems Corp. 2,262,769
........................................................................................................................
13,700 eLoyalty Corp. (NON) 174,675
........................................................................................................................
13,000 Globix Corp. (NON) 381,063
........................................................................................................................
32,000 Hon Hai Precision Industry (Taiwan) 289,301
........................................................................................................................
21,400 Management Network
Group, Inc. (The) (NON) 749,000
........................................................................................................................
7,900 Pilot Network Services, Inc. (NON) 117,513
........................................................................................................................
3,900 Predictive Systems, Inc. (NON) 140,156
........................................................................................................................
6,300 Proxicom, Inc. (NON) 301,613
........................................................................................................................
8,600 Razorfish, Inc. (NON) 138,138
........................................................................................................................
6,700 Yahoo!, Inc. (NON) 829,963
........................................................................................................................
7,700 YouthStream Media Networks, Inc. (NON) 45,719
........................................................................................................................
16,700 Zamba Corp. (NON) 91,850
------------------------------------------------------------------------------------------------------------------------
10,013,263
------------------------------------------------------------------------------------------------------------------------
Telecommunications (3.4%)
........................................................................................................................
12,300 Airgate PCS, Inc. (NON) 646,519
........................................................................................................................
12,100 Alamosa PCS Holdings, Inc. (NON) 252,588
........................................................................................................................
45,090 ALLTEL Corp. 2,792,762
........................................................................................................................
37,900 AT&T Wireless Group (NON) 1,056,463
........................................................................................................................
29,963 Cable & Wireless PLC (United Kingdom) (NON) 507,451
........................................................................................................................
108,532 Carso Global Telecom (Mexico) (NON) 309,997
........................................................................................................................
191,000 China Telecom, Ltd. (Hong Kong) (NON) 1,684,617
........................................................................................................................
7,300 Choice One Communications, Inc. (NON) 297,931
........................................................................................................................
13,250 CTC Communications Group, Inc. (NON) 477,000
........................................................................................................................
22 DDI Corp. (Japan) 212,138
........................................................................................................................
5,836 France Telecom S.A. (France) 818,848
........................................................................................................................
4,600 Intermedia Communications, Inc. (NON) 136,850
........................................................................................................................
17,300 MCK Communications, Inc. (NON) 400,063
........................................................................................................................
107 MGC Communications, Inc. 6,413
........................................................................................................................
11,000 Net2000 Communications, Inc. (NON) 180,125
........................................................................................................................
3,543 NetCom AB (Sweden) (NON) 263,118
........................................................................................................................
41,500 Nextel Communications, Inc. Class A (NON) 2,539,281
........................................................................................................................
180 Nippon Telegraph and
Telephone Corp. (Japan) 2,399,319
........................................................................................................................
20,500 Price Communications Corp (NON) 483,031
........................................................................................................................
5,400 Rural Cellular Corp. Class A (NON) 413,438
........................................................................................................................
20,100 SBA Communications Corp. (NON) 1,043,944
........................................................................................................................
17,900 Somera Communications, Inc. (NON) 243,888
........................................................................................................................
5,087 Sonera Group OYJ (Finland) 232,799
........................................................................................................................
102,325 Sprint Corp. 5,218,575
........................................................................................................................
33,800 Sprint Corp. (PCS Group) (NON) 2,011,100
........................................................................................................................
15,088 Telefonos de Mexico S.A. ADR
Class L, (Mexico) 861,902
........................................................................................................................
1 Telesp Participacoes S.A. (Brazil) 14
........................................................................................................................
9,381 Telesp-Telecomunicacoes de Sao Paulo
S.A. ADR (Brazil) 173,549
........................................................................................................................
681 Viatel, Inc. (NON) 19,451
........................................................................................................................
44,200 Vodafone AirTouch PLC ADR
(United Kingdom) 1,831,538
........................................................................................................................
834,901 Vodafone Air Touch PLC (United
Kingdom) 3,373,873
........................................................................................................................
10,784 VoiceStream Wireless Corp. (NON) 1,254,146
........................................................................................................................
3,550 WinStar Communications, Inc. (NON) 120,256
------------------------------------------------------------------------------------------------------------------------
32,262,987
------------------------------------------------------------------------------------------------------------------------
Telephone (0.3%)
........................................................................................................................
22,200 BCE, Inc. (Canada) 528,638
........................................................................................................................
5,736 BCE, Inc. (Canada) 135,926
........................................................................................................................
17 KDD Corp. (Japan) 1,720
........................................................................................................................
10,771 Korea Telecom Corp. (South Korea) 521,047
........................................................................................................................
57,871 Telefonica S.A. (Spain) (NON) 1,247,930
------------------------------------------------------------------------------------------------------------------------
2,435,261
------------------------------------------------------------------------------------------------------------------------
Tobacco (0.2%)
........................................................................................................................
530 Cie Finance Richemont AG (Switzerland) 1,432,917
------------------------------------------------------------------------------------------------------------------------
Toys (0.1%)
........................................................................................................................
38,729 Hasbro, Inc. 583,356
........................................................................................................................
2,500 Nintendo Co., Ltd. (Japan) 437,701
------------------------------------------------------------------------------------------------------------------------
1,021,057
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $466,724,611) $561,044,092
------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (9.7%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
U.S. Government Agency Mortgage Obligations (6.8%)
........................................................................................................................
Federal Home Loan Mortgage Association
........................................................................................................................
$1,034,871 8 1/2s, July 1, 2028 $1,056,314
........................................................................................................................
77,746 6s, May 1, 2029 71,218
........................................................................................................................
Federal National Mortgage Association
........................................................................................................................
2,085,000 8s, TBA, July 1, 2030 2,093,799
........................................................................................................................
3,075,000 6s, TBA, July 1, 2030 2,814,117
........................................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
........................................................................................................................
4,469,198 8s, with due dates from January 1, 2024
to September 1, 2029 4,489,174
........................................................................................................................
9,090,241 7 1/2s, with due dates from July 1, 2007
to June 1, 2030 8,966,398
........................................................................................................................
14,646,089 7s, with due dates from March 1, 2028
to June 1, 2030 14,141,092
........................................................................................................................
10,121,389 6s, with due dates from May 15, 2008
to November 1, 2014 9,485,945
........................................................................................................................
1,370,000 5 3/4s, April 15, 2003 1,326,598
........................................................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................................................
31,402 11s, December 15, 2015 34,267
........................................................................................................................
1,204,050 10s, with due dates from June 15, 2013
to March 1, 2029 1,281,275
........................................................................................................................
471,057 9 1/2s, December 15, 2017 499,026
........................................................................................................................
8,861,561 9s, with due dates from
December 15, 2009 to
October 15, 2029 9,246,368
........................................................................................................................
4,457,163 8s, with due dates from
September 15, 2020 to
August 15, 2027 4,517,191
........................................................................................................................
2,028,162 7 1/2s, with due dates from
January15, 2023 to January 15, 2024 2,019,360
........................................................................................................................
1,904,720 7s, with due dates from May 15, 2023
to March 15, 2026 1,857,769
........................................................................................................................
340,206 6 1/2s, with due dates from
December 15, 2027 to April 15, 2028 322,935
------------------------------------------------------------------------------------------------------------------------
64,222,846
------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (2.9%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
$4,525,000 6 1/2s, November 15, 2026 (SEG) $4,726,498
........................................................................................................................
3,470,000 6 1/4s, May 15, 2030 3,640,793
........................................................................................................................
4,335,000 6 1/8s, November 15, 2027 (SEG) 4,325,506
........................................................................................................................
U.S. Treasury Notes
........................................................................................................................
1,590,000 6 1/2s, February 15, 2010 1,644,410
........................................................................................................................
5,125,000 6 3/8s, January 31, 2002 (SEG) 5,117,005
........................................................................................................................
2,375,000 6 1/8s, August 15, 2029 2,398,750
........................................................................................................................
3,245,000 6 1/8s, December 31, 2001 (SEG) 3,229,294
........................................................................................................................
1,830,000 5 7/8s, November 15, 2004 1,803,410
------------------------------------------------------------------------------------------------------------------------
26,885,666
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $91,142,970) $91,108,512
------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (9.0%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
Advertising and Marketing Services (0.1%)
........................................................................................................................
$100,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $102,750
........................................................................................................................
180,000 Lamar Media Corp. company guaranty
9 5/8s, 2006 180,000
........................................................................................................................
10,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 9,550
........................................................................................................................
225,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 220,500
------------------------------------------------------------------------------------------------------------------------
512,800
------------------------------------------------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
........................................................................................................................
50,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 35,000
........................................................................................................................
200,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 142,000
........................................................................................................................
210,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 193,200
........................................................................................................................
70,000 Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 62,300
........................................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 50,750
........................................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 46,000
........................................................................................................................
50,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 44,500
........................................................................................................................
510,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 514,988
........................................................................................................................
810,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 786,964
........................................................................................................................
140,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 139,300
........................................................................................................................
820,000 Raytheon Co. 144A notes 8.3s, 2010 835,063
........................................................................................................................
20,000 Sequa Corp. sr. notes 9s, 2009 19,200
------------------------------------------------------------------------------------------------------------------------
2,869,265
------------------------------------------------------------------------------------------------------------------------
Agriculture (0.1%)
........................................................................................................................
645,457 Premium Standard Farms, Inc. sr. sec. notes
11s, 2003 (PIK) 587,366
------------------------------------------------------------------------------------------------------------------------
Airlines (0.2%)
........................................................................................................................
99,762 Airbus Industries 144A 12.266s, 2020 103,563
........................................................................................................................
490,000 Calair LLC 144A company guaranty
8 1/8s, 2008 421,400
........................................................................................................................
30,000 Continental Airlines, Inc. notes 8s, 2005 27,755
........................................................................................................................
1,609,709 Continental Airlines, Inc. pass-through
certificates Ser. 981C 6.541s, 2008 1,517,424
........................................................................................................................
40,000 Northwest Airlines, Inc. company
guaranty 7 7/8s, 2008 35,269
........................................................................................................................
60,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 54,685
------------------------------------------------------------------------------------------------------------------------
2,160,096
------------------------------------------------------------------------------------------------------------------------
Automotive (0.3%)
........................................................................................................................
290,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 290,000
........................................................................................................................
380,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 345,329
........................................................................................................................
345,000 DaimlerChrysler Corp. company
guaranty 7.2s, 2009 332,128
........................................................................................................................
920,000 Delphi Automotive Systems Corp. notes
6 1/8s, 2004 861,562
........................................................................................................................
90,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 79,425
........................................................................................................................
260,000 Federal Mogul Corp. notes 7 3/4s, 2006 191,100
........................................................................................................................
60,000 Federal Mogul Corp. notes 7 3/8s, 2006 44,100
........................................................................................................................
170,000 Hayes Lemmerz International, Inc.
company guaranty Ser. B, 8 1/4s, 2008 142,800
........................................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 73,253
........................................................................................................................
180,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 165,600
........................................................................................................................
250,000 Navistar International Corp. sr. notes
Ser. B, 7s, 2003 238,750
........................................................................................................................
220,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 202,400
........................................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007
(In default) (NON) 6,750
........................................................................................................................
160,000 Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 70,400
........................................................................................................................
80,000 Tenneco, Inc. company guaranty Ser. B,
11 5/8s, 2009 71,000
------------------------------------------------------------------------------------------------------------------------
3,114,597
------------------------------------------------------------------------------------------------------------------------
Banking (0.9%)
........................................................................................................................
825,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 726,454
........................................................................................................................
30,000 Bank United Corp. sub. notes 8 7/8s, 2007 27,975
........................................................................................................................
215,000 Chevy Chase Savings Bank, Inc. sub. deb.
9 1/4s, 2005 202,100
........................................................................................................................
110,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 100,825
........................................................................................................................
50,000 CSBI Capital Trust I 144A company
guaranty 11 3/4s, 2027 53,500
........................................................................................................................
900,000 First Union Institute Capital I bonds
8.04s, 2026 784,917
........................................................................................................................
445,000 First Union National Bank sub. notes
7 7/8s, 2010 439,304
........................................................................................................................
705,000 Fleet Boston Corp. sub. notes 7 3/8s, 2009 677,308
........................................................................................................................
160,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 144,894
........................................................................................................................
390,000 Merita Bank, Ltd. sub. notes 6 1/2s,
2006 (Finland) 368,195
........................................................................................................................
1,950,000 NationsBank Corp. sub. notes 6 7/8s, 2005 1,882,374
........................................................................................................................
705,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 643,806
........................................................................................................................
20,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 19,495
........................................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,039,459
........................................................................................................................
70,000 Provident Capital Trust company
guaranty 8.6s, 2026 67,136
........................................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 63,542
........................................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 623,942
........................................................................................................................
110,000 Superior Financial 144A sr. notes
8.65s, 2003 105,070
........................................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 3,938
------------------------------------------------------------------------------------------------------------------------
7,974,234
------------------------------------------------------------------------------------------------------------------------
Beverage (--%)
........................................................................................................................
240,000 Triarc Consumer Products, Inc.
company guaranty 10 1/4s, 2009 231,600
------------------------------------------------------------------------------------------------------------------------
Broadcasting (0.5%)
........................................................................................................................
220,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 210,100
........................................................................................................................
120,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 114,000
........................................................................................................................
20,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 18,300
........................................................................................................................
88,000 AMFM Operating, Inc. deb.
12 5/8s, 2006 (PIK) 101,200
........................................................................................................................
250,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 195,000
........................................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 160,563
........................................................................................................................
63,100 Capstar Broadcasting sub. deb.
12s, 2009 (PIK) 73,196
........................................................................................................................
310,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 309,225
........................................................................................................................
1,200,000 Chancellor Media Corp. company
guaranty 8s, 2008 1,204,500
........................................................................................................................
10,000 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 10,150
........................................................................................................................
140,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 136,500
........................................................................................................................
370,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 196,100
........................................................................................................................
385,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 371,525
........................................................................................................................
130,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 116,350
........................................................................................................................
125,000 Golden Sky DBS, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(13 1/2s, 3/1/04), 2007 (STP) 84,063
........................................................................................................................
140,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 152,600
........................................................................................................................
225,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 201,375
........................................................................................................................
160,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 7/8s,
10/15/02), 2007 (STP) 84,800
........................................................................................................................
180,000 Lin Holdings Corp. sr. disc. notes
stepped-coupon zero % (10s,
3/1/03), 2008 (STP) 117,000
........................................................................................................................
60,000 LIN Television Corp. company guaranty
8 3/8s, 2008 54,900
........................................................................................................................
580,000 News America Holdings, Inc. deb.
7 3/4s, 2045 503,504
........................................................................................................................
80,000 News America Holdings, Inc. deb.
7.7s, 2025 72,856
........................................................................................................................
40,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 20,000
........................................................................................................................
25,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 25,563
........................................................................................................................
30,000 Pegasus Communications Corp.
sr. notes Ser. B, 9 3/4s, 2006 28,950
........................................................................................................................
10,000 Radio One, Inc. company guaranty
Ser. B, 12s, 2004 10,675
........................................................................................................................
80,000 RCN Corp. sr. notes 10 1/8s, 2010 67,200
------------------------------------------------------------------------------------------------------------------------
4,640,195
------------------------------------------------------------------------------------------------------------------------
Building Materials (0.1%)
........................................................................................................................
25,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 4,250
........................................................................................................................
250,000 American Standard, Inc. company
guaranty 7 1/8s, 2003 236,250
........................................................................................................................
40,000 Atrium Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2009 34,000
........................................................................................................................
200,000 Building Materials Corp. company
guaranty 8s, 2008 157,000
........................................................................................................................
70,000 NCI Building Systems, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2009 65,100
------------------------------------------------------------------------------------------------------------------------
496,600
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.2%)
........................................................................................................................
130,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 124,800
........................................................................................................................
140,000 Adelphia Communications Corp. sr. notes
7 7/8s, 2009 118,300
........................................................................................................................
10,000 Adelphia Communications Corp. sr. notes
7 3/4s, 2009 8,450
........................................................................................................................
525,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 463,969
........................................................................................................................
130,000 Classic Cable, Inc. company guaranty
Ser. B, 9 3/8s, 2009 113,425
........................................................................................................................
100,000 Comcast UK Cable, Ltd. deb. stepped-
coupon zero % (11.2s, 11/15/00), 2007 (STP) 94,750
........................................................................................................................
300,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 307,875
........................................................................................................................
80,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 80,400
........................................................................................................................
110,000 NTL, Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 104,500
........................................................................................................................
90,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon
zero % (11 3/8s, 2/1/05), 2010
(United Kingdom) (STP) 49,500
........................................................................................................................
100,000 TeleWest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) (STP) 95,250
........................................................................................................................
240,000 TeleWest Communications PLC 144A
sr. notes 9 7/8s, 2010 229,200
........................................................................................................................
340,000 United Pan-Europe N.V. sr. disc. notes
stepped-coupon Ser. B, zero % (13 3/4s,
2/01/05), 2010 (STP) 159,800
........................................................................................................................
300,000 United Pan-Europe N.V. sr, disc. notes
stepped-coupon zero % (12.5s,
8/1/04), 2009 (STP) 150,000
------------------------------------------------------------------------------------------------------------------------
2,100,219
------------------------------------------------------------------------------------------------------------------------
Chemicals (0.3%)
........................................................................................................................
10,000 Borden Chemical, Inc. notes 9 1/2s, 2005 9,050
........................................................................................................................
1,500,000 du Pont (E.I.) de Nemours & Co., Ltd.
notes 6 7/8s, 2009 1,457,850
........................................................................................................................
60,000 Geo Specialty Chemicals, Inc. sr. sub.
notes 10 1/8s, 2008 51,000
........................................................................................................................
50,000 Georgia Gulf Corp. company guaranty
10 3/8s, 2007 51,375
........................................................................................................................
90,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 81,900
........................................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.188s, 2007 100,100
........................................................................................................................
380,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 381,900
........................................................................................................................
75,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 72,563
........................................................................................................................
640,000 Lyondell Petrochemical Co. sr. sub. notes
10 7/8s, 2009 635,200
........................................................................................................................
100,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 66,000
........................................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 18,900
........................................................................................................................
30,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 25,500
........................................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 50,400
........................................................................................................................
53,204 Polytama International notes 11 1/4s,
2007 (Indonesia) 2,660
........................................................................................................................
70,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 57,400
........................................................................................................................
100,000 Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero % (13 1/2s,
8/15/01), 2008 (STP) 43,000
........................................................................................................................
110,000 Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 113,300
........................................................................................................................
20,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 16,700
........................................................................................................................
30,000 Texas Petrochemical Corp. sr. sub. notes
Ser. B, 11 1/8s, 2006 25,200
------------------------------------------------------------------------------------------------------------------------
3,259,998
------------------------------------------------------------------------------------------------------------------------
Coal (--%)
........................................................................................................................
120,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 21,600
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (--%)
........................................................................................................................
220,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 211,200
------------------------------------------------------------------------------------------------------------------------
Computers (0.2%)
........................................................................................................................
1,715,000 IBM Corp. deb. 6 1/2s, 2028 1,546,175
........................................................................................................................
130,000 Unisys Corp. sr. notes 7 7/8s, 2008 120,900
------------------------------------------------------------------------------------------------------------------------
1,667,075
------------------------------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
........................................................................................................................
650,000 Tyco International, Ltd. company
guaranty 6 3/8s, 2005 620,055
........................................................................................................................
455,000 Tyco International, Ltd. company
guaranty 6 1/4s, 2003 434,425
------------------------------------------------------------------------------------------------------------------------
1,054,480
------------------------------------------------------------------------------------------------------------------------
Construction (--%)
........................................................................................................................
40,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 33,200
------------------------------------------------------------------------------------------------------------------------
Consumer (0.1%)
........................................................................................................................
580,000 Fortune Brands, Inc. 144A sr. notes
7 1/8s, 2004 569,247
........................................................................................................................
160,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 100,800
........................................................................................................................
190,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 158,175
------------------------------------------------------------------------------------------------------------------------
828,222
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (0.2%)
........................................................................................................................
10,000 Contifinancial Corp. sr. notes 8 3/8s,
2003 (In default) (NON) 1,325
........................................................................................................................
40,000 Contifinancial Corp. sr. notes 8 1/8s,
2008 (In default) (NON) 5,300
........................................................................................................................
210,000 Contifinancial Corp. sr. notes 7 1/2s,
2002 (In default) (NON) 23,100
........................................................................................................................
535,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 465,445
........................................................................................................................
1,055,000 Household Finance Corp. notes 8s, 2005 1,063,936
........................................................................................................................
100,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 87,000
------------------------------------------------------------------------------------------------------------------------
1,646,106
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.1%)
........................................................................................................................
30,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 28,950
........................................................................................................................
30,000 French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 28,200
........................................................................................................................
1,240,000 Procter & Gamble Co. unsub. 6 7/8s, 2009 1,206,991
........................................................................................................................
50,000 Revlon Consumer Products sr. notes
9s, 2006 35,500
------------------------------------------------------------------------------------------------------------------------
1,299,641
------------------------------------------------------------------------------------------------------------------------
Consumer Services (--%)
........................................................................................................................
220,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 202,400
........................................................................................................................
150,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 154,125
------------------------------------------------------------------------------------------------------------------------
356,525
------------------------------------------------------------------------------------------------------------------------
Containers (0.1%)
........................................................................................................................
60,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 52,800
........................................................................................................................
170,000 Ball Corp. company guaranty 8 1/4s, 2008 158,950
........................................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 2,500
........................................................................................................................
350,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 325,304
........................................................................................................................
170,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 155,400
........................................................................................................................
90,000 Radnor Holdings, Inc. sr. notes 10s, 2003 78,525
------------------------------------------------------------------------------------------------------------------------
773,479
------------------------------------------------------------------------------------------------------------------------
Distribution (--%)
........................................................................................................................
140,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 93,100
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.3%)
........................................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 669,433
........................................................................................................................
100,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 101,186
........................................................................................................................
40,000 CMS Energy Corp. sr. notes 7 1/2s, 2009 35,400
........................................................................................................................
310,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 284,425
........................................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term notes 6.85s, 2006 261,250
........................................................................................................................
26,144 Northeast Utilities System notes Ser. A,
8.58s, 2006 26,285
........................................................................................................................
93,333 Northeast Utilities System notes Ser. B,
8.38s, 2005 93,102
........................................................................................................................
735,000 NRG Northeast Generating Corp.
144A notes 8.065s, 2004 734,169
........................................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 2,250
........................................................................................................................
300,000 PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 299,007
------------------------------------------------------------------------------------------------------------------------
2,506,507
------------------------------------------------------------------------------------------------------------------------
Energy (0.1%)
........................................................................................................................
150,000 Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 150,000
........................................................................................................................
80,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 81,600
........................................................................................................................
10,000 Parker Drilling Corp. company guaranty
Ser. D, 9 3/4s, 2006 9,675
........................................................................................................................
400,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 383,964
........................................................................................................................
150,000 RBF Finance Co. company guaranty
11 3/8s, 2009 162,000
........................................................................................................................
210,000 RBF Finance Co. company guaranty
11s, 2006 224,700
------------------------------------------------------------------------------------------------------------------------
1,011,939
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.1%)
........................................................................................................................
310,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 148,800
........................................................................................................................
135,000 Cinemark USA, Inc. sr. sub. notes 8 1/2s,
2008 (Mexico) 74,250
........................................................................................................................
250,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 240,625
........................................................................................................................
3,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 2,843
........................................................................................................................
70,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 70,525
........................................................................................................................
90,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s,
2005 (In default) (NON) 9,000
........................................................................................................................
320,000 United Artists Theatre sr. sub. notes 9 3/4s,
2008 (In default) (NON) 6,400
------------------------------------------------------------------------------------------------------------------------
552,443
------------------------------------------------------------------------------------------------------------------------
Financial (0.7%)
........................................................................................................................
125,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 57,500
........................................................................................................................
900,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 807,075
........................................................................................................................
180,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 157,667
........................................................................................................................
102,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 95,265
........................................................................................................................
15,000 Advanta Corp. notes Ser. C, 7.47s, 2001 13,657
........................................................................................................................
1,010,000 American General Institute 144A
company guaranty 8 1/8s, 2046 956,834
........................................................................................................................
33,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A,
10s, 2004 18,150
........................................................................................................................
130,000 AMRESCO, Inc. sr. sub. notes Ser. 98-A,
9 7/8s, 2005 70,200
........................................................................................................................
515,000 Citigroup, Inc. deb. 6 5/8s, 2028 444,167
........................................................................................................................
130,000 Conseco Finance Trust III, Inc. bonds
8.796s, 2027 55,900
........................................................................................................................
131,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 58,950
........................................................................................................................
89,000 Fannie Mae notes, 6 5/8s, 2009 85,982
........................................................................................................................
1,175,000 Goldman Sachs Group, Inc. (The)
notes Ser. B, 7.35s, 2009 1,128,905
........................................................................................................................
920,000 Heller Financial, Inc. notes 6s, 2004 860,973
........................................................................................................................
175,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 148,750
........................................................................................................................
65,000 Imperial Credit Industries, Inc. sr.
notes 9 7/8s, 2007 46,475
........................................................................................................................
500,000 Money Store, Inc. notes 8.05s, 2002 502,065
........................................................................................................................
1,020,000 National Westminster Bank sub. notes
7 3/8s, 2009 (United Kingdom) 991,328
........................................................................................................................
71,000 Nationwide Credit, Inc. sr. notes Ser. A,
10 1/4s, 2008 49,700
........................................................................................................................
15,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 7,575
........................................................................................................................
5,000 Ocwen Federal Bank sub. deb. 12s, 2005 4,650
........................................................................................................................
10,000 Ocwen Financial Corp. notes 11 7/8s, 2003 9,200
........................................................................................................................
45,000 Resource America, Inc. 144A sr. notes
12s, 2004 39,600
------------------------------------------------------------------------------------------------------------------------
6,610,568
------------------------------------------------------------------------------------------------------------------------
Food (--%)
........................................................................................................................
45,000 Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 26,550
........................................................................................................................
160,000 Vlasic Foods Intl., Inc. sr. sub notes Ser. B,
10 1/4s, 2009 64,000
------------------------------------------------------------------------------------------------------------------------
90,550
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (0.2%)
........................................................................................................................
40,000 Ameristar Casinos, Inc. company
guaranty Ser. B, 10 1/2s, 2004 40,200
........................................................................................................................
140,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 78,400
........................................................................................................................
330,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 337,425
........................................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 10,900
........................................................................................................................
150,000 Isle of Capri Black Hawk LLC company
guaranty 8 3/4s, 2009 138,375
........................................................................................................................
130,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 124,150
........................................................................................................................
50,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 47,500
........................................................................................................................
30,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 28,200
........................................................................................................................
310,000 Trump A.C. 1st mtge. 11 1/4s, 2006 217,000
........................................................................................................................
390,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 393,900
........................................................................................................................
150,000 Venetian Casino, Inc. company guaranty
12 1/4s, 2004 151,500
------------------------------------------------------------------------------------------------------------------------
1,567,550
------------------------------------------------------------------------------------------------------------------------
Health Care (0.1%)
........................................................................................................................
50,000 Bio-Rad Labs Corp. 144A sr. sub. notes
11 5/8s, 2007 51,500
........................................................................................................................
65,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 57,525
........................................................................................................................
50,000 Columbia/HCA Healthcare Corp.
med. term notes notes 7.69s, 2025 40,375
........................................................................................................................
20,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 17,600
........................................................................................................................
30,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 26,325
........................................................................................................................
120,000 Columbia/HCA Healthcare Corp. notes
6.91s, 2005 108,900
........................................................................................................................
160,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 152,354
........................................................................................................................
60,000 Conmed Corp. company guaranty
9s, 2008 54,900
........................................................................................................................
90,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 66,600
........................................................................................................................
100,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 74,000
........................................................................................................................
80,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 4,000
........................................................................................................................
100,000 Mediq, Inc. company guaranty 11s, 2008 10,000
........................................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 (In default) (NON) 14,400
........................................................................................................................
125,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 119,375
........................................................................................................................
40,000 Tenet Healthcare Corp. sr. notes Ser. B,
8 1/8s, 2008 36,500
........................................................................................................................
90,000 Tenet Healthcare Corp. sr. notes Ser. B,
7 5/8s, 2008 82,350
........................................................................................................................
190,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 194,750
------------------------------------------------------------------------------------------------------------------------
1,111,454
------------------------------------------------------------------------------------------------------------------------
Homebuilding (--%)
........................................................................................................................
180,000 D.R. Horton, Inc. company guaranty
10s, 2006 176,400
........................................................................................................................
50,000 Del Webb Corp. sr. sub. deb. 10 1/4s, 2010 43,000
........................................................................................................................
50,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 40,750
........................................................................................................................
120,000 Lennar Corp. 144A sr. notes 9.95s, 2010 115,800
........................................................................................................................
20,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 17,500
........................................................................................................................
80,000 Toll Corp. company guaranty 8 1/8s, 2009 72,000
------------------------------------------------------------------------------------------------------------------------
465,450
------------------------------------------------------------------------------------------------------------------------
Household Furniture & Appliances (--%)
........................................................................................................................
90,000 Albecca, Inc. company guaranty
10 3/4s, 2008 73,800
........................................................................................................................
230,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 163,875
------------------------------------------------------------------------------------------------------------------------
237,675
------------------------------------------------------------------------------------------------------------------------
Industrial (0.1%)
........................................................................................................................
665,000 Ford Motor Co. bonds 6 5/8s, 2028 559,963
........................................................................................................................
20,000 Levi Strauss & Co. 144A notes 6.8s, 2003 16,300
------------------------------------------------------------------------------------------------------------------------
576,263
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (--%)
........................................................................................................................
380,000 Merrill Lynch & Co., Inc. notes 6s, 2009 338,835
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.1%)
........................................................................................................................
70,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 35,000
........................................................................................................................
350,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 314,125
........................................................................................................................
30,000 Host Marriott L.P. sr. notes Ser. E,
8 3/8s, 2006 28,200
........................................................................................................................
240,000 ITT Corp. notes 6 3/4s, 2005 216,286
------------------------------------------------------------------------------------------------------------------------
593,611
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
........................................................................................................................
125,000 Applied Power, Inc. sr. sub. notes
8 3/4s, 2009 130,313
........................................................................................................................
110,000 Axia, Inc. company guaranty 10 3/4s, 2008 85,800
........................................................................................................................
170,000 Blount, Inc. company guaranty 13s, 2009 173,400
........................................................................................................................
35,000 Celestica International, Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 36,750
........................................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 16,900
........................................................................................................................
130,000 Day International Group, Inc. company
guaranty 9 1/2s, 2008 110,500
........................................................................................................................
20,000 Flextronics International Ltd. 144A
sr. sub. notes 9 7/8s, 2010 20,050
........................................................................................................................
275,000 Flextronics International, Ltd. sr. sub.
notes Ser. B, 8 3/4s, 2007 264,000
........................................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 16,800
........................................................................................................................
205,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 198,850
------------------------------------------------------------------------------------------------------------------------
1,053,363
------------------------------------------------------------------------------------------------------------------------
Media (0.1%)
........................................................................................................................
1,050,000 TCI Communications, Inc. sr. notes
8.65s, 2004 1,090,173
------------------------------------------------------------------------------------------------------------------------
Medical Services (--%)
........................................................................................................................
140,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 58,800
........................................................................................................................
160,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 3,200
........................................................................................................................
110,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 2,200
........................................................................................................................
130,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 813
........................................................................................................................
80,000 Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B, zero %
(10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 500
........................................................................................................................
260,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 13,000
------------------------------------------------------------------------------------------------------------------------
78,513
------------------------------------------------------------------------------------------------------------------------
Medical Technology (--%)
........................................................................................................................
50,000 Hanger Orthopedic Group, Inc. sr.
sub. notes 11 1/4s, 2009 43,500
------------------------------------------------------------------------------------------------------------------------
Metals (0.1%)
........................................................................................................................
160,000 AK Steel Corp. company guaranty
7 7/8s, 2009 142,000
........................................................................................................................
34,280 Anker Coal Group, Inc. company
guaranty Ser. B, 14 1/4s, 2007 (PIK) 15,426
........................................................................................................................
175,000 Kaiser Aluminum & Chemical Corp. .
sr sub. notes 12 3/4s, 2003 160,563
........................................................................................................................
530,000 LTV Corp. company guaranty
11 3/4s, 2009 445,200
........................................................................................................................
230,000 National Steel Corp. 1st mtge. Ser. D,
9 7/8s, 2009 195,500
........................................................................................................................
50,000 Oregon Steel Mills 1st mtge. 11s, 2003 32,500
........................................................................................................................
80,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 75,800
........................................................................................................................
200,000 Wheeling-Pittsburgh Steel Corp. sr. notes
9 1/4s, 2007 154,000
------------------------------------------------------------------------------------------------------------------------
1,220,989
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (0.6%)
........................................................................................................................
240,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 241,800
........................................................................................................................
160,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 148,000
........................................................................................................................
10,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 5,850
........................................................................................................................
600,000 CMS Panhandle Holding Corp. sr. notes
6 1/8s, 2004 563,958
........................................................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 924,340
........................................................................................................................
70,000 Giant Industries Corp. company
guaranty 9s, 2007 63,000
........................................................................................................................
300,000 Gulf Canada Resources, Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 303,750
........................................................................................................................
130,000 HS Resources, Inc. company guaranty
9 1/4s, 2006 127,400
........................................................................................................................
655,000 K N Energy, Inc. sr. notes 6.45s, 2003 634,269
........................................................................................................................
40,000 Nuevo Energy Co. sr. sub. notes Ser. B,
9 1/2s, 2008 39,000
........................................................................................................................
40,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 39,800
........................................................................................................................
140,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 135,800
........................................................................................................................
955,000 Phillips Petroleum Co. notes 8 1/2s, 2005 986,591
........................................................................................................................
60,000 Pinnacle Holdings, Inc. sr. disc. notes
stepped-coupon zero % (10s,
3/15/03), 2008 (STP) 41,700
........................................................................................................................
80,000 Pioneer Natural Resources Co. company
guaranty 9 5/8s, 2010 82,400
........................................................................................................................
60,000 RAM Energy, Inc. sr. notes 11 1/2s, 2008 29,400
........................................................................................................................
50,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 12,500
........................................................................................................................
50,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 49,500
........................................................................................................................
40,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 37,800
........................................................................................................................
855,000 Union Pacific Resources Group, Inc.
notes 7.3s, 2009 821,510
........................................................................................................................
160,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 161,600
------------------------------------------------------------------------------------------------------------------------
5,449,968
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.3%)
........................................................................................................................
10,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 9,544
........................................................................................................................
545,000 Doman Industries, Ltd. 144A sr. notes
8 3/4s, 2004 430,550
........................................................................................................................
60,000 Gaylord Container Corp. sr. sub. notes
9 7/8s, 2008 39,000
........................................................................................................................
60,000 Gaylord Container Corp. sr. notes
Ser. B, 9 3/8s, 2007 46,800
........................................................................................................................
90,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 81,095
........................................................................................................................
1,115,000 International Paper Co. 144A notes
8 1/8s, 2005 1,122,593
........................................................................................................................
200,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 199,000
........................................................................................................................
80,000 Packaging Corp. company guaranty
9 5/8s, 2009 79,700
........................................................................................................................
340,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 299,200
........................................................................................................................
595,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 517,650
........................................................................................................................
20,000 Stone Container Corp. sr. notes
12.58s, 2016 20,800
........................................................................................................................
200,000 Tekni-Plex, Inc. 144A sr. sub. notes
12 3/4s, 2010 199,500
........................................................................................................................
120,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 114,000
------------------------------------------------------------------------------------------------------------------------
3,159,432
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (--%)
........................................................................................................................
150,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 147,750
------------------------------------------------------------------------------------------------------------------------
Power Producers (0.1%)
........................................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 310,500
........................................................................................................................
70,000 Calpine Corp. sr. notes 7 3/4s, 2009 66,063
........................................................................................................................
420,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 470,156
........................................................................................................................
102,293 Midland Funding II Corp. deb. Ser. C-94,
10.33s, 2002 104,349
........................................................................................................................
169,000 York Power Funding 144A company
guaranty 12s, 2007 (Cayman Islands) 169,000
------------------------------------------------------------------------------------------------------------------------
1,120,068
------------------------------------------------------------------------------------------------------------------------
Publishing (--%)
........................................................................................................................
275,000 Affinity Group Holdings sr. notes 11s, 2007 231,000
........................................................................................................................
150,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 136,500
........................................................................................................................
100,000 Garden State Newspapers, Inc. sr. sub.
notes 8 5/8s, 2011 88,000
------------------------------------------------------------------------------------------------------------------------
455,500
------------------------------------------------------------------------------------------------------------------------
Railroads (0.1%)
........................................................................................................................
1,095,000 Union Pacific Corp. notes 7 3/8s, 2009 1,052,580
------------------------------------------------------------------------------------------------------------------------
Restaurants (--%)
........................................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 25,850
........................................................................................................................
80,000 Sbarro, Inc. company guaranty 11s, 2009 81,600
........................................................................................................................
70,000 Tricon Global Restaurants, Inc. sr. notes
7.65s, 2008 62,501
------------------------------------------------------------------------------------------------------------------------
169,951
------------------------------------------------------------------------------------------------------------------------
Retail (0.2%)
........................................................................................................................
240,000 Amazon.com, Inc. sr. disc. notes stepped-
coupon zero % (10s, 5/01/03), 2008 (STP) 140,400
........................................................................................................................
855,000 Federated Department Stores, Inc.
sr. notes 8 1/2s, 2003 862,840
........................................................................................................................
160,000 Iron Age Corp. company guaranty
9 7/8s, 2008 112,000
........................................................................................................................
90,000 K mart Corp. med. term notes 8.85s, 2011 80,645
........................................................................................................................
10,000 K mart Corp. med. term notes 8.19s, 2003 9,456
........................................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 9,842
........................................................................................................................
150,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 138,750
........................................................................................................................
190,000 Saks, Inc. company guaranty 8 1/4s, 2008 168,764
........................................................................................................................
510,000 Sears Roebuck Acceptance Corp. notes
6 7/8s, 2017 436,025
........................................................................................................................
20,000 Southland Corp. sr. sub. deb. 5s, 2003 17,756
------------------------------------------------------------------------------------------------------------------------
1,976,478
------------------------------------------------------------------------------------------------------------------------
Semiconductor (--%)
........................................................................................................................
60,000 Amkor Technologies, Inc. sr. notes
9 1/4s, 2006 58,800
------------------------------------------------------------------------------------------------------------------------
Shipping (--%)
........................................................................................................................
30,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 25,500
........................................................................................................................
50,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 (In default) (NON) 21,000
------------------------------------------------------------------------------------------------------------------------
46,500
------------------------------------------------------------------------------------------------------------------------
Software (--%)
........................................................................................................................
110,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 5,500
........................................................................................................................
310,000 Exodus Communications 144A sr. notes
11 5/8s, 2010 310,775
------------------------------------------------------------------------------------------------------------------------
316,275
------------------------------------------------------------------------------------------------------------------------
Specialty Printing (--%)
........................................................................................................................
100,000 Perry-Judd company guaranty 10 5/8s,
2007 84,000
........................................................................................................................
28,079 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 25,271
........................................................................................................................
35,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 32,900
------------------------------------------------------------------------------------------------------------------------
142,171
------------------------------------------------------------------------------------------------------------------------
Technology (0.1%)
........................................................................................................................
30,000 Fairchild Semiconductor Corp. company
guaranty 10 3/8s, 2007 30,525
........................................................................................................................
200,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 201,500
........................................................................................................................
50,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 46,000
........................................................................................................................
90,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 77,850
........................................................................................................................
180,000 Viasystems, Inc. sr. notes Ser. B, 9 3/4s, 2007 153,000
........................................................................................................................
100,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 86,500
------------------------------------------------------------------------------------------------------------------------
595,375
------------------------------------------------------------------------------------------------------------------------
Technology Services (--%)
........................................................................................................................
20,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 21,050
........................................................................................................................
240,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 204,000
........................................................................................................................
100,000 Globix Corp. sr. notes 12 1/2s, 2010 83,000
........................................................................................................................
50,000 PSINet, Inc. sr. notes 11s, 2009 46,500
------------------------------------------------------------------------------------------------------------------------
354,550
------------------------------------------------------------------------------------------------------------------------
Telecommunications (1.0%)
........................................................................................................................
290,000 360Networks, Inc. 144A sr. notes 13s,
2008 (Canada) 292,900
........................................................................................................................
40,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 31,200
........................................................................................................................
205,000 Airgate PCS, Inc. sr. sub. notes stepped-
coupon zero % (13 1/2s, 10/1/04), 2009 (STP) 120,950
........................................................................................................................
20,000 Arch Communications, Inc. sr. notes
13 3/4s, 2008 16,250
........................................................................................................................
90,000 Call-Net Enterprises, Inc. sr. notes
9 3/8s, 2009 (Canada) 54,900
........................................................................................................................
90,000 Call-Net Enterprises, Inc. sr. notes
8s, 2008 (Canada) 54,000
........................................................................................................................
130,000 Carrier1 Intl. SA sr. notes Ser. B,
13 1/4s, 2009 (Luxembourg) 128,050
........................................................................................................................
360,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero % (14s,
10/1/02), 2007 (STP) 27,900
........................................................................................................................
20,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero % (14 3/4s,
12/15/00), 2005 (STP) 20,475
........................................................................................................................
120,000 Crown Castle Intl., Corp. sr. notes
10 3/4s, 2011 121,800
........................................................................................................................
250,000 Dobson Communications, Inc. 144A
sr. notes 10 7/8s, 2010 250,625
........................................................................................................................
360,000 Dobson/Sygnet Communications, Inc.
sr. notes 12 1/4s, 2008 382,500
........................................................................................................................
100,000 Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 80,000
........................................................................................................................
960,000 Flag Ltd. 144A sr. notes 8 1/4s, 2008
(Bermuda) 844,800
........................................................................................................................
270,000 Global Crossing Holdings, Ltd. company
guaranty 9 5/8s, 2008 (Bermuda) 263,250
........................................................................................................................
30,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/8s, 2006 (Bermuda) 28,800
........................................................................................................................
90,000 ICG Holdings, Inc. company guaranty
stepped-coupon zero % (12 1/2s,
5/1/01), 2006 (STP) 74,475
........................................................................................................................
110,000 ICG Services, Inc. sr. disc. notes stepped-
coupon zero % (10s, 2/15/03), 2008 (STP) 58,300
........................................................................................................................
460,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 239,200
........................................................................................................................
195,000 IPC Information Systems, Inc. sr. disc.
notes stepped-coupon zero % (10 7/8s,
5/1/03), 2008 (STP) 172,575
........................................................................................................................
430,000 Level 3 Communication, Inc. 144A
sr. notes 11s, 2008 425,700
........................................................................................................................
90,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 31,500
........................................................................................................................
60,000 Loral Space & Communication, Ltd.
sr. notes 9 1/2s, 2006 44,850
........................................................................................................................
10,000 McCaw International, Ltd. sr. disc. notes
stepped coupon zero % (13s,
4/15/02), 2007 (STP) 7,350
........................................................................................................................
40,000 Metrocall, Inc. sr. sub. notes 11s, 2008 27,800
........................................................................................................................
10,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 6,950
........................................................................................................................
380,000 Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 375,250
........................................................................................................................
100,000 MGC Communications, Inc. 144A
sr. notes 13s, 2010 93,000
........................................................................................................................
290,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 249,400
........................................................................................................................
480,000 Nextel Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/8s,
4/15/03), 2008 (STP) 314,400
........................................................................................................................
180,000 Nextel Communications, Inc. sr. notes
12s, 2008 194,400
........................................................................................................................
460,000 Nextel Communications, Inc. sr. notes
9 3/8s, 2009 441,600
........................................................................................................................
40,000 Nextel Partners, Inc. 144A sr. notes
11s, 2010 39,800
........................................................................................................................
140,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 130,200
........................................................................................................................
190,000 NorthPoint Communications Group, Inc.
sr. notes 12 7/8s, 2010 133,000
........................................................................................................................
90,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 41,400
........................................................................................................................
140,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 79,800
........................................................................................................................
130,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 130,000
........................................................................................................................
70,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 52,500
........................................................................................................................
150,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 149,250
........................................................................................................................
120,000 RSL Communications PLC company
guaranty 144A 12 7/8s, 2010 88,800
........................................................................................................................
123,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 100,860
........................................................................................................................
70,000 RSL Communications PLC 144A company
guaranty 10 1/2s, 2008 47,600
........................................................................................................................
85,000 RSL Communications PLC company
guaranty 9 1/8s, 2008 54,400
........................................................................................................................
110,000 Spectrasite Holdings, Inc. sr. disc. notes
Ser. B, stepped-coupon zero % (11 1/4s,
4/15/04), 2010 (STP) 59,950
........................................................................................................................
10,000 Spectrasite Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 1/4s,
4/15/04), 2009 (STP) 5,800
........................................................................................................................
895,000 Sprint Capital Corp. company guaranty
6.9s, 2019 795,798
........................................................................................................................
995,000 Sprint Capital Corp. company guaranty
6 7/8s, 2028 864,924
........................................................................................................................
80,000 Startec Global Communications Corp.
sr. notes 12s, 2008 64,000
........................................................................................................................
120,000 Verio, Inc. sr. notes 10 5/8s, 2009 133,800
........................................................................................................................
580,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 272,600
........................................................................................................................
150,000 Viatel, Inc. sr. notes 11 1/2s, 2009 120,000
........................................................................................................................
5,000 Williams Communications Group, Inc.
sr. notes 10 7/8s, 2009 4,900
........................................................................................................................
170,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 148,750
------------------------------------------------------------------------------------------------------------------------
8,993,282
------------------------------------------------------------------------------------------------------------------------
Telephone (0.3%)
........................................................................................................................
70,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 67,900
........................................................................................................................
220,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 167,750
........................................................................................................................
300,000 Firstworld Communication Corp. sr. disc.
notes stepped-coupon zero % (13,
4/15/03), 2008 (STP) 141,000
........................................................................................................................
210,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 2/15/03), 2008 (STP) 141,750
........................................................................................................................
100,000 Focal Communications Corp. 144A
sr. notes 11 7/8s, 2010 99,500
........................................................................................................................
90,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 91,350
........................................................................................................................
730,000 KMC Telecommunications Holdings, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 357,700
........................................................................................................................
230,000 Madison River Capital 144A sr. notes
13 1/4s, 2010 209,300
........................................................................................................................
380,000 McLeodUSA, Inc. sr. notes 8 1/8s, 2009 342,000
........................................................................................................................
160,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 147,200
........................................................................................................................
80,000 NEXTLINK Communications, Inc.
sr. notes 10 1/2s, 2009 78,400
........................................................................................................................
60,000 Telecorp PCS, Inc. company guaranty
stepped-coupon zero % (11 5/8s,
4/15/04), 2009 (STP) 39,300
........................................................................................................................
230,000 Time Warner Telecom, Inc. sr. notes
9 3/4s, 2008 223,100
........................................................................................................................
50,000 US Xchange LLC sr. notes 15s, 2008 54,500
........................................................................................................................
30,000 Versatel Telecom N.V. sr. notes
13 1/4s, 2008 144A (Netherlands) 30,600
........................................................................................................................
80,000 Versatel Telecom N.V. sr. notes
13 1/4s, 2008 (Netherlands) 81,600
........................................................................................................................
250,000 Voicestream Wire, Inc. sr. notes
10 3/8s, 2009 257,500
........................................................................................................................
199,000 WinStar Communications, Inc. 144A
sr. disc. Notes stepped coupon zero %
(14 3/4s, 4/15/04), 2010 (STP) 91,540
........................................................................................................................
168,000 WinStar Communications, Inc. 144A
sr. notes 12 3/4s, 2010 157,920
------------------------------------------------------------------------------------------------------------------------
2,779,910
------------------------------------------------------------------------------------------------------------------------
Textiles (--%)
........................................................................................................................
160,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 159,200
........................................................................................................................
130,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 103,350
........................................................................................................................
30,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2005 25,050
........................................................................................................................
50,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 46,750
........................................................................................................................
125,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 118,750
------------------------------------------------------------------------------------------------------------------------
453,100
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.2%)
........................................................................................................................
1,810,000 Hertz Corp. sr. notes 7s, 2028 1,557,107
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.1%)
........................................................................................................................
330,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 10s, 2009 278,850
........................................................................................................................
100,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 86,000
........................................................................................................................
50,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 43,500
........................................................................................................................
100,000 Browning-Ferris Industries, Inc. deb.
7.4s, 2035 69,000
........................................................................................................................
110,000 Waste Management, Inc. company
guaranty 6 7/8s, 2009 96,375
------------------------------------------------------------------------------------------------------------------------
573,725
------------------------------------------------------------------------------------------------------------------------
Water Utilities (--%)
........................................................................................................................
90,000 Azurix Corp. 144A notes 10 3/8s, 2007 86,850
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $91,886,250) $84,570,353
------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (8.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
AUD 10,240,000 Australia (Government of) bonds
Ser. 1106, 6 3/4s, 2006 $6,347,810
........................................................................................................................
EUR 29,400,000 Bundesschatzanweisungen notes,
Ser. 00, 4 1/2s, 2002 27,951,544
........................................................................................................................
EUR 10,400,000 Bundesschatzanweisungen notes,
Ser. 99, 3s, 2001 9,842,768
........................................................................................................................
CAD 27,325,000 Canada (Government of) bonds,
4 1/2s, 2001 18,204,922
........................................................................................................................
DKK 6,535,000 Denmark (Kingdom of) bonds 6s, 2009 856,832
........................................................................................................................
EUR 7,356,685 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 7,103,527
........................................................................................................................
EUR 615,000 Germany (Federal Republic of) bonds
Ser. 98, 4 3/4s, 2028 523,696
........................................................................................................................
USD 445,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 398,475
........................................................................................................................
SEK 27,600,000 Sweden (Government of) bonds
Ser. 1039, 5 1/2s, 2002 3,171,198
........................................................................................................................
GBP 1,005,000 United Kingdom Treasury bonds 9s, 2008 1,878,518
........................................................................................................................
GBP 3,550,000 United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 5,765,149
------------------------------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes
(cost $83,674,157) $82,044,439
------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$2,066,757 Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 $2,100,988
........................................................................................................................
6,477,127 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Interest Only (IO),
0.558s, 2017 292,483
........................................................................................................................
4,900,000 Commercial Mortgage Asset Trust
Ser. 99-C1, Class A3, 6.64s, 2010 4,624,566
........................................................................................................................
430,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 380,080
........................................................................................................................
3,896,420 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.244s, 2031 201,366
........................................................................................................................
1,814,969 DLJ Commercial Mortgage Trust
Ser. 98-CG1, Class A1A, 6.11s, 2007 1,733,862
........................................................................................................................
Fannie Mae
........................................................................................................................
3,830 Ser. 92-184, Class J, IO, 11.46s,
2022 149,694
........................................................................................................................
2,758 Ser. 92-181, Class PJ, IO, 10.07s, 2022 93,721
........................................................................................................................
760,000 Ser. 00-4, Class SX, 8.47s, 2023 714,281
........................................................................................................................
2,511,509 Ser. 252, Class s, IO, 7.5s, 2023 780,137
........................................................................................................................
15,527 Ser. 218, Class 2, IO, 7.5s, 2023 4,750
........................................................................................................................
427,908 Ser. 304, Class 2, IO, 6s, 2028 123,692
........................................................................................................................
1,707,563 Ser. 251, Class 2, IO, 4.371s, 2023 514,403
........................................................................................................................
1,510,641 Ser. 203, Class 2, IO, 4.371s, 2023 455,081
........................................................................................................................
969,919 Ser. 276, Class 2, IO, 2.855s, 2024 290,673
........................................................................................................................
1,376,005 Ser. 99-51, Class S, IO, 2.35s, 2029 98,900
........................................................................................................................
207,052 Ser. 301, Principal Only (PO),
Class 1, zero %, 2029 128,243
........................................................................................................................
119,560 Freddie Mac Ser. 2113, Class ZM,
6.5s, 2028 96,955
........................................................................................................................
47,618 Freddie Mac Strip Ser. 180, PO,
zero %, 2026 32,365
........................................................................................................................
Government National Mortgage
Association
........................................................................................................................
1,894,279 Ser. 00-17, Class SB, 13.2s, 2026 1,830,991
........................................................................................................................
1,759,639 Ser. 99-46, IO, Class SQ, 1.8s, 2027 83,583
........................................................................................................................
4,271,000 GS Mortgage Securities Corp. II
Ser. 98-C1, Class A2, 6.62s, 2030 4,026,919
........................................................................................................................
4,530,000 LB Commercial Conduit Mortgage Trust
Ser. 99-C1, class A2, 6.78s, 2009 4,333,250
........................................................................................................................
344,888 Merrill Lynch Mortgage Investors,
Inc. Ser. 98-C2, Class A1, 6.22s, 2030 332,979
........................................................................................................................
214,775 Morgan Stanley Capital I Ser. 98-HF1,
Class A1, 6.19s, 2007 207,182
........................................................................................................................
340,312 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A1, 6.417s, 2007 328,786
........................................................................................................................
390,845 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 387,547
........................................................................................................................
1,635,000 PNC Mortgage Acceptance Corp.
Ser. 00-C1, Class A2, 7.61s, 2010 1,637,363
........................................................................................................................
736,000 Salomon Brothers Mortgage Securities
VII Ser. 00-C1, Class A2, 7.52s, 2008 733,130
------------------------------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $26,841,128) $26,717,970
------------------------------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.9%) (a)
(cost $8,511,371)
------------------------------------------------------------------------------------------------------------------------
Contract Amount Expiration Date/Strike Price Value
........................................................................................................................
JPY 2, 800,000,000 Japanese Government Bond
Ten Year Future
Contracts (call) Aug-00/100 JPY $8,668,936
------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$129,954 Advanta Mortgage Loan Trust
Ser. 97-2, Class A2, 7.05s, 2021 $129,081
........................................................................................................................
1,355,000 Advanta Mortgage Loan Trust
Ser. 97-4, Class A7, 6.63s, 2029 1,304,505
........................................................................................................................
537,099 First Plus Ser. 98-A, Class A, 8 1/2s, 2023 396,866
........................................................................................................................
2,677,500 Peco Energy Transition Trust Ser. 00-A,
Class A3, 7.625s, 2010 2,696,612
........................................................................................................................
1,576,000 Residential Asset Securities Corp.
Ser. 00-KS3, Class A14, 8.035s, 2028 1,576,946
........................................................................................................................
1,270,000 Residential Asset Securities Corp.
Ser. 00-KS2, Class A14, 7.895s, 2028 1,263,650
------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $7,512,559) $7,367,660
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
3,517 AmeriKing, Inc. $3.25 cum. pfd. $28,136
........................................................................................................................
536 Citadel Broadcasting, Inc.
$13.25 cum. pfd. (PIK) 57,888
........................................................................................................................
20 Dobson Communications Corp.
$12.25 pfd. (PIK) 19,200
........................................................................................................................
160 Fresenius Medical Capital Trust I Ser. D,
9.00% company guaranty, pfd. (Germany) 154,400
........................................................................................................................
80 Fresenius Medical Capital Trust II
$7.875 company guaranty, pfd. (Germany) 71,600
........................................................................................................................
2,200 Global Crossing Holdings, Ltd.
$10.50 cum. pfd. (PIK) 210,100
........................................................................................................................
11,000 Golden State Bancorp Ser. A, $2.28 pfd. 255,750
........................................................................................................................
205 Intermedia Communications Ser. B,
13.50% pfd. (PIK) 191,040
........................................................................................................................
66 Nextel Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 70,290
........................................................................................................................
1 Nextel Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 955
........................................................................................................................
220 NEXTLINK Communications, Inc.
$7.00 cum. pfd. (PIK) 11,440
........................................................................................................................
62 NEXTLINK Communications, Inc. Ser. B,
13.50% pfd. (PIK) 61,070
........................................................................................................................
48,800 Nokia Oyj AB ADR $10.00 pfd. (Finland) 2,436,950
........................................................................................................................
19 Paxson Communications Corp. 144A
13.25% cum. pfd. (PIK) 182,400
........................................................................................................................
102 R&B Falcon Corp. 13.875% cum. pfd. (PIK) 115,770
------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,371,196) $3,866,989
------------------------------------------------------------------------------------------------------------------------
UNITS (0.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
130,000 Dayton Superior Corp. units 13s, 2009 $128,375
........................................................................................................................
230,000 Huntsman Packaging Corp. units 13s, 2010 230,000
........................................................................................................................
120,000 IPCS, Inc. units stepped-coupon zero %
(14s, 7/15/05), 2010 (STP) 62,400
........................................................................................................................
11,600 Tokyo Broadcasting System, Inc.
Structured Notes (issued by UBS, AG)
3.15%, 2000 (Japan) 516,205
........................................................................................................................
270,000 Ubiquitel Operating Co. units company
guaranty stepped-coupon zero % (14s,
4/15/05), 2010 (STP) 153,900
------------------------------------------------------------------------------------------------------------------------
Total Units
(cost $875,101) $1,090,880
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (--%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$70,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 $54,950
........................................................................................................................
125,000 Parker Drilling Corp. cv. sub. notes
5 1/2s, 2004 102,344
------------------------------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $155,956) $157,294
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
1,900 PSINet, Inc. 144A $3.50 cv. pfd. $64,600
........................................................................................................................
33 World Access 144A Ser. D, zero %, cv. pfd. 33,000
------------------------------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $113,569) $97,600
------------------------------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
------------------------------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................................................
70 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 $3,850
........................................................................................................................
95 Carrier1 Intl. SA 2/19/09 29,450
........................................................................................................................
275 CellNet Data Systems, Inc. 10/1/07 1
........................................................................................................................
1,110 Diva Systems Corp. 3/1/08 15,540
........................................................................................................................
300 Firstworld Communication
Corp. 4/15/08 21,000
........................................................................................................................
80 Globalstar Telecommunications 2/15/04 80
........................................................................................................................
150 KMC Telecommunications
Holdings, Inc. 4/15/08 450
........................................................................................................................
210 Knology Holdings 10/22/07 1,575
........................................................................................................................
10 McCaw International, Ltd. 4/15/07 40
........................................................................................................................
80 Mediq, Inc. 144A 6/1/09 1
........................................................................................................................
40 Motient Corp. 144A 4/1/08 1,600
........................................................................................................................
40 Onepoint Communications, Inc. 6/1/08 800
........................................................................................................................
90 Orbital Imaging Corp. 144A 3/1/05 1,800
........................................................................................................................
120 Orion Network Systems 1/15/07 1,320
........................................................................................................................
140 Pathnet, Inc. 144A 4/15/08 1,400
........................................................................................................................
90 R & B Falcon Corp. 144A 5/1/09 45,000
........................................................................................................................
40 Raintree Resort Corp. 12/1/04 1
........................................................................................................................
80 Startec Global
Communications Corp. 5/15/08 280
........................................................................................................................
110 Telehub Communications Corp. 7/31/05 55
........................................................................................................................
500 Tokyo Broadcasting 11/17/00 21,630
........................................................................................................................
150 UIH Australia/Pacific, Inc. 144A 5/15/06 4,500
........................................................................................................................
10 Versatel Telecom N.V. 5/15/08 5,330
------------------------------------------------------------------------------------------------------------------------
Total Warrants
(cost $74,302) $155,703
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.6%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$39,805,000 Interest in $750,000,000 joint repurchase
agreement June 30, 2000 with
Goldman Sachs & Co. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$39,826,561 for an effective
yield of 6.50% $39,805,000
........................................................................................................................
22,200,000 Sheffield Receivables Corp. for an
effective yield of 6.54%, July 6, 2000 22,179,835
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $61,984,835) $61,984,835
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $841,868,005) (b) $928,875,263
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Forward Currency Contracts to Buy at June 30, 2000 (Unaudited)
(aggregate face value $236,625,468)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
Australian Dollar $44,456,217 $43,773,861 9/20/00 $682,356
.............................................................................
British Pounds 5,152,564 5,185,945 9/20/00 (33,381)
.............................................................................
Canadian Dollar 4,937,022 4,954,854 9/20/00 (17,832)
.............................................................................
Danish Krone 1,161,524 1,143,210 9/20/00 18,314
.............................................................................
Euro Dollar 101,032,692 100,324,022 9/20/00 708,670
.............................................................................
Greek Drachma 455,678 455,010 9/20/00 668
.............................................................................
Hong Kong Dollar 879,411 878,923 9/20/00 488
.............................................................................
Japanese Yen 78,992,653 78,726,325 9/20/00 266,328
.............................................................................
New Zealand Dollar 150,534 151,680 9/20/00 (1,146)
.............................................................................
Norwegian Krone 380,335 370,269 9/20/00 10,066
.............................................................................
Swiss Franc 676,157 661,373 9/20/00 14,784
-----------------------------------------------------------------------------
$1,649,315
-----------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 2000 (Unaudited)
(aggregate face value $143,666,027)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
British Pounds $10,469,958 $10,510,659 9/20/00 $40,701
.............................................................................
Canadian Dollar 22,517,924 22,594,094 9/20/00 76,170
.............................................................................
Euro Dollar 21,749,362 21,694,786 9/20/00 (54,576)
.............................................................................
Japanese Yen 77,421,764 77,156,337 9/20/00 (265,427)
.............................................................................
Australian Dollar 5,975,996 5,856,771 9/20/00 (119,225)
.............................................................................
Greek Drachma 455,394 454,314 9/20/00 (1,080)
.............................................................................
Hong Kong Dollar 1,526,491 1,525,552 9/20/00 (939)
.............................................................................
Singapore Dollar 64,184 64,493 9/20/00 309
.............................................................................
Swiss Franc 1,921,062 1,883,297 9/20/00 (37,765)
.............................................................................
Swedish Krone 1,935,380 1,925,724 9/20/00 (9,656)
-----------------------------------------------------------------------------
$(371,488)
-----------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
ASX Index (Long) $32,418,451 $31,071,824 Sep-00 $1,346,627
.............................................................................
CAC-40 (Short) 4,091,293 4,164,283 Jul-00 72,990
.............................................................................
DAX Index (Short) 3,663,483 3,900,920 Sep-00 237,437
.............................................................................
Euro-Bund (Long) 3,222,370 3,227,719 Sep-00 (5,349)
.............................................................................
Euro-Bund (Short) 7,753,827 7,691,726 Sep-00 (62,101)
.............................................................................
FT-SE 100 Index
(Short) 16,452,461 17,019,327 Sep-00 566,866
.............................................................................
Gilt 10 Yr (Short) 7,574,404 7,418,080 Sep-00 (156,324)
.............................................................................
Japanese Government
Bonds 10 yr. (Long) 7,529,779 7,513,018 Sep-00 16,761
.............................................................................
MIB 30 Index (Short) 1,578,714 1,582,241 Sep-00 3,527
.............................................................................
Russell 2000 (Short) 4,964,700 4,963,889 Sep-00 (811)
.............................................................................
S & P 500 Index
(Long) 9,542,650 9,665,643 Sep-00 (122,993)
.............................................................................
Topix Index (Long) 7,372,235 7,322,264 Sep-00 49,971
.............................................................................
US Treasury Note
10 Yr (Long) 31,121,063 30,806,336 Sep-00 314,727
.............................................................................
US Treasury Note
5 Yr (Long) 2,376,375 2,325,098 Sep-00 51,277
-----------------------------------------------------------------------------
$2,312,605
-----------------------------------------------------------------------------
TBA Sale Commitments at June 30, 2000 (Unaudited)
(Proceeds receivable $12,358,531)
------------------------------------------------------------------------------
Principal Settlement Market
Agency Amount Date Value
..............................................................................
FNMA, 7 1/2s, July 2030 $735,000 7/1/30 $724,548
..............................................................................
FNMA, 7s, April 2030 12,080,000 7/1/30 11,662,878
------------------------------------------------------------------------------
$12,387,426
------------------------------------------------------------------------------
Diversification by Country (Unaudited)
------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 2000: (as percentage of Market Value)
------------------------------------------------------------------------------
Canada 2.6%
..............................................................................
France 1.4
..............................................................................
Germany 1.0
..............................................................................
Japan 1.3
..............................................................................
Netherlands 5.6
..............................................................................
United Kingdom 3.1
..............................................................................
United States 80.5
..............................................................................
Other 4.5
------------------------------------------------------------------------------
Total 100.0%
------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Global Growth Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (95.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (2.6%)
........................................................................................................................
478,000 Havas Advertising SA (France) $10,971,859
........................................................................................................................
439,500 Interpublic Group Cos., Inc. 18,898,500
........................................................................................................................
254,051 Omnicom Group, Inc. 22,626,417
........................................................................................................................
1,425,500 WPP Group PLC (United Kingdom) 20,819,820
------------------------------------------------------------------------------------------------------------------------
73,316,596
------------------------------------------------------------------------------------------------------------------------
Automotive (--%)
........................................................................................................................
50 Tat Engineering and Locomotive
Co., Ltd. (India) (NON) 138
------------------------------------------------------------------------------------------------------------------------
Banking (5.0%)
........................................................................................................................
906,700 Banca Fideuram SpA (Italy) 13,729,904
........................................................................................................................
3,333,730 Bipop-Carire SpA (REL) 26,327,186
........................................................................................................................
798,500 Bank of New York Company, Inc. 37,130,250
........................................................................................................................
301,800 Fifth Third Bancorp 19,088,850
........................................................................................................................
387,300 Mellon Financial Corp. 14,112,244
........................................................................................................................
277,725 State Street Corp. 29,456,208
------------------------------------------------------------------------------------------------------------------------
139,844,642
------------------------------------------------------------------------------------------------------------------------
Beverage (0.1%)
........................................................................................................................
15,600 ITO EN, Ltd. (Japan) 1,154,736
------------------------------------------------------------------------------------------------------------------------
Biotechnology (1.8%)
........................................................................................................................
297,650 Genentech, Inc. (NON) 51,195,800
------------------------------------------------------------------------------------------------------------------------
Broadcasting (2.8%)
........................................................................................................................
357,650 Clear Channel Communications, Inc. (NON) 26,823,750
........................................................................................................................
696 Fuji Television Network, Inc. (Japan) 10,922,292
........................................................................................................................
887,281 Mediaset SpA (Italy) 13,605,922
........................................................................................................................
402,080 Societe Television Francaise (France) 28,130,803
------------------------------------------------------------------------------------------------------------------------
79,482,767
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.4%)
........................................................................................................................
113,200 General Motors Corp. Class H (NON) 9,933,300
------------------------------------------------------------------------------------------------------------------------
Capital Goods (0.6%)
........................................................................................................................
91,419 Altran Technologies SA (France) 17,970,035
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (3.4%)
........................................................................................................................
1,679,800 Capita Group PLC (United Kingdom) 41,110,241
........................................................................................................................
119,100 eBay, Inc. (NON) 6,468,619
........................................................................................................................
28,260 L'Oreal S.A. (France) (NON) 24,565,536
........................................................................................................................
1,068,638 Securitas AB Class B, (Sweden) 22,796,635
------------------------------------------------------------------------------------------------------------------------
94,941,031
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (10.4%)
........................................................................................................................
1,218,317 Cisco Systems, Inc. (NON) 77,439,274
........................................................................................................................
89,950 Corning, Inc. 24,275,256
........................................................................................................................
196,300 Juniper Networks, Inc. (NON) 28,573,919
........................................................................................................................
1,438,518 Nokia Oyj AB Class A, (Finland) 73,690,214
........................................................................................................................
984,660 Nortel Networks Corp. (Canada) 68,272,065
........................................................................................................................
179,850 QUALCOMM, Inc. (NON) 10,791,000
........................................................................................................................
406,700 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 8,095,956
------------------------------------------------------------------------------------------------------------------------
291,137,684
------------------------------------------------------------------------------------------------------------------------
Computers (3.6%)
........................................................................................................................
85,990 Dassault Systemes SA (France) (NON) 8,051,732
........................................................................................................................
525,900 EMC Corp. (NON) 40,461,431
........................................................................................................................
560,500 Sun Microsystems, Inc. (NON) 50,970,469
........................................................................................................................
5,325 VeriSign, Inc. (NON) 939,863
------------------------------------------------------------------------------------------------------------------------
100,423,495
------------------------------------------------------------------------------------------------------------------------
Conglomerates (2.5%)
........................................................................................................................
1,317,976 General Electric Co. 69,852,728
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (1.2%)
........................................................................................................................
684,000 Estee Lauder Co. Class A 33,815,250
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (0.4%)
........................................................................................................................
35,100 Keyence Corp (Japan) 11,613,727
------------------------------------------------------------------------------------------------------------------------
Electronics (13.6%)
........................................................................................................................
5,622,450 ARM Holdings PLC (United Kingdom) (NON) 60,247,813
........................................................................................................................
240,325 Epcos AG (Germany) (NON) 24,276,516
........................................................................................................................
690,265 Intel Corp. 92,279,802
........................................................................................................................
344,000 JDS Uniphase Corp. (NON) 41,237,000
........................................................................................................................
226,200 Linear Technology Corp. 14,462,663
........................................................................................................................
213,000 LSI Logic Corp. (NON) 11,528,625
........................................................................................................................
188,200 Maxim Integrated Products, Inc. (NON) 12,785,838
........................................................................................................................
179,600 Micron Technology, Inc. (NON) 15,816,025
........................................................................................................................
134,000 Murata Manufacturing Co., Ltd. (Japan) 19,280,393
........................................................................................................................
47,100 Rohm Co., Ltd. (Japan) 13,803,176
........................................................................................................................
26,800 SDL, Inc. (NON) 7,643,025
........................................................................................................................
311,725 STMicroelectronics N.V. (France) 19,717,978
........................................................................................................................
520,000 Texas Instruments, Inc. 35,717,500
........................................................................................................................
600 Tokyo Electron, Ltd. (Japan) (NON) 82,360
........................................................................................................................
169,500 Xilinx, Inc. (NON) 13,994,344
------------------------------------------------------------------------------------------------------------------------
382,873,058
------------------------------------------------------------------------------------------------------------------------
Entertainment (1.7%)
........................................................................................................................
716,242 Viacom, Inc. Class B (NON) 48,838,751
------------------------------------------------------------------------------------------------------------------------
Financial (1.8%)
........................................................................................................................
512,600 American Express Co. 26,719,275
........................................................................................................................
412,050 Citigroup, Inc. 24,826,013
------------------------------------------------------------------------------------------------------------------------
51,545,288
------------------------------------------------------------------------------------------------------------------------
Insurance (3.4%)
........................................................................................................................
551,800 AFLAC, Inc. 25,348,313
........................................................................................................................
250,850 American International Group, Inc. 29,474,875
........................................................................................................................
681,204 Mediolanum SpA (Italy) 11,124,835
........................................................................................................................
1,080,752 Skandia Forsakrings AB (Sweden) 28,726,354
------------------------------------------------------------------------------------------------------------------------
94,674,377
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (4.7%)
........................................................................................................................
145,525 Consors Discount Broker AG (Germany) (NON) 13,040,553
........................................................................................................................
285,050 Goldman Sachs Group, Inc. (The) 27,044,119
........................................................................................................................
82,600 Morgan Stanley, Dean Witter,
Discover and Co. 6,876,450
........................................................................................................................
2,764,000 Nikko Securities Co., Ltd. (Japan) 27,436,188
........................................................................................................................
725,000 Nomura Securities Co., Ltd. (Japan) 17,785,735
........................................................................................................................
1,192,900 Schwab (Charles) Corp. 40,111,263
------------------------------------------------------------------------------------------------------------------------
132,294,308
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.8%)
........................................................................................................................
2,223,800 Granada Group PLC (United Kingdom) 22,213,761
------------------------------------------------------------------------------------------------------------------------
Manufacturing (1.0%)
........................................................................................................................
1,045,300 Bombardier, Inc. (Canada) 28,369,606
------------------------------------------------------------------------------------------------------------------------
Media (0.4%)
........................................................................................................................
154,300 Time Warner, Inc. 11,726,800
------------------------------------------------------------------------------------------------------------------------
Medical Technology (0.3%)
........................................................................................................................
118,850 PE Corp. - PE Biosystems Group 7,829,244
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (0.5%)
........................................................................................................................
228,000 Enron Corp. 14,706,000
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (0.5%)
........................................................................................................................
93,200 Total Fina Elf S.A. Class B (France) 14,345,255
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (6.2%)
........................................................................................................................
349,000 Fujisawa Pharmaceutical Co. (Japan) (NON) 14,153,999
........................................................................................................................
35,900 Lilly (Eli) & Co. 3,585,513
........................................................................................................................
702,175 Pfizer, Inc. 33,704,400
........................................................................................................................
356,200 Pharmacia Corp. 18,411,088
........................................................................................................................
550,610 Sanofi-Synthelabo SA (France) 26,332,461
........................................................................................................................
786,500 Schering-Plough Corp. 39,718,250
........................................................................................................................
598,000 Takeda Chemical Industries (Japan) 39,346,568
------------------------------------------------------------------------------------------------------------------------
175,252,279
------------------------------------------------------------------------------------------------------------------------
Retail (3.0%)
........................................................................................................................
547,300 Home Depot, Inc. (The) 27,330,794
........................................................................................................................
292,000 Seven-Eleven Japan Co., Ltd. (Japan) (NON) 24,485,158
........................................................................................................................
569,750 Wal-Mart Stores, Inc. 32,831,844
------------------------------------------------------------------------------------------------------------------------
84,647,796
------------------------------------------------------------------------------------------------------------------------
Semiconductor (1.8%)
........................................................................................................................
305,400 Applied Materials, Inc. (NON) 27,676,875
........................................................................................................................
255,613 ASM Lithography Holding
NV (Netherlands) (NON) 11,028,977
........................................................................................................................
167,250 Teradyne, Inc. (NON) 12,292,875
------------------------------------------------------------------------------------------------------------------------
50,998,727
------------------------------------------------------------------------------------------------------------------------
Software (4.3%)
........................................................................................................................
291,550 Amdocs, Ltd. (United Kingdom) 22,376,463
........................................................................................................................
10,650 I2 Technologies, Inc. (NON) 1,110,429
........................................................................................................................
628,100 Microsoft Corp. (NON) 50,248,000
........................................................................................................................
272,050 Oracle Corp. (NON) 22,869,203
........................................................................................................................
211,200 VERITAS Software Corp. (NON) 23,868,900
------------------------------------------------------------------------------------------------------------------------
120,472,995
------------------------------------------------------------------------------------------------------------------------
Technology Services (3.8%)
........................................................................................................................
634,100 America Online, Inc. (NON) 33,448,775
........................................................................................................................
77,100 Capita Group PLC (United Kingdom) 1,886,891
........................................................................................................................
38 Yahoo Japan Corp. (Japan) (NON) 15,105,880
........................................................................................................................
443,900 Yahoo! Inc. (NON) 54,988,113
------------------------------------------------------------------------------------------------------------------------
105,429,659
------------------------------------------------------------------------------------------------------------------------
Telecommunications (12.1%)
........................................................................................................................
1,587,200 China Telecom, Ltd. (Hong Kong) (NON) 13,999,076
........................................................................................................................
981,523 Colt Telecommunications Group PLC
(United Kingdom) (NON) 32,681,771
........................................................................................................................
1,208,076 KPNQwest N.V. (Netherlands) (NON) 47,702,186
........................................................................................................................
609,250 Nextel Communications, Inc. Class A (NON) 37,278,484
........................................................................................................................
1,945 NTT DoCoMo (Japan) 52,771,318
........................................................................................................................
695,700 Sprint Corp. (NON) 41,394,150
........................................................................................................................
4 Telesp Participacoes S.A. (Brazil) 70
........................................................................................................................
28,479,783 Vodafone Group PLC (United Kingdom) 115,088,079
------------------------------------------------------------------------------------------------------------------------
340,915,134
------------------------------------------------------------------------------------------------------------------------
Transportation Services (1.2%)
........................................................................................................................
576,200 United Parcel Service, Inc. 33,995,800
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,312,138,740) $2,695,810,767
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (1.9%) (a) (cost $35,532,009)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
106,890 Marschollek, Lautenschlaeger und
Partner AG DEM $3.05 pfd. (Germany) $53,680,329
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) (a) (cost $86,450,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$86,450,000 Interest in $729,703,000 joint repurchase
agreement dated June 30, 2000 with
Morgan (J.P.) & Co., Inc. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$86,496,4667 for an effective
yield of 6.45% $86,450,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $2,434,120,749) (b) $2,835,941,096
------------------------------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
------------------------------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 2000: (as percentage of Market Value)
------------------------------------------------------------------------------------------------------------------------
Canada 3.4%
........................................................................................................................
Finland 2.6
........................................................................................................................
France 5.3
........................................................................................................................
Germany 3.2
........................................................................................................................
Hong Kong 1.7
........................................................................................................................
Italy 2.3
........................................................................................................................
Japan 8.7
........................................................................................................................
Netherlands 2.1
........................................................................................................................
Sweden 2.1
........................................................................................................................
United Kingdom 11.2
........................................................................................................................
United States 57.4
------------------------------------------------------------------------------------------------------------------------
Total 100.0%
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Growth & Income Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (98.0%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Aerospace/Defense (2.3%)
........................................................................................................................
2,151,300 Boeing Co. $89,951,231
........................................................................................................................
61,700 General Dynamics Corp. 3,223,825
........................................................................................................................
153,627 General Motors Corp. Class H (NON) 13,480,769
........................................................................................................................
1,844,400 Lockheed Martin Corp. 45,764,175
........................................................................................................................
757,000 United Technologies Corp. 44,568,375
------------------------------------------------------------------------------------------------------------------------
196,988,375
------------------------------------------------------------------------------------------------------------------------
Airlines (0.1%)
........................................................................................................................
90,200 Delta Air Lines, Inc. 4,560,738
------------------------------------------------------------------------------------------------------------------------
Automotive (1.2%)
........................................................................................................................
1,420,600 Ford Motor Co. 61,085,800
........................................................................................................................
602,157 General Motors Corp. 34,962,741
........................................................................................................................
55,100 TRW, Inc. 2,389,963
........................................................................................................................
186,003 Visteon Corp. (NON) 2,255,291
------------------------------------------------------------------------------------------------------------------------
100,693,795
------------------------------------------------------------------------------------------------------------------------
Banking (10.5%)
........................................................................................................................
260,000 AmSouth Bancorporation 4,095,000
........................................................................................................................
2,999,027 Bank of America Corp. 128,958,161
........................................................................................................................
1,231,100 Bank of New York Company, Inc. 57,246,150
........................................................................................................................
1,960,989 Bank One Corp. 52,088,770
........................................................................................................................
231,800 BB&T Corp. 5,534,225
........................................................................................................................
801,000 Charter One Financial, Inc. 18,423,000
........................................................................................................................
1,607,200 Chase Manhattan Corp. 74,031,650
........................................................................................................................
1,135,500 Comerica, Inc. 50,955,563
........................................................................................................................
133,100 Fifth Third Bancorp 8,418,575
........................................................................................................................
156,400 First Tennessee National Corp. 2,590,375
........................................................................................................................
1,576,200 First Union Corp. 39,109,463
........................................................................................................................
2,633,860 Firstar Corp. 55,475,676
........................................................................................................................
2,129,418 FleetBoston Financial Corp. 72,400,212
........................................................................................................................
415,000 Huntington Bancshares, Inc. 6,562,188
........................................................................................................................
236,100 KeyCorp 4,161,263
........................................................................................................................
1,407,200 Mellon Financial Corp. 51,274,850
........................................................................................................................
23,700 Morgan (J.P.) & Co., Inc. 2,609,963
........................................................................................................................
1,576,100 National City Corp. 26,892,206
........................................................................................................................
822,900 PNC Bank Corp. 38,573,438
........................................................................................................................
55,700 State Street Corp. 5,907,681
........................................................................................................................
240,000 Summit Bancorp 5,910,000
........................................................................................................................
178,700 SunTrust Banks, Inc. 8,164,356
........................................................................................................................
590,000 Synovus Financial Corp. 10,398,750
........................................................................................................................
1,493,600 U.S. Bancorp 28,751,800
........................................................................................................................
1,492,500 Washington Mutual, Inc. 43,095,938
........................................................................................................................
2,721,300 Wells Fargo Co. 105,450,375
........................................................................................................................
88,300 Zions Bancorp 4,052,142
------------------------------------------------------------------------------------------------------------------------
911,131,770
------------------------------------------------------------------------------------------------------------------------
Beverage (2.9%)
........................................................................................................................
854,888 Anheuser-Busch Cos., Inc. 63,849,448
........................................................................................................................
1,265,400 Coca-Cola Co. 72,681,413
........................................................................................................................
1,803,900 Coca-Cola Enterprises, Inc. 29,426,119
........................................................................................................................
1,936,200 PepsiCo, Inc. 86,039,888
------------------------------------------------------------------------------------------------------------------------
251,996,868
------------------------------------------------------------------------------------------------------------------------
Building Materials (--%)
........................................................................................................................
145,100 Masco Corp. 2,620,869
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.2%)
........................................................................................................................
420,000 Comcast Corp. Class A (NON) 17,010,000
........................................................................................................................
143,800 USA Networks, Inc. (NON) 3,109,675
------------------------------------------------------------------------------------------------------------------------
20,119,675
------------------------------------------------------------------------------------------------------------------------
Chemicals (3.4%)
........................................................................................................................
388,100 Air Products & Chemicals, Inc. 11,958,331
........................................................................................................................
528,800 Avery Dennison Corp. 35,495,700
........................................................................................................................
1,671,900 Dow Chemical Co. 50,470,481
........................................................................................................................
1,635,404 du Pont (E.I.) de Nemours & Co., Ltd. 71,548,925
........................................................................................................................
320,000 Eastman Chemical Co. 15,280,000
........................................................................................................................
811,205 Minnesota Mining & Manufacturing Co. 66,924,413
........................................................................................................................
402,200 PPG Industries, Inc. 17,822,488
........................................................................................................................
75,500 Praxair, Inc. 2,826,531
........................................................................................................................
626,900 Rohm & Haas Co. 21,628,050
------------------------------------------------------------------------------------------------------------------------
293,954,919
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.2%)
........................................................................................................................
299,700 Cendant Corp. (NON) 4,195,800
........................................................................................................................
84,200 Cintas Corp. 3,089,088
........................................................................................................................
18,700 H&R Block, Inc. 605,413
........................................................................................................................
1,800,800 Service Corp. International 5,740,050
------------------------------------------------------------------------------------------------------------------------
13,630,351
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (--%)
........................................................................................................................
12,800 Scientific-Atlanta, Inc. 953,600
------------------------------------------------------------------------------------------------------------------------
Computers (5.7%)
........................................................................................................................
120,800 3Com Corp. (NON) 6,961,100
........................................................................................................................
246,900 Apple Computer, Inc. (NON) 12,931,388
........................................................................................................................
1,985,500 Compaq Computer Corp. 50,754,344
........................................................................................................................
177,500 Gateway, Inc. (NON) 10,073,125
........................................................................................................................
1,268,800 Hewlett-Packard Co. 158,441,400
........................................................................................................................
2,033,416 IBM Corp. 222,786,141
........................................................................................................................
178,000 Lexmark International Group, Inc.
Class A (NON) 11,970,500
........................................................................................................................
411,600 Seagate Technology, Inc. (NON) 22,638,000
------------------------------------------------------------------------------------------------------------------------
496,555,998
------------------------------------------------------------------------------------------------------------------------
Conglomerates (1.2%)
........................................................................................................................
10,000 Berkshire Hathaway, Inc. (NON) 17,600,000
........................................................................................................................
524,800 Cooper Industries, Inc. 17,088,800
........................................................................................................................
551,000 Honeywell International, Inc. 18,561,813
........................................................................................................................
1,100,500 Tyco International, Ltd. 52,136,188
------------------------------------------------------------------------------------------------------------------------
105,386,801
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (0.9%)
........................................................................................................................
121,800 Capital One Financial Corp. 5,435,325
........................................................................................................................
1,111,100 Household International, Inc. 46,180,094
........................................................................................................................
653,800 MBNA Corp. 17,734,325
........................................................................................................................
87,200 Providian Financial Corp. 7,848,000
------------------------------------------------------------------------------------------------------------------------
77,197,744
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (2.5%)
........................................................................................................................
886,800 Avon Products, Inc. 39,462,600
........................................................................................................................
691,500 Clorox Co. 30,987,844
........................................................................................................................
220,500 Colgate-Palmolive Co. 13,202,438
........................................................................................................................
331,800 Gillette Co. 11,592,263
........................................................................................................................
1,315,601 Kimberly-Clark Corp. 75,482,607
........................................................................................................................
561,700 Procter & Gamble Co. 32,157,325
........................................................................................................................
147,200 Unilever NV (Netherlands) 6,329,600
------------------------------------------------------------------------------------------------------------------------
209,214,677
------------------------------------------------------------------------------------------------------------------------
Distribution (0.3%)
........................................................................................................................
619,000 SYSCO Corp. 26,075,375
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (3.8%)
........................................................................................................................
1,156,900 Consolidated Edison, Inc. 34,273,163
........................................................................................................................
716,200 CP&L, Inc. 22,873,638
........................................................................................................................
395,000 Dominion Resources, Inc. 16,935,625
........................................................................................................................
1,003,400 Duke Energy Corp. 56,566,675
........................................................................................................................
996,300 Edison International 20,424,150
........................................................................................................................
2,019,600 Entergy Corp. 54,907,875
........................................................................................................................
38,600 FPL Group, Inc. 1,311,750
........................................................................................................................
843,300 NiSource, Inc. 15,706,463
........................................................................................................................
954,800 Pacific Gas & Electric Co. 23,511,950
........................................................................................................................
580,000 Public Service Enterprise Group, Inc. 20,082,500
........................................................................................................................
1,145,000 Reliant Energy, Inc. 33,849,063
........................................................................................................................
920,600 TXU Corp. 27,157,700
------------------------------------------------------------------------------------------------------------------------
327,600,552
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (1.1%)
........................................................................................................................
1,230,300 Emerson Electric Co. 74,279,363
........................................................................................................................
602,900 Rockwell International Corp. 18,991,350
------------------------------------------------------------------------------------------------------------------------
93,270,713
------------------------------------------------------------------------------------------------------------------------
Electronics (0.6%)
........................................................................................................................
43,300 Advanced Micro Devices, Inc. (NON) 3,344,925
........................................................................................................................
183,802 Agilent Technologies, Inc. (NON) 13,555,398
........................................................................................................................
97,400 American Power Conversion Corp. (NON) 3,975,138
........................................................................................................................
894,500 Motorola, Inc. 25,996,406
........................................................................................................................
38,400 National Semiconductor Corp. (NON) 2,179,200
........................................................................................................................
70,400 SCI Systems, Inc. (NON) 2,758,800
........................................................................................................................
44,000 Solectron Corp. (NON) 1,842,500
------------------------------------------------------------------------------------------------------------------------
53,652,367
------------------------------------------------------------------------------------------------------------------------
Energy (1.5%)
........................................................................................................................
144,600 Baker Hughes, Inc. 4,627,200
........................................................................................................................
905,300 Halliburton Co. 42,718,844
........................................................................................................................
766,200 Schlumberger, Ltd. 57,177,675
........................................................................................................................
377,600 Transocean Sedco Forex, Inc. 20,178,000
------------------------------------------------------------------------------------------------------------------------
124,701,719
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.4%)
........................................................................................................................
546,372 Viacom, Inc. Class B (NON) 37,255,741
------------------------------------------------------------------------------------------------------------------------
Financial (4.6%)
........................................................................................................................
330,900 American Express Co. 17,248,163
........................................................................................................................
736,000 Associates First Capital Corp. 16,422,000
........................................................................................................................
3,617,150 Citigroup, Inc. 217,933,288
........................................................................................................................
183,000 CTI Group, Inc. (The) 2,973,750
........................................................................................................................
1,853,409 Fannie Mae 96,724,782
........................................................................................................................
956,900 Federal Home Loan Mortgage Corp. 38,754,450
........................................................................................................................
107,100 MGIC Investment Corp. 4,873,050
........................................................................................................................
97,000 SLM Holding Corp. 3,631,438
------------------------------------------------------------------------------------------------------------------------
398,560,921
------------------------------------------------------------------------------------------------------------------------
Food (2.2%)
........................................................................................................................
295,300 Archer Daniels Midland Co. 2,897,631
........................................................................................................................
67,500 Bestfoods 4,674,375
........................................................................................................................
105,400 Campbell Soup Co. 3,069,775
........................................................................................................................
1,034,300 ConAgra, Inc. 19,716,344
........................................................................................................................
165,800 General Mills, Inc. 6,341,850
........................................................................................................................
864,200 Heinz (H.J.) Co. 37,808,750
........................................................................................................................
1,030,400 Kellogg Co. 30,654,400
........................................................................................................................
411,800 Quaker Oats Co. (The) 30,936,475
........................................................................................................................
451,800 Ralston-Ralston Purina Group 9,007,763
........................................................................................................................
2,437,562 Sara Lee Corp. 47,075,416
------------------------------------------------------------------------------------------------------------------------
192,182,779
------------------------------------------------------------------------------------------------------------------------
Health Care Services (2.4%)
........................................................................................................................
72,900 Aetna, Inc. 4,679,269
........................................................................................................................
1,017,138 Baxter International, Inc. 71,517,516
........................................................................................................................
139,100 Cardinal Health, Inc. 10,293,400
........................................................................................................................
786,542 CIGNA Corp. 73,541,677
........................................................................................................................
658,982 HCA -The Healthcare Corp. 20,016,578
........................................................................................................................
224,000 IMS Health, Inc. 4,032,000
........................................................................................................................
833,500 Tenet Healthcare Corp. 22,504,500
........................................................................................................................
51,600 United Health Group Inc. 4,424,700
------------------------------------------------------------------------------------------------------------------------
211,009,640
------------------------------------------------------------------------------------------------------------------------
Household Furniture and Appliances (0.1%)
........................................................................................................................
416,100 Newell Rubbermaid, Inc. 10,714,575
------------------------------------------------------------------------------------------------------------------------
Insurance (3.7%)
........................................................................................................................
272,600 AFLAC, Inc. 12,522,563
........................................................................................................................
1,675,900 Allstate Corp. 37,288,775
........................................................................................................................
1,187,487 American General Corp. 72,436,707
........................................................................................................................
228,700 American International Group, Inc. 26,872,250
........................................................................................................................
798,135 AON Corp. 24,792,068
........................................................................................................................
79,700 Cincinnati Financial Corp. 2,505,569
........................................................................................................................
960,000 Hartford Financial Services Group 53,700,000
........................................................................................................................
50,500 Jefferson-Pilot Corp. 2,850,094
........................................................................................................................
1,213,400 Lincoln National Corp. 43,834,075
........................................................................................................................
56,300 Loews Corp. 3,378,000
........................................................................................................................
41,900 Progressive Corp. (The) 3,100,600
........................................................................................................................
577,100 The Chubb Corp. 35,491,650
........................................................................................................................
187,600 Torchmark Corp. 4,631,375
------------------------------------------------------------------------------------------------------------------------
323,403,726
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (2.2%)
........................................................................................................................
91,300 Franklin Resources, Inc. 2,773,238
........................................................................................................................
142,600 Goldman Sachs Group, Inc. (The) 13,529,175
........................................................................................................................
269,400 Lehman Brothers Holdings, Inc. 25,475,138
........................................................................................................................
606,800 Merrill Lynch & Co., Inc. 69,782,000
........................................................................................................................
672,800 Morgan Stanley, Dean Witter,
Discover and Co. 56,010,600
........................................................................................................................
481,400 Paine Webber Group, Inc. 21,903,700
........................................................................................................................
90,500 T. Rowe Price Associates, Inc. 3,846,250
------------------------------------------------------------------------------------------------------------------------
193,320,101
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.2%)
........................................................................................................................
341,800 Carnival Corp. Class A 6,665,100
........................................................................................................................
84,700 Royal Caribbean Cruises, Ltd. 1,566,950
........................................................................................................................
167,200 Starwood Hotels & Resorts
Worldwide, Inc. 5,444,450
------------------------------------------------------------------------------------------------------------------------
13,676,500
------------------------------------------------------------------------------------------------------------------------
Machinery (0.2%)
........................................................................................................................
365,879 Caterpillar, Inc. 12,394,151
........................................................................................................................
126,200 Dover Corp. 5,118,988
........................................................................................................................
69,900 Ingersoll-Rand Co. 2,813,475
------------------------------------------------------------------------------------------------------------------------
20,326,614
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.4%)
........................................................................................................................
71,800 Danaher Corp. 3,549,613
........................................................................................................................
468,800 Illinois Tool Works, Inc. 26,721,600
------------------------------------------------------------------------------------------------------------------------
30,271,213
------------------------------------------------------------------------------------------------------------------------
Media (1.6%)
........................................................................................................................
3,061,800 Disney (Walt) Productions, Inc. 118,836,113
........................................................................................................................
385,700 Seagram Co., Ltd. 22,370,600
------------------------------------------------------------------------------------------------------------------------
141,206,713
------------------------------------------------------------------------------------------------------------------------
Medical Technology (0.1%)
........................................................................................................................
117,600 Becton, Dickson and Co. 3,373,650
........................................................................................................................
179,400 Boston Scientific Corp. (NON) 3,935,588
........................................................................................................................
44,200 Stryker Corp. 1,933,750
------------------------------------------------------------------------------------------------------------------------
9,242,988
------------------------------------------------------------------------------------------------------------------------
Metals (0.3%)
........................................................................................................................
429,200 Alcoa, Inc. 12,446,800
........................................................................................................................
790,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A (NON) 7,208,750
........................................................................................................................
605,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class B (NON) 5,596,250
------------------------------------------------------------------------------------------------------------------------
25,251,800
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (1.3%)
........................................................................................................................
793,100 El Paso Energy Corp. 40,398,531
........................................................................................................................
287,300 Enron Corp. 18,530,850
........................................................................................................................
478,473 Sempra Energy 8,134,041
........................................................................................................................
1,155,696 Williams Cos., Inc. 48,178,077
------------------------------------------------------------------------------------------------------------------------
115,241,499
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (--%)
........................................................................................................................
69,400 Pitney Bowes, Inc. 2,776,000
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (8.2%)
........................................................................................................................
66,200 Apache Corp. 3,893,388
........................................................................................................................
1,335,172 BP Amoco PLC ADR (United Kingdom) 75,520,666
........................................................................................................................
44,800 Burlington Resources, Inc. 1,713,600
........................................................................................................................
835,300 Chevron, Inc. 70,843,881
........................................................................................................................
891,900 Conoco, Inc. 19,621,800
........................................................................................................................
1,420,777 Conoco, Inc. Class B 34,897,835
........................................................................................................................
3,552,265 ExxonMobil Corp. 278,852,803
........................................................................................................................
348,900 Occidental Petroleum Corp. 7,348,706
........................................................................................................................
2,826,400 Royal Dutch Petroleum Co.
PLC ADR (Netherlands) 174,000,250
........................................................................................................................
157,000 Texaco, Inc. 8,360,250
........................................................................................................................
848,600 Tosco Corp. 24,025,988
........................................................................................................................
159,400 Unocal Corp. 5,280,125
........................................................................................................................
128,600 USX-Marathon Group, Inc. 3,223,038
------------------------------------------------------------------------------------------------------------------------
707,582,330
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (1.1%)
........................................................................................................................
671,700 International Paper Co. 20,025,056
........................................................................................................................
954,000 Owens-Illinois, Inc. (NON) 11,149,875
........................................................................................................................
73,800 Sealed Air Corp. (NON) 3,865,275
........................................................................................................................
320,000 Temple Inland, Inc. 13,440,000
........................................................................................................................
1,054,276 Weyerhaeuser Co. 45,333,868
------------------------------------------------------------------------------------------------------------------------
93,814,074
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (10.9%)
........................................................................................................................
2,914,400 Abbott Laboratories 129,872,950
........................................................................................................................
2,083,138 American Home Products Corp. 122,384,358
........................................................................................................................
2,536,994 Bristol-Myers Squibb Co. 147,779,901
........................................................................................................................
769,300 Johnson & Johnson 78,372,438
........................................................................................................................
438,200 Lilly (Eli) & Co. 43,765,225
........................................................................................................................
2,903,566 Merck & Co., Inc. 222,485,745
........................................................................................................................
2,648,233 Pharmacia Corp. 136,880,543
........................................................................................................................
1,161,300 Schering-Plough Corp. 58,645,650
------------------------------------------------------------------------------------------------------------------------
940,186,810
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (1.2%)
........................................................................................................................
879,283 Eastman Kodak Co. 52,317,339
........................................................................................................................
2,324,800 Xerox Corp. 48,239,600
------------------------------------------------------------------------------------------------------------------------
100,556,939
------------------------------------------------------------------------------------------------------------------------
Publishing (0.8%)
........................................................................................................................
168,200 Gannett Co., Inc. 10,060,463
........................................................................................................................
68,900 Knight-Ridder, Inc. 3,664,619
........................................................................................................................
596,600 McGraw-Hill, Inc. 32,216,400
........................................................................................................................
119,500 New York Times Co. (The) Class A 4,720,250
........................................................................................................................
563,700 Tribune Co. 19,729,500
------------------------------------------------------------------------------------------------------------------------
70,391,232
------------------------------------------------------------------------------------------------------------------------
Railroads (0.8%)
........................................................................................................................
2,239,600 Burlington Northern Santa Fe Corp. 51,370,825
........................................................................................................................
160,000 CSX Corp. 3,390,000
........................................................................................................................
55,200 Kansas City Southern Industries, Inc. 4,895,550
........................................................................................................................
154,100 Union Pacific Corp. 5,730,594
------------------------------------------------------------------------------------------------------------------------
65,386,969
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.4%)
........................................................................................................................
692,100 Equity Residential Properties Trust (R) 31,836,600
------------------------------------------------------------------------------------------------------------------------
Regional Bells (6.6%)
........................................................................................................................
2,403,000 Bell Atlantic Corp. 122,102,438
........................................................................................................................
2,806,000 BellSouth Corp. 119,605,750
........................................................................................................................
1,532,200 GTE Corp. 95,379,450
........................................................................................................................
5,279,852 SBC Communications, Inc. 228,353,599
........................................................................................................................
91,600 U S West, Inc. 7,854,700
------------------------------------------------------------------------------------------------------------------------
573,295,937
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.1%)
........................................................................................................................
52,800 Starbucks Corp. (NON) 2,016,300
........................................................................................................................
100,600 Tricon Global Restaurants, Inc. (NON) 2,841,950
------------------------------------------------------------------------------------------------------------------------
4,858,250
------------------------------------------------------------------------------------------------------------------------
Retail (3.3%)
........................................................................................................................
801,000 Albertsons, Inc. 26,633,250
........................................................................................................................
94,300 Circuit City Stores, Inc. 3,129,581
........................................................................................................................
146,000 Costco Wholesale Corp. (NON) 4,818,000
........................................................................................................................
471,000 CVS Corp. 18,840,000
........................................................................................................................
150,250 Dollar General Corp. 2,929,875
........................................................................................................................
1,148,500 Federated Department Stores, Inc. (NON) 38,761,875
........................................................................................................................
397,100 Gap, Inc. (The) 12,409,375
........................................................................................................................
3,666,847 K mart Corp. (NON) 24,980,395
........................................................................................................................
787,700 Kroger Co. (NON) 17,378,631
........................................................................................................................
176,300 Limited, Inc. (The) 3,812,488
........................................................................................................................
794,100 Lowe's Cos., Inc. 32,607,731
........................................................................................................................
276,500 May Department Stores Co. 6,636,000
........................................................................................................................
318,200 Penney (J.C.) Co., Inc. 5,866,813
........................................................................................................................
31,400 RadioShack Corp. 1,487,575
........................................................................................................................
705,000 Rite Aid Corp. 4,626,563
........................................................................................................................
196,400 Safeway, Inc. (NON) 8,862,550
........................................................................................................................
628,000 Sears, Roebuck & Co. 20,488,500
........................................................................................................................
1,200,300 Staples, Inc. (NON) 18,454,613
........................................................................................................................
438,600 Target Corp. 25,438,800
........................................................................................................................
397,000 TJX Cos., Inc. (The) 7,443,750
------------------------------------------------------------------------------------------------------------------------
285,606,365
------------------------------------------------------------------------------------------------------------------------
Semiconductor (--%)
........................................................................................................................
33,000 Conexant Systems, Inc. (NON) 1,604,625
........................................................................................................................
18,000 Teradyne, Inc. (NON) 1,323,000
------------------------------------------------------------------------------------------------------------------------
2,927,625
------------------------------------------------------------------------------------------------------------------------
Software (0.7%)
........................................................................................................................
554,500 BMC Software, Inc. (NON) 20,230,586
........................................................................................................................
813,200 Computer Associates International, Inc. 41,625,675
------------------------------------------------------------------------------------------------------------------------
61,856,261
------------------------------------------------------------------------------------------------------------------------
Technology Services (0.8%)
........................................................................................................................
41,400 Computer Sciences Corp. (NON) 3,092,063
........................................................................................................................
80,800 Convergys Corp. (NON) 4,191,500
........................................................................................................................
1,396,400 Electronic Data Systems Corp. 57,601,500
........................................................................................................................
86,100 Fiserv, Inc. (NON) 3,723,825
........................................................................................................................
127,000 Unisys Corp. (NON) 1,849,438
------------------------------------------------------------------------------------------------------------------------
70,458,326
------------------------------------------------------------------------------------------------------------------------
Telecommunications (3.2%)
........................................................................................................................
715,300 ALLTEL Corp. 44,303,894
........................................................................................................................
3,663,216 American Telephone & Telegraph Co. 115,849,206
........................................................................................................................
79,500 CenturyTel, Inc. 2,292,380
........................................................................................................................
1,463,518 Sprint Corp. 74,639,418
........................................................................................................................
920,700 Worldcom, Inc. (NON) 42,237,113
------------------------------------------------------------------------------------------------------------------------
279,322,011
------------------------------------------------------------------------------------------------------------------------
Textiles (--%)
........................................................................................................................
76,300 Nike, Inc. 3,037,694
------------------------------------------------------------------------------------------------------------------------
Tobacco (1.2%)
........................................................................................................................
3,741,137 Philip Morris Cos., Inc. 99,373,952
------------------------------------------------------------------------------------------------------------------------
Toys (--%)
........................................................................................................................
44,100 Mattel, Inc. 581,570
------------------------------------------------------------------------------------------------------------------------
Transportation Services (--%)
........................................................................................................................
53,000 United Parcel Service, Inc. 3,127,000
------------------------------------------------------------------------------------------------------------------------
Trucks & Parts (--%)
........................................................................................................................
81,800 Johnson Controls, Inc. 4,197,363
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.6%)
........................................................................................................................
2,857,413 Waste Management, Inc. 54,290,847
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $7,680,042,192) $8,487,435,871
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) (a)
(cost $14,171,397)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
255,000 K mart Financing I $3.875 cum. cv. pfd. $9,211,875
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$50,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 6.38%, July 7, 2000 $49,937,000
........................................................................................................................
50,000,000 Morgan Stanley Dean Witter, effective
yield of 6.85%, July 5, 2000 49,952,431
........................................................................................................................
50,000,000 UBS Finance Corp., effective yield of
6.92%, July 5, 2000 49,951,944
........................................................................................................................
51,726,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 2000 with
Goldman Sachs & Co. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$51,754,018 for an effective
yield of 6.50% 51,726,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $201,567,375) $201,567,375
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $7,895,780,964) (b) $8,698,215,121
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Long) $87,718,975 $88,394,674 Sep-00 $(675,699)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Growth Opportunities Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (98.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Biotechnology (4.3%)
........................................................................................................................
27,200 Amgen, Inc. (NON) $1,910,800
........................................................................................................................
9,100 Genentech, Inc. (NON) 1,565,200
------------------------------------------------------------------------------------------------------------------------
3,476,000
------------------------------------------------------------------------------------------------------------------------
Broadcasting (1.7%)
........................................................................................................................
12,900 Clear Channel Communications, Inc. (NON) 967,500
........................................................................................................................
11,200 Echostar Communications Corp. Class A (NON) 370,825
------------------------------------------------------------------------------------------------------------------------
1,338,325
------------------------------------------------------------------------------------------------------------------------
Cable Television (3.3%)
........................................................................................................................
82,000 AT&T Corp. - Liberty Media Group
Class A (NON) 1,988,500
........................................................................................................................
8,600 General Motors Corp. Class H (NON) 754,650
------------------------------------------------------------------------------------------------------------------------
2,743,150
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (14.0%)
........................................................................................................................
3,300 Brocade Communications Systems (NON) 605,498
........................................................................................................................
65,800 Cisco Systems, Inc. (NON) 4,182,412
........................................................................................................................
2,600 Juniper Networks, Inc. (NON) 378,463
........................................................................................................................
71,200 Nokia Corp. ADR (Finland) 3,555,550
........................................................................................................................
25,400 Nortel Networks Corp. (Canada) 1,733,550
........................................................................................................................
12,300 Tellabs, Inc. (NON) 841,781
------------------------------------------------------------------------------------------------------------------------
11,297,254
------------------------------------------------------------------------------------------------------------------------
Computers (6.7%)
........................................................................................................................
31,200 EMC Corp. (NON) 2,400,449
........................................................................................................................
32,800 Sun Microsystems, Inc. (NON) 2,982,750
------------------------------------------------------------------------------------------------------------------------
5,383,199
------------------------------------------------------------------------------------------------------------------------
Conglomerates (8.9%)
........................................................................................................................
88,300 General Electric Co. 4,679,900
........................................................................................................................
53,800 Tyco International, Ltd. 2,548,775
------------------------------------------------------------------------------------------------------------------------
7,228,675
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (1.9%)
........................................................................................................................
9,900 Colgate-Palmolive Co. 592,763
........................................................................................................................
19,200 Estee Lauder Cos. Class A 949,200
------------------------------------------------------------------------------------------------------------------------
1,541,963
------------------------------------------------------------------------------------------------------------------------
Electronics (11.0%)
........................................................................................................................
2,900 Broadcom Corp. (NON) 634,919
........................................................................................................................
25,400 Intel Corp. 3,395,662
........................................................................................................................
18,400 JDS Uniphase Corp. (NON) 2,205,700
........................................................................................................................
7,200 Maxim Integrated Products, Inc. (NON) 489,150
........................................................................................................................
31,800 Texas Instruments, Inc. 2,184,262
------------------------------------------------------------------------------------------------------------------------
8,909,693
------------------------------------------------------------------------------------------------------------------------
Entertainment (3.4%)
........................................................................................................................
40,620 Viacom, Inc. Class B (NON) 2,769,776
------------------------------------------------------------------------------------------------------------------------
Insurance (1.5%)
........................................................................................................................
10,300 American International Group, Inc. 1,210,250
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (2.4%)
........................................................................................................................
5,900 Merrill Lynch & Co., Inc. 678,500
........................................................................................................................
14,700 Morgan Stanley, Dean Witter & Co. 1,223,775
------------------------------------------------------------------------------------------------------------------------
1,902,275
------------------------------------------------------------------------------------------------------------------------
Media (2.1%)
........................................................................................................................
22,500 Time Warner, Inc. 1,710,000
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.0%)
........................................................................................................................
11,700 PE Corp.--PE Biosystems Group 770,738
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (7.5%)
........................................................................................................................
11,100 Lilly (Eli) & Co. 1,108,613
........................................................................................................................
73,400 Pfizer, Inc. 3,523,200
........................................................................................................................
7,000 Pharmacia Corp. 361,813
........................................................................................................................
21,100 Schering-Plough Corp. 1,065,550
------------------------------------------------------------------------------------------------------------------------
6,059,176
------------------------------------------------------------------------------------------------------------------------
Retail (4.7%)
........................................................................................................................
35,500 Home Depot, Inc. (The) 1,772,781
........................................................................................................................
4,600 Target Corp. 266,800
........................................................................................................................
30,600 Wal-Mart Stores, Inc. 1,763,325
------------------------------------------------------------------------------------------------------------------------
3,802,906
------------------------------------------------------------------------------------------------------------------------
Semiconductor (1.9%)
........................................................................................................................
17,300 Applied Materials, Inc. (NON) 1,567,813
------------------------------------------------------------------------------------------------------------------------
Software (10.6%)
........................................................................................................................
2,400 I2 Technologies, Inc. (NON) 250,238
........................................................................................................................
37,200 Microsoft Corp. (NON) 2,976,000
........................................................................................................................
33,500 Oracle Corp. (NON) 2,816,094
........................................................................................................................
5,400 Siebel Systems, Inc. (NON) 883,238
........................................................................................................................
14,300 VERITAS Software Corp. (NON) 1,616,123
------------------------------------------------------------------------------------------------------------------------
8,541,693
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.2%)
........................................................................................................................
18,000 America Online, Inc. (NON) 949,500
------------------------------------------------------------------------------------------------------------------------
Telecommunications (9.8%)
........................................................................................................................
11,000 Level 3 Communication, Inc. (NON) 968,000
........................................................................................................................
14,900 Metromedia Fiber Network, Inc. Class A (NON) 591,344
........................................................................................................................
21,600 Nextel Communications, Inc. Class A (NON) 1,321,650
........................................................................................................................
39,675 Nextlink Communications, Inc. Class A (NON) 1,505,170
........................................................................................................................
36,200 Sprint Corp. (PCS Group) (NON) 2,153,900
........................................................................................................................
33,300 Vodafone AirTouch PLC ADR
(United Kingdom) 1,379,869
------------------------------------------------------------------------------------------------------------------------
7,919,933
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.5%)
........................................................................................................................
6,400 United Parcel Service, Inc. Class B 377,600
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $76,464,706) $79,499,919
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.6%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$2,250,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $2,251,219 for an effective
yield of 6.50%. $2,250,000
........................................................................................................................
2,308,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $2,309,269 for an effective
yield of 6.60%. 2,308,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $4,558,000) $4,558,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $81,022,706) (b) $84,057,919
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Health Sciences Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (95.0%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Biotechnology (20.5%)
........................................................................................................................
7,700 Abgenix, Inc. (NON) $922,917
........................................................................................................................
19,900 Alexion Pharmaceuticals, Inc. (NON) 1,422,850
........................................................................................................................
43,900 Alkermes, Inc. (NON) 2,068,788
........................................................................................................................
13,700 Allos Therapeutics Inc. (NON) 133,575
........................................................................................................................
163,900 Amgen, Inc. (NON) 11,513,975
........................................................................................................................
43,000 Biovail Corporation (Canada) (NON) 2,383,813
........................................................................................................................
12,300 Celera Genomics (NON) 1,150,050
........................................................................................................................
15,600 Cephalon, Inc. (NON) 934,050
........................................................................................................................
25,200 Connetics Corp. (NON) 370,125
........................................................................................................................
31,600 COR Therapeutics, Inc. (NON) 2,695,875
........................................................................................................................
3,900 Diversa Corp. (NON) 129,188
........................................................................................................................
37,100 Enzon, Inc. (NON) 1,576,750
........................................................................................................................
86,900 Genentech, Inc. (NON) 14,946,800
........................................................................................................................
29,900 Gilead Sciences, Inc. (NON) 2,126,638
........................................................................................................................
59,700 Guilford Pharmaceuticals, Inc. (NON) 899,231
........................................................................................................................
109,900 IDEXX Laboratories, Inc. (NON) 2,513,963
........................................................................................................................
100,200 Immunex Corp. (NON) 4,953,638
........................................................................................................................
27,400 Invitrogen Corp. (NON) 2,060,566
........................................................................................................................
7,200 Maxim Pharmaceuticals, Inc. (NON) 369,900
........................................................................................................................
1,600 Medarex, Inc. (NON) 135,200
........................................................................................................................
106,500 Medimmune, Inc. (NON) 7,881,000
........................................................................................................................
31,900 Millennium Pharmaceuticals, Inc. (NON) 3,568,813
........................................................................................................................
29,400 Miravant Medical Technologies (NON) 655,988
........................................................................................................................
6,200 Protein Design Labs, Inc. (NON) 1,022,709
........................................................................................................................
8,800 QIAGEN N.V. (Netherlands) (NON) 1,531,200
........................................................................................................................
32,300 QLT PhotoTherapeutics Inc. (Canada) (NON) 2,497,194
........................................................................................................................
90,400 Sepracor, Inc. (NON) 10,904,500
........................................................................................................................
31,700 Tanox, Inc. (NON) 1,499,806
........................................................................................................................
27,100 Transkaryotic Therapies, Inc.
(Malaysia) (NON) 995,925
........................................................................................................................
47,140 Trimeris, Inc. (NON) 3,296,854
------------------------------------------------------------------------------------------------------------------------
87,161,881
------------------------------------------------------------------------------------------------------------------------
Medical Services (8.9%)
........................................................................................................................
19,600 Allscripts, Inc. (NON) 450,800
........................................................................................................................
114,600 Baxter International, Inc. 8,057,813
........................................................................................................................
72,600 Cardinal Health, Inc. 5,372,400
........................................................................................................................
76,100 CIGNA Corp. 7,115,350
........................................................................................................................
132,000 HCA -The Healthcare Corp. 4,009,500
........................................................................................................................
137,000 Health Management Assoc., Inc. (NON) 1,789,563
........................................................................................................................
88,700 Lincare Holdings, Inc. (NON) 2,184,238
........................................................................................................................
60,200 Province Healthcare Co. (NON) 2,174,725
........................................................................................................................
28,400 St. Jude Medical, Inc. (NON) 1,302,850
........................................................................................................................
48,800 Trigon Healthcare, Inc. (NON) 2,516,250
........................................................................................................................
30,800 UnitedHealth Group, Inc. 2,641,100
------------------------------------------------------------------------------------------------------------------------
37,614,589
------------------------------------------------------------------------------------------------------------------------
Medical Technology (11.0%)
........................................................................................................................
5,400 Agilent Technologies, Inc. (NON) 398,250
........................................................................................................................
42,400 ArthroCare Corp. (NON) 2,257,800
........................................................................................................................
10,500 Avigen, Inc. (NON) 460,688
........................................................................................................................
61,155 Bausch & Lomb, Inc. 4,731,868
........................................................................................................................
26,300 Cerus Corp. (NON) 1,346,231
........................................................................................................................
42,100 Cyberonics, Inc. (NON) 505,200
........................................................................................................................
23,200 Mallinckrodt, Inc. 1,007,750
........................................................................................................................
128,358 Medtronic, Inc. 6,393,833
........................................................................................................................
13,500 Millipore Corp. 1,017,563
........................................................................................................................
25,900 Minimed, Inc. (NON) 3,056,200
........................................................................................................................
19,900 Molecular Devices Corp. (NON) 1,376,831
........................................................................................................................
1,900 ORATEC Interventions, Inc. (NON) 63,413
........................................................................................................................
125,300 PE Corp.-PE Biosystems Group 8,254,138
........................................................................................................................
18,700 ResMed, Inc. (NON) 500,225
........................................................................................................................
27,400 SonoSite, Inc. (NON) 789,463
........................................................................................................................
40,500 Stryker Corp. 1,771,875
........................................................................................................................
122,700 Sybron International Corp. (NON) 2,430,994
........................................................................................................................
38,300 Ventana Medical Systems, Inc. (NON) 900,050
........................................................................................................................
11,500 Ventana Medical Systems, Inc. P/P (NON) 270,250
........................................................................................................................
72,100 Waters Corp. (NON) 8,998,981
------------------------------------------------------------------------------------------------------------------------
46,531,603
------------------------------------------------------------------------------------------------------------------------
Other (1.1%)
........................................................................................................................
93,300 CVS Corp. 3,732,000
........................................................................................................................
297 Givaudan (Switzerland) (NON) 90,711
........................................................................................................................
31,100 On Assignment, Inc. (NON) 948,550
------------------------------------------------------------------------------------------------------------------------
4,771,261
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (53.5%)
........................................................................................................................
109,200 Abbott Laboratories 4,866,225
........................................................................................................................
145,000 Allergan, Inc. 10,802,500
........................................................................................................................
74,900 Alpharma, Inc. Class A 4,662,525
........................................................................................................................
26,700 Alza Corp. (NON) 1,578,638
........................................................................................................................
197,900 American Home Products Corp. 11,626,625
........................................................................................................................
33,800 Andrx Corporation (NON) 2,160,559
........................................................................................................................
22,200 Angiotech Pharmaceuticals, Inc. (Canada) (NON) 926,850
........................................................................................................................
6,384 Ares-Serono Group Class B
ADR (Switzerland) 5,340,945
........................................................................................................................
62,900 AstraZeneca Group PLC
(United Kingdom) 2,924,850
........................................................................................................................
117,532 Aventis S.A. (France) 8,611,532
........................................................................................................................
126,800 Bristol-Myers Squibb Co. (SEG) 7,386,100
........................................................................................................................
34,800 ChiRex, Inc. (NON) 696,000
........................................................................................................................
77,400 Elan Corp. PLC ADR (Ireland) (NON) 3,749,063
........................................................................................................................
50,800 Forest Laboratories, Inc. (NON) 5,130,800
........................................................................................................................
143,000 Fujisawa Pharmaceutical Co. (Japan) (NON) 5,799,490
........................................................................................................................
46,500 Inhale Therapeutic Systems, Inc. (NON) 4,718,297
........................................................................................................................
132,950 IVAX Corp. (NON) 5,517,425
........................................................................................................................
149,290 Johnson & Johnson 15,208,919
........................................................................................................................
216,500 Lilly (Eli) & Co. 21,622,917
........................................................................................................................
51,575 Medicis Pharmaceutical Corp. Class A (NON) 2,939,775
........................................................................................................................
152,700 Merck & Co., Inc. 11,700,638
........................................................................................................................
43,800 NPS Pharmaceuticals, Inc. (NON) 1,171,650
........................................................................................................................
796,675 Pfizer, Inc. 38,240,400
........................................................................................................................
276,928 Pharmacia Corp. 14,313,716
........................................................................................................................
7,700 Priority Healthcare Corp. Class B (NON) 572,206
........................................................................................................................
74,700 Sanofi-Synthelabo S.A. (France) 3,572,465
........................................................................................................................
255,300 Schering-Plough Corp. 12,892,661
........................................................................................................................
78,300 Shire Pharmaceuticals Group PLC ADR
(United Kingdom) (NON) 4,061,813
........................................................................................................................
52,400 Smithkline Beecham PLC ADR
(United Kingdom) 3,415,825
........................................................................................................................
89,000 Takeda Chemical Industries (Japan) 5,855,927
........................................................................................................................
30,000 United Therapeutics Corp. 3,251,250
........................................................................................................................
39,000 Yamanouchi Pharmaceutical
Co., Ltd. (Japan) 2,134,714
------------------------------------------------------------------------------------------------------------------------
227,453,300
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $290,566,482) $403,532,634
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$15,182,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $15,190,224 for an effective
yield of 6.50%. $15,182,000
........................................................................................................................
15,000,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $15,008,250 for an effective
yield of 6.60%. 15,000,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $30,182,000) $30,182,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $320,748,482) (b) $433,714,634
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500
Index (Long) $10,276,700 $10,371,076 Sep-00 $(94,376)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT High Yield Fund
The fund's portfolio
June 30, 2000 (Unaudited)
CORPORATE BONDS AND NOTES (81.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.4%)
........................................................................................................................
$1,565,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $1,608,038
........................................................................................................................
1,485,650 Interact Operating Co. notes 14s, 2003 445,695
........................................................................................................................
1,660,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 1,626,800
------------------------------------------------------------------------------------------------------------------------
3,680,533
------------------------------------------------------------------------------------------------------------------------
Aerospace and Defense (1.2%)
........................................................................................................................
2,020,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 1,414,000
........................................................................................................................
1,870,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 1,327,700
........................................................................................................................
1,510,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 1,389,200
........................................................................................................................
940,000 BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 794,300
........................................................................................................................
1,340,000 Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 1,192,600
........................................................................................................................
2,520,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 2,557,800
........................................................................................................................
690,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 614,100
........................................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 766,150
........................................................................................................................
200,000 Sequa Corp. sr. notes 9s, 2009 192,000
------------------------------------------------------------------------------------------------------------------------
10,247,850
------------------------------------------------------------------------------------------------------------------------
Agriculture (0.3%)
........................................................................................................................
3,236,520 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (PIK) 2,945,233
------------------------------------------------------------------------------------------------------------------------
Airlines (0.6%)
........................................................................................................................
2,414,245 Airbus Industries 144A notes
12.266s, 2020 2,506,228
........................................................................................................................
1,580,000 Calair LLC 144A company guaranty
8 1/8s, 2008 1,358,800
........................................................................................................................
390,000 Continental Airlines, Inc. notes 8s, 2005 360,812
........................................................................................................................
790,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 720,014
------------------------------------------------------------------------------------------------------------------------
4,945,854
------------------------------------------------------------------------------------------------------------------------
Automotive (2.2%)
........................................................................................................................
821,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 821,000
........................................................................................................................
390,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 390,000
........................................................................................................................
1,810,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 1,597,325
........................................................................................................................
600,000 Exide Corp. sr. notes 10s, 2005 531,000
........................................................................................................................
1,994,286 Federal Mogul Corp. bank term loan
FRN 8.11s, 2010 1,844,714
........................................................................................................................
500,000 Federal Mogul Corp. notes 7 3/4s, 2006 367,500
........................................................................................................................
2,580,000 Federal Mogul Corp. notes 7 1/2s, 2009 1,806,000
........................................................................................................................
500,000 Federal Mogul Corp. notes 7 3/8s, 2006 367,500
........................................................................................................................
910,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 823,550
........................................................................................................................
1,830,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 1,633,275
........................................................................................................................
520,000 Lear Corp. sub. notes 9 1/2s, 2006 507,889
........................................................................................................................
3,930,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 3,615,600
........................................................................................................................
4,370,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 4,020,400
........................................................................................................................
1,050,000 Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 462,000
........................................................................................................................
1,050,000 Tenneco, Inc. company guaranty
Ser. B, 11 5/8s, 2009 931,875
------------------------------------------------------------------------------------------------------------------------
19,719,628
------------------------------------------------------------------------------------------------------------------------
Banking (1.9%)
........................................................................................................................
370,000 Bank United Corp. notes 8 7/8s, 2007 345,021
........................................................................................................................
660,000 CSBI Capital Trust I 144A company
guaranty 11 3/4s, 2027 706,200
........................................................................................................................
705,000 Chevy Chase Savings Bank, Inc. sub. deb.
9 1/4s, 2008 630,975
........................................................................................................................
1,382,000 Chevy Chase Savings Bank, Inc. sub. deb.
9 1/4s, 2005 1,299,080
........................................................................................................................
1,315,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 1,205,321
........................................................................................................................
190,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 173,504
........................................................................................................................
2,220,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 2,010,410
........................................................................................................................
2,920,000 Hanvit Bank 144A sub. notes 11 3/4s,
2010 (Korea) 2,825,100
........................................................................................................................
1,350,000 Local Financial Corp. sr. notes 11s, 2004 1,346,625
........................................................................................................................
280,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 267,184
........................................................................................................................
280,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 272,924
........................................................................................................................
1,330,000 Provident Capital Trust company
guaranty 8.6s, 2026 1,275,590
........................................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 484,505
........................................................................................................................
1,340,000 Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 1,340,000
........................................................................................................................
1,695,000 Sovereign Capital Trust company
guaranty 9s, 2027 1,187,009
........................................................................................................................
1,380,000 Superior Financial 144A sr. notes
8.65s, 2003 1,318,148
........................................................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 626,102
------------------------------------------------------------------------------------------------------------------------
17,313,698
------------------------------------------------------------------------------------------------------------------------
Beverage (0.3%)
........................................................................................................................
2,980,000 Triarc Consumer Products, Inc.
company guaranty 10 1/4s, 2009 2,875,700
------------------------------------------------------------------------------------------------------------------------
Broadcasting (5.0%)
........................................................................................................................
2,835,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 2,707,425
........................................................................................................................
1,230,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 1,168,500
........................................................................................................................
230,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 210,450
........................................................................................................................
1,558,300 AMFM Operating, Inc. deb.
12 5/8s, 2006 (PIK) 1,792,045
........................................................................................................................
1,400,216 Australis Media, Ltd. sr. sec. disc. notes
zero %, 2000 (In default) (Australia) (NON) 210,032
........................................................................................................................
3,770,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 2,940,600
........................................................................................................................
1,260,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 1,156,050
........................................................................................................................
3,081,200 Capstar Broadcasting sub. deb.
12s, 2009 (PIK) 3,574,192
........................................................................................................................
1,050,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,047,375
........................................................................................................................
790,000 Central European Media Enterprises,
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 284,400
........................................................................................................................
471,820 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 478,897
........................................................................................................................
280,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 273,000
........................................................................................................................
6,127,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 3,247,310
........................................................................................................................
4,670,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 4,506,550
........................................................................................................................
90,000 Fox Family Worldwide, Inc. sr. disc. notes
stepped-coupon zero % (10 1/4s,
11/1/02), 2007 (STP) 56,700
........................................................................................................................
1,725,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 1,543,875
........................................................................................................................
870,000 Golden Sky DBS, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(13 1/2s, 3/1/04), 2007 (STP) 585,075
........................................................................................................................
1,590,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 1,733,100
........................................................................................................................
1,040,000 Granite Broadcasting Corp. sr. sub.
notes 8 7/8s, 2008 878,800
........................................................................................................................
1,990,000 Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 7/8s,
10/15/02), 2007 (STP) 1,054,700
........................................................................................................................
1,540,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 770,000
........................................................................................................................
610,000 Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 588,650
........................................................................................................................
440,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 457,600
........................................................................................................................
4,932,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 4,413,154
........................................................................................................................
1,815,000 Radio One, Inc. company guaranty
Ser. B, 12s, 2004 1,937,513
........................................................................................................................
1,010,000 RCN Corp. sr. notes 10 1/8s, 2010 848,400
........................................................................................................................
1,130,000 Spanish Broadcasting System, Inc.
sr. sub notes 9 5/8s, 2009 1,115,875
........................................................................................................................
1,385,000 TV Azteca Holdings S.A. de C.V.
sr. notes 11s, 2002 (Mexico) 1,339,988
........................................................................................................................
1,150,000 TV Azteca Holdings S.A. de C.V.
sr. notes 10 1/2s, 2007 (Mexico) 1,012,000
........................................................................................................................
1,055,000 TV Azteca Holdings S.A. de C.V.
sr. notes Ser. A, 10 1/8s, 2004 (Mexico) 973,238
........................................................................................................................
1,200,000 Ziff Davis bank term loan FRN
10.26s, 2007 1,200,000
------------------------------------------------------------------------------------------------------------------------
44,105,494
------------------------------------------------------------------------------------------------------------------------
Building Materials (0.8%)
........................................................................................................................
214,000 American Standard, Inc. company
guaranty 7 5/8s, 2010 195,810
........................................................................................................................
2,882,000 American Standard, Inc. company
guaranty 7 3/8s, 2005 2,669,453
........................................................................................................................
740,000 American Standard, Inc. company
guaranty 7 1/8s, 2003 699,300
........................................................................................................................
740,000 Atrium Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2009 629,000
........................................................................................................................
2,120,000 Building Materials Corp. company
guaranty 8s, 2008 1,664,200
........................................................................................................................
1,410,000 NCI Building Systems, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2009 1,311,300
------------------------------------------------------------------------------------------------------------------------
7,169,063
------------------------------------------------------------------------------------------------------------------------
Cable Television (4.1%)
........................................................................................................................
1,955,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,876,800
........................................................................................................................
260,000 Adelphia Communications Corp.
sr. notes 7 7/8s, 2009 219,700
........................................................................................................................
1,450,000 Adelphia Communications Corp.
sr. notes 7 3/4s, 2009 1,225,250
........................................................................................................................
1,000,000 Century Communications bank term loan
FRN 9.29s, 2009 1,000,000
........................................................................................................................
6,450,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 5,700,188
........................................................................................................................
1,200,000 Charter Communications Holdings bank
term loan FRN 8.54s, 2008 1,194,000
........................................................................................................................
1,220,000 Classic Cable, Inc. company guaranty
10 1/2s, 2010 1,125,450
........................................................................................................................
330,000 Classic Cable, Inc. company guaranty
Ser. B, 9 3/8s, 2009 287,925
........................................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb. stepped-
coupon zero % (11.2s, 11/15/00),
2007 (Bermuda) (STP) 6,475,215
........................................................................................................................
670,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2023 688,425
........................................................................................................................
2,510,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 2,575,888
........................................................................................................................
2,860,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 2,202,200
........................................................................................................................
620,000 NTL, Inc. sr. notes, stepped-coupon
Ser. B, zero % (9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 387,500
........................................................................................................................
330,000 Rogers Cablesystems, Ltd. notes 11s,
2015 (Canada) 356,400
........................................................................................................................
140,000 Rogers Cablesystems, Ltd. company
guaranty 10s, 2007 (Canada) 143,150
........................................................................................................................
1,930,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (In default) (Argentina) 810,600
........................................................................................................................
2,190,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon
zero % (11 3/8s, 2/1/05), 2010
(United Kingdom) (STP) 1,204,500
........................................................................................................................
840,000 Telewest Communications PLC, structured
note (issued by DLJ International Capital),
10 7/8s, 2005 (United Kingdom) 867,216
........................................................................................................................
2,780,000 TeleWest Communications PLC 144A
9 7/8s, 2010 (United Kingdom) 2,654,900
........................................................................................................................
1,000,000 TeleWest Communications PLC sr. disc.
notes zero % (9 1/4s, 4/15/04), 2009
(United Kingdom) (STP) 540,000
........................................................................................................................
3,681,000 United Pan-Europe N.V. sr. disc. notes
stepped-coupon zero % (13 3/4s,
2/01/05), 2010 (Netherlands) (STP) 1,730,070
........................................................................................................................
6,230,000 United Pan-Europe N.V. 144A sr. disc.
notes stepped-coupon zero % (12 1/2s,
8/01/04), 2009 (Netherlands) (STP) 3,115,000
------------------------------------------------------------------------------------------------------------------------
36,380,377
------------------------------------------------------------------------------------------------------------------------
Chemicals (3.7%)
........................................................................................................................
170,000 Borden Chemical, Inc. notes 9 1/2s, 2005 153,850
........................................................................................................................
1,510,000 Geo Specialty Chemicals, Inc. sr. sub.
notes 10 1/8s, 2008 1,283,500
........................................................................................................................
610,000 Georgia Gulf Corp. company guaranty
10 3/8s, 2007 626,775
........................................................................................................................
940,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 855,400
........................................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
9.188s, 2007 1,319,500
........................................................................................................................
4,950,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 4,974,750
........................................................................................................................
580,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 562,117
........................................................................................................................
480,000 ISP Holdings, Inc. sr. notes Ser. B, 9s, 2003 446,400
........................................................................................................................
4,180,000 Lyondell Petrochemical Co. sr. sub. notes
10 7/8s, 2009 4,148,650
........................................................................................................................
4,350,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 4,306,500
........................................................................................................................
4,750,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 3,135,000
........................................................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 415,800
........................................................................................................................
972,500 Pioneer Americas Acquisition bank
term loan FRN 8.19s, 2006 651,575
........................................................................................................................
1,190,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 999,600
........................................................................................................................
2,935,988 Polytama International notes 11 1/4s,
2007 (Indonesia) 146,799
........................................................................................................................
2,750,000 Royster-Clark, Inc. 1st mtge.
10 1/4s, 2009 2,255,000
........................................................................................................................
1,900,000 Sterling Chemicals, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s,
8/15/01), 2008 (STP) 817,000
........................................................................................................................
1,490,000 Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 1,534,700
........................................................................................................................
1,190,000 Sterling Chemicals, Inc. sr. sub. notes
11 3/4s, 2006 963,900
........................................................................................................................
1,240,000 Sterling Chemicals, Inc. sr. sub. notes
Ser. A, 11 1/4s, 2007 979,600
........................................................................................................................
210,000 Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 175,350
........................................................................................................................
420,000 Texas Petrochemical Corp. sr. sub. notes
Ser. B, 11 1/8s, 2006 352,800
........................................................................................................................
2,490,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 1,842,600
------------------------------------------------------------------------------------------------------------------------
32,947,166
------------------------------------------------------------------------------------------------------------------------
Coal (--%)
........................................................................................................................
2,350,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 423,000
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.6%)
........................................................................................................................
2,670,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 2,563,200
........................................................................................................................
320,000 GS Superhighway Holdings sr. notes
10 1/4s, 2007 (China) 213,737
........................................................................................................................
3,505,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 2,453,500
------------------------------------------------------------------------------------------------------------------------
5,230,437
------------------------------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
........................................................................................................................
1,880,000 Insilco Holding Co. sr. disc. notes
stepped-coupon zero % (14s, 8/15/03),
2008 (STP) 902,400
------------------------------------------------------------------------------------------------------------------------
Construction (1.0%)
........................................................................................................................
4,340,000 Better Minerals & Aggregates Co.
company guaranty 13s, 2009 4,231,500
........................................................................................................................
1,830,000 Morrison Knudsen Corp. 144A sr. notes
11s, 2010 1,825,425
........................................................................................................................
870,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 722,100
........................................................................................................................
2,426,765 Terex Corp. bank term loan FRN
9.03s, 2005 2,414,631
------------------------------------------------------------------------------------------------------------------------
9,193,656
------------------------------------------------------------------------------------------------------------------------
Consumer (0.7%)
........................................................................................................................
2,230,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 1,404,900
........................................................................................................................
5,570,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 4,637,025
------------------------------------------------------------------------------------------------------------------------
6,041,925
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (0.3%)
........................................................................................................................
1,590,000 Contifinancial Corp. sr. notes 8 3/8s,
2003 (In default) (NON) 210,675
........................................................................................................................
1,810,000 Contifinancial Corp. sr. notes 8 1/8s,
2008 (In default) (NON) 239,825
........................................................................................................................
2,180,000 Contifinancial Corp. sr. notes 7 1/2s,
2002 (In default) (NON) 239,800
........................................................................................................................
420,000 Finova Capital Corp. sr. notes 7 5/8s, 2009 357,000
........................................................................................................................
490,000 Finova Capital Corp. sr. notes 6 3/4s, 2009 411,600
........................................................................................................................
210,000 Finova Capital Corp. notes 6 1/8s, 2004 180,600
........................................................................................................................
1,270,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 1,104,900
------------------------------------------------------------------------------------------------------------------------
2,744,400
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (1.0%)
........................................................................................................................
1,470,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 1,418,550
........................................................................................................................
2,400,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 1,728,000
........................................................................................................................
3,155,000 NBTY, Inc. 144A sr. sub. notes 8 5/8s, 2007 2,744,850
........................................................................................................................
1,370,000 Revlon Consumer Products sr. notes
9s, 2006 972,700
........................................................................................................................
1,880,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 940,000
........................................................................................................................
1,000,000 Revlon Consumer Products sr. notes
8 1/8s, 2006 700,000
------------------------------------------------------------------------------------------------------------------------
8,504,100
------------------------------------------------------------------------------------------------------------------------
Consumer Staples (0.1%)
........................................................................................................................
1,260,000 Doskcil Manufacturing Co 144A sr. sub.
notes 10 1/8s, 2007 441,000
------------------------------------------------------------------------------------------------------------------------
Containers (0.8%)
........................................................................................................................
3,565,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 3,137,200
........................................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 929,440
........................................................................................................................
520,000 Owens-Illinois, Inc. deb. 7.8s, 2018 439,317
........................................................................................................................
2,050,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 1,807,301
........................................................................................................................
590,000 Radnor Holdings, Inc. sr. notes 10s, 2003 514,775
------------------------------------------------------------------------------------------------------------------------
6,828,033
------------------------------------------------------------------------------------------------------------------------
Distribution (0.2%)
........................................................................................................................
1,600,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 1,064,000
........................................................................................................................
1,940,000 RAB Holdings, Inc. sr. notes 13s, 2008 970,000
------------------------------------------------------------------------------------------------------------------------
2,034,000
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (1.2%)
........................................................................................................................
1,950,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 1,287,000
........................................................................................................................
1,800,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,657,206
........................................................................................................................
2,660,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 2,440,550
........................................................................................................................
214,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 215,566
........................................................................................................................
1,056,474 Northeast Utilities System notes Ser. A,
8.58s, 2006 1,062,179
........................................................................................................................
406,933 Northeast Utilities System notes Ser. B,
8.38s, 2005 405,924
........................................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 2,565,000
........................................................................................................................
1,197,000 TNP Enterprises bank term loan FRN
9.37s, 2005 1,198,496
------------------------------------------------------------------------------------------------------------------------
10,831,921
------------------------------------------------------------------------------------------------------------------------
Energy (0.8%)
........................................................................................................................
930,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 948,600
........................................................................................................................
1,500,000 Parker Drilling Corp. company
guaranty Ser. D, 9 3/4s, 2006 1,451,250
........................................................................................................................
3,990,000 RBF Finance Co. company guaranty
11 3/8s, 2009 4,309,200
........................................................................................................................
645,000 RBF Finance Co. company guaranty
11s, 2006 690,150
------------------------------------------------------------------------------------------------------------------------
7,399,200
------------------------------------------------------------------------------------------------------------------------
Entertainment (1.3%)
........................................................................................................................
1,620,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 761,400
........................................................................................................................
470,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 225,600
........................................................................................................................
1,695,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 932,250
........................................................................................................................
1,410,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,357,125
........................................................................................................................
1,000,000 Premier Parks Inc. bank term loan FRN
9.37s, 2005 1,007,500
........................................................................................................................
1,690,000 SFX Entertainment, Inc. company
guaranty 9 1/8s, 2008 1,706,900
........................................................................................................................
2,780,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 2,800,850
........................................................................................................................
900,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s,
2005 (In default) (NON) 90,000
........................................................................................................................
2,450,000 Six Flags Corp. sr. notes 8 7/8s, 2006 2,333,625
........................................................................................................................
250,000 United Artists Theatre 144A sr. sub. notes
10.415s, 2007 (In default) (NON) 5,000
........................................................................................................................
5,817,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 (In default) (NON) 116,340
------------------------------------------------------------------------------------------------------------------------
11,336,590
------------------------------------------------------------------------------------------------------------------------
Financial (2.1%)
........................................................................................................................
3,580,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 1,646,800
........................................................................................................................
1,775,000 Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 1,100,500
........................................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,167,463
........................................................................................................................
1,090,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 954,764
........................................................................................................................
2,232,000 AMRESCO, Inc. sr. sub. notes
Ser. 98-A, 9 7/8s, 2005 1,205,280
........................................................................................................................
780,000 Conseco Finance Trust III, Inc. bonds
8.796s, 2027 335,400
........................................................................................................................
1,385,000 Conseco Financial Corp. sr. sub. notes
10 1/4s, 2002 1,011,050
........................................................................................................................
3,020,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 1,359,000
........................................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 1,895,500
........................................................................................................................
1,570,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,122,550
........................................................................................................................
890,000 Nationwide Credit, Inc. sr. notes Ser. A,
10 1/4s, 2008 623,000
........................................................................................................................
780,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 393,900
........................................................................................................................
1,240,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,153,200
........................................................................................................................
1,040,000 Ocwen Financial Corp. notes
11 7/8s, 2003 956,800
........................................................................................................................
1,055,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 822,900
........................................................................................................................
3,590,000 Resource America, Inc. 144A sr. notes
12s, 2004 3,159,200
------------------------------------------------------------------------------------------------------------------------
18,907,307
------------------------------------------------------------------------------------------------------------------------
Food (0.7%)
........................................................................................................................
1,780,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 1,050,200
........................................................................................................................
955,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 563,450
........................................................................................................................
2,130,000 Doane Pet Care Corp. sr. sub. notes
9 3/4s, 2007 1,863,750
........................................................................................................................
1,625,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 975,000
........................................................................................................................
741,877 Imperial Holly bank term loan Ser. A,
FRN 9.28s, 2003 482,220
........................................................................................................................
2,245,000 Vlasic Foods Intl., Inc. sr. sub notes
Ser. B, 10 1/4s, 2009 898,000
------------------------------------------------------------------------------------------------------------------------
5,832,620
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (3.8%)
........................................................................................................................
1,029,005 Ameristar Casinos, Inc. company
guaranty Ser. B, 8s, 2004 926,105
........................................................................................................................
2,650,000 Autotote Corp. company guaranty
Ser. B, 10 7/8s, 2004 2,782,500
........................................................................................................................
2,360,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 2,265,600
........................................................................................................................
3,700,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 2,072,000
........................................................................................................................
4,170,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 4,263,825
........................................................................................................................
1,380,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 1,373,100
........................................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 2,725,000
........................................................................................................................
322,000 Isle of Capri Black Hawk bank term loan
FRN 10.23s, 2006 323,208
........................................................................................................................
368,000 Isle of Capri Black Hawk bank term loan
FRN 9.59s, 2006 369,380
........................................................................................................................
850,000 Isle of Capri Black Hawk LLC company
guaranty 8 3/4s, 2009 784,125
........................................................................................................................
1,720,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 1,642,600
........................................................................................................................
530,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 503,500
........................................................................................................................
400,000 Park Place Entertainment sr. sub. notes
7 7/8s, 2005 376,000
........................................................................................................................
2,180,000 Peninsula Gaming LLC company
guaranty Ser. B, 12 1/4s, 2006 2,141,850
........................................................................................................................
1,170,000 Riviera Black Hawk, Inc. 1st mtge.
13s, 2005 1,216,800
........................................................................................................................
4,400,000 Trump A.C. 1st mtge. 11 1/4s, 2006 3,080,000
........................................................................................................................
4,280,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 4,322,800
........................................................................................................................
1,815,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 1,043,625
........................................................................................................................
1,810,000 Venetian Casino, Inc. company guaranty
12 1/4s, 2004 1,828,100
------------------------------------------------------------------------------------------------------------------------
34,040,118
------------------------------------------------------------------------------------------------------------------------
Health Care (2.5%)
........................................................................................................................
2,885,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 1,904,100
........................................................................................................................
670,000 Bio-Rad Labs Corp. 144A sr. sub. notes
11 5/8s, 2007 690,100
........................................................................................................................
670,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 592,950
........................................................................................................................
170,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 149,600
........................................................................................................................
2,110,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 1,851,525
........................................................................................................................
2,250,600 Columbia/HCA Healthcare Corp. notes
6.91s, 2005 2,042,420
........................................................................................................................
370,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 352,318
........................................................................................................................
560,000 Conmed Corp. company guaranty
9s, 2008 512,400
........................................................................................................................
1,230,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 676,500
........................................................................................................................
1,705,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 1,261,700
........................................................................................................................
1,630,000 Lifepoint Hospital Holdings company
guaranty Ser. B, 10 3/4s, 2009 1,674,825
........................................................................................................................
865,465 Magellan Health bank term loan FRN
10.38s, 2005 701,027
........................................................................................................................
2,370,000 Magellan Health sr. sub. notes 9s, 2008 1,208,700
........................................................................................................................
1,850,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 92,500
........................................................................................................................
1,830,000 Mediq, Inc. company guaranty 11s, 2008 183,000
........................................................................................................................
2,440,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 (In default) (NON) 585,600
........................................................................................................................
1,250,000 Tenet Healthcare Corp. sr. notes
8 5/8s, 2003 1,231,250
........................................................................................................................
2,681,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 2,446,413
........................................................................................................................
2,220,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 2,275,500
........................................................................................................................
1,995,000 Vanguard Health bank term loan FRN
10.38s, 2001 1,995,000
------------------------------------------------------------------------------------------------------------------------
22,427,428
------------------------------------------------------------------------------------------------------------------------
Homebuilding (0.6%)
........................................................................................................................
1,060,000 D.R. Horton, Inc. company guaranty
8s, 2009 911,600
........................................................................................................................
640,000 Del Webb Corp. sr. sub. deb.
10 1/4s, 2010 550,400
........................................................................................................................
600,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 489,000
........................................................................................................................
2,000,000 Lennar Corp. sr. notes 7 5/8s, 2009 1,750,000
........................................................................................................................
230,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 201,250
........................................................................................................................
1,520,000 Toll Corp. company guaranty 8 1/8s, 2009 1,368,000
------------------------------------------------------------------------------------------------------------------------
5,270,250
------------------------------------------------------------------------------------------------------------------------
Household Furniture & Appliances (0.5%)
........................................................................................................................
2,990,000 Albecca, Inc. company guaranty
10 3/4s, 2008 2,451,800
........................................................................................................................
3,400,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 2,422,500
------------------------------------------------------------------------------------------------------------------------
4,874,300
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (1.3%)
........................................................................................................................
1,650,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 825,000
........................................................................................................................
4,860,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 4,361,850
........................................................................................................................
620,000 Host Marriott L.P. sr. notes Ser. E,
8 3/8s, 2006 582,800
........................................................................................................................
2,590,000 ITT Corp. notes 6 3/4s, 2005 2,334,082
........................................................................................................................
2,000,000 Starwood Hotels & Resorts bank term
loan FRN 9.36s, 2003 2,007,500
........................................................................................................................
400,000 Starwood Hotels & Resorts notes
6 3/4s, 2003 375,364
........................................................................................................................
1,492,500 Strategic Hotel bank term loan FRN
10.38s, 2004 1,507,425
------------------------------------------------------------------------------------------------------------------------
11,994,021
------------------------------------------------------------------------------------------------------------------------
Manufacturing (2.2%)
........................................................................................................................
2,610,000 Applied Power, Inc. sr. sub. notes
8 3/4s, 2009 2,720,925
........................................................................................................................
3,065,000 Axia, Inc. company guaranty 10 3/4s, 2008 2,390,700
........................................................................................................................
3,110,000 Blount, Inc. company guaranty 13s, 2009 3,172,200
........................................................................................................................
1,443,872 Blount, Inc. bank term loan FRN
10.17s, 2006 1,449,287
........................................................................................................................
670,000 Celestica International, Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 703,500
........................................................................................................................
1,270,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 330,200
........................................................................................................................
2,190,000 Flextronics International Ltd. 144A
sr. sub. notes 9 7/8s, 2010 2,195,475
........................................................................................................................
1,540,000 Flextronics International, Ltd. sr. sub.
notes Ser. B, 8 3/4s, 2007 1,478,400
........................................................................................................................
435,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 182,700
........................................................................................................................
2,585,000 Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 2,507,450
........................................................................................................................
2,720,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 2,488,800
------------------------------------------------------------------------------------------------------------------------
19,619,637
------------------------------------------------------------------------------------------------------------------------
Medical Services (0.2%)
........................................................................................................................
2,250,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 945,000
........................................................................................................................
1,980,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 39,600
........................................................................................................................
1,190,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 23,800
........................................................................................................................
6,090,000 Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B, zero %
(10 1/2s, 11/1/02), 2007 (In default) (NON) (STP) 38,063
........................................................................................................................
5,470,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 273,500
........................................................................................................................
4,335,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 108,375
........................................................................................................................
2,200,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 (In default) (NON) 55,000
------------------------------------------------------------------------------------------------------------------------
1,483,338
------------------------------------------------------------------------------------------------------------------------
Medical Technology (0.1%)
........................................................................................................................
710,000 Hanger Orthopedic Group, Inc. sr. sub.
notes 11 1/4s, 2009 617,700
------------------------------------------------------------------------------------------------------------------------
Metals (1.7%)
........................................................................................................................
1,000,000 AK Steel Corp. company guaranty
7 7/8s, 2009 887,500
........................................................................................................................
2,588,140 Anker Coal Group, Inc. company
guaranty Ser. B, 14 1/4s, 2007 (PIK) 1,164,663
........................................................................................................................
1,000,000 Armco, Inc. sr. notes 9s, 2007 960,000
........................................................................................................................
900,000 Armco, Inc. sr. notes 8 7/8s, 2008 832,500
........................................................................................................................
1,665,000 Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 1,527,638
........................................................................................................................
2,910,000 LTV Corp. company guaranty
11 3/4s, 2009 2,444,400
........................................................................................................................
2,890,000 National Steel Corp. 1st mtge. Ser. D,
9 7/8s, 2009 2,456,500
........................................................................................................................
630,000 Oregon Steel Mills 1st mortgage
11s, 2003 409,500
........................................................................................................................
2,400,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 2,274,000
........................................................................................................................
1,500,000 Wheeling-Pittsburgh Steel Corp. sr. notes
9 1/4s, 2007 1,155,000
........................................................................................................................
1,320,000 WHX Corp. sr. notes 10 1/2s, 2005 1,095,600
------------------------------------------------------------------------------------------------------------------------
15,207,301
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (--%)
........................................................................................................................
1,329,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 265,800
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (2.3%)
........................................................................................................................
1,240,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 1,249,300
........................................................................................................................
1,740,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 1,609,500
........................................................................................................................
890,000 Giant Industries Corp. company
guaranty 9s, 2007 801,000
........................................................................................................................
1,630,000 HS Resources, Inc. sr. sub. notes Ser. B,
9 1/4s, 2006 1,581,100
........................................................................................................................
700,000 Nuevo Energy Co. sr. sub. notes Ser. B,
9 1/2s, 2008 682,500
........................................................................................................................
985,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 980,075
........................................................................................................................
2,807,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 2,722,790
........................................................................................................................
760,000 Pinnacle Holdings, Inc. sr. disc. notes
stepped-coupon zero % (10s,
3/15/03), 2008 (STP) 528,200
........................................................................................................................
960,000 Pioneer Natural Resources Co. company
guaranty 9 5/8s, 2010 988,800
........................................................................................................................
1,000,000 Port Arthur Finance Corp. company
guaranty 12 1/2s, 2009 990,000
........................................................................................................................
1,980,000 R & B Falcon Corp. sr. notes 12 1/4s, 2006 2,178,000
........................................................................................................................
1,270,000 RAM Energy, Inc. sr. notes 11 1/2s, 2008 622,300
........................................................................................................................
1,240,000 Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 310,000
........................................................................................................................
850,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 841,500
........................................................................................................................
2,280,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 2,154,600
........................................................................................................................
2,480,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 2,504,800
------------------------------------------------------------------------------------------------------------------------
20,744,465
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (3.9%)
........................................................................................................................
3,335,000 APP Finance II Mauritius, Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 1,734,200
........................................................................................................................
1,895,211 Alabama River News bank term loan
FRN 8.25s, 2002 1,610,929
........................................................................................................................
190,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 181,336
........................................................................................................................
1,920,000 Doman Industries, Ltd. company
guaranty 12s, 2004 (Canada) 1,948,800
........................................................................................................................
935,000 Doman Industries, Ltd. 144A notes
8 3/4s, 2004 (Canada) 738,650
........................................................................................................................
1,135,000 Gaylord Container Corp. sr. sub. notes
9 7/8s, 2008 737,750
........................................................................................................................
435,000 Gaylord Container Corp. sr. notes Ser. B,
9 3/8s, 2007 339,300
........................................................................................................................
3,395,000 Indah Kiat Financial Mauritius, Ltd.
company guaranty 10s, 2007 (Indonesia) 2,037,000
........................................................................................................................
383,335 Jefferson Smurfit bank term loan FRN
9.19s, 2006 383,335
........................................................................................................................
900,000 Kappa Beheer BV company guaranty
10 5/8s, 2009 (Netherlands) 918,000
........................................................................................................................
2,460,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 2,447,700
........................................................................................................................
1,880,000 Packaging Corp. company guaranty
9 5/8s, 2009 1,872,950
........................................................................................................................
967 Packaging Corp. bank term loan FRN
9.5s, 2008 961
........................................................................................................................
4,815,000 Pindo Deli Finance Mauritius, Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 2,889,000
........................................................................................................................
4,125,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 3,630,000
........................................................................................................................
2,025,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,761,750
........................................................................................................................
3,320,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 3,154,000
........................................................................................................................
1,150,000 Stone Container Corp. sr. notes
12.58s, 2016 1,196,000
........................................................................................................................
465,000 Stone Container Corp. 1st. Mtge.
10 3/4s, 2002 469,650
........................................................................................................................
2,540,000 Tekni-Plex, Inc. 144A sr. sub. notes
12 3/4s, 2010 2,533,650
........................................................................................................................
3,930,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 3,733,500
------------------------------------------------------------------------------------------------------------------------
34,318,461
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (0.6%)
........................................................................................................................
2,360,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 2,324,600
........................................................................................................................
2,000,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 1,970,000
........................................................................................................................
1,150,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 1,127,000
------------------------------------------------------------------------------------------------------------------------
5,421,600
------------------------------------------------------------------------------------------------------------------------
Power Producers (2.4%)
........................................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,397,250
........................................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,508,600
........................................................................................................................
250,000 Calpine Corp. sr. notes 7 7/8s, 2008 239,357
........................................................................................................................
2,480,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 2,916,530
........................................................................................................................
10,805,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 12,095,333
........................................................................................................................
3,259,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 3,259,000
------------------------------------------------------------------------------------------------------------------------
21,416,070
------------------------------------------------------------------------------------------------------------------------
Publishing (0.5%)
........................................................................................................................
3,575,000 Affinity Group Holdings sr. notes 11s, 2007 3,003,000
........................................................................................................................
1,190,702 Big Flower Holdings bank term loan
FRN 9.13s, 2010 1,187,725
------------------------------------------------------------------------------------------------------------------------
4,190,725
------------------------------------------------------------------------------------------------------------------------
Railroads (0.3%)
........................................................................................................................
2,565,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero % (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 1,763,438
........................................................................................................................
1,250,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 1,087,500
------------------------------------------------------------------------------------------------------------------------
2,850,938
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.3%)
........................................................................................................................
1,690,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 794,300
........................................................................................................................
980,000 Sbarro, Inc. company guaranty 11s, 2009 999,600
........................................................................................................................
920,000 Tricon Global Restaurants, Inc. sr. notes
7.65s, 2008 821,440
------------------------------------------------------------------------------------------------------------------------
2,615,340
------------------------------------------------------------------------------------------------------------------------
Retail (1.3%)
........................................................................................................................
2,210,000 Amazon.com, Inc. sr. disc. notes stepped-
coupon zero % (10s,05/01/03), 2008 (STP) 1,292,850
........................................................................................................................
70,000 Iron Age Corp. sr. disc. notes stepped-
coupon zero % (12 1/8s, 5/1/03), 2009 (STP) 10,500
........................................................................................................................
953,000 Iron Age Corp. company guaranty
9 7/8s, 2008 667,100
........................................................................................................................
4,000,000 K mart Corp. pass-thru certificates
Ser. 95K4, 9.35s, 2020 3,610,800
........................................................................................................................
1,665,000 Mahindra & Mahindra, Ltd. notes 12s,
2008 (Mexico) 1,515,150
........................................................................................................................
1,935,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 1,789,875
........................................................................................................................
2,300,000 Saks, Inc. company guaranty 8 1/4s, 2008 2,042,929
........................................................................................................................
290,000 Southland Corp. sr. sub. deb. 5s, 2003 257,462
------------------------------------------------------------------------------------------------------------------------
11,186,666
------------------------------------------------------------------------------------------------------------------------
Semiconductor (0.5%)
........................................................................................................................
810,000 Amkor Technologies, Inc. structured
note (issued by STEERS, Credit linked
Trust 2000), 12.58s, 2005 814,050
........................................................................................................................
750,000 Amkor Technologies, Inc. sr. notes
9 1/4s, 2006 735,000
........................................................................................................................
90,000 Chippac Intl., Ltd. company guaranty
Ser. B, 12 3/4s, 2009 97,650
........................................................................................................................
3,000,000 Micron Technology, Inc. notes 6 1/2s, 2005 2,520,000
------------------------------------------------------------------------------------------------------------------------
4,166,700
------------------------------------------------------------------------------------------------------------------------
Shipping (0.2%)
........................................................................................................................
1,910,000 Kitty Hawk, Inc. company guaranty 9.95s,
2004 (In default) (NON) 802,200
........................................................................................................................
915,000 Transportacion Maritima Mexicana S.A.
de C.V. notes 9 1/4s, 2003 (Mexico) 750,300
------------------------------------------------------------------------------------------------------------------------
1,552,500
------------------------------------------------------------------------------------------------------------------------
Software (--%)
........................................................................................................................
1,330,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 66,500
------------------------------------------------------------------------------------------------------------------------
Specialty Printing (0.5%)
........................................................................................................................
2,775,000 Perry-Judd company guaranty
10 5/8s, 2007 2,331,000
........................................................................................................................
560,733 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 504,660
........................................................................................................................
1,505,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,414,700
------------------------------------------------------------------------------------------------------------------------
4,250,360
------------------------------------------------------------------------------------------------------------------------
Technology (0.9%)
........................................................................................................................
2,630,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 2,649,725
........................................................................................................................
1,260,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 1,159,200
........................................................................................................................
830,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 717,950
........................................................................................................................
2,690,000 Viasystems, Inc. sr. notes Ser. B, 9 3/4s, 2007 2,286,500
........................................................................................................................
1,830,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 1,582,950
------------------------------------------------------------------------------------------------------------------------
8,396,325
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.3%)
........................................................................................................................
660,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 694,650
........................................................................................................................
1,730,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 934,200
........................................................................................................................
1,320,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 1,122,000
........................................................................................................................
2,048,000 Covad Communications Group, Inc.
sr. notes Ser. B, 12s, 2010 1,597,440
........................................................................................................................
1,590,000 Cybernet Internet Services Intl., Inc.
144A sr. notes 14s, 2009 699,600
........................................................................................................................
2,760,000 Exodus Communications, Inc. 144A
notes 11 5/8s, 2010 2,766,900
........................................................................................................................
1,200,000 Exodus Communications, Inc. sr. notes
10 3/4s, 2009 1,158,000
........................................................................................................................
1,270,000 Globix Corp. sr. notes 12 1/2s, 2010 1,054,100
........................................................................................................................
645,000 PSINet, Inc. sr. notes 11s, 2009 599,850
........................................................................................................................
1,000,000 Rhythms Netconnections, Inc. 144A
sr. notes 14s, 2010 705,000
------------------------------------------------------------------------------------------------------------------------
11,331,740
------------------------------------------------------------------------------------------------------------------------
Telecommunications (13.6%)
........................................................................................................................
3,830,000 360Networks, Inc. 144A sr. notes 13s,
2008 (Canada) 3,868,300
........................................................................................................................
3,050,000 Alaska Communications Systems Corp.
company guaranty 9 3/8s, 2009 2,821,250
........................................................................................................................
1,586,667 American Cellular bank term loan FRN
9.31s, 2008 1,582,700
........................................................................................................................
1,813,333 American Cellular bank term loan FRN
9.26s, 2008 1,808,800
........................................................................................................................
10,000 American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 7,800
........................................................................................................................
240,000 Arch Communications Group notes
13 3/4s, 2008 195,000
........................................................................................................................
4,240,000 Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02),
2007 (Israel) (STP) 2,120,000
........................................................................................................................
1,690,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 1,199,900
........................................................................................................................
450,000 Call-Net Enterprises, Inc. sr. notes 9 3/8s,
2009 (Canada) 274,500
........................................................................................................................
1,240,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s,
8/15/03), 2008 (Canada) (STP) 502,200
........................................................................................................................
1,300,000 Call-Net Enterprises, Inc. sr. notes 8s,
2008 (Canada) 780,000
........................................................................................................................
2,510,000 Carrier1 Intl. SA sr. notes Ser. B, 13 1/4s,
2009 (Luxembourg) 2,472,350
........................................................................................................................
4,330,000 Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/04),
2004 (Colombia) (STP) 3,464,000
........................................................................................................................
9,207,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 713,543
........................................................................................................................
160,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 163,800
........................................................................................................................
1,540,000 Crown Castle International Corp.
sr. notes 10 3/4s, 2011 1,563,100
........................................................................................................................
1,000,000 Crown Castle International Corp. bank
term loan FRN 9.46s, 2008 1,000,000
........................................................................................................................
2,400,000 Dobson Communications, Inc. 144A
sr. notes 10 7/8s, 2010 2,406,000
........................................................................................................................
350,000 Dobson/Sygnet Communications, Inc.
sr. notes 12 1/4s, 2008 371,875
........................................................................................................................
1,330,000 Econophone, Inc. company guaranty
13 1/2s, 2007 1,183,700
........................................................................................................................
2,425,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 2,134,000
........................................................................................................................
1,460,000 Global Crossing Holdings, Ltd. company
guaranty 9 5/8s, 2008 (Bermuda) 1,423,500
........................................................................................................................
890,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/2s, 2009 (Bermuda) 858,850
........................................................................................................................
4,150,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/8s, 2006 (Bermuda) 3,984,000
........................................................................................................................
1,610,000 Grupo Iusacell sr. notes 14 1/4s,
2006 (Mexico) 1,686,475
........................................................................................................................
7,180,000 ICG Services, Inc. sr. disc. notes stepped-
coupon zero % (10s, 02/15/03), 2008 (STP) 3,805,400
........................................................................................................................
2,350,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 2,185,500
........................................................................................................................
2,550,000 Intira Corp. bonds stepped-coupon
zero % (13s, 2/1/05), 2010 (STP) 1,459,875
........................................................................................................................
5,590,000 IPC Information Systems, Inc. sr. disc.
notes zero % (10 7/8s, 11/1/01), 2008 (STP) 4,947,150
........................................................................................................................
5,810,000 Level 3 Communication, Inc. 144A
sr. notes 11s, 2008 5,751,900
........................................................................................................................
4,500,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 1,575,000
........................................................................................................................
710,000 Loral Space & Communication, Ltd.
sr. notes 9 1/2s, 2006 530,725
........................................................................................................................
6,920,000 McCaw International, Ltd. sr. disc. notes
stepped coupon zero % (13s,
4/15/02), 2007 (STP) 5,086,200
........................................................................................................................
450,000 Metrocall, Inc. sr. sub. notes 11s, 2008 312,750
........................................................................................................................
105,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 72,975
........................................................................................................................
430,000 Metromedia Fiber Network, Inc. sr. notes
10s, 2009 425,700
........................................................................................................................
3,880,000 Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 3,831,500
........................................................................................................................
8,420,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,241,200
........................................................................................................................
1,290,000 Nextel Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/8s,
4/15/03), 2008 (STP) 844,950
........................................................................................................................
3,980,000 Nextel Communications, Inc. sr. notes
12s, 2008 4,298,400
........................................................................................................................
4,810,000 Nextel Communications, Inc. sr. notes
9 3/8s, 2009 4,617,600
........................................................................................................................
3,720,000 Nextel Partners, Inc. 144A sr. notes
11s, 2010 3,701,400
........................................................................................................................
1,850,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 1,720,500
........................................................................................................................
3,930,000 NorthPoint Communications Group, Inc.
sr. notes 12 7/8s, 2010 2,751,000
........................................................................................................................
1,990,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 915,400
........................................................................................................................
1,200,000 Pagemart Wireless, Inc. sr. disc. notes
stepped-coupon zero % (11 1/4s,
2/1/03), 2008 (STP) 480,000
........................................................................................................................
1,300,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 65,000
........................................................................................................................
240,000 Paging Network, Inc. sr. sub. notes
10 1/8s, 2007 100,800
........................................................................................................................
1,310,000 Paging Network, Inc. sr. sub. notes
10s, 2008 537,100
........................................................................................................................
3,275,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 1,866,750
........................................................................................................................
1,730,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 1,730,000
........................................................................................................................
1,870,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 1,860,650
........................................................................................................................
1,510,000 RSL Communications PLC 144A company
guaranty 12 7/8s, 2010 1,117,400
........................................................................................................................
1,175,000 RSL Communications PLC company
guaranty 12 1/4s, 2006 963,500
........................................................................................................................
1,480,000 RSL Communications PLC 144A company
guaranty 10 1/2s, 2008 1,006,400
........................................................................................................................
1,440,000 RSL Communications PLC company
guaranty 9 1/8s, 2008 921,600
........................................................................................................................
1,000,000 Rural Cellular bank term loan FRN
9.63s, 2008 997,500
........................................................................................................................
1,040,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 696,800
........................................................................................................................
820,000 Spectrasite Holdings, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(12.875s, 3/1/05), 2010 (STP) 446,900
........................................................................................................................
660,000 Spectrasite Holdings, Inc. sr. disc. notes
stepped-coupon zero % (11 1/4s,
4/15/04), 2009 (STP) 382,800
........................................................................................................................
1,790,000 Startec Global Communications Corp.
sr. notes 12s, 2008 1,432,000
........................................................................................................................
1,550,000 Verio, Inc. sr. notes 10 5/8s, 2009 1,728,250
........................................................................................................................
6,910,000 Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 3,247,700
........................................................................................................................
2,298,000 Viatel, Inc. sr. notes 11 1/2s, 2009 1,838,400
........................................................................................................................
3,000,000 Western Wireless bank term loan FRN
9.13s, 2008 3,000,000
........................................................................................................................
150,000 Williams Communications Group, Inc.
sr. notes 10 7/8s, 2009 147,000
........................................................................................................................
2,130,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 1,863,750
------------------------------------------------------------------------------------------------------------------------
121,091,068
------------------------------------------------------------------------------------------------------------------------
Telephone (5.8%)
........................................................................................................................
2,000,000 Airgate PCS, Inc. sr. sub. notes
stepped-coupon zero % (13 1/2s,
10/1/04), 2009 (STP) 1,180,000
........................................................................................................................
4,300,000 Alamosa PCS Holdings, Inc. company
guaranty stepped-coupon zero %
(12 7/8s, 2/15/05), 2010 (STP) 2,236,000
........................................................................................................................
1,890,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 1,833,300
........................................................................................................................
4,470,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 3,408,375
........................................................................................................................
5,260,000 Firstworld Communication Corp. sr. disc.
notes stepped-coupon zero % (13s,
4/15/03), 2008 (STP) 2,472,200
........................................................................................................................
4,060,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 2,740,500
........................................................................................................................
1,470,000 Focal Communications Corp. 144A
sr. notes 11 7/8s, 2010 1,462,650
........................................................................................................................
665,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 674,975
........................................................................................................................
1,160,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (121/4s, 3/1/04), 2009 (STP) 710,500
........................................................................................................................
9,094,000 KMC Telecommunications Holdings, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 4,456,060
........................................................................................................................
2,940,000 Madison River Capital 144A sr. notes
13 1/4s, 2010 2,675,400
........................................................................................................................
3,700,000 MGC Communications, Inc. 144A
sr. notes 13s, 2010 3,441,000
........................................................................................................................
2,540,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 2,336,800
........................................................................................................................
950,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 638,875
........................................................................................................................
910,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 750,750
........................................................................................................................
2,560,000 NEXTLINK Communications, Inc.
sr. notes 10 1/2s, 2009 2,508,800
........................................................................................................................
1,470,000 Tele1 Europe B.V. 144A notes 13s,
2009 (Netherlands) 1,477,350
........................................................................................................................
720,000 Telecorp PCS, Inc. company guaranty
stepped-coupon zero % (11 5/8s,
4/15/04), 2009 (STP) 471,600
........................................................................................................................
1,000,000 Time Warner Telecom, Inc. sr. notes
9 3/4s, 2008 970,000
........................................................................................................................
2,205,000 Transtel S.A. pass through certificates
12 1/2s, 2007 727,650
........................................................................................................................
4,170,000 US Unwired, Inc. company guaranty,
stepped-coupon Ser. B, zero %
(13 3/8s, 11/1/04), 2009 (STP) 2,251,800
........................................................................................................................
650,000 Versatel Telecom N.V. 144A notes 15.065s,
2005 (Netherlands) 648,050
........................................................................................................................
1,290,000 Versatel Telecom N.V. sr. notes 13 1/4s,
2008 (Netherlands) 1,315,800
........................................................................................................................
660,000 Versatel Telecom N.V. sr. notes 13 1/4s,
2008 (Netherlands) 673,200
........................................................................................................................
3,260,000 VoiceStream Wire, Inc. sr. notes
10 3/8s, 2009 3,357,800
........................................................................................................................
7,228,000 WinStar Communications, Inc. 144A
sr. disc. notes zero % (14 3/4s,
4/15/05), 2010 (STP) 3,324,880
........................................................................................................................
3,320,000 WinStar Communications, Inc. 144A
sr. notes 12 3/4s, 2010 3,120,800
------------------------------------------------------------------------------------------------------------------------
51,865,115
------------------------------------------------------------------------------------------------------------------------
Textiles (1.1%)
........................................................................................................................
940,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 425,350
........................................................................................................................
1,035,000 GFSI, Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (11 3/8s, 9/15/04), 2009 (STP) 165,600
........................................................................................................................
3,017,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 3,001,915
........................................................................................................................
303,000 Kasper A.S.L., Ltd. sr. notes 12 3/4s, 2004 151,500
........................................................................................................................
1,570,000 Levi Strauss & Co. 144A notes 6.8s, 2003 1,279,550
........................................................................................................................
520,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 413,400
........................................................................................................................
1,980,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2005 1,653,300
........................................................................................................................
1,040,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 972,400
........................................................................................................................
1,750,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 1,662,500
------------------------------------------------------------------------------------------------------------------------
9,725,515
------------------------------------------------------------------------------------------------------------------------
Tobacco (0.1%)
........................................................................................................................
600,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 534,000
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.3%)
........................................................................................................................
2,992,500 Transportation Tech bank term loan
FRN 9.89s, 2007 2,970,056
------------------------------------------------------------------------------------------------------------------------
Trucks & Parts (0.1%)
........................................................................................................................
1,260,000 Transportation Manufacturing
Operations, Inc. company guaranty
11 1/4s, 2009 1,083,600
------------------------------------------------------------------------------------------------------------------------
Utilities (0.2%)
........................................................................................................................
4,055,000 Cathay International, Ltd. 144A sr. notes
13s, 2008 (China) 2,027,500
------------------------------------------------------------------------------------------------------------------------
Waste Management (1.3%)
........................................................................................................................
6,890,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 10s, 2009 5,822,043
........................................................................................................................
420,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 361,200
........................................................................................................................
1,815,000 Allied Waste Industries, Inc. bank term
loan FRN 8.94s, 2006 1,698,314
........................................................................................................................
2,215,000 Allied Waste Industries, Inc. bank term
loan FRN 9.13s, 2007 2,072,642
........................................................................................................................
70,000 Browning-Ferris Industries, Inc. deb.
7.4s, 2035 48,300
........................................................................................................................
2,140,000 Waste Management, Inc. company
guaranty 6 7/8s, 2009 1,874,940
------------------------------------------------------------------------------------------------------------------------
11,877,439
------------------------------------------------------------------------------------------------------------------------
Water Utilities (0.1%)
........................................................................................................................
1,200,000 Azurix Corp. 144A notes 10 3/8s, 2007 1,158,000
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $851,490,646) $729,621,761
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (6.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
Banking (0.7%)
........................................................................................................................
56,820 Chevy Chase Pfd. Capital Corp.
Ser. A, $5.19 pfd. $2,670,540
........................................................................................................................
7,800 Chevy Chase Savings Bank $3.25 pfd. 196,950
........................................................................................................................
1,010 First Republic 144A 10.50% pfd. 878,700
........................................................................................................................
111,000 Golden State Bancorp Ser. A, $2.28 pfd. 2,580,750
------------------------------------------------------------------------------------------------------------------------
6,326,940
------------------------------------------------------------------------------------------------------------------------
Broadcasting (1.5%)
........................................................................................................................
1,122 Benedek Communications Corp.
11.50% pfd. (PIK) 802,230
........................................................................................................................
64,595 Brand Scaffold $3.63 cum. pfd. 1,776,363
........................................................................................................................
17,053 Citadel Broadcasting, Inc. 144A Ser. B,
$13.25 cum. pfd. (PIK) 1,841,724
........................................................................................................................
91,670 Diva Systems Corp. Ser. C, $6.00 pfd. 550,020
........................................................................................................................
3,330 Granite Broadcasting 144A
12.75% cum. pfd. (PIK) 2,830,500
........................................................................................................................
542 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 5,203,200
------------------------------------------------------------------------------------------------------------------------
13,004,037
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.7%)
........................................................................................................................
57,214 CSC Holdings, Inc. Ser. M,
$11.13 cum. pfd. (PIK) 6,036,077
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
........................................................................................................................
24,391 Public Service Co. of New Hampshire
Ser. A, $2.65 cum. pfd. 609,775
------------------------------------------------------------------------------------------------------------------------
Food (--%)
........................................................................................................................
4,710 Doane Pet Care Enterprise $7.12 pfd. 211,950
------------------------------------------------------------------------------------------------------------------------
Insurance (0.4%)
........................................................................................................................
122,819 CGA Group, Ltd. 144A Ser. A,
13.75% pfd. (PIK) 3,316,113
------------------------------------------------------------------------------------------------------------------------
Medical Services (0.3%)
........................................................................................................................
2,305 Fresenius Medical Capital Trust I Ser. D,
9.00% company guaranty, pfd. (Germany) 2,224,325
........................................................................................................................
740 Fresenius Medical Capital Trust II 7.875%
company guaranty, pfd. (Germany) 662,300
------------------------------------------------------------------------------------------------------------------------
2,886,625
------------------------------------------------------------------------------------------------------------------------
Oil and Gas (0.3%)
........................................................................................................................
2,080 R & B Falcon Corp. 13.875% cum. pfd. (PIK) 2,360,800
------------------------------------------------------------------------------------------------------------------------
Restaurants (--%)
........................................................................................................................
36,313 AmeriKing, Inc. $3.25 cum. pfd. (PIK) 290,504
------------------------------------------------------------------------------------------------------------------------
Telephone (0.8%)
........................................................................................................................
5,211 Intermedia Communications Ser. B,
13.50% pfd. (PIK) 5,002,560
........................................................................................................................
21,442 NEXTLINK Communications, Inc.
$7.00 pfd. (PIK) 1,114,984
........................................................................................................................
1,470 NEXTLINK Communications, Inc. Ser. B,
13.50% pfd. (PIK) 1,447,950
------------------------------------------------------------------------------------------------------------------------
7,565,494
------------------------------------------------------------------------------------------------------------------------
Telecommunications (1.3%)
........................................................................................................................
5,207 Dobson Communications 13.00% pfd. (PIK) 5,363,210
........................................................................................................................
6,367 ICG Holdings, Inc. 14.00% cum. pfd. (PIK) 4,647,910
........................................................................................................................
8 Nextel Communications, Inc. Ser. E,
11.13% pfd. (PIK) 7,640
........................................................................................................................
1,938 Rural Cellular Corp. 12.25% pfd. (PIK) 1,821,720
------------------------------------------------------------------------------------------------------------------------
11,840,480
------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $56,477,843) $54,448,795
------------------------------------------------------------------------------------------------------------------------
UNITS (2.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
2,865 App China Group, Ltd. units 14s, 2010
(Singapore) $1,804,950
........................................................................................................................
1,210 Colo.com units 13 7/8s, 2010 1,300,750
........................................................................................................................
1,680 Dayton Superior Corp. units 13s, 2009 1,659,000
........................................................................................................................
3,260 Equinix, Inc. units 13s, 2007 3,520,800
........................................................................................................................
1,510 Huntsman Packaging Corp. units 13s, 2010 1,510,000
........................................................................................................................
3,520 Investcorp units 12 3/4s, 2010 3,493,600
........................................................................................................................
1,510 IPCS, Inc. units stepped-coupon
zero % (14s 7/15/05), 2010 (STP) 785,200
........................................................................................................................
2,590 Maxcom Telecomunicacione units
13 3/4s, 2007 (Mexico) 2,331,000
........................................................................................................................
3,450 Ubiquitel Operating Co. units stepped-
coupon zero % (14s 4/15/05), 2010 (STP) 1,966,500
........................................................................................................................
2,695 XCL, Ltd. units 13 1/2s, 2004 485,100
........................................................................................................................
1,720 XM Satellite Radio, Inc. units 14s, 2010 1,513,600
------------------------------------------------------------------------------------------------------------------------
Total Units
(cost $23,020,391) $20,370,500
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,225,000 Amazon.com, Inc. cv. sub. deb.
4 3/4s, 2009 $770,219
........................................................................................................................
5,150,000 Cybernet Internet Services Intl., Inc.
144A cv. sr. disc. notes stepped-coupon
zero %, (13s, 8/15/04), 2009 (STP) 2,472,000
........................................................................................................................
4,080,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 1,978,800
........................................................................................................................
590,000 Parker Drilling Corp. cv. sub. notes
5 1/2s, 2004 483,063
........................................................................................................................
4,070,000 Total Renal Care Holdings, Inc. 144A
cv. notes 7s, 2009 2,742,163
........................................................................................................................
2,700,000 Waste Management, Inc. cv. sub. notes
4s, 2002 2,514,374
------------------------------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $12,032,923) $10,960,619
------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$415,000 Amresco Commercial Mortgage Funding I
Ser. 98-C1, Class G, 7s, 2029 $333,556
........................................................................................................................
13,498,827 Commercial Mortgage Asset Trust
Ser. 99-C1, Class X, Interest Only (IO),
0.99s, 2020 838,404
........................................................................................................................
1,690,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class C, 7s, 2012 1,209,142
........................................................................................................................
860,000 CS First Boston Mortgage Securities
Corp. Ser. 99-C1, Class E, 8.18s, 2009 838,769
........................................................................................................................
Fannie Mae
........................................................................................................................
638 Ser. 92-184, Class J, IO, 11.46s, 2022 24,949
........................................................................................................................
117,000 Ser. 00-4, Class SX, 8.65s, 2023 109,962
........................................................................................................................
67,838 Ser. 241, Class 2, IO, 8 1/2s, 2023 19,101
........................................................................................................................
1,511,669 Ser. 181, Class 2, IO, 8 1/2s, 2022 425,629
........................................................................................................................
1,074,960 Ser. 158, Class 2, IO, 8 1/2s, 2022 302,669
........................................................................................................................
2,724,342 Ser. 150, IO, 8 1/2s, 2022 767,073
........................................................................................................................
175,477 Ser. 203, Class 2, IO, 8s, 2023 52,862
........................................................................................................................
422,462 Ser. G93-9, IO, 8s, 2023 119,835
........................................................................................................................
623,800 Ser. 92-207, Class S, IO, 7.66s, 2022 120,861
........................................................................................................................
24,288 Ser. 218, Class 2, IO, 7 1/2s, 2023 7,431
........................................................................................................................
460 Ser. 92-181, Class PJ, IO, 7 1/2s, 2022 15,620
........................................................................................................................
305,400 Ser. 215, Class 2, IO, 7s, 2023 91,334
........................................................................................................................
2,167,575 Ser. 221, Class 2, IO, 7 1/2s, 2023 663,820
........................................................................................................................
271,000 Ser. 97-23, Class SJ, IO 5.94s, 2023 59,324
........................................................................................................................
Freddie Mac
........................................................................................................................
675,000 Ser. 2033, Class SO, IO, 9.24s, 2021 207,563
........................................................................................................................
286,000 Ser. 2032, Class SK, IO, 8.28s, 2024 138,397
........................................................................................................................
743,200 Ser. 2183, Class SG, 6.44s, 2014 565,297
........................................................................................................................
1,300,000 General Growth Properties-Ala Moana
Ser. 99-C1, Class F, 8.541s, 2004 1,302,031
........................................................................................................................
Government National Mortgage
Association
........................................................................................................................
857,030 Ser. 00-10, Class SB, 12.703s, 2030 783,915
........................................................................................................................
816,283 Ser. 00-16, Class SA, 11.66s, 2026 706,085
........................................................................................................................
900,000 GS Mortgage Securities Corp. II
Ser. 99-FL2A, Class G, 7.855s, 2013 860,344
........................................................................................................................
1,948,690 Merrill Lynch Mortgage Investors,
Inc. Ser. 96-C2, IO, 1.55s, 2028 128,187
------------------------------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $10,730,178) $10,692,160
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (1.0%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
4,300 Global Crossing 144A 7.00% cv. pfd. $768,754
........................................................................................................................
4,900 Global Crossing, Ltd. 7.00% cum cv. pfd. 873,425
........................................................................................................................
3,000 Global Crossing Ltd. 6.75% cum cv. pfd. 658,125
........................................................................................................................
23,200 Global Telesystems Group, Inc.
$3.63 cv. pfd. 529,250
........................................................................................................................
54,170 Global Telesystems Group, Inc. 144A
$3.625 cv. pfd. 1,232,368
........................................................................................................................
2,590 Interact Systems, Inc. 14.00% cv. pfd. 2,590
........................................................................................................................
14,400 LTV Corp. (The) 144A $4.13 cv. pfd. 644,400
........................................................................................................................
115 Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) 1,104,000
........................................................................................................................
15,352 Peninsula Gaming Partners 144A
7.14% cv. pfd. 92,109
........................................................................................................................
58,700 PSINet, Inc. 144A $3.50 cv. pfd. 1,995,800
........................................................................................................................
16,170 RSL Communications, Ltd. 144A
7.50% cv. pfd. (Bermuda) 539,674
........................................................................................................................
143 World Access 144A Series D,
zero % cv. pfd. 143,000
........................................................................................................................
2,736 XCL, Ltd. 144A Ser. A, 9.50% cv. pfd. (PIK) 1,368
........................................................................................................................
13,850 XCL, Ltd. 144A 9.50% cv. pfd. (PIK) 6,925
------------------------------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $12,598,696) $8,591,788
------------------------------------------------------------------------------------------------------------------------
WARRANTS (0.8%) (a) (NON)
------------------------------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................................................
57 Anker Coal Group, Inc. 144A 10/28/09 $1
........................................................................................................................
1,690 Bestel S.A. de C.V. (Mexico) 5/15/05 202,800
........................................................................................................................
1,600 Birch Telecommunications,
Inc. 144A 6/15/08 88,000
........................................................................................................................
2,501 Carrier1 Intl. SA 2/19/09 775,310
........................................................................................................................
8,867 CellNet Data Systems, Inc. 10/1/07 1
........................................................................................................................
122,500 CGA Group, Ltd. 144A 2/11/07 1,225
........................................................................................................................
1,590 Cybernet Internet Services
Intl., Inc. 144A 7/1/09 31,800
........................................................................................................................
100 Decrane Aircraft Holdings 9/30/08 1
........................................................................................................................
4,700 Destia Communications 144A 7/15/07 399,500
........................................................................................................................
2,145 Diva Systems Corp. 5/15/06 1,287,000
........................................................................................................................
19,171 Diva Systems Corp. 144A 3/1/08 268,394
........................................................................................................................
1,560 Epic Resorts 6/15/05 16
........................................................................................................................
2,460 Firstworld Communication
Corp. 4/15/08 172,200
........................................................................................................................
1,890 Globalstar Telecommunications 2/15/04 1,890
........................................................................................................................
24,750 ICG Communications 10/15/05 396,000
........................................................................................................................
1,880 Insilco Holding Co. 8/15/08 19
........................................................................................................................
2,590 Interact Systems, Inc. 8/1/03 26
........................................................................................................................
2,590 Interact Systems, Inc. 144A 12/15/09 26
........................................................................................................................
1,360 International Wireless
Communications
Holdings 144A 8/15/01 1
........................................................................................................................
42,155 Intira Corp. Class A 2/1/10 4
........................................................................................................................
14,486 Intira Corp. Class B 2/1/10 1
........................................................................................................................
1,500 Iridium World Com LLC 7/15/05 1
........................................................................................................................
6,794 KMC Telecommunications
Holdings, Inc. 4/15/08 20,382
........................................................................................................................
6,100 Knology Holdings 10/22/07 45,750
........................................................................................................................
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 84,150
........................................................................................................................
20 Motient Corp. 144A 4/1/08 800
........................................................................................................................
30,612 Network Plus Corp. 12/31/00 1,591,824
........................................................................................................................
970 Onepoint Communications, Inc. 6/1/08 19,400
........................................................................................................................
1,990 Orbital Imaging Corp. 144A 3/1/05 39,800
........................................................................................................................
3,895 Orion Network Systems 1/15/07 42,845
........................................................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 78,430
........................................................................................................................
2,100 Pathnet, Inc. 144A 4/15/08 21,000
........................................................................................................................
3,200 Paxson Communications Corp.
144A 6/30/03 7,072
........................................................................................................................
1,810 R & B Falcon Corp. 144A 5/1/09 905,000
........................................................................................................................
2,175 Raintree Resort 144A 12/1/04 22
........................................................................................................................
1,790 Startec Global Communications
Corp. 5/15/08 6,265
........................................................................................................................
960 Sterling Chemicals Holdings 8/15/08 8,160
........................................................................................................................
1,330 Telehub Communications Corp. 7/31/05 665
........................................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 208,500
........................................................................................................................
19,720 USN Communications Inc. 8/15/04 197
........................................................................................................................
70 Versatel Telecom
N.V. (Netherlands) 5/15/08 37,310
........................................................................................................................
1,950 WAM!NET, Inc. 3/1/05 21,450
........................................................................................................................
1,650 Wireless One, Inc. 10/19/00 2
........................................................................................................................
304,700 Wright Medical
Technology, Inc. 144A 6/30/03 3
------------------------------------------------------------------------------------------------------------------------
Total Warrants
(cost $4,240,752) $6,790,942
------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS (0.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
95,530 360Networks, Inc. 144A (Canada) (NON) $1,194,125
........................................................................................................................
750 AmeriKing, Inc. (NON) 7,500
........................................................................................................................
4,275 Axia Holding, Inc. 144A (NON) 55,575
........................................................................................................................
431,848 Celcaribe S.A. 144A (Colombia) (NON) 53,981
........................................................................................................................
2,696 MGC Communications, Inc. 161,592
........................................................................................................................
592 Mothers Work, Inc. (NON) 6,660
........................................................................................................................
1,500 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) (NON) 15
........................................................................................................................
665 Premium Holdings 144A 6,647
........................................................................................................................
157,853 PSF Holdings LLC Class A 1,578,530
........................................................................................................................
63 RCN Corp. (NON) 1
........................................................................................................................
34,750 Spanish Broadcasting System, Inc. (NON) 556,000
........................................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 150
........................................................................................................................
25,890 Tele1 Europe Holding AB
ADR (Sweden) (NON) 312,295
........................................................................................................................
11,789 Viatel, Inc. (NON) 336,719
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $7,675,100) $4,269,790
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.8%) (a) (cost $24,814,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$24,814,000 Interest in $750,000,000 joint repurchase
agreement dated June 30, 2000 with
Goldman Sachs and Co. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$24,827,441 for an effective
yield of 6.5% $24,814,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,003,080,529) (b) $870,560,355
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Income Fund
The fund's portfolio
June 30, 2000 (Unaudited)
CORPORATE BONDS AND NOTES (49.7%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.1%)
........................................................................................................................
$340,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $349,350
........................................................................................................................
400,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 382,000
------------------------------------------------------------------------------------------------------------------------
731,350
------------------------------------------------------------------------------------------------------------------------
Aerospace and Defense (2.9%)
........................................................................................................................
410,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 346,450
........................................................................................................................
5,025,000 Boeing Co. deb. 6 5/8s, 2038 4,371,298
........................................................................................................................
3,920,000 Litton Industries Inc. sr. notes 8s, 2009 3,925,566
........................................................................................................................
6,240,000 Lockheed Martin Corp. bonds
8 1/2s, 2029 6,301,027
........................................................................................................................
5,175,000 Lockheed Martin Corp. company
guaranty 7.45s, 2004 5,139,758
........................................................................................................................
4,015,000 Norsk Hydro ASA notes 6.36s,
2009 (Norway) 3,654,573
........................................................................................................................
1,040,000 Sequa Corp. sr. notes 9s, 2009 998,400
------------------------------------------------------------------------------------------------------------------------
24,737,072
------------------------------------------------------------------------------------------------------------------------
Airlines (2.4%)
........................................................................................................................
1,759,941 Airbus Industries 144A notes 8.027s, 2020 1,732,609
........................................................................................................................
3,735,949 Atlas Air, Inc. pass-through
certificates Ser. 991A, 7.2s, 2019 3,538,666
........................................................................................................................
5,580,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 5,072,722
........................................................................................................................
3,920,000 Delta Air Lines, Inc. notes 8.3s, 2029 3,427,452
........................................................................................................................
6,043,012 Northwest Airlines Corp. pass-through
certificate Ser. 1999-1A, 6.81s, 2020 5,479,925
........................................................................................................................
1,470,000 Northwest Airlines, Inc. company
guaranty 7 7/8s, 2008 1,296,128
------------------------------------------------------------------------------------------------------------------------
20,547,502
------------------------------------------------------------------------------------------------------------------------
Automotive (1.8%)
........................................................................................................................
10,685,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 9,710,101
........................................................................................................................
1,150,000 Delphi Automotive Systems Corp. deb.
7 1/8s, 2029 980,456
........................................................................................................................
2,500,000 Federal Mogul Corp. notes 7 1/2s, 2009 1,750,000
........................................................................................................................
680,000 Federal Mogul Corp. notes 7 3/8s, 2006 499,800
........................................................................................................................
1,000,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 892,500
........................................................................................................................
1,000,000 Lear Corp. sub. notes 9 1/2s, 2006 976,710
........................................................................................................................
1,000,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007
(In default) (NON) 150,000
........................................................................................................................
260,000 TRW, Inc. deb. 7 3/4s, 2029 231,468
------------------------------------------------------------------------------------------------------------------------
15,191,035
------------------------------------------------------------------------------------------------------------------------
Banking (6.1%)
........................................................................................................................
3,005,000 Abbey National Capital Trust I
company guaranty 8.963s, 2049 2,980,359
........................................................................................................................
8,150,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 7,176,483
........................................................................................................................
3,510,000 Bayer Hypo-Vereinsbank 144A bonds
8.741s, 2031 (Denmark) 3,233,903
........................................................................................................................
6,270,000 Citicorp sub. notes 6 3/8s, 2008 5,755,045
........................................................................................................................
4,495,000 First Union Capital II company
guaranty Ser. A, 7.95s, 2029 3,933,080
........................................................................................................................
1,890,000 First Union Institute Capital I bonds
8.04s, 2026 1,648,326
........................................................................................................................
3,300,000 Fleet Boston Corp. sub. notes
7 3/8s, 2009 3,170,376
........................................................................................................................
1,000,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 905,590
........................................................................................................................
250,000 GS Escrow Corp. sr. notes 6 3/4s, 2001 243,517
........................................................................................................................
2,000,000 Merita Bank, Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,888,180
........................................................................................................................
4,075,000 NB Capital Trust IV company guaranty
8 1/4s, 2027 3,709,024
........................................................................................................................
2,105,000 Norwest Corp. med. term sr. notes
Ser. J, 6 3/4s, 2027 1,783,251
........................................................................................................................
1,000,000 Riggs Capital Trust 144A company
guaranty 8 7/8s, 2027 826,230
........................................................................................................................
2,630,000 Royal Bank of Scotland Group PLC bonds
Ser. 2, 8.817s, 2049 (United Kingdom) 2,709,452
........................................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,406,280
........................................................................................................................
2,800,000 Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 2,800,000
........................................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 1,852,671
........................................................................................................................
790,000 Webster Capital Trust I 144A bonds
9.36s, 2027 622,165
------------------------------------------------------------------------------------------------------------------------
52,643,932
------------------------------------------------------------------------------------------------------------------------
Broadcasting (1.0%)
........................................................................................................................
500,000 Allbritton Communications Co.
sr. sub. notes Ser. B, 8 7/8s, 2008 457,500
........................................................................................................................
1,150,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,147,125
........................................................................................................................
7,000,000 News America Holdings, Inc. deb.
7 3/4s, 2045 6,076,770
........................................................................................................................
645,000 News America Holdings, Inc. deb.
7.7s, 2025 587,402
........................................................................................................................
620,000 Spanish Broadcasting System, Inc.
sr. sub notes 9 5/8s, 2009 612,250
------------------------------------------------------------------------------------------------------------------------
8,881,047
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.5%)
........................................................................................................................
1,000,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 960,000
........................................................................................................................
60,000 Century Communications Corp.
sr. notes 8 7/8s, 2007 54,750
........................................................................................................................
500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 462,225
........................................................................................................................
1,000,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 770,000
........................................................................................................................
310,000 NTL, Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 294,500
........................................................................................................................
1,000,000 TeleWest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 940,000
........................................................................................................................
490,000 United Pan-Europe N.V. sr. notes Ser. B,
10 7/8s, 2009 (Netherlands) 431,200
------------------------------------------------------------------------------------------------------------------------
3,912,675
------------------------------------------------------------------------------------------------------------------------
Chemicals (0.5%)
........................................................................................................................
660,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 653,400
........................................................................................................................
3,080,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 3,049,200
........................................................................................................................
750,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 472,500
------------------------------------------------------------------------------------------------------------------------
4,175,100
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.6%)
........................................................................................................................
5,555,000 Newell Rubbermaid Inc. notes 6.35s, 2008 5,295,859
------------------------------------------------------------------------------------------------------------------------
Computers (0.1%)
........................................................................................................................
1,000,000 Unisys Corp. sr. notes 7 7/8s, 2008 930,000
------------------------------------------------------------------------------------------------------------------------
Conglomerates (1.5%)
........................................................................................................................
3,411,000 Allied Corp. notes 6 1/8s, 2005 3,236,596
........................................................................................................................
10,100,000 Tyco International, Ltd. company
guaranty 6 3/8s, 2005 9,634,693
------------------------------------------------------------------------------------------------------------------------
12,871,289
------------------------------------------------------------------------------------------------------------------------
Construction (0.1%)
........................................................................................................................
1,000,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 830,000
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (3.1%)
........................................................................................................................
1,350,000 Associates First Capital Corp. deb.
6.95s, 2018 1,209,762
........................................................................................................................
3,330,000 Associates First Capital Corp. sr. notes
6 1/4s, 2008 2,986,178
........................................................................................................................
2,560,000 Capital One Financial Corp. notes
7 1/4s, 2006 2,358,303
........................................................................................................................
30,000 Contifinancial Corp. sr. notes
8 3/8s, 2003 (In default) (NON) 3,975
........................................................................................................................
290,000 Contifinancial Corp. sr. notes
8 1/8s, 2008 (In default) (NON) 38,425
........................................................................................................................
440,000 Contifinancial Corp. sr. notes
7 1/2s, 2002 (In default) (NON) 48,400
........................................................................................................................
1,900,000 Finova Capital Corp. notes 7 1/4s, 2004 1,653,000
........................................................................................................................
1,250,000 Finova Capital Corp. notes 6 1/4s, 2002 1,093,738
........................................................................................................................
4,040,000 Ford Motor Credit Corp. notes
7 3/8s, 2009 3,907,771
........................................................................................................................
50,000 Ford Motor Credit Corp. notes
6.55s, 2002 49,025
........................................................................................................................
2,485,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 2,161,925
........................................................................................................................
1,515,000 Household Finance Corp. notes
6 1/2s, 2008 1,378,347
........................................................................................................................
10,680,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 9,288,396
------------------------------------------------------------------------------------------------------------------------
26,177,245
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.2%)
........................................................................................................................
1,000,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 940,000
........................................................................................................................
1,000,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 500,000
------------------------------------------------------------------------------------------------------------------------
1,440,000
------------------------------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
........................................................................................................................
1,000,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 1,027,500
------------------------------------------------------------------------------------------------------------------------
Containers (0.2%)
........................................................................................................................
500,000 Ball Corp. company guaranty 8 1/4s, 2008 467,500
........................................................................................................................
$1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 500,000
........................................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 929,440
------------------------------------------------------------------------------------------------------------------------
1,896,940
------------------------------------------------------------------------------------------------------------------------
Distribution (0.3%)
........................................................................................................................
2,940,000 Pepsi Bottling Group, Inc. sr. notes
Ser. B, 7s, 2029 2,655,673
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (3.3%)
........................................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,379,935
........................................................................................................................
2,605,000 CILCORP, Inc. sr. notes 8.7s, 2009 2,632,910
........................................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,397,935
........................................................................................................................
4,100,000 DPL, Inc. 144A sr. notes 8 1/4s, 2007 4,095,080
........................................................................................................................
3,000,000 Monongahela Power 1st mtge.
8 5/8s, 2021 3,153,870
........................................................................................................................
1,295,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 1,262,224
........................................................................................................................
749,669 Northeast Utilities System notes
Ser. A, 8.58s, 2006 753,717
........................................................................................................................
7,750,000 Ohio Power Co. med. term notes
7 3/8s, 2023 7,059,940
........................................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,152,040
------------------------------------------------------------------------------------------------------------------------
27,887,651
------------------------------------------------------------------------------------------------------------------------
Energy (1.0%)
........................................................................................................................
3,040,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 2,535,512
........................................................................................................................
560,000 RBF Finance Co. company guaranty
11s, 2006 599,200
........................................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,191,000
------------------------------------------------------------------------------------------------------------------------
8,325,712
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.2%)
........................................................................................................................
2,355,000 Walt Disney Co. med. term notes
5.62s, 2008 2,096,303
------------------------------------------------------------------------------------------------------------------------
Financial (7.9%)
........................................................................................................................
3,355,000 AFLAC, Inc. sr. notes 6 1/2s, 2009 3,042,448
........................................................................................................................
8,000,000 AMBAC Indemnity Corp. deb.
9 3/8s, 2011 8,750,800
........................................................................................................................
5,145,000 American General Institute 144A
company guaranty 8 1/8s, 2046 4,874,167
........................................................................................................................
4,295,000 Conseco Financing Trust II company
guaranty 8.7s, 2026 1,846,850
........................................................................................................................
375,000 Fremont General Corp. sr. notes
Ser. B, 7.7s, 2004 150,000
........................................................................................................................
3,905,000 Goldman Sachs Group, Inc. (The) notes
Ser. B, 7.35s, 2009 3,751,807
........................................................................................................................
6,030,000 Hartford Life, Inc. deb. 7.65s, 2027 5,701,365
........................................................................................................................
2,970,000 Hartford Life, Inc. notes 7.1s, 2007 2,856,130
........................................................................................................................
5,000,000 Heller Financial, Inc. notes 7 3/8s, 2009 4,717,300
........................................................................................................................
2,785,000 Liberty Mutual Insurance 144A notes
7.697s, 2097 2,034,108
........................................................................................................................
2,620,000 Newcourt Credit Group Inc. company
guaranty Ser. A, 7 1/8s, 2003 2,555,286
........................................................................................................................
2,600,000 Newcourt Credit Group Inc. 6 7/8s, 2005 2,485,548
........................................................................................................................
2,325,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 1,999,500
........................................................................................................................
3,870,000 Principal Financial Group Au 144A
notes 7.95s, 2004 (Australia) 3,851,424
........................................................................................................................
5,930,000 Provident Financing company guaranty
7.405s, 2038 4,405,931
........................................................................................................................
2,070,000 Safeco Capital Trust I company
guaranty 8.072s, 2037 1,759,314
........................................................................................................................
9,875,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 8,614,061
........................................................................................................................
6,005,000 Tig Capital Trust I 144A bonds
8.597s, 2027 4,366,476
------------------------------------------------------------------------------------------------------------------------
67,762,515
------------------------------------------------------------------------------------------------------------------------
Food (0.1%)
........................................................................................................................
480,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 283,200
........................................................................................................................
340,000 Doane Pet Care Corp. sr. sub. notes
9 3/4s, 2007 297,500
........................................................................................................................
180,000 Vlasic Foods Intl., Inc. sr. sub
notes Ser. B, 10 1/4s, 2009 72,000
------------------------------------------------------------------------------------------------------------------------
652,700
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (0.4%)
........................................................................................................................
850,000 International Game Technology 144A
sr. notes 8 3/8s, 2009 803,250
........................................................................................................................
1,050,000 Mohegan Tribal Gaming, Auth. sr. sub. notes
8 3/4s, 2009 1,002,750
........................................................................................................................
440,000 Park Place Entertainment sr. notes
8 1/2s, 2006 432,340
........................................................................................................................
1,500,000 Park Place Entertainment sr. sub. notes
9 3/8s, 2007 1,500,000
------------------------------------------------------------------------------------------------------------------------
3,738,340
------------------------------------------------------------------------------------------------------------------------
Health Care (0.6%)
........................................................................................................................
100,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 88,000
........................................................................................................................
2,280,000 Omega Healthcare Investors, Inc. notes
6.95s, 2002 1,881,000
........................................................................................................................
1,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 1,369,225
........................................................................................................................
1,970,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 1,881,350
------------------------------------------------------------------------------------------------------------------------
5,219,575
------------------------------------------------------------------------------------------------------------------------
Homebuilding (0.2%)
........................................................................................................................
1,305,000 D.R. Horton, Inc. company guaranty
8s, 2009 1,122,300
........................................................................................................................
490,000 Lennar Corp. 144A sr. notes 9.95s, 2010 472,850
------------------------------------------------------------------------------------------------------------------------
1,595,150
------------------------------------------------------------------------------------------------------------------------
Industrial (0.7%)
........................................................................................................................
4,310,000 Ford Motor Co. bonds 6 5/8s, 2028 3,629,236
........................................................................................................................
1,920,000 Ford Motor Co. deb. 7.4s, 2046 1,761,139
........................................................................................................................
645,000 Union Oil Company of California
company guaranty 7 1/2s, 2029 605,320
------------------------------------------------------------------------------------------------------------------------
5,995,695
------------------------------------------------------------------------------------------------------------------------
Investment Banking/brokerage (1.3%)
........................................................................................................................
2,545,000 Bear Stearns Companies, Inc. (The)
sr. unsecd. notes 7 5/8s, 2009 2,422,738
........................................................................................................................
1,195,000 Countrywide Home Loan Corp. company
guaranty 6.935s, 2007 1,107,920
........................................................................................................................
5,540,000 Countrywide Home Loan Corp. company
guaranty med term notes 6 1/4s, 2009 4,833,318
........................................................................................................................
2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,613,104
------------------------------------------------------------------------------------------------------------------------
10,977,080
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.4%)
........................................................................................................................
3,800,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 3,410,500
........................................................................................................................
330,000 ITT Corp. notes 6 3/4s, 2005 297,393
------------------------------------------------------------------------------------------------------------------------
3,707,893
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.1%)
........................................................................................................................
500,000 Flextronics International, Ltd. sr.
sub. notes Ser. B, 8 3/4s, 2007 480,000
------------------------------------------------------------------------------------------------------------------------
Media (0.2%)
........................................................................................................................
1,775,000 TCI Communications, Inc. deb. 8 3/4s, 2015 1,897,937
------------------------------------------------------------------------------------------------------------------------
Medical Services (--%)
........................................................................................................................
260,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 5,200
........................................................................................................................
640,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 32,000
........................................................................................................................
340,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 8,500
------------------------------------------------------------------------------------------------------------------------
45,700
------------------------------------------------------------------------------------------------------------------------
Metals (0.3%)
........................................................................................................................
2,730,000 AK Steel Corp. company guaranty
7 7/8s, 2009 2,422,875
........................................................................................................................
180,000 WHX Corp. sr. notes 10 1/2s, 2005 149,400
------------------------------------------------------------------------------------------------------------------------
2,572,275
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (2.0%)
........................................................................................................................
3,700,000 Amerada Hess Corp. bonds 7 7/8s, 2029 3,617,897
........................................................................................................................
500,000 Gulf Canada Resources, Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 506,250
........................................................................................................................
1,213,000 Imperial Oil Ltd. deb. 8 3/4s,
2019 (Canada) 1,259,870
........................................................................................................................
5,000,000 KN Capital Trust III company guaranty
7.63s, 2028 4,380,000
........................................................................................................................
2,395,000 Maritime & NE Pipeline 144A sec. notes
7.7s, 2019 (Canada) 2,212,980
........................................................................................................................
200,000 Parker and Parsley Inc. sr. notes
8 1/4s, 2007 187,056
........................................................................................................................
2,790,000 Phillips Petroleum Co. notes 8 3/4s, 2010 2,939,042
........................................................................................................................
180,000 Pioneer Natural Resources company
guaranty 9 5/8s, 2010 185,400
........................................................................................................................
1,000,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 990,000
........................................................................................................................
1,080,000 Union Pacific Resources Group, Inc.
notes 7.3s, 2009 1,037,696
------------------------------------------------------------------------------------------------------------------------
17,316,191
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (1.0%)
........................................................................................................................
4,665,000 Abitibi-Consolidated Inc. deb.
8 1/2s, 2029 4,356,783
........................................................................................................................
710,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 677,624
........................................................................................................................
2,600,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 2,342,730
........................................................................................................................
1,110,000 Norampac, Inc. sr. notes 9 1/2s,
2008 (Canada) 1,071,150
........................................................................................................................
180,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 179,100
........................................................................................................................
10,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 9,500
------------------------------------------------------------------------------------------------------------------------
8,636,887
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (0.2%)
........................................................................................................................
1,000,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 985,000
........................................................................................................................
420,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 411,600
------------------------------------------------------------------------------------------------------------------------
1,396,600
------------------------------------------------------------------------------------------------------------------------
Power Producers (0.1%)
........................................................................................................................
510,000 Calpine Corp. sr. notes 7 3/4s, 2009 481,313
........................................................................................................................
347,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 347,000
------------------------------------------------------------------------------------------------------------------------
828,313
------------------------------------------------------------------------------------------------------------------------
Railroads (0.5%)
........................................................................................................................
1,015,000 CSX Corp. deb. 7.95s, 2027 955,054
........................................................................................................................
3,465,000 Norfolk Southern Corp. sr. notes
6.2s, 2009 3,083,573
------------------------------------------------------------------------------------------------------------------------
4,038,627
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.6%)
........................................................................................................................
3,000,000 Avalon Properties, Inc. notes 6 7/8s,
2007 (R) 2,786,220
........................................................................................................................
3,025,000 EOP Operating L.P. notes 6.8s, 2009 2,752,387
------------------------------------------------------------------------------------------------------------------------
5,538,607
------------------------------------------------------------------------------------------------------------------------
Retail (1.3%)
........................................................................................................................
1,980,000 Federated Department Stores, Inc.
notes 6.3s, 2009 1,739,826
........................................................................................................................
600,000 K mart Corp. med. term notes 7.76s, 2002 577,806
........................................................................................................................
400,000 K mart Corp. med. term notes 7.74s, 2002 385,356
........................................................................................................................
1,110,000 K mart Corp. notes 8 3/8s, 2004 1,053,113
........................................................................................................................
2,650,000 Saks, Inc. company guaranty 8 1/4s, 2008 2,353,810
........................................................................................................................
1,480,000 Sears Roebuck Acceptance Corp. notes
6 7/8s, 2017 1,265,326
........................................................................................................................
2,710,000 Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 2,130,738
........................................................................................................................
1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,237,500
------------------------------------------------------------------------------------------------------------------------
10,743,475
------------------------------------------------------------------------------------------------------------------------
Semiconductor (0.1%)
........................................................................................................................
940,000 Amkor Technologies, Inc. sr. notes
9 1/4s, 2006 921,200
------------------------------------------------------------------------------------------------------------------------
Software (--%)
........................................................................................................................
120,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 6,000
------------------------------------------------------------------------------------------------------------------------
Technology (0.5%)
........................................................................................................................
1,440,000 Fairchild Semiconductor Corp.
sr. sub. notes 10 1/8s, 2007 1,450,800
........................................................................................................................
2,965,000 IBM Corp. deb. 7 1/8s, 2096 2,791,844
------------------------------------------------------------------------------------------------------------------------
4,242,644
------------------------------------------------------------------------------------------------------------------------
Technology Services (--%)
........................................................................................................................
220,000 PSINet, Inc. sr. notes 11s, 2009 204,600
------------------------------------------------------------------------------------------------------------------------
Telecommunications (2.8%)
........................................................................................................................
600,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 243,000
........................................................................................................................
460,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 404,800
........................................................................................................................
1,490,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 1,452,750
........................................................................................................................
1,550,000 Global Crossing Holdings, Ltd. company
guaranty 9 1/2s, 2009 (Bermuda) 1,495,750
........................................................................................................................
1,710,000 ICG Services, Inc. sr. disc. notes stepped-
coupon zero % (9 7/8s, 5/1/03), 2008 (STP) 889,200
........................................................................................................................
570,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 615,600
........................................................................................................................
1,820,000 NEXTEL Communications, Inc. sr. notes
9 3/8s, 2009 1,747,200
........................................................................................................................
2,140,000 Price Communications Wireless company
guaranty 9 1/8s, 2006 2,140,000
........................................................................................................................
2,000,000 Sprint Capital Corp. company guaranty
6.9s, 2019 1,778,320
........................................................................................................................
7,345,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 6,547,113
........................................................................................................................
1,935,000 U S West, Inc. notes 5 5/8s, 2008 1,671,821
........................................................................................................................
4,980,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 4,665,513
........................................................................................................................
560,000 Williams Communications Group, Inc.
sr. notes 10 7/8s, 2009 548,800
------------------------------------------------------------------------------------------------------------------------
24,199,867
------------------------------------------------------------------------------------------------------------------------
Telephone (0.1%)
........................................................................................................................
140,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 135,800
........................................................................................................................
440,000 VoiceStream Wire, Inc. sr. notes
10 3/8s, 2009 453,200
------------------------------------------------------------------------------------------------------------------------
589,000
------------------------------------------------------------------------------------------------------------------------
Textiles (0.1%)
........................................................................................................................
500,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 475,000
------------------------------------------------------------------------------------------------------------------------
Tobacco (1.0%)
........................................................................................................................
5,000,000 Imperial Tobacco Global company
guaranty 7 1/8s, 2009 (Netherlands) 4,433,200
........................................................................................................................
2,705,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 2,640,648
........................................................................................................................
1,750,000 Philip Morris Cos., Inc. notes 7 1/8s, 2004 1,672,545
------------------------------------------------------------------------------------------------------------------------
8,746,393
------------------------------------------------------------------------------------------------------------------------
Transportation (0.9%)
........................................................................................................................
4,108,000 Federal Express Corp. pass-through
certificates Ser. 1998-1A, 6.72s, 2022 3,735,527
........................................................................................................................
3,875,000 Hertz Corp. sr. notes 6 1/2s, 2006 3,638,780
------------------------------------------------------------------------------------------------------------------------
7,374,307
------------------------------------------------------------------------------------------------------------------------
Waste Management (0.1%)
........................................................................................................................
930,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 799,800
........................................................................................................................
280,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 243,600
........................................................................................................................
190,000 Waste Management, Inc. company
guaranty 6 7/8s, 2009 166,467
------------------------------------------------------------------------------------------------------------------------
1,209,867
------------------------------------------------------------------------------------------------------------------------
Water Utilities (0.3%)
........................................................................................................................
2,460,000 Azurix Corp. 144A notes 10 3/8s, 2007 2,373,900
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $466,750,296) $425,740,223
------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (25.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
U.S. Government Agency Mortgage Obligations (21.2%)
........................................................................................................................
$12,395,924 Federal Home Loan Mortgage
Corporation 7 1/2s, with due dates
from October 1, 2029 to
December 1, 2029 $12,231,926
........................................................................................................................
2,025,000 Federal National Mortgage Association
7 1/2s, TBA, June 1, 2030 1,996,205
........................................................................................................................
Federal National Mortgage Corporation
Pass-Through Certificates
........................................................................................................................
1,316,006 8s, with due dates from
September 1, 2029 to
November 1, 2029 1,321,888
........................................................................................................................
51,020,965 7 1/2s, with due dates from
November 1, 2029 to June 1, 2030 50,303,096
........................................................................................................................
30,532,016 7s, with due dates from
December 1, 2029 to June 1, 2030 29,479,274
........................................................................................................................
2,550,000 6 7/8s, January 15, 2005 2,534,063
........................................................................................................................
65,000 6 5/8s, September 15, 2009 62,796
........................................................................................................................
20,870,000 6 1/2s, August 15, 2004 20,468,879
........................................................................................................................
9,619,000 5 1/8s, February 13, 2004 9,028,297
........................................................................................................................
117,398 5 1/2s, August 15, 2014 108,719
........................................................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................................................
3,733,059 8 1/2s, with due dates from
October15, 2017 to
November 15, 2017 3,836,003
........................................................................................................................
36,478,155 8s, with due dates from
January 15,2022 to
December 15, 2027 36,892,015
........................................................................................................................
6,325,842 7s, with due dates from
March 15,2023 to
September 15, 2028 6,161,685
........................................................................................................................
7,953,949 6 1/2s, September 15, 2024 7,550,127
------------------------------------------------------------------------------------------------------------------------
181,974,973
------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (3.8%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
7,165,000 6 1/2s, November 15, 2026 7,484,057
........................................................................................................................
3,580,000 6 1/4s, May 15, 2030 3,756,208
........................................................................................................................
3,025,000 6 1/8s, August 15, 2029 3,055,250
........................................................................................................................
11,870,000 6 1/8s, November 15, 2027 (SEG) 11,844,005
........................................................................................................................
U.S. Treasury Notes
........................................................................................................................
3,480,000 6 1/2s, February 15, 2010 3,599,086
........................................................................................................................
2,025,000 6 3/8s, January 31, 2002 2,021,841
........................................................................................................................
5,413,000 U.S. Treasury Strip Interest Only (IO)
zero %, May 15, 2026 1,152,644
------------------------------------------------------------------------------------------------------------------------
32,913,091
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $215,533,618) $214,888,064
------------------------------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (11.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
Commercial Mortgage Asset Trust
........................................................................................................................
$10,945,000 Ser. 99-C1, Class A3, 6.64s, 2010 $10,329,771
........................................................................................................................
42,021,101 Ser. 99-C1, Class X, IO, 0.9125s, 2020 2,609,904
........................................................................................................................
1,520,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 1,343,538
........................................................................................................................
1,396,000 CS First Boston Mortgage Securities
Corp. 8.18s, 2009 1,361,536
........................................................................................................................
3,201,343 DLJ Commercial Mortgage Corp.
Ser. 98-CG1, Class A1A, 6.11s, 2007 3,058,283
........................................................................................................................
Fannie Mae
........................................................................................................................
820,115 Ser. 176, Class 2, IO, 8s, 2022 236,167
........................................................................................................................
6,612,187 Ser. 203, Class 2, IO, 8s, 2023 1,991,921
........................................................................................................................
2,282,855 Ser. 217, Class 2, IO, 8s, 2023 657,391
........................................................................................................................
4,997,403 Ser. 218, Class 2, IO, 7.5s, 2023 1,528,893
........................................................................................................................
2,755,140 Ser. 237, Class 2, IO, 8s, 2023 831,708
........................................................................................................................
7,474,355 Ser. 251, Class 2,IO, 8s, 2023 2,251,649
........................................................................................................................
4,291,015 Ser. 276, Class 2, IO, 6.5s, 2024 1,285,963
........................................................................................................................
4,034,695 Ser. 304, Class 2, IO, 6s, 2028 1,166,279
........................................................................................................................
11,103,712 Ser. 252, Class 2, IO, 7.5s, 2023 3,449,091
........................................................................................................................
7,479,613 Ser. 97-91, Class FB, IO, 4.79s, 2023 1,594,092
........................................................................................................................
3,350,609 Ser. 97-91, Class SL, IO, 2.71s, 2023 289,514
........................................................................................................................
4,614,526 Ser. 98-66, Class SB, IO, 1.499s, 2028 211,259
........................................................................................................................
Freddie Mac
........................................................................................................................
9,902,127 Ser. 90, Class SA, IO, 2.148s, 2028 505,937
........................................................................................................................
9,982,072 Ser. 90, Class SB, IO, 2.148s, 2028 510,022
........................................................................................................................
10,063,470 Ser. 90, Class SC, IO, 2.148s, 2028 514,180
........................................................................................................................
9,031,063 Ser. 90, Class SD, IO, 2.148s, 2028 461,431
........................................................................................................................
4,283,416 Ser. 147, Class IO, 8s, 2023 1,279,671
........................................................................................................................
2,400,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,232,000
........................................................................................................................
General Growth Properties-Homart
........................................................................................................................
605,000 Ser. 99-C1, Class F, 7.839s, 2003 606,371
........................................................................................................................
530,000 Ser. 99-C1, Class G, 8.089s, 2003 531,201
........................................................................................................................
2,683,000 General Growth Properties-Ivanhoe
Ser. 99-C1, Class F, FRB, 9.13s, 2004 2,687,821
........................................................................................................................
15,236,000 GMAC Commercial Mortgage Securities
Inc. Ser. 99-C1, Class A2, 6.175s, 2033 14,002,836
........................................................................................................................
Government National
Mortgage Association
........................................................................................................................
4,391,716 Ser. 00-17, Class SB, 9s, 2026 4,244,988
........................................................................................................................
5,878,677 Ser. 98-2, PO, Class EA, 2028 3,984,641
........................................................................................................................
1,020,892 Ser. 99-30, Class SG, 9.5s, 2025 933,478
........................................................................................................................
7,784,440 Ser. 99-46, IO, Class SQ, 1.8s, 2027 369,761
........................................................................................................................
1,385,000 LB Commercial Conduit Mortgage Trust
Ser. 99-C2, Class B, 7.425s, 2009 1,361,592
........................................................................................................................
Merrill Lynch Mortgage Investors, Inc.
........................................................................................................................
1,395,000 Ser. 96-C2, 6.96s, 2028 1,196,213
........................................................................................................................
1,835,298 Ser. 98-C2, Class A1, 6.22s, 2030 1,771,923
........................................................................................................................
22,202,858 Ser. 98-C2, Class IO, 1.076s, 2030 1,540,323
........................................................................................................................
Morgan Stanley Capital I
........................................................................................................................
787,507 Ser. 98-HF1, Class A1, 6.19s, 2007 759,668
........................................................................................................................
10,000,000 Ser. WF2, Class B, 6.63s, 2008 9,423,438
........................................................................................................................
685,000 Morgan Stanley Dean Witter Capital 1
Ser. 00, Class B, 7.7807s, 2010 684,893
........................................................................................................................
1,914,253 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A1, 6.417s, 2007 1,849,422
........................................................................................................................
6,880,000 PNC Mortgage Acceptance Corp.
Ser. 00-C1, Class A2, 7.61s, 2010 6,889,944
........................................................................................................................
2,575,000 Residential Asset Securitization
Trust Ser. 98-A12, Class A14, 8s, 2028 2,588,680
........................................................................................................................
2,765,000 Salomon Brothers Mortgage Securities
Ser. 00-C1, Class A2, 7.52s, 2008 2,754,217
........................................................................................................................
4,376,374 TIAA Retail Commercial Mortgage Trust
Ser. 99-1, Class A, 7.17s, 2032 4,309,361
------------------------------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $102,455,958) $102,190,971
------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (6.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,327,000 Advanta Mortgage Loan Trust
Ser. 00-1, Class A4, 8.61s, 2028 $1,358,012
........................................................................................................................
25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A,
6.8s, 2003 24,914,000
........................................................................................................................
15,900,000 First USA Credit Card Master Trust
Ser. 98-5, Class A, 6.561s, 2006 15,904,929
........................................................................................................................
2,542,000 Ford Credit Auto Owner Trust
Ser. 00-C, Class A3, 7.13s, 2002 2,541,206
........................................................................................................................
2,660,319 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 2,643,692
........................................................................................................................
2,780,000 Mach One CDO, Ltd. Ser. 00-1, Class
A, 6.7s, 2030 2,579,319
........................................................................................................................
5,670,991 Structured Asset Security Corp.
Ser. 99-RF1, IO, Class A, 7.876s, 2028 5,661,248
------------------------------------------------------------------------------------------------------------------------
55,602,406
------------------------------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $55,137,102) $55,602,406
------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.7%) (a)
(cost $6,408,396)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$6,675,000 Quebec (Province of) sr. unsub. 5 3/4s,
2009 (Canada) $5,977,129
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.7%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
2,240 Centaur Funding Corp 144a 9.08% pfd.
(Cayman Islands) $2,307,178
........................................................................................................................
1,000 Fresenius Medical Capital Trust II
company guaranty, 7.875% (Germany) 895,000
........................................................................................................................
3,170 Webster Pref Cap Corp. Ser. A, $7.375
cum. pfd. (7.375%) 3,122,437
------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $6,408,396) $6,324,615
------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.4%) (a) (cost $3,572,242)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Rating (RAT) Value
........................................................................................................................
$3,575,000 Mashantucket Pequot Tribe
144a bonds 6.57s, 9/01/2015 Aaa $3,110,608
------------------------------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
------------------------------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................................................
140 Birch Telecommunications,
Inc. 144a 6/15/08 $7,700
........................................................................................................................
120 Telehub Communications Corp. 7/31/05 60
------------------------------------------------------------------------------------------------------------------------
Total Warrants
(cost $6,700) $7,760
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.3%) (a) (cost $37,109,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$37,109,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity value
of $37,129,101 for an effective
yield of 6.50% $37,109,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $893,502,282) (b) $850,950,776
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
U.S. Treasury
10yr (Short) $17,628,703 $17,078,533 Sep-00 $(550,170)
.............................................................................
U.S. Treasury
5yr (Short) 60,795,594 59,497,332 Sep-00 (1,298,262)
.............................................................................
U.S. Treasury Bond
(Long) 6,035,313 5,820,664 Sep-00 214,649
-----------------------------------------------------------------------------
$(1,633,783)
-----------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT International Growth Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (95.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Australia (1.3%)
........................................................................................................................
153,400 CSR, Ltd. $427,137
........................................................................................................................
188,749 News Corp., Ltd. ADR 10,286,821
------------------------------------------------------------------------------------------------------------------------
10,713,958
------------------------------------------------------------------------------------------------------------------------
Brazil (0.2%)
........................................................................................................................
89,400 Telesp-Telecomunicacoes de Sao Paulo
S.A. ADR 1,653,900
------------------------------------------------------------------------------------------------------------------------
Canada (4.3%)
........................................................................................................................
171,267 Bank of Nova Scotia 4,197,267
........................................................................................................................
205,000 BCE, Inc. 4,881,563
........................................................................................................................
48,158 BCE, Inc. 1,141,200
........................................................................................................................
243,180 Nortel Networks Corp. 16,861,049
........................................................................................................................
60,200 Seagram Co., Ltd. 3,491,600
........................................................................................................................
243,000 Sun Life Financial Services of
Canada, Inc. (NON) 4,093,201
........................................................................................................................
63,600 Suncor Energy, Inc. (NON) 1,468,485
------------------------------------------------------------------------------------------------------------------------
36,134,365
------------------------------------------------------------------------------------------------------------------------
Finland (3.3%)
........................................................................................................................
465,988 Nokia Oyj AB Class A 23,870,925
........................................................................................................................
45,789 Sonera Group OYJ 2,095,469
........................................................................................................................
185,201 Stora Enso Oyj Class R 1,695,093
........................................................................................................................
21,000 Stora Enso Oyj Class A 193,213
------------------------------------------------------------------------------------------------------------------------
27,854,700
------------------------------------------------------------------------------------------------------------------------
France (13.8%)
........................................................................................................................
181,955 Aventis S.A. 13,331,785
........................................................................................................................
82,162 Axa S.A. 12,992,770
........................................................................................................................
15,990 Bouygues S.A. 10,727,371
........................................................................................................................
52,568 France Telecom S.A. 7,375,803
........................................................................................................................
34,355 Groupe Danone 4,576,691
........................................................................................................................
228,580 Havas Advertising S.A. 5,246,752
........................................................................................................................
64,618 Lafarge Coppee 5,041,093
........................................................................................................................
6,943 Publicis S.A. 2,734,864
........................................................................................................................
225,058 Sanofi-Synthelabo SA 10,763,210
........................................................................................................................
101,130 Television Francaise I 7,075,378
........................................................................................................................
239,706 Total S.A. Class B 36,895,317
------------------------------------------------------------------------------------------------------------------------
116,761,034
------------------------------------------------------------------------------------------------------------------------
Germany (2.6%)
........................................................................................................................
13,722 Allianz AG 4,997,443
........................................................................................................................
269,131 Bayerische Motoren Werke (BMW) AG 8,150,751
........................................................................................................................
140,026 Deutsche Lufthansa AG 3,287,923
........................................................................................................................
41,117 ProSieben Media AG 5,162,256
------------------------------------------------------------------------------------------------------------------------
21,598,373
------------------------------------------------------------------------------------------------------------------------
Hong Kong (3.0%)
........................................................................................................................
859,000 Cheung Kong Infrastructure Holdings (NON) 9,504,894
........................................................................................................................
1,767,000 China Telecom, Ltd. (NON) 15,584,909
........................................................................................................................
128,000 Hong Kong and China Gas Co., Ltd. 143,686
........................................................................................................................
74,000 Hong Kong Electric Holdings, Ltd. 238,287
------------------------------------------------------------------------------------------------------------------------
25,471,776
------------------------------------------------------------------------------------------------------------------------
Ireland (1.9%)
........................................................................................................................
410,889 CRH PLC 7,442,745
........................................................................................................................
114,399 Elan Corp. PLC (NON) 5,355,914
........................................................................................................................
70,300 Elan Corp. PLC ADR (NON) 3,405,156
------------------------------------------------------------------------------------------------------------------------
16,203,815
------------------------------------------------------------------------------------------------------------------------
Italy (2.3%)
........................................................................................................................
6,000 Alleanza Assicurazioni 80,218
........................................................................................................................
485,700 Banca Intesa SpA 2,183,171
........................................................................................................................
179,400 Bulgari SpA 2,407,117
........................................................................................................................
1,610,400 ENI SpA 9,337,615
........................................................................................................................
364,141 Mediaset SpA 5,583,884
------------------------------------------------------------------------------------------------------------------------
19,592,005
------------------------------------------------------------------------------------------------------------------------
Japan (14.0%)
........................................................................................................................
21,600 Asatsu, Inc. 888,259
........................................................................................................................
130,000 Eisai Co., Ltd. 4,178,484
........................................................................................................................
30,400 Fujisawa Pharmaceutical Co., Ltd. 1,232,898
........................................................................................................................
497,000 Fujitsu Ltd. (NON) 17,243,241
........................................................................................................................
76 KDD Corp. 7,688
........................................................................................................................
51,600 Kyocera Corp. (NON) 8,775,610
........................................................................................................................
900 Mitsumi Electric Company, Ltd. 33,182
........................................................................................................................
566,624 NEC Corp. (NON) 17,837,568
........................................................................................................................
1,367,000 Nikko Securities Co., Ltd. 13,569,200
........................................................................................................................
21,600 Nintendo Co., Ltd. 3,781,736
........................................................................................................................
1,611 Nippon Telegraph and Telephone Corp. 21,473,908
........................................................................................................................
11,000 Nippon Television Network Corp. 7,175,269
........................................................................................................................
99,000 Nomura Securities Co., Ltd. 2,428,673
........................................................................................................................
2,700 Rohm Company, Ltd. 791,265
........................................................................................................................
200 Sharp Corp. 3,545
........................................................................................................................
298,000 Shiseido Co., Ltd. (NON) 4,620,155
........................................................................................................................
61,600 Sony Corp. 5,765,173
........................................................................................................................
291,200 Sumitomo Corp. 3,284,190
........................................................................................................................
413,000 Toshiba Corp. 4,673,483
........................................................................................................................
4,000 Toyko Broadcasting System, Inc. 173,190
------------------------------------------------------------------------------------------------------------------------
117,936,717
------------------------------------------------------------------------------------------------------------------------
Mexico (1.5%)
........................................................................................................................
876,860 Carso Global Telecom (NON) 2,504,550
........................................................................................................................
32,291 Grupo Televisa S.A. GDR (NON) 2,226,061
........................................................................................................................
141,766 Telefonos de Mexico S.A. Class L ADR 8,098,383
------------------------------------------------------------------------------------------------------------------------
12,828,994
------------------------------------------------------------------------------------------------------------------------
Netherlands (8.5%)
........................................................................................................................
168,543 Akzo-Nobel N.V. (NON) 7,188,157
........................................................................................................................
85,181 Gucci Group N.V. 8,070,900
........................................................................................................................
314,061 ING Groep N.V. 21,310,521
........................................................................................................................
158,020 Koninklijke Ahold NV 4,669,092
........................................................................................................................
519,003 Philips Electronics N.V. 24,572,176
........................................................................................................................
212,051 Wolters Kluwer NV 5,670,108
------------------------------------------------------------------------------------------------------------------------
71,480,954
------------------------------------------------------------------------------------------------------------------------
Singapore (0.8%)
........................................................................................................................
291,366 DBS Group Holdings Ltd. 3,742,161
........................................................................................................................
320,345 Oversea-Chinese Banking Corp. 2,205,441
........................................................................................................................
13,000 Singapore Press Holdings, Ltd. 203,066
........................................................................................................................
22,000 Venture Manufacturing, Ltd. 224,009
------------------------------------------------------------------------------------------------------------------------
6,374,677
------------------------------------------------------------------------------------------------------------------------
South Korea (3.2%)
........................................................................................................................
75,850 Korea Electric Power Corp. 2,353,942
........................................................................................................................
101,162 Korea Telecom Corp. 4,893,712
........................................................................................................................
71,400 Pohang Iron & Steel Company, Ltd. ADR 1,713,600
........................................................................................................................
54,274 Samsung Electronics Co. 17,963,141
------------------------------------------------------------------------------------------------------------------------
26,924,395
------------------------------------------------------------------------------------------------------------------------
Spain (2.0%)
........................................................................................................................
162,230 Banco Bilbao Vizcaya Argentina, S.A. (NON) 2,433,281
........................................................................................................................
199,140 Iberdrola S.A. 2,576,553
........................................................................................................................
547,327 Telefonica S.A. (NON) 11,802,559
------------------------------------------------------------------------------------------------------------------------
16,812,393
------------------------------------------------------------------------------------------------------------------------
Sweden (3.5%)
........................................................................................................................
145,175 Enea Data AB 993,669
........................................................................................................................
681,205 Investor AB 9,364,043
........................................................................................................................
32,498 NetCom AB (NON) 2,413,438
........................................................................................................................
116,493 Sandvik AB Class B (NON) 2,458,499
........................................................................................................................
57,877 SKF AB 924,342
........................................................................................................................
180,460 Svenska Handelsbanken AB 2,635,054
........................................................................................................................
557,617 Telefonaktiebolaget LM Ericsson Class B 11,100,179
------------------------------------------------------------------------------------------------------------------------
29,889,224
------------------------------------------------------------------------------------------------------------------------
Switzerland (7.7%)
........................................................................................................................
21,050 ABB, Ltd. 2,528,305
........................................................................................................................
6,360 ABB, Ltd. ADR 741,492
........................................................................................................................
12,173 Ares-Serono Group Class B 10,184,104
........................................................................................................................
5,087 Cie Finance Richemont 13,753,300
........................................................................................................................
10,496 Clariant AG 3,912,756
........................................................................................................................
1,845 Julius Baer Holdings AG 7,320,528
........................................................................................................................
4,317 Nestle SA 8,670,648
........................................................................................................................
10,235 Swatch Group AG (The) 2,679,006
........................................................................................................................
4,752 Swatch Group AG (The) Class B 6,062,776
........................................................................................................................
4,379 Swiss Re 8,956,801
------------------------------------------------------------------------------------------------------------------------
64,809,716
------------------------------------------------------------------------------------------------------------------------
Taiwan (1.2%)
........................................................................................................................
404,000 Hon Hai Precision Industry 3,652,423
........................................................................................................................
23,500 Hon Hai Precision Industry GDR 584,563
........................................................................................................................
1,240,680 Taiwan Semiconductor Manufacturing
Company, Ltd. (NON) 5,890,708
------------------------------------------------------------------------------------------------------------------------
10,127,694
------------------------------------------------------------------------------------------------------------------------
United Kingdom (18.6%)
........................................................................................................................
85,300 AstraZeneca Group PLC 3,982,783
........................................................................................................................
1,226,111 Aegis Group PLC 3,609,373
........................................................................................................................
107,600 ARM Holdings PLC (NON) 1,152,996
........................................................................................................................
421,847 BOC Group PLC 6,065,501
........................................................................................................................
1,594,169 British Petroleum Co. PLC 15,296,992
........................................................................................................................
272,019 Cable & Wireless PLC 4,606,936
........................................................................................................................
672,003 Carlton Communications PLC 8,645,151
........................................................................................................................
384,824 Diageo PLC 3,453,817
........................................................................................................................
173,500 EMAP PLC 2,791,356
........................................................................................................................
537,180 EMI Group PLC 4,878,132
........................................................................................................................
1,326,578 Granada Group PLC 13,251,320
........................................................................................................................
723,418 Invensys PLC 2,715,335
........................................................................................................................
330,700 Misys PLC 2,792,871
........................................................................................................................
329,500 Royal Bank of Scotland Group PLC 5,515,603
........................................................................................................................
702,577 Scottish Power PLC 5,954,762
........................................................................................................................
3,123,726 Shell Transportation & Trading (NON) 26,073,593
........................................................................................................................
131,914 Smiths Industries PLC 1,717,006
........................................................................................................................
1,735,953 Tesco PLC (NON) 5,399,235
........................................................................................................................
7,768,481 Vodafone Airtouch PLC 31,392,781
........................................................................................................................
263,100 Williams PLC 1,533,077
........................................................................................................................
422,734 WPP Group PLC 6,174,146
------------------------------------------------------------------------------------------------------------------------
157,002,766
------------------------------------------------------------------------------------------------------------------------
United States (1.8%)
........................................................................................................................
275,874 Pharmacia Corp. 14,259,237
........................................................................................................................
49,800 Snyder Communications, Inc. 1,182,750
------------------------------------------------------------------------------------------------------------------------
15,441,987
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $684,644,669) $805,613,443
------------------------------------------------------------------------------------------------------------------------
UNITS (0.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Number Of Units Value
........................................................................................................................
1,860 Nippon Television Networks
Call Warrants (issued by Lehman Brothers
Finance S.A.) expiration 8/4/00 (Japan) (NON) $2,426,017
........................................................................................................................
35,000 Tokyo Broadcasting System, Inc. Call
Warrants (issued by Lehman Brothers
Finance S.A.) expiration 11/17/00
(Japan) (NON) 1,514,100
........................................................................................................................
51,900 Tokyo Broadcasting System, Inc.
Structured Notes (issued by UBS, AG)
3.15s, 2000 (Japan) 2,309,571
------------------------------------------------------------------------------------------------------------------------
Total Units
(cost $4,554,592) $6,249,688
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.5%) (a) (cost $37,916,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$37,916,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $37,936,538 for an effective
yield of 6.50%. $37,916,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $727,115,261) (b) $849,779,131
------------------------------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than
10% at June 30, 2000 (as a percentage of net assets):
Technology 19.5%
Communication Services 14.2
Financial 12.3
Consumer Staples 11.8
Energy 10.5
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Forward Currency Contracts to Buy at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
.............................................................................
Euro Dollars $45,034,123 $45,478,659 10/18/00 $(444,536)
-----------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 2000 (Unaudited)
(aggregate face value $19,084,413)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
Canadian Dollar $7,629,556 $7,637,733 10/18/00 $8,177
.............................................................................
Hong Kong Dollar 11,454,616 11,446,680 10/18/00 (7,936)
-----------------------------------------------------------------------------
$241
-----------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT International Growth and Income Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (98.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Aerospace/Defense (0.9%)
........................................................................................................................
482,808 Bae Systems PLC (United Kingdom) $3,010,607
........................................................................................................................
270,100 Rolls-Royce PLC (United Kingdom) 958,627
------------------------------------------------------------------------------------------------------------------------
3,969,234
------------------------------------------------------------------------------------------------------------------------
Airlines (0.6%)
........................................................................................................................
118,425 Deutsche Lufthansa AG (Germany) 2,780,714
------------------------------------------------------------------------------------------------------------------------
Automotive (4.3%)
........................................................................................................................
262,000 Honda Motor Co., Ltd. (Japan) 8,941,388
........................................................................................................................
287,900 Hyundai Motor Co., Ltd. (South Korea) 3,692,681
........................................................................................................................
129,202 Valeo SA (France) 6,934,323
------------------------------------------------------------------------------------------------------------------------
19,568,392
------------------------------------------------------------------------------------------------------------------------
Banking (8.5%)
........................................................................................................................
302,841 Australia & New Zealand Banking
Group, Ltd. (Australia) 2,328,024
........................................................................................................................
286,463 Bank of Nova Scotia (Canada) 7,020,394
........................................................................................................................
129,105 Barclays PLC (United Kingdom) 3,210,429
........................................................................................................................
55,333 BNP Paribas (France) 5,345,540
........................................................................................................................
164,380 DBS Group Holdings, Ltd. (Singapore) 2,111,216
........................................................................................................................
246,676 National Bank of Canada (Canada) 3,680,489
........................................................................................................................
350,950 Overseas-Chinese Banking
Corp, Ltd. (Singapore) 2,416,144
........................................................................................................................
215,900 Royal Bank of Scotland Group PLC
(United Kingdom) 3,614,017
........................................................................................................................
346,419 San Paolo SpA (Italy) 6,172,028
........................................................................................................................
14,836 UBS AG (Switzerland) 2,181,228
------------------------------------------------------------------------------------------------------------------------
38,079,509
------------------------------------------------------------------------------------------------------------------------
Beverage (4.1%)
........................................................................................................................
467,269 Bass PLC (United Kingdom) 5,254,582
........................................................................................................................
1,063,941 Diageo PLC (United Kingdom) 9,548,929
........................................................................................................................
846,925 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) 3,615,659
------------------------------------------------------------------------------------------------------------------------
18,419,170
------------------------------------------------------------------------------------------------------------------------
Building Materials (0.5%)
........................................................................................................................
206,000 Asahi Glass Co., Ltd. (Japan) 2,307,714
------------------------------------------------------------------------------------------------------------------------
Chemicals (6.4%)
........................................................................................................................
232,159 Akzo-Nobel NV (Netherlands) 9,901,303
........................................................................................................................
357,371 BOC Group PLC (United Kingdom) 5,138,370
........................................................................................................................
4,510 Clariant AG (Switzerland) 1,681,262
........................................................................................................................
7,300 Clariant AG 144A (Switzerland) 2,721,334
........................................................................................................................
53,817 Henkel KGaA (Germany) 2,708,372
........................................................................................................................
198,700 Rhodia S.A. (France) 3,351,640
........................................................................................................................
643,000 Teijin, Ltd. (Japan) 3,142,664
------------------------------------------------------------------------------------------------------------------------
28,644,945
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.3%)
........................................................................................................................
55,700 Hagemeyer N.V. (Netherlands) 1,541,698
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (1.0%)
........................................................................................................................
69,700 Alcatel (France) 4,589,193
------------------------------------------------------------------------------------------------------------------------
Computers (3.3%)
........................................................................................................................
181,000 Fujitsu Ltd. (Japan) 6,279,732
........................................................................................................................
148,000 NEC Corp. (Japan) 4,659,104
........................................................................................................................
351,000 Toshiba Corp. (Japan) 3,971,895
------------------------------------------------------------------------------------------------------------------------
14,910,731
------------------------------------------------------------------------------------------------------------------------
Conglomerates (3.4%)
........................................................................................................................
160,076 Canadian Pacific, Ltd. (Canada) 4,149,958
........................................................................................................................
1,106,513 Cookson Group PLC (United Kingdom) 3,692,730
........................................................................................................................
144,000 Investor AB (Sweden) 1,979,466
........................................................................................................................
210,800 Smiths Industries PLC (United Kingdom) 2,743,794
........................................................................................................................
798,350 Tomkins PLC (United Kingdom) 2,594,830
------------------------------------------------------------------------------------------------------------------------
15,160,778
------------------------------------------------------------------------------------------------------------------------
Construction (0.7%)
........................................................................................................................
154,642 CRH PLC (Ireland) 2,801,148
........................................................................................................................
165,900 CSR, Ltd. (Australia) 461,943
------------------------------------------------------------------------------------------------------------------------
3,263,091
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (2.2%)
........................................................................................................................
31,350 Aiful Corp. (Japan) 2,898,497
........................................................................................................................
88,700 Promise Co., Ltd. (Japan) 7,026,905
------------------------------------------------------------------------------------------------------------------------
9,925,402
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.9%)
........................................................................................................................
256,000 Shiseido Co., Ltd. (Japan) 3,968,992
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (7.2%)
........................................................................................................................
190,495 E.On AG (Germany) 9,384,119
........................................................................................................................
1,049,549 Hong Kong Electric Holdings, Ltd.
(Hong Kong) 3,379,648
........................................................................................................................
310,493 Iberdrola S.A. (Spain) 4,017,283
........................................................................................................................
101,900 Iberdrola S.A. 144A (Spain) 1,318,423
........................................................................................................................
481,154 Scottish & Southern Energy PLC
(United Kingdom) 4,413,053
........................................................................................................................
1,139,147 Scottish Power PLC (United Kingdom) 9,654,954
------------------------------------------------------------------------------------------------------------------------
32,167,480
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (2.6%)
........................................................................................................................
1,882,701 Invensys PLC (United Kingdom) 7,066,681
........................................................................................................................
67,373 Schneider Electric S.A. (France) 4,713,631
------------------------------------------------------------------------------------------------------------------------
11,780,312
------------------------------------------------------------------------------------------------------------------------
Electronics (2.9%)
........................................................................................................................
18,200 Hirose Electric Co., Ltd. (Japan) 2,840,632
........................................................................................................................
13,500 Samsung Electronics Co. (South Korea) 4,468,114
........................................................................................................................
225,600 Taiwan Semiconductor
Manufacturing Co. (Taiwan) 1,071,141
........................................................................................................................
32,000 TDK Corp. (Japan) 4,610,323
------------------------------------------------------------------------------------------------------------------------
12,990,210
------------------------------------------------------------------------------------------------------------------------
Financial (1.6%)
........................................................................................................................
320,191 Allied Zurich PLC (United Kingdom) 3,787,220
........................................................................................................................
14,020 Groupe Bruxelles Lambert SA (Belgium) 3,513,715
------------------------------------------------------------------------------------------------------------------------
7,300,935
------------------------------------------------------------------------------------------------------------------------
Food (0.3%)
........................................................................................................................
583 Nestle S.A. (Switzerland) 1,170,949
------------------------------------------------------------------------------------------------------------------------
Insurance (7.4%)
........................................................................................................................
11,456 Allianz AG (Germany) 4,172,184
........................................................................................................................
759,860 AMP Limited (Australia) 7,751,864
........................................................................................................................
65,119 Assurances Generales
de France (AGF) (France) 3,454,396
........................................................................................................................
43,869 Axa S.A. (France) 6,937,268
........................................................................................................................
160,935 Internationale Nederlanden
Groep (ING) (Netherlands) 10,920,199
------------------------------------------------------------------------------------------------------------------------
33,235,911
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (2.4%)
........................................................................................................................
742,000 Nikko Securities Co., Ltd. (Japan) 7,365,286
........................................................................................................................
149,000 Nomura Securities Co., Ltd. (Japan) 3,655,275
------------------------------------------------------------------------------------------------------------------------
11,020,561
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (1.0%)
........................................................................................................................
473,458 Granada Group PLC (United Kingdom) 4,729,419
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.8%)
........................................................................................................................
203,357 SKF AB (Sweden) 3,421,761
------------------------------------------------------------------------------------------------------------------------
Media (0.4%)
........................................................................................................................
123,570 Carlton Communications PLC
(United Kingdom) 1,589,697
------------------------------------------------------------------------------------------------------------------------
Metals (0.7%)
........................................................................................................................
3,690 Pohang Iron & Steel Company, Ltd.
(South Korea) 317,795
........................................................................................................................
109,900 Pohang Iron & Steel Company, Ltd.
ADR (South Korea) 2,637,600
------------------------------------------------------------------------------------------------------------------------
2,955,395
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (1.1%)
........................................................................................................................
99,000 Cannon, Inc. (Japan) 4,941,577
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (5.8%)
........................................................................................................................
895,050 British Petroleum Co. PLC
(United Kingdom) 8,588,533
........................................................................................................................
1,265,619 Ente Nazionale Idrocarburi (ENI)
SpA (Italy) 7,338,464
........................................................................................................................
65,370 Total Fina Elf S.A. (France) 10,061,688
------------------------------------------------------------------------------------------------------------------------
25,988,685
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (3.2%)
........................................................................................................................
478,397 Abitibi-Consolidated Inc. (Canada) 4,440,966
........................................................................................................................
2,083,724 Jefferson Smurfit Group PLC (Ireland) 3,547,805
........................................................................................................................
445,383 Sappi, Ltd. (South Africa) 3,352,699
........................................................................................................................
171,459 Svenska Cellulosa AB (SCA) (Sweden) 3,276,224
------------------------------------------------------------------------------------------------------------------------
14,617,694
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (6.5%)
........................................................................................................................
146,106 Aventis S.A. (France) 10,705,140
........................................................................................................................
118,000 Eisai Co., Ltd. (Japan) 3,792,777
........................................................................................................................
381,163 SmithKline Beecham PLC
(United Kingdom) 4,990,100
........................................................................................................................
85,000 Yamanouchi Pharmaceutical Co.,
Ltd. (Japan) 4,652,581
........................................................................................................................
113,440 Zeneca Group PLC (United Kingdom) 5,296,681
------------------------------------------------------------------------------------------------------------------------
29,437,279
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (0.8%)
........................................................................................................................
167,000 Ricoh Co., Ltd. (Japan) 3,544,290
------------------------------------------------------------------------------------------------------------------------
Publishing (2.6%)
........................................................................................................................
197,000 Dai Nippon Printing Co., Ltd. (Japan) 3,480,743
........................................................................................................................
633,800 Reed International PLC
(United Kingdom) 5,515,724
........................................................................................................................
108,473 Wolters Kluwer NV (Netherlands) 2,900,499
------------------------------------------------------------------------------------------------------------------------
11,896,966
------------------------------------------------------------------------------------------------------------------------
Railroads (0.8%)
........................................................................................................................
119,715 Canadian National Railway Co. (Canada) 3,483,471
------------------------------------------------------------------------------------------------------------------------
Retail (1.5%)
........................................................................................................................
156,000 Marui Co., Ltd. (Japan) 2,993,761
........................................................................................................................
1,165,600 Tesco PLC (United Kingdom) 3,625,299
------------------------------------------------------------------------------------------------------------------------
6,619,060
------------------------------------------------------------------------------------------------------------------------
Technology (1.4%)
........................................................................................................................
135,272 Koninklijke Philips Electronics
N.V. (Netherlands) 6,404,447
------------------------------------------------------------------------------------------------------------------------
Telecommunications (6.0%)
........................................................................................................................
121,251 Cable & Wireless PLC (United Kingdom) 2,053,515
........................................................................................................................
77,904 Hellenic Telecommunications
Organization S.A. (Greece) 1,909,455
........................................................................................................................
285,000 Mahanager Telephone 144A GDR (India) 2,921,250
........................................................................................................................
817 Nippon Telegraph and Telephone
Corp. (Japan) 10,890,244
........................................................................................................................
422,550 Portugal Telecom S.A. (Portugal) 4,762,470
........................................................................................................................
79,200 Telefonos de Mexico S.A. ADR
Class L, (Mexico) 4,524,300
------------------------------------------------------------------------------------------------------------------------
27,061,234
------------------------------------------------------------------------------------------------------------------------
Telephone (3.5%)
........................................................................................................................
358,700 BCE, Inc. (Canada) 8,541,545
........................................................................................................................
335,093 Telefonica S.A. (Spain) 7,225,945
------------------------------------------------------------------------------------------------------------------------
15,767,490
------------------------------------------------------------------------------------------------------------------------
Tobacco (0.6%)
........................................................................................................................
382,881 British American Tobacco PLC (United
Kingdom) 2,555,553
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $403,988,901) $441,809,939
------------------------------------------------------------------------------------------------------------------------
UNITS (0.3%) (a) (cost $1,148,624)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
238,200 Taiwan Semiconductor Manufacturing
Co. Structured Note (issued by
UBS AG Warburg Dillon Read)
3.7%, 2001 (Taiwan) $1,169,199
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.0%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$400,000 U.S. Treasury Bill effective yield of
5.77%, August 31, 2000 (SEG) $396,088
........................................................................................................................
21,939,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg Inc.
due July 3, 2000 with respect to various
U.S.Treasury obligations -- maturity
value of $21,951,066 for an effective
yield of 6.6% 21,939,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $22,335,089) $22,335,088
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $427,472,614) (b) $465,314,226
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Forward Currency Contracts to Buy at June 30, 2000 (Unaudited)
(aggregate face value $23,534,244)
-----------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................
Euro Dollars $2,045,429 $2,036,387 9/15/00 $9,042
.............................................................................
Euro Dollars 21,228,017 21,497,857 10/18/00 (269,840)
-----------------------------------------------------------------------------
$(260,798)
-----------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 2000 (Unaudited)
(aggregate face value $4,232,127)
-----------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
.............................................................................
Japanese Yen $4,232,152 $4,232,127 9/6/00 $(25)
-----------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
.............................................................................
DAX Index (Long) $1,998,263 $2,106,134 Sep-00 $(107,871)
-----------------------------------------------------------------------------
Diversification by Country (Unaudited)
-----------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 2000: (as percentage of Market Value)
-----------------------------------------------------------------------------
Australia 2.3%
.............................................................................
Canada 6.7
.............................................................................
France 12.1
.............................................................................
Germany 4.1
.............................................................................
Ireland 1.4
.............................................................................
Italy 2.9
.............................................................................
Japan 20.6
.............................................................................
Mexico 1.8
.............................................................................
Netherlands 6.8
.............................................................................
Portugal 1.0
.............................................................................
South Korea 1.6
.............................................................................
Spain 2.7
.............................................................................
Sweden 1.9
.............................................................................
Switzerland 1.7
.............................................................................
United Kingdom 22.3
.............................................................................
United States 4.8
.............................................................................
Other 5.3
-----------------------------------------------------------------------------
Total 100.0%
-----------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT International New Opportunities Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (92.6%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (4.9%)
........................................................................................................................
1,678,681 Aegis Group PLC (United Kingdom) $4,941,630
........................................................................................................................
242,545 Aegis Group PLC 144A
(United Kingdom) 713,994
........................................................................................................................
269,300 Havas Advertising SA (France) 6,181,426
........................................................................................................................
12,734 Publicis S.A. (France) 5,015,953
........................................................................................................................
636,211 WPP Group PLC (United Kingdom) 9,292,037
------------------------------------------------------------------------------------------------------------------------
26,145,040
------------------------------------------------------------------------------------------------------------------------
Banking (3.1%)
........................................................................................................................
318,450 Banca Fideuram SpA (Italy) 4,822,199
........................................................................................................................
1,433,072 Bipop-Carire SpA (Italy) (REL) 11,317,279
------------------------------------------------------------------------------------------------------------------------
16,139,478
------------------------------------------------------------------------------------------------------------------------
Broadcasting (8.2%)
........................................................................................................................
348,636 Capital Radio PLC (United Kingdom) 8,152,356
........................................................................................................................
224 Fuji Television Network, Inc. (Japan) 3,515,220
........................................................................................................................
408,150 Mediaset SpA (Italy) 6,258,735
........................................................................................................................
83,582 ProSieben Media AG (Germany) 10,493,754
........................................................................................................................
210,140 Societe Television Francaise (France) 14,702,067
------------------------------------------------------------------------------------------------------------------------
43,122,132
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (4.4%)
........................................................................................................................
46,208 Altran Technologies SA (France) 9,083,007
........................................................................................................................
350,733 Capita Group PLC (United Kingdom) 8,583,592
........................................................................................................................
46,732 GfK AG (Germany) (NON) 2,306,579
........................................................................................................................
164,862 Securitas AB Class B, (Sweden) 3,516,906
------------------------------------------------------------------------------------------------------------------------
23,490,084
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (9.8%)
........................................................................................................................
476,272 Nokia Oyj AB Class A, (Finland) 24,397,738
........................................................................................................................
268,082 Nortel Networks Corp. (Canada) 18,587,646
........................................................................................................................
435,830 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 8,675,831
------------------------------------------------------------------------------------------------------------------------
51,661,215
------------------------------------------------------------------------------------------------------------------------
Computers (1.7%)
........................................................................................................................
122,948 Certicom Corp. (Canada) (NON) 4,183,486
........................................................................................................................
51,380 Dassault Systemes SA (France) (NON) 4,811,001
........................................................................................................................
300 Trend Micro Inc. (Japan) (NON) 49,631
------------------------------------------------------------------------------------------------------------------------
9,044,118
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (--%)
........................................................................................................................
10 Fancl Corp. (Japan) 954
........................................................................................................................
100 Hindustan Lever Ltd (India) (NON) 6,350
------------------------------------------------------------------------------------------------------------------------
7,304
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (0.9%)
........................................................................................................................
14,600 Keyence Corp (Japan) 4,830,781
------------------------------------------------------------------------------------------------------------------------
Electronics (12.6%)
........................................................................................................................
1,754,752 ARM Holdings PLC (United Kingdom) (NON) 18,803,185
........................................................................................................................
66,275 C-MAC Industries, Inc. (Canada) (NON) 3,132,089
........................................................................................................................
63,805 Epcos AG (Germany) (NON) 6,445,285
........................................................................................................................
30 Fuji Soft AB, Inc. (Japan) 1,784
........................................................................................................................
45,000 Murata Manufacturing Co., Ltd. (Japan) 6,474,759
........................................................................................................................
13,300 Rohm Co., Ltd. (Japan) 3,897,712
........................................................................................................................
16,860 Samsung Electronics Co. (South Korea) 5,580,178
........................................................................................................................
169,696 STMicroelectronics N.V. ADR (France) (NON) 10,892,362
........................................................................................................................
64,000 Tokyo Electron, Ltd. (Japan) 8,785,026
........................................................................................................................
229,000 Venture Manufacturing, Ltd. (Singapore) 2,331,733
------------------------------------------------------------------------------------------------------------------------
66,344,113
------------------------------------------------------------------------------------------------------------------------
Food (0.9%)
........................................................................................................................
25,600 C TWO-NETWORK Co., Ltd. (Japan) 4,842,655
------------------------------------------------------------------------------------------------------------------------
Insurance (2.5%)
........................................................................................................................
339,302 Mediolanum SpA (Italy) 5,541,187
........................................................................................................................
283,600 Skandia Forsakrings AB (Sweden) 7,538,079
------------------------------------------------------------------------------------------------------------------------
13,079,266
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (4.9%)
........................................................................................................................
48,323 Consors Discount Broker AG (Germany) (NON) 4,330,243
........................................................................................................................
3,126 Direkt Anlage Bank AG (Germany) (NON) 112,648
........................................................................................................................
797,000 Nikko Securities Co., Ltd. (Japan) 7,911,231
........................................................................................................................
312,000 Nomura Securities Co., Ltd. (Japan) 7,653,999
........................................................................................................................
337,961 TD Waterhouse Group, Inc. (NON) 5,850,950
------------------------------------------------------------------------------------------------------------------------
25,859,071
------------------------------------------------------------------------------------------------------------------------
Manufacturing (2.5%)
........................................................................................................................
492,119 Bombardier, Inc. (Canada) 13,356,187
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (5.2%)
........................................................................................................................
169,000 Fujisawa Pharmaceutical Co. (Japan) 6,853,942
........................................................................................................................
158,040 Sanofi-Synthelabo SA (France) 7,558,130
........................................................................................................................
201,000 Takeda Chemical Industries (Japan) 13,225,184
------------------------------------------------------------------------------------------------------------------------
27,637,256
------------------------------------------------------------------------------------------------------------------------
Publishing (0.7%)
........................................................................................................................
303,532 Gruppo Editoriale L'Espresso (Italy) 3,589,478
------------------------------------------------------------------------------------------------------------------------
Retail (2.4%)
........................................................................................................................
882,670 Esprit Holdings, Ltd. (Hong Kong) 917,230
........................................................................................................................
128,000 Seven-Eleven Japan Co., Ltd. (Japan) 10,733,220
........................................................................................................................
18,700 Tsuruha Co., Ltd. (Japan) 827,340
------------------------------------------------------------------------------------------------------------------------
12,477,790
------------------------------------------------------------------------------------------------------------------------
Semiconductor (4.3%)
........................................................................................................................
117,521 ASM Lithography Holding
NV (Netherlands) (NON) 5,070,698
........................................................................................................................
712,200 Chartered Semiconductor
Manufacturing (Singapore) (NON) 6,221,707
........................................................................................................................
1,607,347 Taiwan Semiconductor
Manufacturing Co. (Taiwan) 7,631,631
........................................................................................................................
1,300,610 Winbond Electronics Corp.
GDR (Taiwan) (NON) 3,764,367
------------------------------------------------------------------------------------------------------------------------
22,688,403
------------------------------------------------------------------------------------------------------------------------
Software (5.5%)
........................................................................................................................
124,739 Amdocs Ltd. (United Kingdom) 9,573,718
........................................................................................................................
60,549 BCE Emergis, Inc. (Canada) (NON) 3,691,315
........................................................................................................................
27,500 Oracle Corp. (Japan) 9,982,984
........................................................................................................................
716,200 Sage Group (The) PLC (United Kingdom) 5,799,233
------------------------------------------------------------------------------------------------------------------------
29,047,250
------------------------------------------------------------------------------------------------------------------------
Technology Services (2.7%)
........................................................................................................................
398,000 Hon Hai Precision Industry (Taiwan) 3,598,179
........................................................................................................................
60 Obic Co., Ltd. (Japan) 27,226
........................................................................................................................
175,739 SEMA Group PLC (United Kingdom) 2,500,221
........................................................................................................................
20 Yahoo Japan Corp. (Japan) (NON) 7,950,463
------------------------------------------------------------------------------------------------------------------------
14,076,089
------------------------------------------------------------------------------------------------------------------------
Telecommunications (15.4%)
........................................................................................................................
911,000 China Telecom, Ltd. (Hong Kong) (NON) 8,035,004
........................................................................................................................
391,183 Colt Telecommunications Group PLC
(United Kingdom) (NON) 13,025,220
........................................................................................................................
317,692 KPNQwest N.V. (Netherlands) (NON) 12,544,412
........................................................................................................................
458 NTT DoCoMo (Japan) 12,426,357
........................................................................................................................
133,367 SK Telecom Co., Ltd. ADR (South Korea) 4,842,889
........................................................................................................................
66,048 Telefonos de Mexico S.A. ADR
Class L, (Mexico) 3,772,992
........................................................................................................................
6,529,564 Vodafone AirTouch PLC ADR
(United Kingdom) 26,386,260
------------------------------------------------------------------------------------------------------------------------
81,033,134
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $430,731,555) $488,470,844
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (2.7%) (a) (cost 11,962,726)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
28,309 Marschollek, Lautenschlaeger und
Partner AG DEM $3.05 pfd. (Germany) $14,216,825
------------------------------------------------------------------------------------------------------------------------
UNITS (0.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Units Value
........................................................................................................................
3,350 Infosys Technologies Ltd. equity
participation note (issued by
Goldman Sachs & Co.) (India) $1,325,863
........................................................................................................................
1,900 Infosys Technologies Ltd.II equity
participation note (issued by Goldman
Sachs & Co.) (India) 773,243
------------------------------------------------------------------------------------------------------------------------
Total Units
(cost $1,640,311) $2,099,106
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.4%) (a) (cost $23,343,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$23,343,000 Interest in $500,000,000 joint repurchase
agreement dated June 30, 2000 with
S.B.C. Warburg Inc. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$23,355,839 for an effective
yield of 6.60% $23,343,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $467,677,592) (b) $528,129,775
------------------------------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
------------------------------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 2000: (as percentage of Market Value)
------------------------------------------------------------------------------------------------------------------------
Canada 8.3%
........................................................................................................................
Finland 4.6
........................................................................................................................
France 11.0
........................................................................................................................
Germany 7.2
........................................................................................................................
Hong Kong 1.7
........................................................................................................................
Italy 6.0
........................................................................................................................
Japan 20.8
........................................................................................................................
Netherlands 3.3
........................................................................................................................
Singapore 1.6
........................................................................................................................
South Korea 2.0
........................................................................................................................
Sweden 3.7
........................................................................................................................
Taiwan 2.8
........................................................................................................................
United Kingdom 20.4
........................................................................................................................
United States 5.5
........................................................................................................................
Other 1.1
------------------------------------------------------------------------------------------------------------------------
Total 100.0%
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Investors Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (98.7%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (1.4%)
........................................................................................................................
274,100 Interpublic Group Cos., Inc. $11,786,300
........................................................................................................................
63,600 Omnicom Group, Inc. 5,664,375
------------------------------------------------------------------------------------------------------------------------
17,450,675
------------------------------------------------------------------------------------------------------------------------
Banking (2.4%)
........................................................................................................................
81,200 Bank of America Corp. 3,491,600
........................................................................................................................
22,900 Bank of New York Company, Inc. 1,064,850
........................................................................................................................
154,500 Fifth Third Bancorp 9,772,125
........................................................................................................................
410,500 Firstar Corp. 8,646,156
........................................................................................................................
50,000 Northern Trust Corp. 3,253,125
........................................................................................................................
10,000 State Street Corp. 1,060,625
........................................................................................................................
59,400 Zions Bancorp 2,725,903
------------------------------------------------------------------------------------------------------------------------
30,014,384
------------------------------------------------------------------------------------------------------------------------
Beverage (0.4%)
........................................................................................................................
70,900 Anheuser-Busch Cos., Inc. 5,295,344
------------------------------------------------------------------------------------------------------------------------
Biotechnology (2.3%)
........................................................................................................................
253,500 Amgen, Inc. (NON) 17,808,375
........................................................................................................................
62,800 Genentech, Inc. (NON) 10,801,600
------------------------------------------------------------------------------------------------------------------------
28,609,975
------------------------------------------------------------------------------------------------------------------------
Broadcasting (1.6%)
........................................................................................................................
223,000 Clear Channel Communications, Inc. (NON) 16,725,000
........................................................................................................................
89,800 Echostar Communications Corp.
Class A (NON) 2,973,222
------------------------------------------------------------------------------------------------------------------------
19,698,222
------------------------------------------------------------------------------------------------------------------------
Cable Television (2.4%)
........................................................................................................................
993,000 AT&T Corp. - Liberty Media Group
Class A (NON) 24,080,250
........................................................................................................................
66,000 General Motors Corp. Class H (NON) 5,791,500
------------------------------------------------------------------------------------------------------------------------
29,871,750
------------------------------------------------------------------------------------------------------------------------
Chemicals (0.9%)
........................................................................................................................
89,100 Avery Dennison Corp. 5,980,838
........................................................................................................................
152,700 Praxair, Inc. 5,716,706
------------------------------------------------------------------------------------------------------------------------
11,697,544
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (10.5%)
........................................................................................................................
50,100 Brocade Communications Systems (NON) 9,192,567
........................................................................................................................
694,300 Cisco Systems, Inc. (NON) 44,131,444
........................................................................................................................
83,900 Comverse Technology, Inc. (NON) 7,802,700
........................................................................................................................
57,800 Corning, Inc. 15,598,775
........................................................................................................................
412,600 Nortel Networks Corp. 28,159,950
........................................................................................................................
343,900 NokiaCorp-Spon ADR (Finland) 17,173,506
........................................................................................................................
128,700 Tellabs, Inc. (NON) 8,807,906
------------------------------------------------------------------------------------------------------------------------
130,866,848
------------------------------------------------------------------------------------------------------------------------
Computers (5.3%)
........................................................................................................................
213,000 Apple Computer, Inc. (NON) 11,155,875
........................................................................................................................
277,000 EMC Corp. (NON) 21,311,688
........................................................................................................................
108,700 Hewlett-Packard Co. 13,573,913
........................................................................................................................
211,700 Sun Microsystems, Inc. (NON) 19,251,469
------------------------------------------------------------------------------------------------------------------------
65,292,945
------------------------------------------------------------------------------------------------------------------------
Conglomerates (7.7%)
........................................................................................................................
992,700 General Electric Co. 52,613,100
........................................................................................................................
906,300 Tyco International, Ltd. 42,935,963
------------------------------------------------------------------------------------------------------------------------
95,549,063
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (2.8%)
........................................................................................................................
72,700 Avon Products, Inc. 3,235,150
........................................................................................................................
161,500 Colgate-Palmolive Co. 9,669,813
........................................................................................................................
208,800 Estee Lauder Cos. Class A 10,322,550
........................................................................................................................
198,800 Kimberly-Clark Corp. 11,406,150
------------------------------------------------------------------------------------------------------------------------
34,633,663
------------------------------------------------------------------------------------------------------------------------
Distribution (0.5%)
........................................................................................................................
137,300 SYSCO Corp. 5,783,763
------------------------------------------------------------------------------------------------------------------------
Electronics (9.7%)
........................................................................................................................
1 Agilent Technologies, Inc. (NON) 37
........................................................................................................................
25,400 Broadcom Corp. (NON) 5,561,013
........................................................................................................................
321,400 Intel Corp. 42,967,163
........................................................................................................................
149,200 JDS Uniphase Corp. (NON) 17,885,350
........................................................................................................................
166,500 Linear Technology Corp. 10,645,594
........................................................................................................................
115,100 LSI Logic Corp. (NON) 6,229,788
........................................................................................................................
150,400 SCI Systems, Inc. (NON) 5,893,800
........................................................................................................................
269,200 Texas Instruments, Inc. 18,490,675
........................................................................................................................
152,100 Xilinx, Inc. (NON) 12,557,756
------------------------------------------------------------------------------------------------------------------------
120,231,176
------------------------------------------------------------------------------------------------------------------------
Entertainment (3.2%)
........................................................................................................................
580,091 Viacom, Inc. Class B (NON) 39,554,955
------------------------------------------------------------------------------------------------------------------------
Financial (3.6%)
........................................................................................................................
342,700 American Express Co. 17,863,238
........................................................................................................................
441,900 Citigroup, Inc. 26,624,475
------------------------------------------------------------------------------------------------------------------------
44,487,713
------------------------------------------------------------------------------------------------------------------------
Health Care Services (1.1%)
........................................................................................................................
91,600 Baxter International, Inc. 6,440,625
........................................................................................................................
70,800 CIGNA Corp. 6,619,800
------------------------------------------------------------------------------------------------------------------------
13,060,425
------------------------------------------------------------------------------------------------------------------------
Insurance (2.0%)
........................................................................................................................
215,000 American International Group, Inc. 25,262,500
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (2.1%)
........................................................................................................................
57,100 Merrill Lynch & Co., Inc. 6,566,500
........................................................................................................................
107,800 Morgan Stanley, Dean Witter, Discover
and Co. 8,974,350
........................................................................................................................
327,300 Schwab (Charles) Corp. 11,005,463
------------------------------------------------------------------------------------------------------------------------
26,546,313
------------------------------------------------------------------------------------------------------------------------
Media (1.3%)
........................................................................................................................
219,400 Time Warner, Inc. 16,674,400
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.3%)
........................................................................................................................
141,200 Allergan, Inc. 10,519,400
........................................................................................................................
93,100 PE Biosystems, Corp. 6,132,963
------------------------------------------------------------------------------------------------------------------------
16,652,363
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (1.6%)
........................................................................................................................
300,700 Enron Corp. 19,395,150
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (4.1%)
........................................................................................................................
133,200 Anadarko Petroleum Corp. 6,568,425
........................................................................................................................
117,000 Apache Corp. 6,881,063
........................................................................................................................
409,000 Conoco, Inc. 8,998,000
........................................................................................................................
219,600 Exxon Mobil Corp. 17,238,600
........................................................................................................................
183,500 Royal Dutch Petroleum Co. PLC
ADR (Netherlands) 11,296,719
------------------------------------------------------------------------------------------------------------------------
50,982,807
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.3%)
........................................................................................................................
75,800 Sealed Air Corp. (NON) 3,970,025
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (7.4%)
........................................................................................................................
188,800 American Home Products Corp. 11,092,000
........................................................................................................................
109,100 Lilly (Eli) & Co. 10,896,363
........................................................................................................................
767,250 Pfizer, Inc. 36,828,000
........................................................................................................................
169,200 Pharmacia Corp. 8,745,525
........................................................................................................................
471,300 Schering-Plough Corp. 23,800,650
------------------------------------------------------------------------------------------------------------------------
91,362,538
------------------------------------------------------------------------------------------------------------------------
Retail (6.9%)
........................................................................................................................
167,100 CVS Corp. 6,684,000
........................................................................................................................
448,500 Home Depot, Inc. (The) 22,396,969
........................................................................................................................
92,600 Kohls Corp. (NON) 5,150,875
........................................................................................................................
232,300 RadioShack Corp. 11,005,213
........................................................................................................................
173,000 Target Corp. 10,034,000
........................................................................................................................
432,700 TJX Cos., Inc. (The) 8,113,125
........................................................................................................................
387,600 Wal-Mart Stores, Inc. 22,335,450
------------------------------------------------------------------------------------------------------------------------
85,719,632
------------------------------------------------------------------------------------------------------------------------
Semiconductor (2.1%)
........................................................................................................................
190,600 Applied Materials, Inc. (NON) 17,273,125
........................................................................................................................
116,500 Teradyne, Inc. (NON) 8,562,750
------------------------------------------------------------------------------------------------------------------------
25,835,875
------------------------------------------------------------------------------------------------------------------------
Software (6.7%)
........................................................................................................................
90,000 BEA Systems, Inc. (NON) 4,449,375
........................................................................................................................
61,400 I2 Technologies, Inc. (NON) 6,401,909
........................................................................................................................
418,400 Microsoft Corp. (NON) 33,472,000
........................................................................................................................
189,500 Oracle Corp. (NON) 15,929,844
........................................................................................................................
46,100 Siebel Systems, Inc. (NON) 7,540,231
........................................................................................................................
136,400 VERITAS Software Corp. (NON) 15,415,331
------------------------------------------------------------------------------------------------------------------------
83,208,690
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.2%)
........................................................................................................................
183,700 America Online, Inc. (NON) 9,690,175
........................................................................................................................
41,700 Yahoo! Inc. (NON) 5,165,588
------------------------------------------------------------------------------------------------------------------------
14,855,763
------------------------------------------------------------------------------------------------------------------------
Telecommunications (5.5%)
........................................................................................................................
143,400 ALLTEL Corp. 8,881,838
........................................................................................................................
254,500 Nextel Communications, Inc. Class A (NON) 15,572,210
........................................................................................................................
276,100 Sprint Corp. (Fon Group) 14,081,100
........................................................................................................................
199,500 Sprint Corp. (PCS Group) (NON) 11,870,250
........................................................................................................................
260,600 Vodafone AirTouch PLC
(United Kingdom) 10,798,613
........................................................................................................................
65,900 VoiceStream Wireless Corp. (NON) 7,663,964
------------------------------------------------------------------------------------------------------------------------
68,867,975
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.4%)
........................................................................................................................
80,600 United Parcel Service, Inc. zero % 4,755,400
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $986,411,924) $1,226,187,876
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.0%) (a) (cost $24,300,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$24,300,000 Interest in $205,282 joint repurchase
agreement dated 6/30/00 with
Salomon Smith Barney, Inc. due
07/03/2000 with respect to various
U.S. Treasury obligations -- maturity
value of $24,313,163 for an effective
yield of 6.50% $24,300,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,010,711,924) (b) $1,250,487,876
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Long) $2,569,175 $2,581,238 Sep-00 $(12,063)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Money Market Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMERCIAL PAPER (83.3%) (a)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Amount Maturity Date Value
........................................................................................................................
Domestic (57.7%) (a)
........................................................................................................................
$7,000,000 Asset Securitization
Cooperative Corp. 6.67s 8/28/00 $6,923,480
........................................................................................................................
6,500,000 Asset Securitization
Cooperative Corp. 6.61s 7/27/00 6,467,776
........................................................................................................................
10,000,000 Asset Securitization
Cooperative Corp. 6.6s 7/12/00 9,978,000
........................................................................................................................
27,000,000 Associates Corp of
North America 6.9s 7/3/00 26,984,475
........................................................................................................................
5,000,000 AT&T Corp. 6.51s 7/25/00 4,977,396
........................................................................................................................
8,000,000 Banc One Financial Corp. 6.61s 7/24/00 7,964,747
........................................................................................................................
5,000,000 BankAmerica Corp. 6.07s 8/23/00 4,954,475
........................................................................................................................
5,000,000 Bear Sterns Co., Inc. 6.58s 8/10/00 4,962,531
........................................................................................................................
5,000,000 Bellsouth Capital
Funding Corp. 6.52s 7/14/00 4,987,322
........................................................................................................................
7,000,000 Corporate Asset
Funding Corp. 6.61s 9/12/00 6,904,889
........................................................................................................................
3,000,000 Corporate Asset
Funding Corp. 6.6s 8/29/00 2,967,000
........................................................................................................................
6,500,000 Corporate Asset
Funding Corp. 6.6s 7/19/00 6,477,358
........................................................................................................................
7,000,000 Corporate Asset
Funding Corp. 6.14s 7/10/00 6,988,061
........................................................................................................................
6,200,000 Corporate Receivables
Corp. 6.6s 9/7/00 6,121,570
........................................................................................................................
7,000,000 CXC Inc. 6.66s 8/31/00 6,919,710
........................................................................................................................
5,000,000 CXC Inc. 6.66s 8/9/00 4,963,000
........................................................................................................................
7,000,000 CXC Inc. 6.62s 9/19/00 6,895,735
........................................................................................................................
10,000,000 CXC Inc. 6.6s 8/11/00 9,923,000
........................................................................................................................
10,000,000 Delaware Funding Corp. 6.61s 8/8/00 9,928,392
........................................................................................................................
4,000,000 Delaware Funding Corp. 6.57s 7/21/00 3,984,670
........................................................................................................................
7,030,000 Delaware Funding Corp. 6.15s 7/13/00 7,014,388
........................................................................................................................
4,500,000 Eureka Securitization Inc. 6.6s 7/10/00 4,491,750
........................................................................................................................
8,000,000 Falcon Asset
Securitization Corp. 6.58s 8/2/00 7,951,747
........................................................................................................................
6,000,000 Fleet Financial Group 6.53s 7/11/00 5,988,028
........................................................................................................................
5,000,000 Ford Motor Credit
Company 6.56s 7/7/00 4,993,622
........................................................................................................................
3,200,000 Formosa Plastics Corp. (Bank of
America (LOC)) 6.8s 11/9/00 3,120,213
........................................................................................................................
9,000,000 Formosa Plastics Corp. (Bank of
America (LOC)) 6.68s 8/10/00 8,931,530
........................................................................................................................
4,000,000 Formosa Plastics Corp,USA
Ser. A (ABN AMRO Bank N.V.
(LOC)) 6.3s (Netherlands) 10/10/00 3,928,600
........................................................................................................................
8,000,000 General Electric
Capital Corp. 6.65s 8/24/00 7,918,722
........................................................................................................................
10,000,000 General Electric Capital
International Funding 6.65s 8/17/00 9,911,333
........................................................................................................................
7,500,000 General Electric Capital
International Funding 6.6s 7/17/00 7,476,625
........................................................................................................................
6,000,000 General Motors
Acceptance Corp. 6.57s 7/25/00 5,972,625
........................................................................................................................
10,815,000 General Motors
Acceptance Corp. 6.17s 7/31/00 10,757,539
........................................................................................................................
6,000,000 General Motors
Acceptance Corp. 6.16s 7/18/00 5,981,520
........................................................................................................................
5,000,000 Goldman Sachs Group 6.79s 11/8/00 4,876,460
........................................................................................................................
6,500,000 Goldman Sachs Group 6.66s 8/15/00 6,444,685
........................................................................................................................
3,000,000 Goldman Sachs Group 6.17s 8/22/00 2,972,749
........................................................................................................................
8,111,000 Metlife Funding 6.65s 8/14/00 8,043,577
........................................................................................................................
4,000,000 Old Line Funding Corp. 6.6s 8/1/00 3,976,533
........................................................................................................................
7,283,000 Old Line Funding Corp.6.55s 7/20/00 7,256,498
........................................................................................................................
5,000,000 Park Avenue
Receivables Corp. 6.55s 7/12/00 4,989,083
........................................................................................................................
7,000,000 PNC Funding Corp. 6.85s 7/6/00 6,992,008
........................................................................................................................
5,000,000 Preferred Receivables
Funding Corp. 6.57s 7/28/00 4,974,450
........................................................................................................................
10,900,000 Prudential Funding Corp. 6.95s 7/3/00 10,893,687
........................................................................................................................
8,000,000 Salomon Smith Barney
Holding Sales 6.61s 7/26/00 7,961,809
........................................................................................................................
6,500,000 Salomon Smith Barney
Holding Sales 6.6s 7/19/00 6,477,358
........................................................................................................................
6,500,000 Salomon Smith Barney
Holding Sales 6.17s 7/12/00 6,486,632
........................................................................................................................
7,000,000 Sheffield Receivables Corp. 6.59s 7/18/00 6,976,935
........................................................................................................................
7,000,000 Sheffield Receivables Corp. 6.54s 7/5/00 6,993,603
........................................................................................................................
9,000,000 Sigma Finance, Inc. 6.68s 8/16/00 8,921,510
........................................................................................................................
7,000,000 Sigma Finance, Inc. 6.62s 9/5/00 6,913,756
........................................................................................................................
8,000,000 Sigma Finance, Inc. 6.6s 8/22/00 7,922,267
........................................................................................................................
5,000,000 Sigma Finance, Inc. 6.25s 9/21/00 4,927,951
........................................................................................................................
8,500,000 Thunder Bay Funding, Inc. 6.55s 7/6/00 8,490,707
........................................................................................................................
12,000,000 Venture Business Trust 6.67s 8/23/00 11,879,820
........................................................................................................................
10,000,000 Venture Business Trust 6.61s 9/20/00 9,849,439
........................................................................................................................
4,650,000 Windmill Funding Corp. 6.6s 8/4/00 4,620,163
........................................................................................................................
6,000,000 Windmill Funding Corp. 6.6s 7/21/00 5,976,900
........................................................................................................................
3,475,000 Windmill Funding Corp. 6.22s 7/24/00 3,460,590
------------------------------------------------------------------------------------------------------------------------
413,990,999
------------------------------------------------------------------------------------------------------------------------
Foreign (25.6%) (a)
------------------------------------------------------------------------------------------------------------------------
6,500,000 Abbey National North America
Corp. 6.35s (United Kingdom) 12/22/00 6,299,358
........................................................................................................................
9,200,000 Aegon Funding Corp.
6.6s (Netherlands) 9/5/00 9,086,993
........................................................................................................................
4,300,000 Aegon Funding Corp.
6.3s (Netherlands) 9/27/00 4,233,028
........................................................................................................................
6,500,000 Banco Bradesco S.A. (Barclays
Bank (LOC)) 6.62s
(United Kingdom) 9/15/00 6,407,964
........................................................................................................................
4,500,000 Banco Bradesco S.A. (Barclays
Bank (LOC)) 5.98s
(United Kingdom) 9/28/00 4,432,725
........................................................................................................................
9,500,000 Banco de Galicia Y Buenos
Aires S.A. (Bayerische Hypo-
und Vereinsbank AG (LOC))
6.18s (Germany) 7/18/00 9,470,645
........................................................................................................................
5,000,000 Banco Del Istmo S.A. (Barclays
Bank (LOC)) 6.82s
(United Kingdom) 11/1/00 4,882,545
........................................................................................................................
10,000,000 Banco Del Istmo S.A. (Barclays
Bank (LOC)) 6.77s
(United Kingdom) 10/2/00 9,823,228
........................................................................................................................
7,000,000 Bank of Nova Scotia
6.55s (Canada) 1/24/01 6,998,105
........................................................................................................................
20,000,000 British Telecom PLC 7.05s
(United Kingdom) 7/3/00 19,988,250
........................................................................................................................
7,000,000 British Telecom PLC 6.624s
(United Kingdom) 2/27/01 7,000,000
........................................................................................................................
8,000,000 Credit Suisse First Boston
6.61s (Switzerland) 9/14/00 7,888,364
........................................................................................................................
5,000,000 Credit Suisse First Boston
6.2s (Switzerland) 7/20/00 4,982,778
........................................................................................................................
7,000,000 DaimlerChrysler NA Holding
Corp. 6.55s (Germany) 7/14/00 6,982,169
........................................................................................................................
5,500,000 DaimlerChrysler NA Holding
Corp. 6.27s (Germany) 12/13/00 5,340,986
........................................................................................................................
3,000,000 Den Danske Corp. Inc.
6.22s (Denmark) 9/11/00 2,962,162
........................................................................................................................
3,000,000 Merita North America Inc.
6.72s (Sweden) 9/18/00 2,955,200
........................................................................................................................
6,000,000 Nordbanken NA, Inc.
6.68s (Sweden) 8/31/00 5,930,973
........................................................................................................................
6,000,000 Nordbanken NA, Inc.
6.6s (Sweden) 9/26/00 5,903,200
........................................................................................................................
4,000,000 PEMEX Capital, Inc. (Barclays
Bank (LOC)) 6.85s (France) 12/4/00 3,880,506
........................................................................................................................
7,000,000 Societe Generale 6.37s (France) 12/26/00 6,778,289
........................................................................................................................
6,000,000 Spintab AB 6.6s (Sweden) 9/6/00 5,925,200
........................................................................................................................
3,700,000 Svenska Handelsbanken
6.22s (Sweden) 9/29/00 3,641,826
........................................................................................................................
15,000,000 UBS AG 6.92s (Switzerland) 7/5/00 14,985,583
........................................................................................................................
7,000,000 UBS AG 6.74s (Switzerland) 7/3/00 6,996,068
........................................................................................................................
4,000,000 Unibanco-Grand Cayman
(WestDeutsche Landesbank
(LOC)) 5.4s (Germany) 7/13/00 3,992,200
........................................................................................................................
6,000,000 Woolwich PLC 6.64s
(United Kingdom) 12/18/00 5,810,760
------------------------------------------------------------------------------------------------------------------------
183,579,105
------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $597,570,104) $597,570,104
------------------------------------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (8.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
........................................................................................................................
$6,000,000 ABN AMRO Bank N.V. 5.7s
(United Kingdom) 7/10/00 $5,999,919
........................................................................................................................
7,000,000 Bank of Nova Scotia
6.72s (Canada) 2/12/01 6,997,895
........................................................................................................................
6,000,000 Bayerische Landesbank
Girozentrale 6.674s (Germany) 2/28/01 5,998,050
........................................................................................................................
7,000,000 Canadian Imperial Bank of
Commerce 7.36s (Canada) 5/17/01 6,999,419
........................................................................................................................
7,000,000 Deutsche Bank
6 3/4s (Germany) 2/22/01 6,997,845
........................................................................................................................
7,000,000 Merita Bank, Ltd.
5.853s (Sweden) 3/1/01 6,998,175
........................................................................................................................
7,000,000 Societe Generale 6.598s (France) 7/5/01 6,995,800
........................................................................................................................
7,000,000 Societe Generale 6.56s (France) 1/16/01 6,998,140
........................................................................................................................
7,000,000 Svenska Handelsbanken
6.98s (Sweden) 5/2/01 6,998,889
........................................................................................................................
3,000,000 Westdeutsche Landesbank
Gorozentrale 7.1s (Germany) 5/3/01 3,000,000
------------------------------------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $63,984,132) $63,984,132
------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
........................................................................................................................
$7,000,000 Bank One Corp. sr. notes, Ser.B,
FRN 6.32s 10/5/00 $6,999,093
........................................................................................................................
6,000,000 Bank One Corp. sr. notes Ser.B,
FRN 6.781s 11/17/00 5,999,538
........................................................................................................................
7,000,000 First Union National Bank notes
FRN 6.674s 5/29/01 7,000,000
........................................................................................................................
7,000,000 FleetBoston Financial Corp.
sr. notes Ser. N, FRN, 6.708s 3/13/01 6,996,441
........................................................................................................................
6,000,000 Goldman Sachs Group, Inc.
notes Ser. B, 6s 8/7/00 6,000,000
........................................................................................................................
5,000,000 Goldman Sachs Group, Inc.
notes Ser. A, FRN, 6.49s 1/25/01 5,005,208
........................................................................................................................
6,000,000 J.P. Morgan & Co., Inc. notes
Ser. A, FRN, 6.64s 3/16/01 6,000,000
........................................................................................................................
7,000,000 Morgan Stanley Dean Witter, Inc.
notes Ser. 1, FRN, 6.63s 3/16/01 6,999,503
........................................................................................................................
7,000,000 National Rural Utilities, Inc.
notes Ser. C, FRN, 6.77s 6/15/01 7,000,000
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $57,999,783) $57,999,783
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $719,554,019) (b) $719,554,019
------------------------------------------------------------------------------------------------------------------------
Diversification by Country (Unaudited)
------------------------------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
June 30, 2000 (as percentage of Market Value)
------------------------------------------------------------------------------------------------------------------------
Canada 2.9%
........................................................................................................................
Denmark 0.4
........................................................................................................................
France 3.4
........................................................................................................................
Germany 5.8
........................................................................................................................
Netherlands 2.4
........................................................................................................................
Sweden 5.3
........................................................................................................................
Switzerland 4.8
........................................................................................................................
United Kingdom 9.8
........................................................................................................................
United States 65.2
------------------------------------------------------------------------------------------------------------------------
Tota 100.0%
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT New Opportunities Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (97.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Aerospace/Defense (0.3%)
........................................................................................................................
275,300 General Motors Corp. Class H (NON) $24,157,575
------------------------------------------------------------------------------------------------------------------------
Airlines (0.3%)
........................................................................................................................
552,200 Ryanair Holdings, PLC ADR (Ireland) (NON) 20,155,300
------------------------------------------------------------------------------------------------------------------------
Banking (0.5%)
........................................................................................................................
655,700 National Commerce Bancorporation 10,532,181
........................................................................................................................
465,300 TCF Financial Corp. 11,952,394
........................................................................................................................
332,100 Zions Bancorp 15,240,277
------------------------------------------------------------------------------------------------------------------------
37,724,852
------------------------------------------------------------------------------------------------------------------------
Biotechnology (3.1%)
........................................................................................................................
864,500 Amgen, Inc. (NON) 60,731,125
........................................................................................................................
171,000 Biovail Corporation (Canada) (NON) 9,479,813
........................................................................................................................
130,300 Cephalon, Inc. (NON) 7,801,713
........................................................................................................................
317,900 Genentech, Inc. (NON) 54,678,800
........................................................................................................................
164,600 Medimmune, Inc. (NON) 12,180,400
........................................................................................................................
146,800 Millennium Pharmaceuticals, Inc. 16,423,250
........................................................................................................................
476,800 Sepracor, Inc. (NON) 57,514,000
........................................................................................................................
221,760 Transkaryotic Therapies, Inc. (NON) 8,149,680
------------------------------------------------------------------------------------------------------------------------
226,958,781
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.1%)
........................................................................................................................
64,300 Macrovision Corp. (NON) 4,110,177
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (10.1%)
........................................................................................................................
822,400 ADC Telecommunications, Inc. (NON) 68,978,800
........................................................................................................................
412,800 Advanced Fibre Communications (NON) 18,705,000
........................................................................................................................
390,356 Brocade Communications Systems, Inc. (NON) 71,624,227
........................................................................................................................
2,113,600 Cisco Systems, Inc. (NON) 134,345,700
........................................................................................................................
834,800 Comverse Technology, Inc. (NON) 77,636,400
........................................................................................................................
100,400 Crossroads Systems, Inc. (NON) 2,535,100
........................................................................................................................
281,000 Efficient Networks, Inc. (NON) 20,671,063
........................................................................................................................
18,400 Extreme Networks, Inc. (NON) 1,941,200
........................................................................................................................
456,900 Finisar Corp. (NON) 11,965,069
........................................................................................................................
448,000 Juniper Networks, Inc. (NON) 65,212,000
........................................................................................................................
2,354,200 Nokia Oyj AB ADR (Finland) 117,562,863
........................................................................................................................
809,400 Nortel Networks Corp. 55,241,550
........................................................................................................................
315,722 Redback Networks, Inc. (NON) 56,198,516
........................................................................................................................
211,000 Scientific-Atlanta, Inc. 15,719,500
........................................................................................................................
415,700 Tellabs, Inc. (NON) 28,449,469
------------------------------------------------------------------------------------------------------------------------
746,786,457
------------------------------------------------------------------------------------------------------------------------
Computers-Hardware (2.4%)
........................................................................................................................
1,058,600 EMC Corp. (NON) 81,446,038
........................................................................................................................
1,057,000 Sun Microsystems, Inc. (NON) 96,120,938
------------------------------------------------------------------------------------------------------------------------
177,566,976
------------------------------------------------------------------------------------------------------------------------
Computers-Software and Services (2.2%)
........................................................................................................................
89,000 Ariba, Inc. (NON) 8,726,172
........................................................................................................................
1,361,400 Parametric Technology Corp. (NON) 14,975,400
........................................................................................................................
316,200 RealNetworks, Inc. (NON) 15,987,863
........................................................................................................................
101,000 Retek, Inc. (NON) 3,232,000
........................................................................................................................
668,840 VeriSign, Inc. (NON) 118,050,260
------------------------------------------------------------------------------------------------------------------------
160,971,695
------------------------------------------------------------------------------------------------------------------------
Computers Services (1.2%)
........................................................................................................................
242,300 CheckFree Holdings Corp. (NON) 12,493,594
........................................................................................................................
105,300 Digex, Inc. (NON) 7,153,819
........................................................................................................................
241,100 Exodus Communications, Inc. (NON) 11,105,669
........................................................................................................................
14,462 MarchFirst, Inc. (NON) 263,932
........................................................................................................................
252,600 Proxicom, Inc. (NON) 12,093,225
........................................................................................................................
276,162 Rare Medium Group, Inc. (NON) 4,366,812
........................................................................................................................
91,300 Sapient Corp. (NON) 9,763,394
........................................................................................................................
166,500 Scient Corp. (NON) 7,346,813
........................................................................................................................
349,876 Viant Corp. (NON) 10,365,077
........................................................................................................................
219,600 Wireless Facilities, Inc. (NON) 11,185,875
------------------------------------------------------------------------------------------------------------------------
86,138,210
------------------------------------------------------------------------------------------------------------------------
Conglomerates (3.4%)
........................................................................................................................
3,233,700 General Electric Co. 171,386,100
........................................................................................................................
1,732,900 Tyco International, Ltd. 82,096,138
------------------------------------------------------------------------------------------------------------------------
253,482,238
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.7%)
........................................................................................................................
362,300 Colgate-Palmolive Co. 21,692,713
........................................................................................................................
609,100 Estee Lauder Cos. Class A 30,112,381
------------------------------------------------------------------------------------------------------------------------
51,805,094
------------------------------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
........................................................................................................................
432,600 TMP Worldwide, Inc. (NON) 31,931,288
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.8%)
........................................................................................................................
900,400 Calpine Corp. (NON) 59,201,300
------------------------------------------------------------------------------------------------------------------------
Electronic Manufacturing Services (2.8%)
........................................................................................................................
763,800 Celestica, Inc. (Canada) (NON) 37,903,575
........................................................................................................................
585,900 Flextronics International, Ltd. 40,244,006
........................................................................................................................
1,184,800 Jabil Circuit, Inc. (NON) 58,795,700
........................................................................................................................
574,700 Sanmina Corp. (NON) 49,136,850
........................................................................................................................
429,400 SCI Systems, Inc. (NON) 16,827,113
------------------------------------------------------------------------------------------------------------------------
202,907,244
------------------------------------------------------------------------------------------------------------------------
Electronics (4.2%)
........................................................................................................................
51,500 Ditech Communications Corp. (NON) 4,869,969
........................................................................................................................
337,300 E-Tek Dynamics, Inc. (NON) 88,983,956
........................................................................................................................
979,500 JDS Uniphase Corp. (NON) 117,417,563
........................................................................................................................
344,000 SDL, Inc. (NON) 98,104,500
------------------------------------------------------------------------------------------------------------------------
309,375,988
------------------------------------------------------------------------------------------------------------------------
Entertainment (2.8%)
........................................................................................................................
355,700 International Speedway Corp. Class A 14,717,088
........................................................................................................................
458,700 SFX Entertainment, Inc. Class A (NON) 20,784,844
........................................................................................................................
2,493,701 Viacom, Inc. Class B (NON) 170,039,237
------------------------------------------------------------------------------------------------------------------------
205,541,169
------------------------------------------------------------------------------------------------------------------------
Financial (0.5%)
........................................................................................................................
821,400 Intuit, Inc. (NON) 33,985,425
------------------------------------------------------------------------------------------------------------------------
Insurance (0.6%)
........................................................................................................................
350,600 American International Group, Inc. 41,195,500
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (1.3%)
........................................................................................................................
195,800 Merrill Lynch & Co., Inc. 22,517,000
........................................................................................................................
493,400 Morgan Stanley, Dean Witter,
Discover and Co. 41,075,550
........................................................................................................................
1,034,250 Schwab (Charles) Corp. 34,776,656
------------------------------------------------------------------------------------------------------------------------
98,369,206
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (0.3%)
........................................................................................................................
289,630 Four Seasons Hotels, Inc. (Canada) 18,011,366
------------------------------------------------------------------------------------------------------------------------
Media (11.1%)
........................................................................................................................
578,500 America Online, Inc. (NON) 30,515,875
........................................................................................................................
1,125,500 AMFM, Inc. (NON) 77,659,500
........................................................................................................................
5,661,718 AT&T Corp. - Liberty Media Group
Class A (NON) 137,296,662
........................................................................................................................
521,900 Citadel Communications Corp. (NON) 18,233,881
........................................................................................................................
1,941,100 Clear Channel Communications, Inc. (NON) (SEG) 145,582,500
........................................................................................................................
372,200 CMG Information Services, Inc. (NON) 17,051,413
........................................................................................................................
349,400 CNET Networks, Inc. (NON) 8,582,138
........................................................................................................................
304,200 DoubleClick, Inc. (NON) 11,597,625
........................................................................................................................
575,500 Echostar Communications Corp.
Class A (NON) 19,054,445
........................................................................................................................
337,652 Entercom Communications Corp. (NON) 16,460,535
........................................................................................................................
415,680 Hispanic Broadcasting Corp. (NON) 13,769,400
........................................................................................................................
3,251,800 Infinity Broadcasting Corp. Class A (NON) 118,487,463
........................................................................................................................
789,400 InfoSpace.com, Inc. (NON) 43,614,350
........................................................................................................................
532,600 Lamar Advertising Co. (NON) 23,068,238
........................................................................................................................
535,500 Lycos, Inc. (NON) 28,917,000
........................................................................................................................
735,700 Time Warner, Inc. 55,913,200
........................................................................................................................
260,400 Univision Communications, Inc. Class A (NON) 26,951,400
........................................................................................................................
839,200 WestWood One, Inc. (NON) 28,637,700
------------------------------------------------------------------------------------------------------------------------
821,393,325
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.5%)
........................................................................................................................
758,000 PE Corp. 49,933,250
........................................................................................................................
1,097,600 Sybron International Corp. (NON) 21,746,200
........................................................................................................................
319,800 Waters Corp. (NON) 39,915,038
------------------------------------------------------------------------------------------------------------------------
111,594,488
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (2.9%)
........................................................................................................................
104,500 IVAX Corp. (NON) 4,336,750
........................................................................................................................
371,500 Lilly (Eli) & Co. 37,103,563
........................................................................................................................
163,800 Medicis Pharmaceutical Corp. Class A (NON) 9,336,600
........................................................................................................................
2,363,625 Pfizer, Inc. 113,454,000
........................................................................................................................
250,400 Pharmacia Corp. 12,942,550
........................................................................................................................
658,100 Schering-Plough Corp. 33,234,050
........................................................................................................................
117,700 Shire Pharmaceuticals Group PLC ADR
(United Kingdom) (NON) 6,105,688
------------------------------------------------------------------------------------------------------------------------
216,513,201
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.1%)
........................................................................................................................
1,747,800 J.D. Wetherspoon PLC (United Kingdom) 9,919,857
------------------------------------------------------------------------------------------------------------------------
Retail (4.1%)
........................................................................................................................
1,635,300 Bed Bath & Beyond, Inc. (NON) 59,279,625
........................................................................................................................
857,730 Dollar Tree Stores, Inc. (NON) 33,933,943
........................................................................................................................
1,140,250 Home Depot, Inc. (The) 56,941,234
........................................................................................................................
962,000 Kohls Corp. (NON) 53,511,250
........................................................................................................................
357,300 Priceline.com, Inc. (NON) 13,571,817
........................................................................................................................
175,300 Target Corp. 10,167,400
........................................................................................................................
467,400 TJX Cos., Inc. (The) 8,763,750
........................................................................................................................
1,024,900 Wal-Mart Stores, Inc. 59,059,863
........................................................................................................................
207,700 Whole Foods Market, Inc. (NON) 8,580,606
------------------------------------------------------------------------------------------------------------------------
303,809,488
------------------------------------------------------------------------------------------------------------------------
Schools (0.2%)
........................................................................................................................
242,100 SmartForce Public Limited Co.
ADR (Ireland) (NON) 11,620,800
------------------------------------------------------------------------------------------------------------------------
Semiconductor (11.9%)
........................................................................................................................
487,800 Altera Corp. (NON) 49,725,113
........................................................................................................................
1,258,600 Analog Devices, Inc. (NON) 95,653,600
........................................................................................................................
403,200 Applied Micro Circuits Corp. (NON) 39,816,000
........................................................................................................................
224,100 Broadcom Corp. (NON) 49,063,894
........................................................................................................................
118,800 GlobeSpan, Inc. (NON) 14,502,881
........................................................................................................................
817,200 Intel Corp. 109,249,425
........................................................................................................................
1,372,700 Linear Technology Corp. 87,767,006
........................................................................................................................
1,525,900 Maxim Integrated Products, Inc. (NON) 103,665,831
........................................................................................................................
519,600 Micrel, Inc. (NON) 22,570,125
........................................................................................................................
422,400 PMC - Sierra, Inc. (NON) 75,055,200
........................................................................................................................
276,600 QLogic Corp. (NON) 18,272,888
........................................................................................................................
269,900 RF Micro Devices, Inc. (NON) 23,649,988
........................................................................................................................
122,100 Semtech Corp. (NON) 9,338,742
........................................................................................................................
1,020,100 Texas Instruments, Inc. 70,068,119
........................................................................................................................
206,400 Virata Corp. (NON) 12,306,600
........................................................................................................................
534,900 Vitesse Semiconductor Corp. (NON) 39,348,581
........................................................................................................................
700,300 Xilinx, Inc. (NON) 57,818,519
------------------------------------------------------------------------------------------------------------------------
877,872,512
------------------------------------------------------------------------------------------------------------------------
Semiconductor Production Equipment (3.0%)
........................................................................................................................
1,012,200 Applied Materials, Inc. (NON) 91,730,625
........................................................................................................................
812,100 ASM Lithography Holding
NV (Netherlands) (NON) 35,833,913
........................................................................................................................
766,700 KLA Tencor Corp. (NON) 44,899,869
........................................................................................................................
329,200 LTX Corp. (NON) 11,501,425
........................................................................................................................
529,300 Teradyne, Inc. (NON) 38,903,550
------------------------------------------------------------------------------------------------------------------------
222,869,382
------------------------------------------------------------------------------------------------------------------------
Software (12.7%)
........................................................................................................................
186,780 Agile Software Corp. (NON) 13,203,011
........................................................................................................................
590,000 Amdocs, Ltd. 45,282,500
........................................................................................................................
926,300 BroadVision, Inc. (NON) 47,067,619
........................................................................................................................
105,400 Check Point Software Technologies,
Ltd. (Israel) 22,318,450
........................................................................................................................
117,000 E.piphany, Inc. (NON) 12,540,938
........................................................................................................................
303,100 Electronic Arts, Inc. (NON) 22,107,356
........................................................................................................................
481,700 I2 Technologies, Inc. (NON) 50,224,752
........................................................................................................................
81,600 Informatica Corp. (NON) 6,686,100
........................................................................................................................
156,900 ISS Group, Inc. (NON) 15,491,423
........................................................................................................................
138,033 Kana Communications, Inc. (NON) 8,540,792
........................................................................................................................
140,300 Kana Communications, Inc. (acquired
6/7/00, cost $7,015,000) (RES) (NON) 7,812,956
........................................................................................................................
452,000 Macromedia, Inc. (NON) 43,702,750
........................................................................................................................
247,500 Micromuse, Inc. (NON) 40,957,383
........................................................................................................................
1,207,300 Microsoft Corp. (NON) 96,584,000
........................................................................................................................
1,567,700 Misys PLC (United Kingdom) 13,239,744
........................................................................................................................
1,075,800 Oracle Corp. (NON) 90,434,438
........................................................................................................................
331,800 Peregrine Systems, Inc. (NON) 11,509,313
........................................................................................................................
78,800 Phone.com, Inc. (NON) 5,131,850
........................................................................................................................
819,100 Portal Software, Inc. (NON) 52,320,013
........................................................................................................................
446,700 Rational Software Corp. (NON) 41,515,181
........................................................................................................................
191,200 Siebel Systems, Inc. (NON) 31,273,150
........................................................................................................................
187,400 Software.com, Inc. (NON) 24,338,575
........................................................................................................................
1,507,450 VERITAS Software Corp. (NON) 170,365,404
........................................................................................................................
1,015,600 Vignette Corp. (NON) 52,827,069
........................................................................................................................
34,838 Vitria Technology, Inc. (NON) 2,129,473
........................................................................................................................
73,050 webMethods, Inc. (NON) 11,482,547
------------------------------------------------------------------------------------------------------------------------
939,086,787
------------------------------------------------------------------------------------------------------------------------
Telecommunications (11.8%)
........................................................................................................................
658,150 Allegiance Telecom, Inc. (NON) 42,121,600
........................................................................................................................
936,900 American Tower Corp. Class A (NON) 39,057,019
........................................................................................................................
769,300 Covad Communications Group, Inc. (NON) 12,404,963
........................................................................................................................
317,800 Crown Castle International Corp. (NON) 11,599,700
........................................................................................................................
324,800 Focal Communications Corp. (NON) 11,753,700
........................................................................................................................
1,011,700 Global Crossing Ltd. 26,620,356
........................................................................................................................
1,068,500 Global Telesystems Group, Inc. 12,888,781
........................................................................................................................
182,300 Intermedia Communications, Inc. (NON) 5,423,425
........................................................................................................................
374,800 Level 3 Communication, Inc. (NON) 32,982,400
........................................................................................................................
4,334,100 McLeodUSA, Inc. Class A (NON) 89,661,694
........................................................................................................................
4,075,254 Metromedia Fiber Network, Inc. Class A (NON) 161,736,622
........................................................................................................................
277,700 MGC Communications, Inc. (NON) 16,644,644
........................................................................................................................
401,900 Network Plus Corp. (NON) 4,672,088
........................................................................................................................
139,700 Next Level Communications, Inc. (NON) 11,979,275
........................................................................................................................
659,400 Nextel Communications, Inc. Class A (NON) 40,347,038
........................................................................................................................
3,298,848 Nextlink Communications, Inc. Class A (NON) 125,150,046
........................................................................................................................
456,100 NTL, Inc. (NON) 27,308,988
........................................................................................................................
380,100 Pinnacle Holdings, Inc. (NON) 20,525,400
........................................................................................................................
1,147,300 Sprint Corp. (NON) 68,264,350
........................................................................................................................
371,000 Telecorp PCS, Inc. (NON) 14,955,938
........................................................................................................................
1,062,000 Vodafone AirTouch PLC
(United Kingdom) 44,006,625
........................................................................................................................
303,100 VoiceStream Wireless Corp. (NON) 35,249,583
........................................................................................................................
505,800 WinStar Communications, Inc. (NON) 17,133,975
------------------------------------------------------------------------------------------------------------------------
872,488,210
------------------------------------------------------------------------------------------------------------------------
Transportation Services (0.2%)
........................................................................................................................
228,700 United Parcel Service, Inc. 13,493,300
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $4,035,333,924) $7,191,037,191
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C> <C>
........................................................................................................................
$50,000,000 Federal Home Loan Mortgage Corp.
effective yield of 6.43%, August 15, 2000 $49,598,125
........................................................................................................................
23,853,000 Merrill Lynch & Co., Inc. effective
yield of 6.55%, July 6, 2000 23,831,300
........................................................................................................................
35,000,000 Old Line Funding Corp. effective
yield of 6.55%, July 20, 2000 34,876,606
........................................................................................................................
25,000,000 Sheffield Receivables Corp. effective
yield of 6.54%, July 5, 2000 24,975,521
........................................................................................................................
71,068,000 Interest in $378,983,000 joint repurchase
agreement dated June 30, 2000 with
Salomon, Smith Barney, Inc. due
July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $71,106,495 for an effective
yield of 6.50% 71,068,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $204,349,552) $204,349,552
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $4,239,683,476) (b) $7,395,386,743
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Short) $90,655,175 $92,224,602 Sep-00 $(1,569,427)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT New Value Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (96.6%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Aerospace/Defense (2.2%)
........................................................................................................................
100,900 Boeing Co. $4,218,881
........................................................................................................................
59,700 Lockheed Martin Corp. 1,481,306
------------------------------------------------------------------------------------------------------------------------
5,700,187
------------------------------------------------------------------------------------------------------------------------
Automotive (0.7%)
........................................................................................................................
85,600 Lear Corp. (NON) 1,712,000
------------------------------------------------------------------------------------------------------------------------
Banking (12.5%)
........................................................................................................................
104,600 Bank of America Corp. 4,497,800
........................................................................................................................
124,500 BB&T Corp. 2,972,438
........................................................................................................................
180,900 Charter One Financial, Inc. 4,160,700
........................................................................................................................
79,600 Comerica, Inc. 3,572,050
........................................................................................................................
125,100 Firstar Corp. 2,634,919
........................................................................................................................
84,600 FleetBoston Financial Corp. 2,876,400
........................................................................................................................
8,900 M & T Bank Corp. 4,005,000
........................................................................................................................
71,000 PNC Bank Corp. 3,328,125
........................................................................................................................
81,900 U.S. Bancorp 1,576,575
........................................................................................................................
91,300 Washington Mutual, Inc. 2,636,288
------------------------------------------------------------------------------------------------------------------------
32,260,295
------------------------------------------------------------------------------------------------------------------------
Beverage (2.4%)
........................................................................................................................
208,900 Pepsi Bottling Group, Inc. (The) 6,097,269
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.4%)
........................................................................................................................
13,225 General Motors Corp. Class H (NON) 1,160,494
------------------------------------------------------------------------------------------------------------------------
Chemicals (3.7%)
........................................................................................................................
59,700 Avery Dennison Corp. 4,007,363
........................................................................................................................
64,700 du Pont (E.I.) de Nemours & Co., Ltd. 2,830,625
........................................................................................................................
160,700 Engelhard Corp. 2,741,944
------------------------------------------------------------------------------------------------------------------------
9,579,932
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.4%)
........................................................................................................................
298,800 Service Corp. International 952,425
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (0.9%)
........................................................................................................................
34,800 Tellabs, Inc. (NON) 2,381,625
------------------------------------------------------------------------------------------------------------------------
Computers (3.8%)
........................................................................................................................
38,800 Hewlett-Packard Co. 4,845,150
........................................................................................................................
80,300 NCR Corp. (NON) 3,126,681
........................................................................................................................
178,600 Quantum Corp. (NON) 1,730,188
------------------------------------------------------------------------------------------------------------------------
9,702,019
------------------------------------------------------------------------------------------------------------------------
Conglomerates (0.9%)
........................................................................................................................
70,300 Cooper Industries, Inc. 2,289,144
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (1.1%)
........................................................................................................................
66,400 Household International, Inc. 2,759,750
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (1.5%)
........................................................................................................................
66,400 Kimberly-Clark Corp. 3,809,700
------------------------------------------------------------------------------------------------------------------------
Containers and Packaging (0.4%)
........................................................................................................................
99,600 Owens-Illinois, Inc. (NON) 1,164,075
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (3.4%)
........................................................................................................................
119,600 CP&L, Inc. 3,819,725
........................................................................................................................
182,600 Entergy Corp. 4,964,438
------------------------------------------------------------------------------------------------------------------------
8,784,163
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (1.3%)
........................................................................................................................
55,700 Emerson Electric Co. 3,362,888
------------------------------------------------------------------------------------------------------------------------
Energy (2.7%)
........................................................................................................................
34,800 Schlumberger, Ltd. 2,596,950
........................................................................................................................
79,778 Transocean Sedco Forex, Inc. 4,263,137
------------------------------------------------------------------------------------------------------------------------
6,860,087
------------------------------------------------------------------------------------------------------------------------
Financial (3.9%)
........................................................................................................................
108,900 Citigroup, Inc. 6,561,225
........................................................................................................................
66,400 Fannie Mae 3,465,250
------------------------------------------------------------------------------------------------------------------------
10,026,475
------------------------------------------------------------------------------------------------------------------------
Health Care Services (3.9%)
........................................................................................................................
39,800 Baxter International, Inc. 2,798,438
........................................................................................................................
56,500 CIGNA Corp. 5,282,750
........................................................................................................................
76,500 Tenet Healthcare Corp. 2,065,500
------------------------------------------------------------------------------------------------------------------------
10,146,688
------------------------------------------------------------------------------------------------------------------------
Insurance (4.4%)
........................................................................................................................
66,400 American General Corp. 4,050,400
........................................................................................................................
61,400 Hartford Financial Services Group 3,434,563
........................................................................................................................
106,200 Lincoln National Corp. 3,836,475
------------------------------------------------------------------------------------------------------------------------
11,321,438
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (1.6%)
........................................................................................................................
49,800 Bear Stearns Companies, Inc. (The) 2,072,925
........................................................................................................................
22,200 Lehman Brothers Holdings, Inc. 2,099,288
------------------------------------------------------------------------------------------------------------------------
4,172,213
------------------------------------------------------------------------------------------------------------------------
Lodging/Tourism (1.5%)
........................................................................................................................
117,800 Starwood Hotels & Resorts
Worldwide, Inc. 3,835,863
------------------------------------------------------------------------------------------------------------------------
Machinery (0.8%)
........................................................................................................................
58,100 Caterpillar, Inc. 1,968,138
------------------------------------------------------------------------------------------------------------------------
Media (0.5%)
........................................................................................................................
21,900 Seagram Co., Ltd. 1,270,200
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.2%)
........................................................................................................................
28,200 Bausch & Lomb, Inc. 2,181,975
........................................................................................................................
22,000 Mallinckrodt, Inc. 955,625
------------------------------------------------------------------------------------------------------------------------
3,137,600
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (1.9%)
........................................................................................................................
172,735 Sempra Energy 2,936,495
........................................................................................................................
49,000 Williams Cos., Inc. 2,042,688
------------------------------------------------------------------------------------------------------------------------
4,979,183
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (9.3%)
........................................................................................................................
56,360 BP Amoco PLC ADR (United Kingdom) 3,187,863
........................................................................................................................
166,000 Conoco, Inc. 3,652,000
........................................................................................................................
95,600 ExxonMobil Corp. 7,504,600
........................................................................................................................
98,500 Royal Dutch Petroleum Co.
PLC ADR (Netherlands) 6,063,906
........................................................................................................................
166,000 Union Pacific Resources Group, Inc. 3,652,000
------------------------------------------------------------------------------------------------------------------------
24,060,369
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (2.0%)
........................................................................................................................
107,500 Boise Cascade Corp. 2,781,563
........................................................................................................................
179,400 Smurfit-Stone Container Corp. (NON) 2,309,775
------------------------------------------------------------------------------------------------------------------------
5,091,338
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (5.0%)
........................................................................................................................
74,700 Abbott Laboratories 3,328,819
........................................................................................................................
58,100 American Home Products Corp. 3,413,375
........................................................................................................................
54,700 Bristol-Myers Squibb Co. 3,186,275
........................................................................................................................
54,973 Pharmacia Corp. 2,841,417
------------------------------------------------------------------------------------------------------------------------
12,769,886
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (1.0%)
........................................................................................................................
44,400 Eastman Kodak Co. 2,641,800
------------------------------------------------------------------------------------------------------------------------
Railroads (1.7%)
........................................................................................................................
120,200 Union Pacific Corp. 4,469,938
------------------------------------------------------------------------------------------------------------------------
Real Estate (1.2%)
........................................................................................................................
64,700 Equity Residential Properties Trust (R) 2,976,200
------------------------------------------------------------------------------------------------------------------------
Regional Bells (6.0%)
........................................................................................................................
112,900 GTE Corp. 7,028,025
........................................................................................................................
194,500 SBC Communications, Inc. 8,412,125
------------------------------------------------------------------------------------------------------------------------
15,440,150
------------------------------------------------------------------------------------------------------------------------
Retail (2.6%)
........................................................................................................................
57,100 Federated Department Stores, Inc. (NON) 1,927,125
........................................................................................................................
282,300 K mart Corp. (NON) 1,923,169
........................................................................................................................
53,400 Penney (J.C.) Co., Inc. 984,563
........................................................................................................................
58,100 Sears, Roebuck & Co. 1,895,513
------------------------------------------------------------------------------------------------------------------------
6,730,370
------------------------------------------------------------------------------------------------------------------------
Software (1.6%)
........................................................................................................................
51,400 Computer Associates International, Inc. 2,631,038
........................................................................................................................
19,900 Microsoft Corp. (NON) 1,591,989
------------------------------------------------------------------------------------------------------------------------
4,223,027
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.0%)
........................................................................................................................
59,700 Electronic Data Systems Corp. 2,462,625
------------------------------------------------------------------------------------------------------------------------
Telecommunications (2.8%)
........................................................................................................................
77,000 ALLTEL Corp. 4,769,188
........................................................................................................................
79,600 AT&T Corp. 2,517,350
------------------------------------------------------------------------------------------------------------------------
7,286,538
------------------------------------------------------------------------------------------------------------------------
Tobacco (1.4%)
........................................................................................................................
132,600 Philip Morris Cos., Inc. 3,522,188
------------------------------------------------------------------------------------------------------------------------
Waste Management (3.0%)
........................................................................................................................
332,000 Republic Services, Inc. (NON) 5,312,000
........................................................................................................................
125,100 Waste Management, Inc. 2,376,900
------------------------------------------------------------------------------------------------------------------------
7,688,900
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $245,431,970) $248,797,180
------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.5%) (a) (cost $5,327,158)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$6,600,000 Rite Aid Corp. cv. sub. notes 5 1/4s, 2002 $3,951,750
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.4%) (a) (cost $6,134,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$6,134,000 Interest in $500,000,000 joint repurchase
agreement dated June 30, 2000 with
S.B.C Warburg, Inc. due July 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$6,137,374 for an effective
yield of 6.60% $6,134,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $256,893,128) (b) $258,882,930
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT OTC & Emerging Growth Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (95.2%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Commercial Services (3.0%)
........................................................................................................................
101,600 Be Free, Inc. (NON) $914,400
........................................................................................................................
47,000 Freemarkets, Inc. (NON) 2,229,563
........................................................................................................................
800 iBeam Broadcasting Corp. (NON) 14,400
........................................................................................................................
33,000 Keynote Systems, Inc. (NON) 2,328,563
........................................................................................................................
56,000 Macrovision Corp. (NON) 3,579,625
........................................................................................................................
72,300 Multex.com, Inc. (NON) 1,821,056
........................................................................................................................
72,700 VerticalNet, Inc. (NON) 2,685,356
------------------------------------------------------------------------------------------------------------------------
13,572,963
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (9.1%)
........................................................................................................................
85,200 Advanced Fibre Communications (NON) 3,860,625
........................................................................................................................
38,300 Brocade Communications Systems (NON) 7,027,452
........................................................................................................................
6,600 Clarent Corp. (NON) 471,900
........................................................................................................................
15,800 Copper Mountain Networks, Inc. (NON) 1,392,375
........................................................................................................................
23,900 Crossroads Systems, Inc. (NON) 603,475
........................................................................................................................
108,400 Efficient Networks, Inc. (NON) 7,974,175
........................................................................................................................
89,400 Finisar Corp. (NON) 2,341,163
........................................................................................................................
46,000 Netro Corp. (NON) 2,639,250
........................................................................................................................
75,900 Redback Networks, Inc. (NON) 13,510,200
........................................................................................................................
3,000 Sonus Networks, Inc. (NON) 473,625
........................................................................................................................
20,900 Terayon Communications Systems, Inc. (NON) 1,342,498
........................................................................................................................
2,100 Turnstone Systems, Inc. (NON) 347,911
------------------------------------------------------------------------------------------------------------------------
41,984,649
------------------------------------------------------------------------------------------------------------------------
Computers (3.9%)
........................................................................................................................
66,100 Ariba, Inc. (NON) 6,480,898
........................................................................................................................
128,300 RealNetworks, Inc. (NON) 6,487,168
........................................................................................................................
25,200 VeriSign, Inc. (NON) 4,447,800
........................................................................................................................
41,500 Zi Corp. (Canada) (NON) 383,875
------------------------------------------------------------------------------------------------------------------------
17,799,741
------------------------------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
........................................................................................................................
53,600 HomeStore.com, Inc. (NON) 1,564,450
........................................................................................................................
37,400 TMP Worldwide, Inc. (NON) 2,760,588
------------------------------------------------------------------------------------------------------------------------
4,325,038
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.8%)
........................................................................................................................
58,800 Calpine Corp. (NON) 3,866,100
------------------------------------------------------------------------------------------------------------------------
Electronics (20.7%)
........................................................................................................................
101,200 Alpha Industries, Inc. (NON) 4,459,125
........................................................................................................................
58,600 Applied Micro Circuits Corp. (NON) 5,786,750
........................................................................................................................
44,700 AudioCodes, Ltd. (Israel) (NON) 5,364,000
........................................................................................................................
18,200 Avanex Corp. (NON) 1,738,100
........................................................................................................................
39,300 Bookham Technology PLC
(United Kingdom) (NON) 2,328,525
........................................................................................................................
13,600 Centillium Communications, Inc. (NON) 938,400
........................................................................................................................
16,800 Cree Research, Inc. (NON) 2,242,800
........................................................................................................................
30,200 Ditech Communications Corp. (NON) 2,855,788
........................................................................................................................
44,900 E-Tek Dynamics, Inc. (NON) 11,845,181
........................................................................................................................
114,500 GlobeSpan, Inc. (NON) 13,977,945
........................................................................................................................
41,500 Jabil Circuit, Inc. (NON) 2,059,438
........................................................................................................................
3,600 Marvell Technology Group, Ltd. 205,200
........................................................................................................................
35,200 Micrel, Inc. (NON) 1,529,000
........................................................................................................................
27,900 New Focus, Inc. (NON) 2,291,288
........................................................................................................................
50,600 QLogic Corp. (NON) 3,342,763
........................................................................................................................
72,000 Quantum Effect Devices, Inc. (NON) 4,104,000
........................................................................................................................
37,200 RF Micro Devices, Inc. (NON) 3,259,650
........................................................................................................................
37,400 Sawtek, Inc. (NON) 2,152,838
........................................................................................................................
64,600 SDL, Inc. (NON) 18,423,100
........................................................................................................................
15,900 Silicon Image, Inc. (NON) 793,013
........................................................................................................................
14,900 Silicon Laboratories, Inc. (NON) 791,563
........................................................................................................................
9,800 TriQuint Semiconductor, Inc. (NON) 937,738
........................................................................................................................
37,900 Virata Corp. (NON) 2,259,788
........................................................................................................................
24,000 Zoran Corp. (NON) 1,582,500
------------------------------------------------------------------------------------------------------------------------
95,268,493
------------------------------------------------------------------------------------------------------------------------
Health Care Services (0.3%)
........................................................................................................................
27,900 Allscripts, Inc. (NON) 641,700
........................................................................................................................
11,900 Invitrogen Corp. (NON) 894,917
------------------------------------------------------------------------------------------------------------------------
1,536,617
------------------------------------------------------------------------------------------------------------------------
Media (6.2%)
........................................................................................................................
65,000 About.com, Inc. (NON) 2,047,500
........................................................................................................................
8,800 Avenue A, Inc. (NON) 77,550
........................................................................................................................
173,900 CNET Networks, Inc. (NON) 4,271,419
........................................................................................................................
115,800 DoubleClick, Inc. (NON) 4,414,875
........................................................................................................................
64,600 Engage Technologies, Inc. (NON) 835,763
........................................................................................................................
106,200 InfoSpace.com, Inc. (NON) 5,867,550
........................................................................................................................
27,800 LookSmart, Ltd. (NON) 514,300
........................................................................................................................
156,500 Lycos, Inc. (NON) 8,451,000
........................................................................................................................
53,700 Mediaplex, Inc. (NON) 1,037,081
........................................................................................................................
66,100 Netcentives, Inc. (NON) 1,231,113
------------------------------------------------------------------------------------------------------------------------
28,748,151
------------------------------------------------------------------------------------------------------------------------
Medical Technology (0.1%)
........................................................................................................................
18,000 ChromaVision Medical Systems, Inc. (NON) 237,375
------------------------------------------------------------------------------------------------------------------------
Power Supply Equipment (--%)
........................................................................................................................
4,600 Capstone Turbine Corp. (NON) 207,288
------------------------------------------------------------------------------------------------------------------------
Production Equipment (0.8%)
........................................................................................................................
60,000 LTX Corp. (NON) 2,096,250
........................................................................................................................
18,300 Photon Dynamics, Inc. (NON) 1,366,781
------------------------------------------------------------------------------------------------------------------------
3,463,031
------------------------------------------------------------------------------------------------------------------------
Schools (0.6%)
........................................................................................................................
54,100 SmartForce Public Limited Co. PLC
ADR (Ireland) (NON) 2,596,800
------------------------------------------------------------------------------------------------------------------------
Software (29.6%)
........................................................................................................................
92,100 Agile Software Corp. (NON) 6,510,319
........................................................................................................................
40,400 BackWeb Technologies, Ltd. (Israel) 924,150
........................................................................................................................
16,900 Brio Technology, Inc. (NON) 358,069
........................................................................................................................
107,700 Business Objects S.A. ADR (France) (NON) 9,491,063
........................................................................................................................
80,600 E.piphany, Inc. (NON) 8,639,313
........................................................................................................................
15,600 Electronic Arts, Inc. (NON) 1,137,825
........................................................................................................................
119,100 Informatica Corp. (NON) 9,758,756
........................................................................................................................
76,000 Interwoven, Inc. (NON) 8,358,813
........................................................................................................................
19,400 ISS Group, Inc. (NON) 1,915,447
........................................................................................................................
126,338 Kana Communications, Inc. (NON) 7,817,164
........................................................................................................................
29,700 Kana Communications, Inc. (acquired
6/7/00, cost $1,485,000) (RES) 1,653,919
........................................................................................................................
47,300 Macromedia, Inc. (NON) 4,573,319
........................................................................................................................
9,600 Manugistics Group, Inc. (NON) 448,800
........................................................................................................................
42,517 Mercator Software, Inc. (NON) 2,923,044
........................................................................................................................
67,200 Metasolv Software, Inc. (NON) 2,956,800
........................................................................................................................
40,100 Micromuse, Inc. (NON) 6,635,923
........................................................................................................................
36,800 Netegrity, Inc. (NON) 2,771,500
........................................................................................................................
161,600 Peregrine Systems, Inc. (NON) 5,605,500
........................................................................................................................
69,300 Phone.com, Inc. (NON) 4,513,163
........................................................................................................................
123,000 Portal Software, Inc. (NON) 7,856,625
........................................................................................................................
72,500 Quest Software, Inc. (NON) 4,014,688
........................................................................................................................
28,600 SilverStream Software, Inc. (NON) 1,651,650
........................................................................................................................
51,900 Software.com, Inc. (NON) 6,740,513
........................................................................................................................
157,400 Vignette Corp. (NON) 8,187,259
........................................................................................................................
179,900 Vitria Technology, Inc. (NON) 10,996,388
........................................................................................................................
62,400 webMethods, Inc. (NON) 9,808,500
------------------------------------------------------------------------------------------------------------------------
136,248,510
------------------------------------------------------------------------------------------------------------------------
Technology Services (7.1%)
........................................................................................................................
93,602 Breakaway Solutions, Inc. (NON) 2,527,254
........................................................................................................................
46,600 C-Bridge Internet Solutions, Inc. (NON) 809,675
........................................................................................................................
46,400 Cysive, Inc. (NON) 1,107,800
........................................................................................................................
24,200 Digex, Inc. (NON) 1,644,088
........................................................................................................................
300 MarchFirst, Inc. (NON) 5,475
........................................................................................................................
66,300 Predictive Systems, Inc. (NON) 2,382,656
........................................................................................................................
196,700 Proxicom, Inc. (NON) 9,417,013
........................................................................................................................
104,100 Rare Medium Group, Inc. (NON) 1,646,081
........................................................................................................................
146,100 Razorfish, Inc. (NON) 2,346,731
........................................................................................................................
104,400 Scient Corp. (NON) 4,606,650
........................................................................................................................
1,200 StorageNetworks, Inc. (NON) 108,300
........................................................................................................................
158,000 Viant Corp. (NON) 4,680,750
........................................................................................................................
29,100 Wireless Facilities, Inc. (NON) 1,482,281
------------------------------------------------------------------------------------------------------------------------
32,764,754
------------------------------------------------------------------------------------------------------------------------
Telecommunications (12.1%)
........................................................................................................................
36,800 Allegiance Telecom, Inc. (NON) 2,355,200
........................................................................................................................
44,700 Carrier 1 International S.A.
ADR (Switzerland) (NON) 519,638
........................................................................................................................
56,000 CoreComm, Ltd. 1,092,000
........................................................................................................................
99,900 Covad Communications
Group, Inc. 144A (NON) 1,610,888
........................................................................................................................
49,800 Focal Communications Corp. (NON) 1,802,138
........................................................................................................................
600 GT Group Telecom, Inc.
Class B (Canada) (NON) 9,488
........................................................................................................................
61,600 ICG Communications, Inc. (NON) 1,359,050
........................................................................................................................
30,900 Internap Network Services Corp. (NON) 1,282,833
........................................................................................................................
281,400 McLeodUSA, Inc. Class A (NON) 5,821,463
........................................................................................................................
487,200 Metromedia Fiber Network, Inc.
Class A (NON) (SEG) 19,335,750
........................................................................................................................
71,200 MGC Communications, Inc. (NON) 4,267,550
........................................................................................................................
89,700 Network Plus Corp. (NON) 1,272,619
........................................................................................................................
27,700 Next Level Communications, Inc. (NON) 2,375,275
........................................................................................................................
158,600 Nextlink Communications, Inc.
Class A (NON) (SEG) 6,016,888
........................................................................................................................
71,500 Pinnacle Holdings, Inc. (NON) 3,861,000
........................................................................................................................
54,700 SBA Communications Corp. (NON) 2,840,981
------------------------------------------------------------------------------------------------------------------------
55,822,761
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $410,075,427) $438,442,271
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$12,000,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $12,006,500 for an effective
yield of 6.50%. $12,000,000
........................................................................................................................
11,584,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $11,590,371 for an effective
yield of 6.60%. 11,584,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $23,584,000) $23,584,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $433,659,427) (b) $462,026,271
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Appreciation
...............................................................................
S&P 500 Index
(Long) $9,542,650 $9,540,394 Sep-00 $2,256
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Research Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (97.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.4%)
........................................................................................................................
23,700 Interpublic Group Cos., Inc. $1,019,100
------------------------------------------------------------------------------------------------------------------------
Banking (9.3%)
........................................................................................................................
136,026 Bank of America Corp. 5,849,118
........................................................................................................................
38,500 Bank of New York Company, Inc. 1,790,250
........................................................................................................................
101,000 Comerica, Inc. 4,532,375
........................................................................................................................
145,001 Firstar Corp. 3,054,084
........................................................................................................................
4,100 M & T Bank Corp. 1,845,000
........................................................................................................................
96,000 Wells Fargo Co. 3,720,000
........................................................................................................................
56,400 Zions Bancorp 2,588,231
------------------------------------------------------------------------------------------------------------------------
23,379,058
------------------------------------------------------------------------------------------------------------------------
Broadcasting (2.3%)
........................................................................................................................
24,000 AMFM, Inc. (NON) 1,656,000
........................................................................................................................
53,300 Clear Channel Communications, Inc. (NON) 3,997,500
------------------------------------------------------------------------------------------------------------------------
5,653,500
------------------------------------------------------------------------------------------------------------------------
Cable Television (1.3%)
........................................................................................................................
36,200 General Motors Corp. Class H (NON) 3,176,550
------------------------------------------------------------------------------------------------------------------------
Chemicals (1.2%)
........................................................................................................................
43,800 Avery Dennison Corp. 2,940,075
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (5.9%)
........................................................................................................................
34,000 ADC Telecommunications, Inc. (NON) 2,851,750
........................................................................................................................
41,600 Nokia Oyj ADR (Finland) 2,077,400
........................................................................................................................
97,900 Nortel Networks Corp. (Canada) 6,681,675
........................................................................................................................
45,600 Tellabs, Inc. (NON) 3,120,750
------------------------------------------------------------------------------------------------------------------------
14,731,575
------------------------------------------------------------------------------------------------------------------------
Computers (7.6%)
........................................................................................................................
47,100 Apple Computer, Inc. (NON) 2,466,863
........................................................................................................................
97,500 Dell Computer Corp. (NON) 4,807,969
........................................................................................................................
71,700 Gateway, Inc. (NON) 4,068,975
........................................................................................................................
40,500 Hewlett-Packard Co. 5,057,438
........................................................................................................................
40,400 Lexmark International Group, Inc.
Class A (NON) 2,716,900
------------------------------------------------------------------------------------------------------------------------
19,118,145
------------------------------------------------------------------------------------------------------------------------
Conglomerates (6.0%)
........................................................................................................................
195,600 General Electric Co. (SEG) 10,366,800
........................................................................................................................
99,800 Tyco International, Ltd. 4,728,025
------------------------------------------------------------------------------------------------------------------------
15,094,825
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (1.3%)
........................................................................................................................
36,900 Providian Financial Corp. 3,321,000
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (2.7%)
........................................................................................................................
98,400 CP&L, Inc. 3,142,650
........................................................................................................................
135,400 Entergy Corp. 3,681,188
------------------------------------------------------------------------------------------------------------------------
6,823,838
------------------------------------------------------------------------------------------------------------------------
Electronics (2.9%)
........................................................................................................................
40,141 Agilent Technologies, Inc. (NON) 2,960,399
........................................................................................................................
15,700 Corning, Inc. 4,237,038
------------------------------------------------------------------------------------------------------------------------
7,197,437
------------------------------------------------------------------------------------------------------------------------
Entertainment (2.1%)
........................................................................................................................
75,517 Viacom, Inc. Class B (NON) 5,149,315
------------------------------------------------------------------------------------------------------------------------
Health Care Services (1.6%)
........................................................................................................................
58,000 Baxter International, Inc. 4,078,125
------------------------------------------------------------------------------------------------------------------------
Insurance (1.4%)
........................................................................................................................
58,400 American General Corp. 3,562,400
------------------------------------------------------------------------------------------------------------------------
Media (4.2%)
........................................................................................................................
74,600 America Online, Inc. (NON) 3,935,150
........................................................................................................................
141,800 AT&T Corp. - Liberty Media Group
Class A (NON) 3,438,650
........................................................................................................................
42,500 Time Warner, Inc. 3,230,000
------------------------------------------------------------------------------------------------------------------------
10,603,800
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (1.2%)
........................................................................................................................
59,500 El Paso Energy Corp. 3,030,781
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (1.8%)
........................................................................................................................
35,515 Burlington Resources, Inc. 1,358,449
........................................................................................................................
141,300 Conoco, Inc. Class A 3,108,600
------------------------------------------------------------------------------------------------------------------------
4,467,049
------------------------------------------------------------------------------------------------------------------------
Oil Services (0.6%)
........................................................................................................................
46,800 Baker Hughes, Inc. 1,497,600
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (1.3%)
........................................................................................................................
243,500 Smurfit-Stone Container Corp. (NON) 3,135,063
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (10.9%)
........................................................................................................................
61,800 Elan Corp. PLC ADR (Ireland) (NON) 2,993,438
........................................................................................................................
80,600 Johnson & Johnson 8,211,125
........................................................................................................................
134,600 Pfizer, Inc. 6,460,800
........................................................................................................................
87,177 Pharmacia Corp. 4,505,961
........................................................................................................................
102,500 Schering-Plough Corp. 5,176,250
------------------------------------------------------------------------------------------------------------------------
27,347,574
------------------------------------------------------------------------------------------------------------------------
Publishing (1.2%)
........................................................................................................................
354,500 Reed International PLC
(United Kingdom) (NON) 3,085,081
------------------------------------------------------------------------------------------------------------------------
Railroads (1.1%)
........................................................................................................................
119,300 Burlington Northern Santa Fe Corp. 2,736,444
------------------------------------------------------------------------------------------------------------------------
Regional Bells (4.5%)
........................................................................................................................
78,300 Bell Atlantic Corp. 3,978,619
........................................................................................................................
166,600 SBC Communications, Inc. 7,205,450
------------------------------------------------------------------------------------------------------------------------
11,184,069
------------------------------------------------------------------------------------------------------------------------
Retail (6.0%)
........................................................................................................................
81,500 CVS Corp. 3,260,000
........................................................................................................................
83,800 Lowe's Cos., Inc. 3,441,038
........................................................................................................................
69,900 RadioShack Corp. 3,311,513
........................................................................................................................
86,700 Wal-Mart Stores, Inc. 4,996,088
------------------------------------------------------------------------------------------------------------------------
15,008,639
------------------------------------------------------------------------------------------------------------------------
Semiconductor (6.8%)
........................................................................................................................
25,000 Applied Materials, Inc. (NON) 2,265,625
........................................................................................................................
75,200 Intel Corp. 10,053,300
........................................................................................................................
33,100 LSI Logic Corp. (NON) 1,791,538
........................................................................................................................
33,200 Micron Technology, Inc. (NON) 2,923,675
------------------------------------------------------------------------------------------------------------------------
17,034,138
------------------------------------------------------------------------------------------------------------------------
Software (7.3%)
........................................................................................................................
15,700 I2 Technologies, Inc. (NON) 1,636,970
........................................................................................................................
13,600 Inktomi Corp. (NON) 1,608,200
........................................................................................................................
133,200 Microsoft Corp. (NON) 10,655,994
........................................................................................................................
33,460 Parametric Technology Corp. (NON) 368,060
........................................................................................................................
10,000 VeriSign, Inc. (NON) 1,765,000
........................................................................................................................
20,700 VERITAS Software Corp. (NON) 2,339,423
------------------------------------------------------------------------------------------------------------------------
18,373,647
------------------------------------------------------------------------------------------------------------------------
Technology Services (2.0%)
........................................................................................................................
38,400 CheckFree Holdings Corp. (NON) 1,980,000
........................................................................................................................
71,200 Electronic Data Systems Corp. 2,937,000
------------------------------------------------------------------------------------------------------------------------
4,917,000
------------------------------------------------------------------------------------------------------------------------
Telecommunications (2.6%)
........................................................................................................................
35,900 ALLTEL Corp. 2,223,556
........................................................................................................................
45,300 Sprint Corp. (NON) 2,695,350
........................................................................................................................
37,800 Vodafone AirTouch PLC
(United Kingdom) 1,566,338
------------------------------------------------------------------------------------------------------------------------
6,485,244
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $224,258,431) $244,151,072
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.7%) (a) (cost $6,833,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$6,833,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $6,836,758 for an effective
yield of 6.60%. $6,833,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $231,091,431) (b) $250,984,072
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Long) $5,138,350 $5,172,388 Sep-00 $(34,038)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Small Cap Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (94.1%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.8%)
........................................................................................................................
8,150 Harte-Hanks, Inc. $203,750
........................................................................................................................
3,277 True North Communications, Inc. 144,188
------------------------------------------------------------------------------------------------------------------------
347,938
------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense (2.5%)
........................................................................................................................
24,239 AAR Corp. 290,868
........................................................................................................................
3,700 Alliant Techsystems, Inc. 249,519
........................................................................................................................
5,800 Newport News Shipbuilding, Inc. 213,150
........................................................................................................................
11,500 Primex Technologies, Inc. 253,000
........................................................................................................................
5,900 Triumph Group, Inc. (NON) 164,463
------------------------------------------------------------------------------------------------------------------------
1,171,000
------------------------------------------------------------------------------------------------------------------------
Agriculture (0.2%)
........................................................................................................................
7,000 LESCO, Inc. 106,313
------------------------------------------------------------------------------------------------------------------------
Airlines (0.4%)
........................................................................................................................
7,500 Midwest Express Holdings, Inc. (NON) 161,250
------------------------------------------------------------------------------------------------------------------------
Automotive (2.1%)
........................................................................................................................
4,382 Borg-Warner Automotive, Inc. 153,918
........................................................................................................................
4,900 Carlisle Companies, Inc. 220,500
........................................................................................................................
11,503 CLARCOR, Inc. 228,622
........................................................................................................................
5,900 Midas, Inc. 118,000
........................................................................................................................
9,700 Tower Automotive, Inc. (NON) 121,250
........................................................................................................................
5,050 Wynn's International, Inc. 114,572
------------------------------------------------------------------------------------------------------------------------
956,862
------------------------------------------------------------------------------------------------------------------------
Banking (8.6%)
........................................................................................................................
9,390 AMCORE Financial, Inc. 171,954
........................................................................................................................
16,652 Bank United Corp. Class A 585,928
........................................................................................................................
29,706 Banknorth Group, Inc. 454,873
........................................................................................................................
21,169 Centennial Bancorp 183,906
........................................................................................................................
6,100 City National Corp. 211,975
........................................................................................................................
14,371 Commercial Federal Corp. 223,649
........................................................................................................................
11,700 Community First Bankshares 190,856
........................................................................................................................
8,100 First Midwest Bancorp, Inc. 188,325
........................................................................................................................
10,417 Hudson United Bancorp 233,731
........................................................................................................................
8,986 Imperial Bancorp (NON) 139,845
........................................................................................................................
14,400 North Fork Bancorporation, Inc. 217,800
........................................................................................................................
14,460 Provident Bankshares Corp. 195,210
........................................................................................................................
19,700 Republic Bancorp, Inc. 176,069
........................................................................................................................
9,700 SouthWest Bancorporation of
Texas, Inc. (NON) 201,275
........................................................................................................................
30,946 Sovereign Bancorp, Inc. 217,589
........................................................................................................................
16,900 Sterling Bancshares, Inc. 182,731
........................................................................................................................
9,350 Webster Financial Corp. 207,453
------------------------------------------------------------------------------------------------------------------------
3,983,169
------------------------------------------------------------------------------------------------------------------------
Beverage (0.4%)
........................................................................................................................
5,800 Robert Mondavi Corp. Class A (The) (NON) 177,988
------------------------------------------------------------------------------------------------------------------------
Biotechnology (0.3%)
........................................................................................................................
23,200 Serologicals Corp. (NON) 116,000
------------------------------------------------------------------------------------------------------------------------
Building Materials (0.4%)
........................................................................................................................
56,559 Apogee Enterprises, Inc. 199,724
------------------------------------------------------------------------------------------------------------------------
Chemicals (4.4%)
........................................................................................................................
22,450 Airgas, Inc. (NON) 127,684
........................................................................................................................
35,946 Crompton Corp. 440,339
........................................................................................................................
11,250 Delta & Pine Land Co. 281,953
........................................................................................................................
9,900 Ferro Corporation 207,900
........................................................................................................................
5,400 H.B. Fuller Co. 246,038
........................................................................................................................
44,614 Hanna (M.A.) Co. 401,526
........................................................................................................................
19,300 Mississippi Chemical Corp. 91,675
........................................................................................................................
39,866 Omnova Solutions, Inc. 249,163
------------------------------------------------------------------------------------------------------------------------
2,046,278
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (3.1%)
........................................................................................................................
5,964 ABM Industries, Inc. 137,172
........................................................................................................................
6,500 ADVO, Inc. (NON) 273,000
........................................................................................................................
11,700 Banta Corp. 221,569
........................................................................................................................
13,108 Bowne & Co., Inc. 131,899
........................................................................................................................
10,900 G & K Services, Inc. Class A 273,181
........................................................................................................................
11,200 RemedyTemp, Inc. Class A (NON) 137,200
........................................................................................................................
10,500 Varco International, Inc. (NON) 244,125
------------------------------------------------------------------------------------------------------------------------
1,418,146
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (1.9%)
........................................................................................................................
17,238 Communications Systems, Inc. 262,880
........................................................................................................................
29,644 IFR Systems, Inc. (NON) 148,220
........................................................................................................................
5,400 Inter-Tel, Inc. 86,738
........................................................................................................................
18,750 Performance Technologies, Inc. (NON) 159,375
........................................................................................................................
21,073 Superior TeleCom, Inc. 209,413
------------------------------------------------------------------------------------------------------------------------
866,626
------------------------------------------------------------------------------------------------------------------------
Computers (1.1%)
........................................................................................................................
18,900 Gerber Scientific, Inc. 217,350
........................................................................................................................
14,850 Mentor Graphics Corp. (NON) 295,144
------------------------------------------------------------------------------------------------------------------------
512,494
------------------------------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
........................................................................................................................
28,900 GenCorp., Inc. 231,200
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (1.3%)
........................................................................................................................
6,250 AptarGroup, Inc. 168,750
........................................................................................................................
7,800 Dial Corp. (The) 80,925
........................................................................................................................
10,253 Lancaster Colony Corp. 199,934
........................................................................................................................
7,755 Oneida, Ltd. 137,651
------------------------------------------------------------------------------------------------------------------------
587,260
------------------------------------------------------------------------------------------------------------------------
Distribution (0.5%)
........................................................................................................................
7,300 Performance Food Group Co. (NON) 233,600
------------------------------------------------------------------------------------------------------------------------
Electrical Equipment (1.9%)
........................................................................................................................
23,800 BE Aerospace, Inc. (NON) 163,625
........................................................................................................................
9,900 BEI Technologies, Inc. 253,069
........................................................................................................................
7,200 Lincoln Electric Holdings, Inc. 102,600
........................................................................................................................
1,600 SLI, Inc. 19,400
........................................................................................................................
16,500 Thomas & Betts Corp. 315,563
------------------------------------------------------------------------------------------------------------------------
854,257
------------------------------------------------------------------------------------------------------------------------
Electronics (7.5%)
........................................................................................................................
3,445 Avnet, Inc. 204,116
........................................................................................................................
9,492 Belden, Inc. 243,233
........................................................................................................................
49,264 General Cable Corp. 400,270
........................................................................................................................
4,550 International Rectifier Corp. (NON) 254,800
........................................................................................................................
6,300 Kent Electronics Corp. (NON) 187,819
........................................................................................................................
6,950 Littlelfuse, Inc. (NON) 340,550
........................................................................................................................
6,350 Methode Electronics, Inc. Class A 245,269
........................................................................................................................
8,700 Park Electrochemical Corp. 313,744
........................................................................................................................
26,728 Pioneer-Standard Electronics, Inc. 394,238
........................................................................................................................
20,700 Recoton Corp. (NON) 216,056
........................................................................................................................
2,461 Tektronix, Inc. 182,114
........................................................................................................................
4,800 Varian Medical Systems, Inc. (NON) 187,800
........................................................................................................................
31,157 X-Rite, Inc. 284,308
------------------------------------------------------------------------------------------------------------------------
3,454,317
------------------------------------------------------------------------------------------------------------------------
Energy (2.5%)
........................................................................................................................
6,900 GulfMark Offshore, Inc. (NON) 169,050
........................................................................................................................
5,269 Helmerich & Payne, Inc. 196,929
........................................................................................................................
5,700 National-Oilwell, Inc. (NON) 187,388
........................................................................................................................
16,500 Newpark Resources, Inc. (NON) 155,719
........................................................................................................................
6,800 Pride International, Inc. (NON) 168,300
........................................................................................................................
7,811 Tidewater, Inc. 281,196
------------------------------------------------------------------------------------------------------------------------
1,158,582
------------------------------------------------------------------------------------------------------------------------
Engineering & Construction (0.7%)
........................................................................................................................
5,227 Ameron International Corp. 186,865
........................................................................................................................
5,000 Texas Industries, Inc. 144,375
------------------------------------------------------------------------------------------------------------------------
331,240
------------------------------------------------------------------------------------------------------------------------
Food (3.9%)
........................................................................................................................
7,400 American Italian Pasta Co. Class A (NON) 153,088
........................................................................................................................
16,600 Earthgrains Co. (The) 322,663
........................................................................................................................
26,000 International Multifoods Corp. 450,125
........................................................................................................................
6,200 Michael Foods, Inc. 151,900
........................................................................................................................
7,800 Smithfield Foods, Inc. (NON) 218,888
........................................................................................................................
19,500 United Natural Foods, Inc. (NON) 268,125
........................................................................................................................
12,021 Universal Foods Corp. 222,389
------------------------------------------------------------------------------------------------------------------------
1,787,178
------------------------------------------------------------------------------------------------------------------------
Gaming & Lottery (0.8%)
........................................................................................................................
16,600 Dover Downs Entertainment, Inc. 232,400
........................................................................................................................
5,500 Station Casinos, Inc. (NON) 137,500
------------------------------------------------------------------------------------------------------------------------
369,900
------------------------------------------------------------------------------------------------------------------------
Health Care Services (8.4%)
........................................................................................................................
14,100 AmeriSource Health Corp. Class A (NON) 437,100
........................................................................................................................
16,550 Bindley Western Industries, Inc. 437,541
........................................................................................................................
1,200 Conmed Corp. (NON) 31,050
........................................................................................................................
22,550 Conventry Health Care, Inc. (NON) 300,549
........................................................................................................................
7,564 Invacare Corp. 198,555
........................................................................................................................
6,100 Lincare Holdings, Inc. (NON) 150,213
........................................................................................................................
29,900 Matria Healthcare, Inc. (NON) 137,353
........................................................................................................................
42,180 Omnicare, Inc. 382,256
........................................................................................................................
11,850 Orthodontic Centers of America, Inc. (NON) 268,106
........................................................................................................................
22,433 Per-Se Technologies, Inc. (NON) 210,309
........................................................................................................................
11,700 PSS World Medical, Inc. (NON) 78,609
........................................................................................................................
19,600 Quorum Health Group, Inc. (NON) 202,125
........................................................................................................................
6,150 Trigon Healthcare, Inc. (NON) 317,109
........................................................................................................................
26,293 United Wisconsin Services 142,968
........................................................................................................................
3,400 Universal Health Services, Inc. Class B (NON) 222,700
........................................................................................................................
38,533 US Oncology, Inc. (NON) 192,665
........................................................................................................................
9,351 Vital Signs, Inc. 169,487
------------------------------------------------------------------------------------------------------------------------
3,878,695
------------------------------------------------------------------------------------------------------------------------
Homebuilding (0.4%)
........................................................................................................................
9,869 Lennar Corp. 199,847
------------------------------------------------------------------------------------------------------------------------
Household Furniture and Appliances (0.2%)
........................................................................................................................
9,650 Applica Incorporated (NON) 109,166
------------------------------------------------------------------------------------------------------------------------
Insurance (4.3%)
........................................................................................................................
10,568 Amerus Life Holdings, Inc. Class A 217,965
........................................................................................................................
11,677 Berkley (W.R.) Corp. 218,944
........................................................................................................................
7,200 Commerce Group, Inc. 212,400
........................................................................................................................
20,603 Enhance Financial Services Group, Inc. 296,168
........................................................................................................................
11,850 FBL Financial Group, Inc. Class A 186,638
........................................................................................................................
15,800 Fidelity National Financial, Inc. 289,338
........................................................................................................................
41,190 Fremont General Corp. 162,186
........................................................................................................................
13,500 Horace Mann Educators Corp. 202,500
........................................................................................................................
15,350 Presidential Life Corp. 212,981
------------------------------------------------------------------------------------------------------------------------
1,999,120
------------------------------------------------------------------------------------------------------------------------
Machinery (2.6%)
........................................................................................................................
16,256 DT Industries, Inc. 152,400
........................................................................................................................
12,050 Gardner Denver, Inc. (NON) 215,394
........................................................................................................................
4,850 JLK Direct Distribution, Inc. Class A (NON) 24,856
........................................................................................................................
17,900 Milacron, Inc. 259,550
........................................................................................................................
11,800 MSC Industrial Direct Co., Inc. Class A (NON) 247,063
........................................................................................................................
12,700 Regal-Beloit Corp. 203,994
........................................................................................................................
8,450 Wabtec Corp. 87,669
------------------------------------------------------------------------------------------------------------------------
1,190,926
------------------------------------------------------------------------------------------------------------------------
Manufacturing (2.8%)
........................................................................................................................
14,900 ABC-NACO, Inc. 255,237
........................................................................................................................
7,619 Applied Power, Inc. Class A 119,200
........................................................................................................................
7,350 Pentair, Inc. 260,925
........................................................................................................................
5,950 Roper Industries, Inc. 152,469
........................................................................................................................
4,900 Teleflex, Inc. 175,175
........................................................................................................................
5,000 Tennant Co. 187,500
........................................................................................................................
9,200 UCAR International, Inc. (NON) 120,175
------------------------------------------------------------------------------------------------------------------------
1,270,681
------------------------------------------------------------------------------------------------------------------------
Medical Technology (4.3%)
........................................................................................................................
4,069 Arrow International, Inc. 136,312
........................................................................................................................
2,739 Beckman Coulter, Inc. 159,889
........................................................................................................................
6,100 Diagnostic Products Corp. 195,200
........................................................................................................................
10,100 Haemonetics Corp. (NON) 212,100
........................................................................................................................
15,314 Mentor Corp. 416,349
........................................................................................................................
26,541 Meridian Diagnostics, Inc. 207,352
........................................................................................................................
37,801 Owens & Minor, Inc. 649,705
------------------------------------------------------------------------------------------------------------------------
1,976,907
------------------------------------------------------------------------------------------------------------------------
Metals (1.4%)
........................................................................................................................
9,421 Carpenter Technology Corp. 199,019
........................................................................................................................
9,800 Material Sciences Corp. (NON) 98,000
........................................................................................................................
15,850 Quanex Corp. 235,769
........................................................................................................................
6,500 Reliance Steel & Aluminum Co. 124,313
------------------------------------------------------------------------------------------------------------------------
657,101
------------------------------------------------------------------------------------------------------------------------
Office Equipment & Supplies (1.8%)
........................................................................................................................
8,500 Falcon Products, Inc. 80,750
........................................................................................................................
5,450 HON INDUSTRIES, Inc. 128,075
........................................................................................................................
13,355 Standard Register Co. (The) 190,309
........................................................................................................................
5,800 United Stationers, Inc. 187,775
........................................................................................................................
22,282 Wallace Computer Services, Inc. 220,035
------------------------------------------------------------------------------------------------------------------------
806,944
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (2.1%)
........................................................................................................................
15,600 Basin Exploration, Inc. (NON) 278,850
........................................................................................................................
3,250 Devon Energy Corp. 182,609
........................................................................................................................
4,200 Mitchell Energy & Development Corp.
Class A 134,925
........................................................................................................................
4,050 Newfield Exploration Co. (NON) 158,456
........................................................................................................................
4,996 St. Mary Land & Exploration Co. 210,144
------------------------------------------------------------------------------------------------------------------------
964,984
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.9%)
........................................................................................................................
8,540 Albany International Corp. 123,830
........................................................................................................................
8,100 BWAY Corp. (NON) 53,663
........................................................................................................................
9,100 Caraustar Industries, Inc. 137,638
........................................................................................................................
10,351 Wausau-Mosinee Paper Corp. 88,630
------------------------------------------------------------------------------------------------------------------------
403,761
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (0.3%)
........................................................................................................................
3,577 Cambrex Corp. 160,965
------------------------------------------------------------------------------------------------------------------------
Photography/Imaging (0.8%)
........................................................................................................................
54,211 BMC Industries, Inc. 220,232
........................................................................................................................
5,000 Imation Corp. (NON) 146,875
------------------------------------------------------------------------------------------------------------------------
367,107
------------------------------------------------------------------------------------------------------------------------
Publishing (1.0%)
........................................................................................................................
6,900 McClatchy Co. Class A (The) 228,563
........................................................................................................................
4,400 Media General, Inc. Class A 213,675
------------------------------------------------------------------------------------------------------------------------
442,238
------------------------------------------------------------------------------------------------------------------------
Real Estate (0.4%)
........................................................................................................................
9,387 LNR Property Corp. 183,047
------------------------------------------------------------------------------------------------------------------------
Restaurants (1.2%)
........................................................................................................................
24,457 CBRL Group, Inc. 359,212
........................................................................................................................
7,500 Papa Johns International, Inc. (NON) 183,750
------------------------------------------------------------------------------------------------------------------------
542,962
------------------------------------------------------------------------------------------------------------------------
Retail (5.8%)
........................................................................................................................
4,350 Aaron Rents, Inc. 54,647
........................................................................................................................
47,462 Baker (J.), Inc. 275,873
........................................................................................................................
6,100 Barnes & Noble, Inc. (NON) 135,725
........................................................................................................................
21,100 Claire's Stores, Inc. 406,175
........................................................................................................................
10,850 Coldwater Creek, Inc. (NON) 326,856
........................................................................................................................
18,900 J. Jill Group, Inc. (NON) 122,850
........................................................................................................................
6,700 Lands' End, Inc. (NON) 223,613
........................................................................................................................
10,890 Petco Animal Supplies, Inc. (NON) 213,716
........................................................................................................................
50,695 Pier 1 Imports, Inc. 494,276
........................................................................................................................
17,550 Regis Corp. 219,375
........................................................................................................................
17,300 Ruddick Corp. 204,356
------------------------------------------------------------------------------------------------------------------------
2,677,462
------------------------------------------------------------------------------------------------------------------------
Semiconductor (0.6%)
........................................................................................................................
4,200 DuPont Photomasks, Inc. (NON) 287,700
------------------------------------------------------------------------------------------------------------------------
Shipping (2.0%)
........................................................................................................................
11,600 Circle International Group, Inc. 291,450
........................................................................................................................
14,300 Fritz Companies, Inc. (NON) 147,469
........................................................................................................................
12,700 USFreightways Corp. 311,944
........................................................................................................................
16,096 Wabash National Corp. 192,146
------------------------------------------------------------------------------------------------------------------------
943,009
------------------------------------------------------------------------------------------------------------------------
Software (1.2%)
........................................................................................................................
9,400 Hyperion Solutions Corp. (NON) 304,913
........................................................................................................................
12,700 JDA Software Group, Inc. (NON) 243,681
------------------------------------------------------------------------------------------------------------------------
548,594
------------------------------------------------------------------------------------------------------------------------
Technology Services (4.2%)
........................................................................................................................
19,924 Analysts International Corp. 185,542
........................................................................................................................
11,600 CACI International, Inc. Class A (NON) 226,200
........................................................................................................................
13,100 Ciber, Inc. (NON) 173,575
........................................................................................................................
29,598 Computer Task Group, Inc. 149,840
........................................................................................................................
18,900 Davox Corp. (NON) 244,519
........................................................................................................................
14,500 FileNET Corp. (NON) 266,438
........................................................................................................................
7,100 Keane, Inc. (NON) 153,538
........................................................................................................................
35,851 MTS Systems Corp. 224,069
........................................................................................................................
17,844 Telxon Corp. (NON) 318,962
------------------------------------------------------------------------------------------------------------------------
1,942,683
------------------------------------------------------------------------------------------------------------------------
Telephone (0.4%)
........................................................................................................................
7,100 CT Communications, Inc. 201,906
------------------------------------------------------------------------------------------------------------------------
Textiles (0.6%)
........................................................................................................................
14,000 Culp, Inc. 71,750
........................................................................................................................
20,333 Wolverine World Wide, Inc. 200,788
------------------------------------------------------------------------------------------------------------------------
272,538
------------------------------------------------------------------------------------------------------------------------
Transaction Processing (0.6%)
........................................................................................................................
11,200 National Data Corp. 257,600
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $41,211,202) $43,357,265
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$1,200,000 Interest in $750,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with Goldman Sachs & Co.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $1,200,650 for an effective
yield of 6.50%. $1,200,000
........................................................................................................................
1,281,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $1,281,705 for an effective
yield of 6.60%. 1,281,000
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $2,481,000) $2,481,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $43,692,202) (b) $45,838,265
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Technology Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (99.8%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Biotechnology (1.4%)
........................................................................................................................
62 Genentech, Inc. (NON) $10,664
........................................................................................................................
64 Medimmune, Inc. (NON) 4,736
------------------------------------------------------------------------------------------------------------------------
15,400
------------------------------------------------------------------------------------------------------------------------
Broadcasting (2.1%)
........................................................................................................................
180 Clear Channel Communications, Inc. (NON) 13,500
........................................................................................................................
130 Echostar Communications Corp. Class A (NON) 4,304
........................................................................................................................
47 Univision Communications, Inc. Class A (NON) 4,865
------------------------------------------------------------------------------------------------------------------------
22,669
------------------------------------------------------------------------------------------------------------------------
Cable Television (0.8%)
........................................................................................................................
355 AT&T Corp. - Liberty Media Group
Class A (NON) 8,609
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.7%)
........................................................................................................................
100 Keynote Systems, Inc. (NON) 7,056
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (23.1%)
........................................................................................................................
111 ADC Telecommunications, Inc. (NON) 9,310
........................................................................................................................
242 Advanced Fibre Communications (NON) 10,966
........................................................................................................................
129 Brocade Communications Systems, Inc. (NON) 23,669
........................................................................................................................
1,015 Cisco Systems, Inc. (NON) 64,515
........................................................................................................................
175 Comverse Technology, Inc. (NON) 16,275
........................................................................................................................
53 Corning, Inc. 14,303
........................................................................................................................
113 Extreme Networks, Inc. (NON) 11,922
........................................................................................................................
56 Foundry Networks, Inc. (NON) 6,160
........................................................................................................................
165 Juniper Networks, Inc. (NON) 24,018
........................................................................................................................
353 Nortel Networks Corp. (Canada) 24,092
........................................................................................................................
57 Redback Networks, Inc. (NON) 10,146
........................................................................................................................
57 Sonus Networks, Inc. (NON) 8,999
........................................................................................................................
621 Telefonaktiebolaget LM Ericsson AB
ADR (Sweden) 12,420
........................................................................................................................
167 Tellabs, Inc. (NON) 11,429
------------------------------------------------------------------------------------------------------------------------
248,224
------------------------------------------------------------------------------------------------------------------------
Computers (12.3%)
........................................................................................................................
54 Apple Computer, Inc. (NON) 2,828
........................................................................................................................
382 Dell Computer Corp. (NON) 18,837
........................................................................................................................
365 EMC Corp. (NON) 28,082
........................................................................................................................
152 Gateway, Inc. (NON) 8,626
........................................................................................................................
108 Hewlett-Packard Co. 13,487
........................................................................................................................
105 IBM Corp. 11,504
........................................................................................................................
43 Inktomi Corp. (NON) 5,085
........................................................................................................................
61 Lexmark International Group, Inc.
Class A (NON) 4,102
........................................................................................................................
107 MMC Networks, Inc. (NON) 5,718
........................................................................................................................
209 Sun Microsystems, Inc. (NON) 19,006
........................................................................................................................
87 VeriSign, Inc. (NON) 15,356
------------------------------------------------------------------------------------------------------------------------
132,631
------------------------------------------------------------------------------------------------------------------------
Electronics (18.6%)
........................................................................................................................
65 Alpha Industries, Inc. (NON) 2,864
........................................................................................................................
44 Applied Micro Circuits Corp. (NON) 4,345
........................................................................................................................
290 ARM Holdings Plc (United Kingdom) (NON) 9,534
........................................................................................................................
87 Broadcom Corp. (NON) 19,048
........................................................................................................................
150 Chartered Semiconductor
Manufacturing, Ltd ADR (Singapore) (NON) 13,500
........................................................................................................................
165 Cypress Semiconductor Corp. (NON) 6,971
........................................................................................................................
60 Flextronics International, Ltd. 4,121
........................................................................................................................
139 Intel Corp. 18,583
........................................................................................................................
110 JDS Uniphase Corp. (NON) 13,186
........................................................................................................................
138 Linear Technology Corp. 8,823
........................................................................................................................
146 LSI Logic Corp. (NON) 7,902
........................................................................................................................
190 Micron Technology, Inc. (NON) 16,732
........................................................................................................................
54 PMC - Sierra, Inc. (NON) 9,595
........................................................................................................................
76 RF Micro Devices, Inc. (NON) 6,660
........................................................................................................................
67 Sanmina Corp. (NON) 5,729
........................................................................................................................
46 SDL, Inc. (NON) 13,119
........................................................................................................................
224 Taiwan Semiconductor Manufacturing Co.
ADR (Taiwan) 8,680
........................................................................................................................
192 Texas Instruments, Inc. 13,188
........................................................................................................................
129 Vitesse Semiconductor Corp. (NON) 9,490
........................................................................................................................
100 Xilinx, Inc. (NON) 8,256
------------------------------------------------------------------------------------------------------------------------
200,326
------------------------------------------------------------------------------------------------------------------------
Entertainment (0.8%)
........................................................................................................................
127 Viacom, Inc. Class B (NON) 8,660
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.1%)
........................................................................................................................
182 PE Corp. - PE Biosystems Group 11,989
------------------------------------------------------------------------------------------------------------------------
Semiconductor (2.5%)
........................................................................................................................
130 Applied Materials, Inc. (NON) 11,781
........................................................................................................................
216 LAM Research Corp. (NON) 8,100
........................................................................................................................
98 Teradyne, Inc. (NON) 7,203
------------------------------------------------------------------------------------------------------------------------
27,084
------------------------------------------------------------------------------------------------------------------------
Software (21.7%)
........................................................................................................................
97 Amdocs, Ltd. 7,445
........................................................................................................................
201 BEA Systems, Inc. (NON) 9,937
........................................................................................................................
169 BroadVision, Inc. (NON) 8,587
........................................................................................................................
58 Business Objects S.A. ADR (France) (NON) 5,111
........................................................................................................................
24 Check Point Software
Technologies, Ltd. (Israel) 5,082
........................................................................................................................
100 I2 Technologies, Inc. (NON) 10,427
........................................................................................................................
151 Informatica Corp. (NON) 12,373
........................................................................................................................
83 Micromuse, Inc. (NON) 13,735
........................................................................................................................
802 Microsoft Corp. (NON) 64,160
........................................................................................................................
213 Oracle Corp. (NON) 17,905
........................................................................................................................
190 Portal Software, Inc. (NON) 12,136
........................................................................................................................
136 Siebel Systems, Inc. (NON) 22,245
........................................................................................................................
99 Software.com, Inc. (NON) 12,858
........................................................................................................................
206 VERITAS Software Corp. (NON) 23,281
........................................................................................................................
159 Vignette Corp. (NON) 8,270
------------------------------------------------------------------------------------------------------------------------
233,552
------------------------------------------------------------------------------------------------------------------------
Technology Services (5.4%)
........................................................................................................................
241 America Online, Inc. (NON) 12,713
........................................................................................................................
319 Electronic Data Systems Corp. 13,159
........................................................................................................................
361 InfoSpace, Inc. (NON) 19,945
........................................................................................................................
93 Yahoo! Inc. (NON) 11,520
------------------------------------------------------------------------------------------------------------------------
57,337
------------------------------------------------------------------------------------------------------------------------
Telecommunications (9.3%)
........................................................................................................................
40 Aether Systems, Inc. (NON) 8,200
........................................................................................................................
507 McLeodUSA, Inc. Class A (NON) 10,489
........................................................................................................................
447 Metromedia Fiber Network, Inc. Class A (NON) 17,740
........................................................................................................................
146 Nextel Communications, Inc. Class A (NON) 8,933
........................................................................................................................
249 Nextlink Communications, Inc. Class A (NON) 9,446
........................................................................................................................
401 Nokia Oyj AB ADR (Finland) 20,025
........................................................................................................................
221 Sprint Corp. (NON) 13,150
........................................................................................................................
281 Vodafone AirTouch Plc ADR
(United Kingdom) 11,644
------------------------------------------------------------------------------------------------------------------------
99,627
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,001,412) $1,073,164
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.1%) (a) (cost $12,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$12,000 Interest in $500,000,000 joint repurchase
agreement dated June 30, 2000 with
S.B.C. Warburg Securities due
July 3, 2000 with respect to various
U.S. Treasury Obligations -- maturity
value of $12,007 for an effective
yield of 6.6% $12,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,013,412) (b) $1,085,164
------------------------------------------------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Putnam VT Utilities Growth and Income Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (88.9%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Cable Television (0.4%)
........................................................................................................................
67,300 Adelphia Communications Corp.
Class A (NON) $3,154,688
------------------------------------------------------------------------------------------------------------------------
Combined Utilities (2.9%)
........................................................................................................................
61,100 American Water Works, Inc. 1,527,500
........................................................................................................................
403,400 Constellation Energy Group 13,135,713
........................................................................................................................
360,300 Korea Electric Power Corp.
(South Korea) 11,181,613
------------------------------------------------------------------------------------------------------------------------
25,844,826
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (0.6%)
........................................................................................................................
84,400 Tellabs, Inc. (NON) 5,776,125
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (35.6%)
........................................................................................................................
86,900 Ameren Corp. 2,932,875
........................................................................................................................
142,000 Calpine Corp. (NON) 9,336,500
........................................................................................................................
78,100 CH Energy Group, Inc. 2,650,519
........................................................................................................................
14,350 Chilectra S.A. 144A ADR (Chile) 227,806
........................................................................................................................
371,000 CiNergy Corp. 9,437,313
........................................................................................................................
96,813 CMS Energy Corp. 2,141,988
........................................................................................................................
325,800 CP&L, Inc. 10,405,238
........................................................................................................................
71,088 Companhia Energetica de Minas
Gerais - CEMIG ADR (Brazil) 1,208,496
........................................................................................................................
187,800 Companhia Paranaense de
Energia-Copel ADR (Brazil) 1,748,888
........................................................................................................................
125,600 Conectiv, Inc. 1,954,650
........................................................................................................................
174,300 Consolidated Edison, Inc. 5,163,638
........................................................................................................................
206,936 Dominion Resources, Inc. 8,872,381
........................................................................................................................
386,820 DPL, Inc. 8,485,864
........................................................................................................................
141,300 DQE, Inc. 5,581,350
........................................................................................................................
273,400 Duke Energy Corp. 15,412,925
........................................................................................................................
40,000 E.On AG (Germany) (NON) 1,970,470
........................................................................................................................
592,800 Edison International 12,152,400
........................................................................................................................
200,000 El Paso Electric Co. 2,237,500
........................................................................................................................
11,221 Eletropaulo Metropolitana S.A. (Brazil) 790,408
........................................................................................................................
9,910 Empresa Bandeirante de Energia
S.A. (Brazil) 69,255
........................................................................................................................
9,910 Empresa Metropolitana de Aguas e
Energia S.A. - EBE (Brazil) (NON) 26,932
........................................................................................................................
90,000 Empresa Nacional de Electricidad
S.A. - EMAE (Spain) (NON) 1,750,134
........................................................................................................................
9,910 Empresa Paulista de Transmissao de
Energia Electrica S.A. - EPTE (Brazil) 93,384
........................................................................................................................
378,147 Energy East Corp. 7,208,427
........................................................................................................................
508,100 Entergy Corp. 13,813,969
........................................................................................................................
157,400 Florida Progress Corp. 7,378,125
........................................................................................................................
263,200 FPL Group, Inc. 13,028,400
........................................................................................................................
224,800 GPU, Inc. 6,083,650
........................................................................................................................
57,900 Hawaiian Electric Industries, Inc. 1,899,844
........................................................................................................................
360,300 Iberdrola S.A. (Spain) (NON) 4,661,706
........................................................................................................................
149,200 IPALCO Enterprises, Inc. 3,002,650
........................................................................................................................
118,700 LG&E Energy Corp. 2,833,963
........................................................................................................................
5,900 Light Participacoes S.A. (Brazil) 13,187
........................................................................................................................
120,200 Montana Power Co. 4,244,563
........................................................................................................................
124,700 New Century Energies, Inc. 3,741,000
........................................................................................................................
370,000 Niagara Mohawk Holdings, Inc. (NON) 5,156,875
........................................................................................................................
426,600 NiSource, Inc. 7,945,425
........................................................................................................................
333,200 Northeast Utilities 7,247,100
........................................................................................................................
129,000 OGE Energy Corp. 2,386,500
........................................................................................................................
170,900 Peco Energy Co. 6,889,406
........................................................................................................................
452,500 PG&E Corp. 11,142,813
........................................................................................................................
152,200 Pinnacle West Capital Corp. 5,155,775
........................................................................................................................
161,600 Potomac Electric Power Co. 4,040,000
........................................................................................................................
232,000 PPL Corp. 5,089,500
........................................................................................................................
270,000 Public Service Co. of New Mexico 4,168,125
........................................................................................................................
161,880 Puget Sound Energy, Inc. 3,450,068
........................................................................................................................
531,100 Reliant Energy, Inc. 15,700,644
........................................................................................................................
226,100 SCANA Corp. 5,454,663
........................................................................................................................
1,243,586 Scottish Power PLC (United Kingdom) 10,540,138
........................................................................................................................
4,750,000 Shandong International Power
Development Co., Ltd. Class H (China) 700,788
........................................................................................................................
378,280 Sierra Pacific Resources 4,752,143
........................................................................................................................
81,300 Southern Co. 1,895,306
........................................................................................................................
261,800 Teco Energy, Inc. 5,252,363
........................................................................................................................
328,300 TXU Corp. 9,684,850
........................................................................................................................
307,500 Unicom Corp. 11,896,406
........................................................................................................................
203,500 Union Electrica Fenosa S.A. (Spain) (NON) 3,695,902
........................................................................................................................
57,900 UniSource Energy Corp. 868,500
........................................................................................................................
69,900 United Illuminating Co. 3,058,125
........................................................................................................................
141,400 Utilicorp United, Inc. 2,810,325
........................................................................................................................
298,100 Wisconsin Energy Corp. 5,906,106
------------------------------------------------------------------------------------------------------------------------
317,448,244
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (22.0%)
........................................................................................................................
244,800 AGL Resources, Inc. 3,901,500
........................................................................................................................
83,600 Atmos Energy Corp. 1,463,000
........................................................................................................................
134,200 Cascade Natural Gas Corp. 2,239,463
........................................................................................................................
85,500 Coastal Corp. 5,204,813
........................................................................................................................
172,700 Columbia Energy Group 11,333,438
........................................................................................................................
212,382 Dynegy, Inc. 14,508,345
........................................................................................................................
484,200 El Paso Energy Corp. 24,663,938
........................................................................................................................
375,800 Energen Corp. 8,197,138
........................................................................................................................
430,000 Enron Corp. 27,735,000
........................................................................................................................
139,200 Equitable Resources, Inc. 6,716,400
........................................................................................................................
245,200 KeySpan Corp. 7,539,900
........................................................................................................................
87,350 Kinder Morgan, Inc. 3,019,034
........................................................................................................................
84,500 Laclede Gas Co. 1,626,625
........................................................................................................................
104,150 MCN Energy Group, Inc. 2,226,206
........................................................................................................................
134,700 National Fuel Gas Co. 6,566,625
........................................................................................................................
43,700 New Jersey Resources Corp. 1,663,331
........................................................................................................................
194,600 NICOR, Inc. 6,348,825
........................................................................................................................
288,200 Northwest Natural Gas Co. 6,448,475
........................................................................................................................
146,800 NUI Corp. 3,963,600
........................................................................................................................
66,100 ONEOK, Inc. 1,714,469
........................................................................................................................
138,800 Peoples Energy Corp. 4,493,650
........................................................................................................................
118,900 Piedmont Natural Gas Co., Inc. 3,158,281
........................................................................................................................
40,500 Providence Energy Corp. 1,640,250
........................................................................................................................
150,300 Questar Corp. 2,912,063
........................................................................................................................
518,855 Sempra Energy 8,820,535
........................................................................................................................
17,700 South Jersey Industries, Inc. 460,200
........................................................................................................................
64,200 Southwest Gas Corp. 1,123,500
........................................................................................................................
179,400 Transportadora de Gas del Sur
ADR (Argentina) 1,614,600
........................................................................................................................
58,366 Vectren Corp. 1,006,814
........................................................................................................................
119,600 Washington Gas Light Co. 2,877,875
........................................................................................................................
511,100 Williams Cos., Inc. 21,306,481
------------------------------------------------------------------------------------------------------------------------
196,494,374
------------------------------------------------------------------------------------------------------------------------
Power Producers (--%)
........................................................................................................................
57,100 Centrais Geradoras do Sul do Brasil
S.A. (Brazil) (NON) 69,356
------------------------------------------------------------------------------------------------------------------------
Regional Bells (11.2%)
........................................................................................................................
442,856 Bell Atlantic Corp. 22,502,621
........................................................................................................................
604,000 BellSouth Corp. 25,745,500
........................................................................................................................
242,800 GTE Corp. 15,114,300
........................................................................................................................
656,242 SBC Communications, Inc. 28,381,352
........................................................................................................................
93,500 US West, Inc. 8,017,625
------------------------------------------------------------------------------------------------------------------------
99,761,398
------------------------------------------------------------------------------------------------------------------------
Technology Services (1.8%)
........................................................................................................................
306,700 Convergys Corp. (NON) 15,910,063
------------------------------------------------------------------------------------------------------------------------
Telecommunications (12.0%)
........................................................................................................................
73,000 Allegiance Telecom, Inc. (NON) 4,672,000
........................................................................................................................
111,290 ALLTEL Corp. 6,893,024
........................................................................................................................
398,900 AT&T Corp. 12,615,213
........................................................................................................................
284,746 AT&T Wireless Group (NON) 7,937,295
........................................................................................................................
71,000 Focal Communications Corp. (NON) 2,569,313
........................................................................................................................
16,000 France Telecom S.A. (France) 2,244,956
........................................................................................................................
73,900 Global Crossing, Ltd. (NON) 1,944,494
........................................................................................................................
215,500 Hellenic Telecommunication
Organization S.A. ADR (Greece) 2,626,406
........................................................................................................................
149,000 ICG Communications, Inc. (NON) 3,287,313
........................................................................................................................
45,000 MGC Communications, Inc. (NON) 2,697,188
........................................................................................................................
110,000 Nextel Communications, Inc. Class A (NON) 6,730,625
........................................................................................................................
69,487 Nextlink Communications, Inc. Class A (NON) 2,636,163
........................................................................................................................
440 Nippon Telegraph and
Telephone Corp. (Japan) 5,865,003
........................................................................................................................
414,600 Sprint Corp. (SEG) 21,144,600
........................................................................................................................
82,000 Sprint Corp. (PCS Group) (NON) 4,879,000
........................................................................................................................
7,100 Tele Celular Sul Participacoes S.A.
ADR (Brazil) 321,275
........................................................................................................................
23,733 Tele Centro Oeste Celular
Participacoes S.A. ADR (Brazil) 284,796
........................................................................................................................
14,300 Tele Centro Sul Participacoes S.A.
ADR (Brazil) 1,044,794
........................................................................................................................
1,340 Tele Leste Celular Participacoes S.A.
ADR (Brazil) 59,295
........................................................................................................................
1,340 Tele Norte Celular Participacoes S.A.
ADR (Brazil) 68,005
........................................................................................................................
14,300 Tele Sudeste Celular Participacoes
S.A. ADR (Brazil) 436,150
........................................................................................................................
58,200 Telecom Argentina S.A. ADR (Argentina) 1,600,500
........................................................................................................................
11,900 Telefonica de Argentina S.A.
ADR (Argentina) 377,825
........................................................................................................................
186,400 Telefonica del Peru S.A. ADR (Peru) 2,120,300
........................................................................................................................
3,550 Telemig Celular Participacoes S.A.
ADR (Brazil) 245,838
........................................................................................................................
3,550 Telemig Celular Participacoes S.A.
ADR (Brazil) 253,825
........................................................................................................................
28,500 Telesp Celular Participacoes S.A.
ADR (Brazil) 1,278,938
........................................................................................................................
71,400 Telesp-Telecomunicacoes de Sao Paulo
S.A. ADR (Brazil) 1,320,900
........................................................................................................................
1,350,000 Vodafone AirTouch PLC
(United Kingdom) 5,455,411
........................................................................................................................
30,000 VoiceStream Wireless Corp. (NON) 3,488,906
------------------------------------------------------------------------------------------------------------------------
107,099,351
------------------------------------------------------------------------------------------------------------------------
Telephone (2.4%)
........................................................................................................................
95,000 BCE, Inc. (Canada) 2,262,188
........................................................................................................................
156,700 Broadwing, Inc. 4,064,406
........................................................................................................................
117,700 Cable & Wireless PLC ADR
(United Kingdom) 5,892,356
........................................................................................................................
58,200 Philippine Long Distance Telephone
Co. ADR (Philippines) 1,033,050
........................................................................................................................
261,500 Portugal Telecom S.A. ADR (Portugal) 2,941,875
........................................................................................................................
197,700 PT Indosat ADR (Indonesia) 2,248,838
........................................................................................................................
138,132 PT Telekomunikasi Indonesia
ADR (Indonesia) 958,291
........................................................................................................................
79,230 Telecom Corp. of New Zealand, Ltd.
ADR (New Zealand) 2,228,344
........................................................................................................................
71,400 Telecomunicacoes Brasileiras S.A. (Brazil) (NON) 1,584
------------------------------------------------------------------------------------------------------------------------
21,630,932
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $649,723,549) $793,189,357
------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (7.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
Electric Utilities (4.8%)
........................................................................................................................
$2,000,000 Arizona Public Service Co. notes
6 1/4s, 2005 $1,874,060
........................................................................................................................
1,000,000 Australian Gas & Light Co.144A
sr. notes 6 3/8s, 2003 (Australia) 958,730
........................................................................................................................
800,000 Calpine Corp. sr. notes 7 3/4s, 2009 755,000
........................................................................................................................
2,000,000 CILCORP, Inc. sr. notes 8.7s, 2009 2,021,428
........................................................................................................................
2,000,000 CiNergy Corp. deb. 6 1/8s, 2004 1,862,220
........................................................................................................................
1,200,000 CMS Energy Corp. pass through
certificates 7s, 2005 1,104,804
........................................................................................................................
2,000,000 Conectiv, Inc. notes, Ser. A, 6.73s, 2006 1,926,420
........................................................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 999,680
........................................................................................................................
2,375,000 Connecticut Light & Power Co. 1st
mtge. Ser. C, 7 3/4s, 2002 2,382,553
........................................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 1,858,200
........................................................................................................................
1,665,000 Dominion Resources, Inc. sr. notes
8 1/8s, 2010 1,676,255
........................................................................................................................
1,685,000 DPL, Inc. 144A sr. notes 8 1/4s, 2007 1,682,978
........................................................................................................................
1,980,000 Edison Mission Energy 144A notes
7.73s, 2009 1,930,817
........................................................................................................................
3,000,000 Hydro-Quebec local government
guaranty Ser. HY, 8.4s, 2022 (Canada) 3,230,730
........................................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 796,880
........................................................................................................................
3,000,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 2,924,070
........................................................................................................................
1,121,000 Otter Tail Power Co. 1st mtge. 7 1/4s, 2002 1,120,238
........................................................................................................................
2,000,000 PG&E Gas Transmission Northwest
sr. notes 7.1s, 2005 1,958,460
........................................................................................................................
2,000,000 Public Service Co. of Colorado coll.
trust 6 3/8s, 2005 1,893,000
........................................................................................................................
1,500,000 Sierra Pacific Power Co. med. term
notes Ser. C, 6.82s, 2006 1,408,110
........................................................................................................................
2,660,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 2,409,721
........................................................................................................................
1,000,000 TXU Corp. secd. lease fac. bonds
7.46s, 2015 940,270
........................................................................................................................
1,600,000 TXU Electrical Capital company
guaranty 8.175s, 2037 1,594,848
........................................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,002,200
........................................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 1,771,680
------------------------------------------------------------------------------------------------------------------------
43,083,352
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (0.9%)
........................................................................................................................
2,980,000 Coastal Corp. deb. 6 1/2s, 2008 2,736,981
........................................................................................................................
1,500,000 Columbia Energy Corp. notes, Ser. E,
7.32s, 2010 1,386,510
........................................................................................................................
1,000,000 K N Energy, Inc. sr. notes 6.45s, 2003 968,350
........................................................................................................................
380,000 KN Capital Trust III company guaranty
7.63s, 2028 332,880
........................................................................................................................
1,250,000 Louis Dreyfus Natural Gas notes
6 7/8s, 2007 1,119,675
........................................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,480,680
------------------------------------------------------------------------------------------------------------------------
8,025,076
------------------------------------------------------------------------------------------------------------------------
Power Producers (0.1%)
........................................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 981,050
........................................................................................................................
305,000 Midland Funding II deb. Ser. A,
11 3/4s, 2005 341,423
------------------------------------------------------------------------------------------------------------------------
1,322,473
------------------------------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
........................................................................................................................
2,650,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 2,612,158
........................................................................................................................
2,000,000 Century Telephone Enterprises, Inc.
deb., Ser. G, 6 7/8s, 2028 1,676,460
........................................................................................................................
3,000,000 Sprint Capital Corp. company guaranty
6.9s, 2019 2,667,480
........................................................................................................................
3,200,000 U S West Communications, Inc. notes
5 5/8s, 2008 2,764,768
........................................................................................................................
1,250,000 WorldCom, Inc. notes 7 3/4s, 2007 1,251,388
------------------------------------------------------------------------------------------------------------------------
10,972,254
------------------------------------------------------------------------------------------------------------------------
Utilities (0.1%)
........................................................................................................................
646,318 Salton Sea Funding Corp. 144A company
guaranty, Ser. E, 8.3s, 2011 649,879
------------------------------------------------------------------------------------------------------------------------
Water Utilities (0.2%)
........................................................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,477,575
------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $70,184,455) $65,530,609
------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (1.3%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
U.S. Treasury Obligations (1.3%)
........................................................................................................................
U.S. Treasury Bonds
........................................................................................................................
$5,295,000 6 1/8s, August 15, 2029 $5,347,950
........................................................................................................................
965,000 6 1/8s, November 15, 2027 962,887
........................................................................................................................
1,320,000 5 1/4s, November 15, 2028 1,168,820
........................................................................................................................
U.S. Treasury Notes
........................................................................................................................
145,000 6s, August 15, 2009 143,844
........................................................................................................................
2,965,000 5 7/8s, November 15, 2004 2,921,919
........................................................................................................................
1,280,000 5 1/2s, May 15, 2009 1,224,794
------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $11,328,621) $11,770,214
------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%) (a) (cost $1,500,000)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................................................
1,500 Centaur Funding Corp. 144A 9.08%
cum. pfd. (Cayman Islands) $1,544,985
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.0%) (a) (cost $17,917,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$17,917,000 Interest in $500,000,000 joint
tri-party repurchase agreement dated
June 30, 2000 with S.B.C. Warburg, Inc.
due July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $17,926,854 for an effective
yield of 6.60%. $17,917,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $750,653,625) (b) $889,952,165
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
US Treasury Note
10 yr (Short) $3,443,125 $3,422,742 Sep-00 $(20,383)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Vista Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (94.4%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (2.7%)
........................................................................................................................
311,900 Interpublic Group Cos., Inc. $13,411,700
........................................................................................................................
63,100 Omnicom Group, Inc. 5,619,844
........................................................................................................................
116,200 Young & Rubicam, Inc. 6,645,188
------------------------------------------------------------------------------------------------------------------------
25,676,732
------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense (0.5%)
........................................................................................................................
57,600 General Motors Corp. Class H (NON) 5,054,400
------------------------------------------------------------------------------------------------------------------------
Banking (1.0%)
........................................................................................................................
9,727 M & T Bank Corp. 4,377,150
........................................................................................................................
104,300 Zions Bancorp 4,786,392
------------------------------------------------------------------------------------------------------------------------
9,163,542
------------------------------------------------------------------------------------------------------------------------
Biotechnology (6.4%)
........................................................................................................................
16,600 Abgenix, Inc. (NON) 1,989,666
........................................................................................................................
64,000 Diversa Corp. (NON) 2,120,000
........................................................................................................................
79,600 Gilead Sciences, Inc. (NON) 5,661,550
........................................................................................................................
20,200 IDEC Pharmaceuticals Corp. (NON) 2,369,713
........................................................................................................................
145,100 IDEXX Laboratories, Inc. (NON) 3,319,163
........................................................................................................................
138,100 Immunex Corp. (NON) 6,827,319
........................................................................................................................
6,000 Medarex, Inc. (NON) 507,000
........................................................................................................................
261,900 Medimmune, Inc. (NON) 19,380,600
........................................................................................................................
19,200 Millennium Pharmaceuticals, Inc. (NON) 2,148,000
........................................................................................................................
14,700 Protein Design Labs, Inc. (NON) 2,424,811
........................................................................................................................
118,000 Sepracor, Inc. (NON) 14,233,750
------------------------------------------------------------------------------------------------------------------------
60,981,572
------------------------------------------------------------------------------------------------------------------------
Broadcasting (2.8%)
........................................................................................................................
113,200 Radio One, Inc. Class A (NON) 3,346,475
........................................................................................................................
226,400 Radio One, Inc. Class D (NON) 4,994,950
........................................................................................................................
350,300 Spanish Broadcasting System, Inc.
Class A (NON) 7,203,044
........................................................................................................................
112,500 Univision Communications, Inc. Class A (NON) 11,643,750
------------------------------------------------------------------------------------------------------------------------
27,188,219
------------------------------------------------------------------------------------------------------------------------
Chemicals (2.0%)
........................................................................................................................
264,757 Ecolab, Inc. 10,342,070
........................................................................................................................
222,200 Praxair, Inc. 8,318,613
------------------------------------------------------------------------------------------------------------------------
18,660,683
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.5%)
........................................................................................................................
93,300 Cintas Corp. 3,422,944
........................................................................................................................
18,400 Macrovision Corp. (NON) 1,176,163
------------------------------------------------------------------------------------------------------------------------
4,599,107
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (7.2%)
........................................................................................................................
116,300 ADC Telecommunications, Inc. (NON) 9,754,663
........................................................................................................................
77,100 Brocade Communications Systems (NON) 14,146,645
........................................................................................................................
184,320 Comverse Technology, Inc. (NON) 17,141,760
........................................................................................................................
57,600 Crossroads Systems, Inc. (NON) 1,454,400
........................................................................................................................
233,200 Finisar Corp. (NON) 6,106,925
........................................................................................................................
20,400 Foundry Networks, Inc. (NON) 2,244,000
........................................................................................................................
101,500 Redback Networks, Inc. (NON) 18,067,000
------------------------------------------------------------------------------------------------------------------------
68,915,393
------------------------------------------------------------------------------------------------------------------------
Computers (2.9%)
........................................................................................................................
137,200 Apple Computer, Inc. (NON) 7,185,850
........................................................................................................................
44,300 Inktomi Corp. (NON) 5,238,475
........................................................................................................................
118,900 Lexmark International Group, Inc.
Class A (NON) 7,996,025
........................................................................................................................
8,400 Network Appliance, Inc. (NON) 676,200
........................................................................................................................
11,400 TIBCO Software, Inc. (NON) 1,222,472
........................................................................................................................
30,700 VeriSign, Inc. (NON) 5,418,550
------------------------------------------------------------------------------------------------------------------------
27,737,572
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.9%)
........................................................................................................................
180,200 Estee Lauder Cos. Class A 8,908,638
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (1.5%)
........................................................................................................................
168,300 Calpine Corp. (NON) 11,065,725
........................................................................................................................
76,800 Florida Progress Corp. 3,600,000
------------------------------------------------------------------------------------------------------------------------
14,665,725
------------------------------------------------------------------------------------------------------------------------
Electronics (15.3%)
........................................................................................................................
66,500 Altera Corp. (NON) 6,778,844
........................................................................................................................
109,700 Analog Devices, Inc. (NON) 8,337,200
........................................................................................................................
120,800 Applied Micro Circuits Corp. (NON) 11,929,000
........................................................................................................................
109,600 Atmel Corp. (NON) 4,041,500
........................................................................................................................
115,200 Bookham Technology PLC
(United Kingdom) (NON) 6,825,600
........................................................................................................................
50,800 E-Tek Dynamics, Inc. (NON) 13,401,675
........................................................................................................................
13,800 GlobeSpan, Inc. (NON) 1,684,678
........................................................................................................................
113,400 Jabil Circuit, Inc. (NON) 5,627,475
........................................................................................................................
74,300 JDS Uniphase Corp. (NON) 8,906,713
........................................................................................................................
69,700 LSI Logic Corp. (NON) 3,772,513
........................................................................................................................
128,500 Maxim Integrated Products, Inc. (NON) 8,729,969
........................................................................................................................
160,100 PerkinElmer, Inc. 10,586,613
........................................................................................................................
40,400 PMC - Sierra, Inc. (NON) 7,178,575
........................................................................................................................
74,400 RF Micro Devices, Inc. (NON) 6,519,300
........................................................................................................................
99,700 Sanmina Corp. (NON) 8,524,350
........................................................................................................................
158,700 Sawtek, Inc. (NON) 9,135,169
........................................................................................................................
200,300 SCI Systems, Inc. (NON) 7,849,256
........................................................................................................................
164,300 Vitesse Semiconductor Corp. (NON) 12,086,319
........................................................................................................................
50,900 Xilinx, Inc. (NON) 4,202,431
------------------------------------------------------------------------------------------------------------------------
146,117,180
------------------------------------------------------------------------------------------------------------------------
Energy (4.1%)
........................................................................................................................
99,700 BJ Services Co. (NON) 6,231,250
........................................................................................................................
100,600 Cooper Cameron Corp. (NON) 6,639,600
........................................................................................................................
339,300 Global Marine, Inc. (NON) 9,564,019
........................................................................................................................
84,100 Smith International, Inc. (NON) 6,123,531
........................................................................................................................
194,800 Transocean Sedco Forex, Inc. 10,409,625
------------------------------------------------------------------------------------------------------------------------
38,968,025
------------------------------------------------------------------------------------------------------------------------
Financial (0.8%)
........................................................................................................................
176,500 Intuit, Inc. (NON) 7,302,688
------------------------------------------------------------------------------------------------------------------------
Health Care Services (0.3%)
........................................................................................................................
194,600 Health Management Assoc., Inc. (NON) 2,541,963
------------------------------------------------------------------------------------------------------------------------
Household Furniture and Appliances (0.3%)
........................................................................................................................
193,900 Furniture Brands International, Inc. (NON) 2,932,738
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (0.3%)
........................................................................................................................
55,100 Legg Mason, Inc. 2,755,000
------------------------------------------------------------------------------------------------------------------------
Leisure Time (0.9%)
........................................................................................................................
226,800 Harley-Davidson, Inc. 8,731,800
------------------------------------------------------------------------------------------------------------------------
Manufacturing (0.8%)
........................................................................................................................
155,500 Danaher Corp. 7,687,531
------------------------------------------------------------------------------------------------------------------------
Medical Technology (3.9%)
........................................................................................................................
292,700 Allergan, Inc. 21,806,150
........................................................................................................................
193,000 PE Biosystems Group 12,713,875
........................................................................................................................
20,300 Waters Corp. (NON) 2,533,694
------------------------------------------------------------------------------------------------------------------------
37,053,719
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (1.4%)
........................................................................................................................
130,800 Devon Energy Corp. 7,349,325
........................................................................................................................
108,800 Murphy Oil Corp. 6,466,800
------------------------------------------------------------------------------------------------------------------------
13,816,125
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.3%)
........................................................................................................................
51,200 Sealed Air Corp. (NON) 2,681,600
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (4.3%)
........................................................................................................................
64,500 Andrx Corporation (NON) 4,122,961
........................................................................................................................
131,700 Forest Laboratories, Inc. (NON) 13,301,700
........................................................................................................................
64,900 Inhale Therapeutic Systems (NON) 6,585,322
........................................................................................................................
370,900 IVAX Corp. (NON) 15,392,350
........................................................................................................................
10,700 United Therapeutics Corp. 1,159,613
------------------------------------------------------------------------------------------------------------------------
40,561,946
------------------------------------------------------------------------------------------------------------------------
Publishing (0.2%)
........................................................................................................................
74,100 PRIMEDIA, Inc. (NON) 1,685,775
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.9%)
........................................................................................................................
272,500 Darden Restaurants, Inc. 4,428,125
........................................................................................................................
110,300 Starbucks Corp. (NON) 4,212,081
------------------------------------------------------------------------------------------------------------------------
8,640,206
------------------------------------------------------------------------------------------------------------------------
Retail (4.5%)
........................................................................................................................
261,600 BJ's Wholesale Club, Inc. (NON) 8,632,800
........................................................................................................................
136,300 Circuit City Stores, Inc. 4,523,456
........................................................................................................................
466,400 Family Dollar Stores, Inc. 9,123,950
........................................................................................................................
254,300 Linens 'N Things, Inc. (NON) 6,897,888
........................................................................................................................
107,900 RadioShack Corp. 5,111,763
........................................................................................................................
127,200 Tiffany & Co. 8,586,000
------------------------------------------------------------------------------------------------------------------------
42,875,857
------------------------------------------------------------------------------------------------------------------------
Semiconductor (1.8%)
........................................................................................................................
176,500 LAM Research Corp. (NON) 6,618,750
........................................................................................................................
125,100 LTX Corp. (NON) 4,370,681
........................................................................................................................
90,500 Teradyne, Inc. (NON) 6,651,750
------------------------------------------------------------------------------------------------------------------------
17,641,181
------------------------------------------------------------------------------------------------------------------------
Software (14.5%)
........................................................................................................................
40,400 Akamai Technologies, Inc. (NON) 4,796,869
........................................................................................................................
172,400 BEA Systems, Inc. (NON) 8,523,025
........................................................................................................................
42,600 BMC Software, Inc. (NON) 1,554,234
........................................................................................................................
175,700 BroadVision, Inc. (NON) 8,927,756
........................................................................................................................
86,700 I2 Technologies, Inc. (NON) 9,039,830
........................................................................................................................
45,700 ISS Group, Inc. (NON) 4,512,161
........................................................................................................................
68,800 Macromedia, Inc. (NON) 6,652,100
........................................................................................................................
45,200 Mercury Interactive Corp. (NON) 4,373,100
........................................................................................................................
7,100 Micromuse, Inc. (NON) 1,174,939
........................................................................................................................
382,300 Peregrine Systems, Inc. (NON) 13,261,031
........................................................................................................................
32,900 Phone.com, Inc. (NON) 2,142,613
........................................................................................................................
173,500 Portal Software, Inc. (NON) 11,082,313
........................................................................................................................
78,700 Quest Software, Inc. (NON) 4,358,013
........................................................................................................................
191,100 Rational Software Corp. (NON) 17,760,356
........................................................................................................................
47,400 Siebel Systems, Inc. (NON) 7,752,863
........................................................................................................................
158,773 VERITAS Software Corp. (NON) (SEG) 17,943,830
........................................................................................................................
278,600 Vignette Corp. (NON) 14,491,553
------------------------------------------------------------------------------------------------------------------------
138,346,586
------------------------------------------------------------------------------------------------------------------------
Technology Services (6.3%)
........................................................................................................................
147,200 CMGI, Inc. (NON) 6,743,600
........................................................................................................................
149,100 Convergys Corp. (NON) 7,734,563
........................................................................................................................
64,000 Diamond Technology Partners, Inc. (NON) 5,632,000
........................................................................................................................
245,100 Fiserv, Inc. (NON) 10,600,575
........................................................................................................................
102,200 InfoSpace.com, Inc. (NON) 5,646,550
........................................................................................................................
43,900 Scient Corp. (NON) 1,937,088
........................................................................................................................
2,400 StorageNetworks, Inc. (NON) 216,600
........................................................................................................................
378,400 Symbol Technologies, Inc. 20,433,600
........................................................................................................................
176,200 Ziff-Davis, Inc. (NON) 1,585,800
------------------------------------------------------------------------------------------------------------------------
60,530,376
------------------------------------------------------------------------------------------------------------------------
Telecommunications (5.1%)
........................................................................................................................
145,900 Allegiance Telecom, Inc. (NON) 9,337,600
........................................................................................................................
233,200 Crown Castle International Corp. (NON) 8,511,800
........................................................................................................................
483,800 McLeodUSA, Inc. Class A (NON) 10,008,601
........................................................................................................................
99,450 NTL, Inc. (NON) 5,954,569
........................................................................................................................
80,500 Telephone and Data Systems, Inc. 8,070,125
........................................................................................................................
60,440 VoiceStream Wireless Corp. (NON) 7,028,983
------------------------------------------------------------------------------------------------------------------------
48,911,678
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $685,413,829) $901,333,557
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.6%) (a) (cost $44,217,000)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$44,217,000 Interest in $378,983,000 joint repurchase
agreement dated June 30, 2000 with
Salomon Smith Barney, Inc. due
July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $44,240,951 for an effective
yield of 6.50% $44,217,000
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $729,630,829) (b) $945,550,557
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
...............................................................................
S&P 500 Index
(Long) $40,372,750 $40,481,400 Sep-00 $(108,650)
-------------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
Putnam VT Voyager Fund
The fund's portfolio
June 30, 2000 (Unaudited)
COMMON STOCKS (95.7%) (a)
------------------------------------------------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C> <C>
........................................................................................................................
Advertising and Marketing Services (0.5%)
........................................................................................................................
153,900 DoubleClick, Inc. (NON) $5,867,438
........................................................................................................................
358,700 Lamar Advertising Co. (NON) 15,536,194
........................................................................................................................
348,400 Omnicom Group, Inc. 31,029,375
------------------------------------------------------------------------------------------------------------------------
52,433,007
------------------------------------------------------------------------------------------------------------------------
Airlines (0.1%)
........................................................................................................................
276,200 Ryanair Holdings, PLC ADR (Ireland) (NON) 10,081,300
------------------------------------------------------------------------------------------------------------------------
Banking (2.5%)
........................................................................................................................
440,500 Bank of America Corp. 18,941,500
........................................................................................................................
359,600 Bank of New York Company, Inc. 16,721,400
........................................................................................................................
17,600 Comerica, Inc. 789,800
........................................................................................................................
282,650 Federal Home Loan Mortgage Corp. 11,447,325
........................................................................................................................
1,483,150 Fifth Third Bancorp 93,809,238
........................................................................................................................
3,069,970 Firstar Corp. 64,661,243
........................................................................................................................
16,700 Mellon Financial Corp. 608,506
........................................................................................................................
231,850 SunTrust Banks, Inc. 10,592,647
........................................................................................................................
454,200 TCF Financial Corp. 11,667,263
........................................................................................................................
95,600 Zions Bancorp 4,387,144
------------------------------------------------------------------------------------------------------------------------
233,626,066
------------------------------------------------------------------------------------------------------------------------
Beverage (0.2%)
........................................................................................................................
317,950 Coca-Cola Co. 18,262,253
........................................................................................................................
40,900 Pepsi Bottling Group, Inc. (The) 1,193,769
........................................................................................................................
61,300 PepsiCo, Inc. 2,724,019
------------------------------------------------------------------------------------------------------------------------
22,180,041
------------------------------------------------------------------------------------------------------------------------
Biotechnology (1.5%)
........................................................................................................................
575,600 Amgen, Inc. (NON) 40,435,900
........................................................................................................................
138,650 Biogen, Inc. (NON) 8,942,925
........................................................................................................................
245,600 Genentech, Inc. (NON) 42,243,200
........................................................................................................................
436,200 Sepracor, Inc. (NON) 52,616,625
........................................................................................................................
34,100 Transkaryotic Therapies, Inc. (Malaysia) (NON) 1,253,175
------------------------------------------------------------------------------------------------------------------------
145,491,825
------------------------------------------------------------------------------------------------------------------------
Broadcasting (4.9%)
........................................................................................................................
1,510,700 AMFM, Inc. (NON) 104,238,300
........................................................................................................................
62,100 Citadel Communications Corp. (NON) 2,169,619
........................................................................................................................
1,404,650 Clear Channel Communications, Inc. (NON) 105,348,750
........................................................................................................................
595,200 Echostar Communications Corp.
Class A (NON) 19,706,700
........................................................................................................................
301,900 Entercom Communications Corp. (NON) 14,717,625
........................................................................................................................
478,000 Hispanic Broadcasting Corp. (NON) 15,833,750
........................................................................................................................
3,921,021 Infinity Broadcasting Corp. Class A (NON) 142,872,203
........................................................................................................................
309,100 Univision Communications, Inc. Class A (NON) 31,991,850
........................................................................................................................
912,400 WestWood One, Inc. (NON) 31,135,650
------------------------------------------------------------------------------------------------------------------------
468,014,447
------------------------------------------------------------------------------------------------------------------------
Cable Television (3.9%)
........................................................................................................................
399,500 Adelphia Communications Corp. (NON) 18,726,563
........................................................................................................................
13,090,202 AT&T Corp. - Liberty Media Group
Class A (NON) 317,437,406
........................................................................................................................
436,650 Comcast Corp. Class A (NON) 17,684,325
........................................................................................................................
957,000 USA Networks, Inc. (NON) 20,695,125
------------------------------------------------------------------------------------------------------------------------
374,543,419
------------------------------------------------------------------------------------------------------------------------
Chemicals (--%)
........................................................................................................................
10,000 Avery Dennison Corp. 671,250
------------------------------------------------------------------------------------------------------------------------
Commercial and Consumer Services (1.4%)
........................................................................................................................
644,288 Capita Group PLC (United Kingdom) 15,767,850
........................................................................................................................
1,834,000 Cendant Corp. (NON) 25,676,000
........................................................................................................................
960,925 Cintas Corp. 35,253,936
........................................................................................................................
4,387,200 Serco Group PLC (United Kingdom) 34,196,140
........................................................................................................................
230,344 TMP Worldwide, Inc. (NON) 17,002,267
------------------------------------------------------------------------------------------------------------------------
127,896,193
------------------------------------------------------------------------------------------------------------------------
Communications Equipment (9.2%)
........................................................................................................................
1,418,700 ADC Telecommunications, Inc. (NON) 118,993,463
........................................................................................................................
280,500 Advanced Fibre Communications (NON) 12,710,156
........................................................................................................................
304,800 Brocade Communications Systems (NON) 55,926,038
........................................................................................................................
3,313,100 Cisco Systems, Inc. (NON) 210,588,919
........................................................................................................................
610,200 Comverse Technology, Inc. (NON) 56,748,600
........................................................................................................................
201,100 Corning, Inc. 54,271,863
........................................................................................................................
119,800 Extreme Networks, Inc. (NON) 12,638,900
........................................................................................................................
177,800 Foundry Networks, Inc. (NON) 19,558,000
........................................................................................................................
470,358 Juniper Networks, Inc. (NON) 68,466,486
........................................................................................................................
133,800 Lucent Technologies, Inc. 7,927,650
........................................................................................................................
2,609,500 Nokia Oyj Class A (Finland) 133,675,500
........................................................................................................................
719,700 Nokia Oyj ADR (Finland) 35,940,019
........................................................................................................................
570,700 Nortel Networks Corp. (Canada) 38,950,275
........................................................................................................................
55,200 QUALCOMM, Inc. (NON) 3,312,000
........................................................................................................................
114,800 Redback Networks, Inc. (NON) 20,434,400
........................................................................................................................
537,300 Tellabs, Inc. (NON) 36,771,469
------------------------------------------------------------------------------------------------------------------------
886,913,738
------------------------------------------------------------------------------------------------------------------------
Computers (4.0%)
........................................................................................................................
211,900 Apple Computer, Inc. (NON) 11,098,263
........................................................................................................................
53,560 Ariba, Inc. (NON) 5,251,391
........................................................................................................................
1,944,000 Dell Computer Corp. (NON) 95,863,500
........................................................................................................................
746,700 EMC Corp. (NON) 57,449,231
........................................................................................................................
432,500 Gateway, Inc. (NON) 24,544,375
........................................................................................................................
37,000 Hewlett-Packard Co. 4,620,375
........................................................................................................................
66,100 IBM Corp. 7,242,081
........................................................................................................................
19,300 Inktomi Corp. (NON) 2,282,225
........................................................................................................................
2,062,750 Parametric Technology Corp. (NON) 22,690,250
........................................................................................................................
254,400 RealNetworks, Inc. (NON) 12,863,100
........................................................................................................................
615,300 Sun Microsystems, Inc. (NON) 55,953,844
........................................................................................................................
468,100 VeriSign, Inc. (NON) 82,619,650
------------------------------------------------------------------------------------------------------------------------
382,478,285
------------------------------------------------------------------------------------------------------------------------
Conglomerates (2.8%)
........................................................................................................................
2,738,200 General Electric Co. 145,124,600
........................................................................................................................
19,800 Honeywell International, Inc. 667,013
........................................................................................................................
2,575,300 Tyco International, Ltd. 122,004,838
------------------------------------------------------------------------------------------------------------------------
267,796,451
------------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals (1.1%)
........................................................................................................................
1,149,800 Sony Corp. (Japan) 107,610,323
------------------------------------------------------------------------------------------------------------------------
Consumer Finance (0.7%)
........................................................................................................................
75,000 Capital One Financial Corp. 3,346,875
........................................................................................................................
1,247,000 MBNA Corp. 33,824,875
........................................................................................................................
342,100 Providian Financial Corp. 30,789,000
------------------------------------------------------------------------------------------------------------------------
67,960,750
------------------------------------------------------------------------------------------------------------------------
Consumer Goods (0.3%)
........................................................................................................................
57,400 Colgate-Palmolive Co. 3,436,825
........................................................................................................................
481,400 Kimberly-Clark Corp. 27,620,325
------------------------------------------------------------------------------------------------------------------------
31,057,150
------------------------------------------------------------------------------------------------------------------------
Electric Utilities (0.2%)
........................................................................................................................
155,000 Calpine Corp. (NON) 10,191,250
........................................................................................................................
144,500 FPL Group, Inc. 5,365,800
------------------------------------------------------------------------------------------------------------------------
15,557,050
------------------------------------------------------------------------------------------------------------------------
Electronics (16.4%)
........................................................................................................................
199,150 Agilent Technologies, Inc. (NON) 14,687,313
........................................................................................................................
843,000 Altera Corp. (NON) 85,933,313
........................................................................................................................
941,102 Analog Devices, Inc. (NON) 71,523,752
........................................................................................................................
9,000 Applied Micro Circuits Corp. (NON) 888,750
........................................................................................................................
135,000 Broadcom Corp. (NON) 29,556,563
........................................................................................................................
925,100 Celestica, Inc. (Canada) (NON) 45,908,088
........................................................................................................................
310,400 E-Tek Dynamics, Inc. (NON) 81,887,400
........................................................................................................................
1,002,700 Flextronics International, Ltd. (NON) 68,872,956
........................................................................................................................
1,090,500 Intel Corp. 145,786,219
........................................................................................................................
815,400 Jabil Circuit, Inc. (NON) 40,464,225
........................................................................................................................
428,500 JDS Uniphase Corp. (NON) 51,366,438
........................................................................................................................
2,956,800 Linear Technology Corp. 189,050,400
........................................................................................................................
1,655,900 LSI Logic Corp. (NON) 89,625,588
........................................................................................................................
2,412,700 Maxim Integrated Products, Inc. (NON) 163,912,806
........................................................................................................................
546,600 Micron Technology, Inc. (NON) 48,134,963
........................................................................................................................
1,280,550 Motorola, Inc. 37,215,984
........................................................................................................................
422,400 PMC - Sierra, Inc. (NON) 75,055,200
........................................................................................................................
55,400 QLogic Corp. (NON) 3,659,863
........................................................................................................................
198,000 RF Micro Devices, Inc. (NON) 17,349,750
........................................................................................................................
142,050 Rohm Co., Ltd. (Japan) 41,629,325
........................................................................................................................
627,600 Sanmina Corp. (NON) 53,659,800
........................................................................................................................
242,120 SDL, Inc. (NON) 69,049,598
........................................................................................................................
547,800 STMicroelectronics N.V. ADR (France) (NON) 35,161,913
........................................................................................................................
168,700 Texas Instruments, Inc. 11,587,581
........................................................................................................................
409,800 Vitesse Semiconductor Corp. (NON) 30,145,913
........................................................................................................................
948,500 Xilinx, Inc. (NON) 78,310,531
------------------------------------------------------------------------------------------------------------------------
1,580,424,232
------------------------------------------------------------------------------------------------------------------------
Energy (2.2%)
........................................................................................................................
213,400 Baker Hughes, Inc. 6,828,800
........................................................................................................................
495,750 Cooper Cameron Corp. (NON) 32,719,500
........................................................................................................................
514,600 Halliburton Co. 24,282,688
........................................................................................................................
385,700 Nabors Industries, Inc. (NON) 16,030,656
........................................................................................................................
1,375,000 Schlumberger, Ltd. 102,609,375
........................................................................................................................
541,500 Transocean Sedco Forex, Inc. 28,936,406
------------------------------------------------------------------------------------------------------------------------
211,407,425
------------------------------------------------------------------------------------------------------------------------
Entertainment (3.6%)
........................................................................................................................
80,400 International Speedway Corp. Class A 3,326,550
........................................................................................................................
320,200 SFX Entertainment, Inc. Class A (NON) 14,509,063
........................................................................................................................
4,803,585 Viacom, Inc. Class B (NON) 327,544,452
------------------------------------------------------------------------------------------------------------------------
345,380,065
------------------------------------------------------------------------------------------------------------------------
Environmental (0.1%)
........................................................................................................................
649,900 Thermo Instrument Systems, Inc. (NON) 12,185,625
------------------------------------------------------------------------------------------------------------------------
Financial (2.0%)
........................................................................................................................
678,100 American Express Co. 35,345,963
........................................................................................................................
1,899,746 Citigroup, Inc. 114,459,697
........................................................................................................................
258,200 Fannie Mae 13,474,813
........................................................................................................................
808,500 Intuit, Inc. (NON) 33,451,688
------------------------------------------------------------------------------------------------------------------------
196,732,161
------------------------------------------------------------------------------------------------------------------------
Health Care Services (0.9%)
........................................................................................................................
10,300 Baxter International, Inc. 724,219
........................................................................................................................
31,000 Cardinal Health, Inc. 2,294,000
........................................................................................................................
1,187,300 HCA - The Healthcare Corp. 36,064,238
........................................................................................................................
565,800 United Health Group, Inc. 48,517,350
------------------------------------------------------------------------------------------------------------------------
87,599,807
------------------------------------------------------------------------------------------------------------------------
Insurance (0.9%)
........................................................................................................................
579,750 AFLAC, Inc. 26,632,266
........................................................................................................................
510,050 American International Group, Inc. 59,930,875
------------------------------------------------------------------------------------------------------------------------
86,563,141
------------------------------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (1.5%)
........................................................................................................................
446,100 Merrill Lynch & Co., Inc. 51,301,500
........................................................................................................................
331,900 Morgan Stanley, Dean Witter,
Discover and Co. 27,630,675
........................................................................................................................
1,929,900 Schwab (Charles) Corp. 64,892,888
------------------------------------------------------------------------------------------------------------------------
143,825,063
------------------------------------------------------------------------------------------------------------------------
Manufacturing (--%)
........................................................................................................................
26,000 Danaher Corp. 1,285,375
........................................................................................................................
16,700 Illinois Tool Works, Inc. 951,900
------------------------------------------------------------------------------------------------------------------------
2,237,275
------------------------------------------------------------------------------------------------------------------------
Media (--%)
........................................................................................................................
37,600 Time Warner, Inc. 2,857,600
------------------------------------------------------------------------------------------------------------------------
Medical Technology (1.8%)
........................................................................................................................
3,100 Allergan, Inc. 230,950
........................................................................................................................
15,600 Bausch & Lomb, Inc. 1,207,050
........................................................................................................................
1,874,780 Medtronic, Inc. 93,387,479
........................................................................................................................
86,400 PE Corp. 5,691,600
........................................................................................................................
16,300 St. Jude Medical, Inc. (NON) 747,763
........................................................................................................................
748,700 Stryker Corp. 32,755,625
........................................................................................................................
660,100 Sybron International Corp. (NON) 13,078,231
........................................................................................................................
374,400 Thermo Cardiosystems, Inc. (NON) 3,744,000
........................................................................................................................
155,878 Waters Corp. (NON) 19,455,523
------------------------------------------------------------------------------------------------------------------------
170,298,221
------------------------------------------------------------------------------------------------------------------------
Natural Gas Utilities (0.4%)
........................................................................................................................
267,300 Coastal Corp. 16,271,888
........................................................................................................................
317,600 Enron Corp. 20,485,200
------------------------------------------------------------------------------------------------------------------------
36,757,088
------------------------------------------------------------------------------------------------------------------------
Oil & Gas (1.3%)
........................................................................................................................
622,600 BP Amoco PLC ADR (United Kingdom) 35,215,813
........................................................................................................................
607,600 Conoco, Inc. Class B 14,924,175
........................................................................................................................
225,100 Conoco, Inc. 4,952,200
........................................................................................................................
618,550 Noble Drilling Corp. (NON) 25,476,528
........................................................................................................................
223,200 Royal Dutch Petroleum Co.
PLC ADR (Netherlands) 13,740,750
........................................................................................................................
425,300 Total Fina S.A. ADR (France) 32,668,356
------------------------------------------------------------------------------------------------------------------------
126,977,822
------------------------------------------------------------------------------------------------------------------------
Paper & Forest Products (0.2%)
........................................................................................................................
368,900 Sealed Air Corp. (NON) 19,321,138
........................................................................................................................
14,700 Willamette Industries, Inc. 400,575
------------------------------------------------------------------------------------------------------------------------
19,721,713
------------------------------------------------------------------------------------------------------------------------
Pharmaceuticals (5.0%)
........................................................................................................................
60,300 Abbott Laboratories 2,687,119
........................................................................................................................
1,154,700 American Home Products Corp. 67,838,625
........................................................................................................................
122,900 Bristol-Myers Squibb Co. 7,158,925
........................................................................................................................
260,000 Johnson & Johnson 26,487,500
........................................................................................................................
110,900 Lilly (Eli) & Co. 11,076,138
........................................................................................................................
132,100 Merck & Co., Inc. 10,122,163
........................................................................................................................
5,107,575 Pfizer, Inc. 245,163,600
........................................................................................................................
1,883,544 Pharmacia Corp. 97,355,681
........................................................................................................................
311,100 Schering-Plough Corp. 15,710,550
------------------------------------------------------------------------------------------------------------------------
483,600,301
------------------------------------------------------------------------------------------------------------------------
Regional Bells (--%)
........................................................................................................................
15,000 SBC Communications, Inc. 648,750
------------------------------------------------------------------------------------------------------------------------
Restaurants (0.7%)
........................................................................................................................
2,234,156 J.D. Wetherspoon PLC (United Kingdom) 12,680,232
........................................................................................................................
1,414,920 Starbucks Corp. (NON) 54,032,258
------------------------------------------------------------------------------------------------------------------------
66,712,490
------------------------------------------------------------------------------------------------------------------------
Retail (5.9%)
........................................................................................................................
973,224 Bed Bath & Beyond, Inc. (NON) 35,279,370
........................................................................................................................
222,850 Best Buy Co., Inc. (NON) 14,095,263
........................................................................................................................
341,500 Circuit City Stores, Inc. 11,333,531
........................................................................................................................
1,163,400 Costco Wholesale Corp. (NON) 38,392,200
........................................................................................................................
1,376,250 Dollar Tree Stores, Inc. (NON) 54,447,891
........................................................................................................................
1,614,250 Home Depot, Inc. (The) 80,611,609
........................................................................................................................
2,076,200 Kohls Corp. (NON) 115,488,625
........................................................................................................................
64,800 Lowe's Cos., Inc. 2,660,850
........................................................................................................................
419,900 Michaels Stores, Inc. (NON) 19,236,669
........................................................................................................................
882,700 RadioShack Corp. 41,817,913
........................................................................................................................
42,000 Safeway, Inc. (NON) 1,895,250
........................................................................................................................
431,500 Target Corp. 25,027,000
........................................................................................................................
2,056,301 TJX Cos., Inc. (The) 38,555,644
........................................................................................................................
1,572,000 Wal-Mart Stores, Inc. 90,586,500
------------------------------------------------------------------------------------------------------------------------
569,428,315
------------------------------------------------------------------------------------------------------------------------
Semiconductor (2.4%)
........................................................................................................................
1,235,510 Applied Materials, Inc. (NON) 111,968,094
........................................................................................................................
618,800 ASM Lithography Holding
NV (Netherlands) 27,304,550
........................................................................................................................
687,100 KLA Tencor Corp. (NON) 40,238,294
........................................................................................................................
467,600 LAM Research Corp. (NON) 17,535,000
........................................................................................................................
453,300 Teradyne, Inc. (NON) 33,317,550
------------------------------------------------------------------------------------------------------------------------
230,363,488
------------------------------------------------------------------------------------------------------------------------
Software (7.9%)
........................................................................................................................
11,700 Adobe Systems, Inc. 1,521,000
........................................................................................................................
616,000 Amdocs Ltd. 47,278,000
........................................................................................................................
35,000 BEA Systems, Inc. (NON) 1,730,313
........................................................................................................................
114,850 BMC Software, Inc. (NON) 4,190,230
........................................................................................................................
725,200 BroadVision, Inc. (NON) 36,849,225
........................................................................................................................
47,300 Computer Associates International, Inc. 2,421,169
........................................................................................................................
564,800 Electronic Arts, Inc. (NON) 41,195,100
........................................................................................................................
339,920 I2 Technologies, Inc. (NON) 35,441,971
........................................................................................................................
659,324 Lernout & Hauspie Speech
Products NV (Belgium) 29,051,464
........................................................................................................................
111,600 Macromedia, Inc. (NON) 10,790,325
........................................................................................................................
2,408,300 Microsoft Corp. (NON) (SEG) 192,664,000
........................................................................................................................
1,988,100 Oracle Corp. (NON) 167,124,656
........................................................................................................................
413,500 Portal Software, Inc. (NON) 26,412,313
........................................................................................................................
267,100 Rational Software Corp. (NON) 24,823,606
........................................................................................................................
80,500 Siebel Systems, Inc. (NON) 13,166,781
........................................................................................................................
886,750 VERITAS Software Corp. (NON) 100,216,605
........................................................................................................................
565,800 Vignette Corp. (NON) 29,430,441
------------------------------------------------------------------------------------------------------------------------
764,307,199
------------------------------------------------------------------------------------------------------------------------
Technology Services (2.5%)
........................................................................................................................
271,950 America Online, Inc. (NON) 14,345,363
........................................................................................................................
125,800 CheckFree Holdings Corp. (NON) 6,486,563
........................................................................................................................
519,900 CMG Information Services, Inc. (NON) 23,817,919
........................................................................................................................
676,100 Convergys Corp. (NON) 35,072,688
........................................................................................................................
845,000 Electronic Data Systems Corp. 34,856,250
........................................................................................................................
489,100 InfoSpace.com, Inc. (NON) 27,022,775
........................................................................................................................
514,400 Lycos, Inc. (NON) 27,777,600
........................................................................................................................
9,141 MarchFirst, Inc. (NON) 166,823
........................................................................................................................
106,800 Sapient Corp. (NON) 11,420,925
........................................................................................................................
186,600 Softbank Corp. (Japan) 25,402,155
........................................................................................................................
260,500 Yahoo!, Inc. (NON) 32,269,438
------------------------------------------------------------------------------------------------------------------------
238,638,499
------------------------------------------------------------------------------------------------------------------------
Telecommunications (6.7%)
........................................................................................................................
379,450 Allegiance Telecom, Inc. (NON) 24,284,800
........................................................................................................................
13,900 ALLTEL Corp. 860,931
........................................................................................................................
1,126,415 AT&T Co. 35,622,874
........................................................................................................................
1,164,900 American Tower Corp. Class A (NON) 48,561,769
........................................................................................................................
981,750 Covad Communications
Group, Inc. 144A (NON) 15,830,719
........................................................................................................................
83,200 Crown Castle International Corp. (NON) 3,036,800
........................................................................................................................
36,000 Focal Communications Corp. (NON) 1,302,750
........................................................................................................................
823,800 Global Crossing, Ltd. 21,676,238
........................................................................................................................
957,100 Global Telesystems Group, Inc. 11,545,019
........................................................................................................................
229,100 Intermedia Communications, Inc. (NON) 6,815,725
........................................................................................................................
248,950 Level 3 Communication, Inc. (NON) 21,907,600
........................................................................................................................
2,892,100 McLeodUSA, Inc. Class A (NON) 59,830,319
........................................................................................................................
3,331,200 Metromedia Fiber Network, Inc.
Class A (NON) 132,207,410
........................................................................................................................
179,100 Nextel Communications, Inc. Class A (NON) 10,958,681
........................................................................................................................
1,926,708 Nextlink Communications, Inc. Class A (NON) 73,094,485
........................................................................................................................
402,232 NTL, Inc. (NON) 24,083,641
........................................................................................................................
157,900 Pinnacle Holdings, Inc. (NON) 8,526,600
........................................................................................................................
785,100 Sprint Corp. (NON) 46,713,450
........................................................................................................................
70,700 Sprint Corp. (PCS Group) (NON) 3,605,700
........................................................................................................................
1,278,550 Vodafone AirTouch PLC
(United Kingdom) 52,979,916
........................................................................................................................
206,300 VoiceStream Wireless Corp. (NON) 23,992,045
........................................................................................................................
306,800 WinStar Communications, Inc. (NON) 10,392,850
........................................................................................................................
51,300 Worldcom, Inc. (NON) 2,353,388
------------------------------------------------------------------------------------------------------------------------
640,183,710
------------------------------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $5,738,885,322) $9,211,161,285
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.5%) (a)
------------------------------------------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................................................
$72,025,000 Interest in $378,983,000 joint repurchase
agreement dated June 30, 2000 with
Salomon Smith Barney, Inc. due
July 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $72,064,014 for an effective
yield of 6.5% $72,025,000
........................................................................................................................
50,000,000 Asset Securitization Corp., effective
yield of 6.80%, July 11, 2000 49,905,556
........................................................................................................................
50,140,000 British Telecom PLC, effective yield
of 7.05%, July 3, 2000 50,110,543
........................................................................................................................
50,000,000 Ciesco L.P., effective yield of 6.54%,
July 26, 2000 49,772,917
........................................................................................................................
49,000,000 Corporate Receivables Corp., effective
yield of 6.54%, July 18, 2000 48,848,672
........................................................................................................................
30,000,000 CXC Incorp., effective yield of 6.57%,
August 2, 2000 29,824,800
........................................................................................................................
41,941,000 Delaware Funding Corp., effective
yield of 6.60%, July 26, 2000 41,748,770
........................................................................................................................
50,000,000 General Electric Capital, effective
yield of 6.81%, July 6, 2000 49,952,708
........................................................................................................................
40,263,000 Old Line Funding Corp., effective
yield of 6.59%, July 17, 2000 40,145,050
------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $432,334,040) $432,334,016
------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $6,171,219,362) (b) $9,643,495,301
------------------------------------------------------------------------------------------------------------------------
</TABLE>
Forward Currency Contracts to Sell at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
.............................................................................
Japanese Yen $4,294,976 $4,280,280 9/20/00 $(14,696)
-----------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Depreciation
.............................................................................
S & P 500 Index
(Long) $280,407,100 $285,039,267 Sep-00 $(4,632,167)
-----------------------------------------------------------------------------
See page 133 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST
Notes to the Portfolios
June 30, 2000 (Unaudited)
(a) Percentages indicated are based on net assets.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically
represent the new interest or dividend rate to be paid and the date the
fund will begin receiving interest or dividend income at this rate.
(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.
(REL) BiPop-Carire SpA is involved in a joint venture with Putnam
Investments.
(SEG) A portion of these securities were pledged and segregated with
the custodian to cover margin requirements for futures contracts on
Putnam VT Diversified Income Fund, Putnam VT George Putnam Fund, Putnam
VT Global Asset Allocation Fund, Putnam VT Growth & Income Fund, Putnam
VT Health Sciences Fund, Putnam VT Income Fund, Putnam VT International
Growth & Income Fund, Putnam VT New Opportunities Fund, Putnam VT OTC &
Emerging Growth Fund, Putnam VT Research Fund, Putnam VT Utilities
Growth & Income Fund, Putnam VT Vista Fund and Putnam VT Voyager Fund at
June 30, 2000.
(CUS) This entity provides subcustodian services to the fund. Bankers
Trust New York Corp.
(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 or GDR after the name of a foreign holding stands for
American Depositary Receipts 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).
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 June 30, 2000, which
are subject to change based on the terms of the security.
(b) On June 30, 2000, the composition of unrealized appreciation and
(depreciation) of investment securities based on the aggregate cost of
investments on a tax basis was as follows:
<TABLE>
<CAPTION>
Federal Tax
Appreciation Depreciation Net Cost
------------ ------------ ----------- -------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund $77,946 $320 $77,626 $6,323,062
Putnam VT Asia Pacific Growth Fund 21,340,782 13,080,787 8,259,995 171,680,323
Putnam VT Diversified Income Fund 11,053,203 57,227,967 (46,174,764) 662,600,140
Putnam VT The George Putnam Fund 18,563,018 24,235,167 (5,672,149) 351,106,738
Putnam VT Global Asset Allocation Fund 125,819,986 44,357,300 81,462,686 847,412,577
Putnam VT Global Growth Fund 514,625,980 131,029,406 383,596,574 2,452,344,522
Putnam VT Growth and Income Fund 1,445,534,056 398,281,733 1,047,252,323 7,650,962,798
Putnam VT Growth Opportunites Fund 6,469,449 3,434,236 3,035,213 81,022,706
Putnam VT Health Sciences Fund 116,466,105 5,593,099 110,873,006 322,841,628
Putnam VT High Yield Fund 15,058,384 150,111,309 (135,052,925) 1,005,613,280
Putnam VT Income Fund 5,190,495 48,040,039 (42,849,544) 893,800,320
Putnam VT International Growth Fund 139,799,527 28,978,701 110,820,826 738,958,305
Putnam VT International Growth and Income Fund 51,998,922 20,303,318 31,695,604 433,618,622
Putnam VT International New Opportunities Fund 98,181,584 39,667,919 58,513,665 469,616,110
Putnam VT Investors Fund 280,837,382 44,304,220 236,533,162 1,013,954,714
Putnam VT Money Market Fund -- -- -- 719,554,019
Putnam VT New Opportunities Fund 3,422,158,591 271,466,855 3,150,691,736 4,244,695,007
Putnam VT New Value Fund 29,848,075 28,711,067 1,137,008 257,745,922
Putnam VT OTC & Emerging Growth Fund 118,009,512 90,203,640 27,805,872 434,220,399
Putnam VT Research Fund 32,815,087 13,384,061 19,431,026 231,553,046
Putnam VT Small Cap Value Fund 6,022,728 4,008,846 2,013,882 43,824,383
Putnam VT Technology Fund 91,973 20,221 71,752 1,013,412
Putnam VT Utilities Growth and Income Fund 196,508,346 57,176,315 139,332,031 750,620,134
Putnam VT Vista Fund 259,177,665 43,983,902 215,193,763 730,356,794
Putnam VT Voyager Fund 3,739,571,637 283,104,649 3,456,466,988 6,187,028,313
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities
---------------------------------------------------------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
Putnam VT Putnam VT
American Putnam VT Putnam VT The George Putnam VT
Government Asia Pacific Diversified Putnam Fund Global Asset
Income Fund Growth Fund Income Fund of Boston Allocation Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1) $6,400,688 $179,940,318 $597,047,376 $309,429,589 $889,070,263
Repurchase agreements, at value (Note 1) -- -- 19,378,000 36,005,000 39,805,000
Cash 1,216 -- 1,697,966 561,328 2,663,161
Foreign currency, at value -- 3,329,576 223,677 -- 5,348,835
Dividends, interest, and other
receivables 57,478 157,486 13,054,769 1,918,909 4,451,420
Receivable for shares of the fund sold 53,560 4,762,691 180,083 328,846 11,011
Receivable for securities sold -- 730,993 7,270,184 664,499 24,983,407
Receivable for variation margin -- -- 43,087 20,200 1,483,505
Receivable for open forward currency
contracts -- -- 979,300 -- 1,818,866
Receivable for closed forward currency
contracts -- -- 69,901 -- 207,806
Receivable from Manager (Note 2) 4,190 -- -- -- --
Foreign tax reclaim -- -- -- 5,829 81,904
..................................................................................................................................
Total assets 6,517,132 188,921,064 639,944,343 348,934,200 969,925,178
..................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) -- 3,670,973 -- -- --
Payable for variation margin -- -- -- -- --
Payable for securities purchased -- 1,146,167 10,016,123 6,590,577 18,670,197
Payable for shares of the fund
repurchased -- 7,621 152,806 3,668 505,601
Payable for compensation of Manager
(Note 2) -- 373,012 1,210,399 545,092 1,510,651
Payable for investor servicing and
custodian fees (Note 2) -- 79,892 75,158 46,980 146,346
Payable for compensation of Trustees
(Note 2) -- 15,374 24,661 4,056 45,955
Payable for administrative services
(Note 2) 10 1,668 2,434 1,535 2,434
Payable for distribution fees (Note 2) 61 1,102 5,560 7,848 1,611
Payable for open forward currency
contracts -- -- 441,768 -- 541,039
Payable for closed forward currency
contracts -- 161,853 9,407 -- 91,709
TBA sales commitments at value
(proceeds receivable $12,358,531) -- -- -- -- 12,387,426
Other accrued expenses 13,112 15,398 34,560 23,567 36,001
..................................................................................................................................
Total liabilities 13,183 5,473,060 11,972,876 7,223,323 33,938,970
..................................................................................................................................
Net assets $6,503,949 $183,448,004 $627,971,467 $341,710,877 $935,986,208
..................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) $6,299,614 $141,642,345 $706,481,494 $352,369,522 $778,020,038
Undistributed net investment income
(loss) (Note 1) 82,231 (6,902,807) 27,176,772 5,609,862 11,313,911
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (Note 1) 44,478 33,667,261 (62,210,725) (11,744,444) 55,874,177
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies 77,626 15,041,205 (43,476,074) (4,524,063) 90,778,082
..................................................................................................................................
Total -- Representing net assets
applicable to capital shares
outstanding $6,503,949 $183,448,004 $627,971,467 $341,710,877 $935,986,208
..................................................................................................................................
Computation of net asset value Class IA
Net Assets $5,772,978 $174,378,883 $580,247,019 $276,914,788 $922,148,894
Number of shares outstanding 551,987 13,464,738 62,617,576 27,937,071 52,985,885
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 10.46 $ 12.95 $ 9.27 $ 9.91 $ 17.40
Computation of net asset value Class IB
Net Assets $ 730,971 $ 9,069,121 $ 47,724,448 $ 64,796,089 $ 13,837,314
Number of shares outstanding 69,911 702,227 5,167,263 6,543,824 794,495
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 10.46 $ 12.91 $ 9.24 $ 9.90 $ 17.42
..................................................................................................................................
Cost of investments, including
repurchase agreements (Note 1) $6,323,062 $164,864,734 $660,455,876 $349,957,197 $841,868,005
Cost of foreign currency (Note 1) -- 3,363,518 221,702 -- 5,215,878
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities (continued)
---------------------------------------------------------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
Putnam VT
Putnam VT Putnam VT Growth Putnam VT Putnam VT
Global Growth Growth and Opportunities Health Sciences High Yield
Fund Income Fund Fund Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1) $2,749,491,096 $8,646,489,121 $79,499,919 $403,532,634 $ 845,746,355
Repurchase agreements, at value (Note 1) 86,450,000 51,726,000 4,558,000 30,182,000 24,814,000
Cash -- -- 225,275 1,181,340 4,303,685
Foreign currency, at value 42,557 -- -- -- --
Dividends, interest, and other
receivables 768,336 15,413,544 7,974 158,347 19,884,915
Receivable for shares of the fund sold 2,398,804 962,079 504,282 21,416,913 43,204
Receivable for securities sold 50,366,791 115,598,917 -- 17,598,942 38,977,456
Receivable for variation margin -- 622,730 -- 89,956 --
Receivable for open forward currency
contracts -- -- -- -- --
Receivable for closed forward currency
contracts -- -- -- -- --
Foreign tax reclaim 152,261 231,184 -- 27,090 --
..................................................................................................................................
Total assets 2,889,669,845 8,831,043,575 84,795,450 474,187,222 933,769,615
..................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) 1,350,206 184,457 -- -- --
Payable for variation margin -- -- -- -- --
Payable for securities purchased 71,095,205 157,772,158 3,889,966 27,810,773 41,023,890
Payable for shares of the fund
repurchased 1,052,373 4,013,293 -- 20,713,632 420,554
Payable for compensation of Manager
(Note 2) 4,670,921 10,353,646 109,158 601,868 1,449,963
Payable for investor servicing and
custodian fees (Note 2) 403,802 523,779 11,135 25,569 59,039
Payable for compensation of Trustees
(Note 2) 77,970 99,295 -- 6,543 58,244
Payable for administrative services
(Note 2) 7,259 8,323 750 1,618 2,509
Payable for distribution fees (Note 2) 8,679 38,888 1,729 6,395 3,550
Payable for open forward currency
contracts -- -- -- -- --
Payable for closed forward currency
contracts -- -- -- -- --
Other accrued expenses 39,655 49,416 13,140 36,122 47,358
..................................................................................................................................
Total liabilities 78,706,070 173,043,255 4,025,878 49,202,520 43,065,107
..................................................................................................................................
Net assets $2,810,963,775 $8,658,000,320 $80,769,572 $424,984,702 $890,704,508
..................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) $2,026,566,832 $7,991,964,483 $79,982,992 $330,157,774 $1,085,508,242
Undistributed net investment income
(loss) (Note 1) (22,483,816) 75,884,685 (51,496) 239,497 47,357,355
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (Note 1) 405,115,036 (211,607,306) (2,197,137) (18,322,155) (109,684,841)
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies 401,765,723 801,758,458 3,035,213 112,909,586 (132,476,248)
..................................................................................................................................
Total -- Representing net assets
applicable to capital shares
outstanding $2,810,963,775 $8,658,000,320 $80,769,572 $424,984,702 $890,704,508
..................................................................................................................................
Computation of net asset value Class IA
Net Assets $2,735,064,758 $8,337,349,327 $64,071,543 $366,549,767 $860,518,173
Number of shares outstanding 118,923,873 359,196,783 5,988,432 26,681,664 88,769,230
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 23.00 $ 23.21 $ 10.70 $13.74 $ 9.69
Computation of net asset value Class IB
Net Assets $ 75,899,017 $ 320,650,993 $16,698,029 $58,434,935 $ 30,186,335
Number of shares outstanding 3,311,666 13,851,580 1,561,655 4,258,757 3,115,608
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 22.92 $ 23.15 $ 10.69 $ 13.72 $ 9.69
..................................................................................................................................
Cost of investments, including
repurchase agreements (Note 1) $2,434,120,749 $7,895,780,964 $81,022,706 $320,748,482 $1,003,080,529
Cost of foreign currency (Note 1) 41,022 -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities (continued)
---------------------------------------------------------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT
International International International New Putnam VT
Putnam VT Growth Growth and Opportunities Investors
Income Fund Fund Income Fund Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1) $813,841,776 $811,863,131 $443,375,226 $504,786,775 $1,226,187,876
Repurchase agreements, at value (Note 1) 37,109,000 37,916,000 21,939,000 23,343,000 24,300,000
Cash -- 448,947 253,179 1,835,838 1,413,141
Foreign currency, at value -- 8,874,004 1,836,143 329,841 --
Dividends, interest, and other
receivables 11,633,495 984,688 692,350 324,133 550,923
Receivable for shares of the fund sold 183,210 2,048,580 141,258 982,327 1,998,944
Receivable for securities sold 2,010,676 2,611,665 4,951,043 4,298,969 8,630,209
Receivable for variation margin -- -- 1,956 -- 17,675
Receivable for open forward currency
contracts -- 8,177 9,042 -- --
Receivable for closed forward currency
contracts -- 55,260 -- 1,786,917 --
Foreign tax reclaim -- 275,720 294,408 40,751 13,644
..................................................................................................................................
Total assets 864,778,157 865,086,172 473,493,605 537,728,551 1,263,112,412
..................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) 10,310 -- -- -- --
Payable for variation margin 96,422 -- -- -- --
Payable for securities purchased 5,129,648 16,828,936 17,311,670 5,346,619 19,214,733
Payable for shares of the fund
repurchased 890,282 648,850 5,076,310 3,509,459 --
Payable for compensation of Manager
(Note 2) 1,304,373 1,485,809 848,098 1,261,429 1,687,198
Payable for investor servicing and
custodian fees (Note 2) 65,989 205,656 98,610 163,112 78,671
Payable for compensation of Trustees
(Note 2) 40,902 10,908 10,525 9,442 5,384
Payable for administrative services
(Note 2) 2,334 2,534 1,718 2,476 4,190
Payable for distribution fees (Note 2) 3,915 12,655 3,053 17,856 25,627
Payable for open forward currency
contracts -- 452,472 269,865 -- --
Payable for closed forward currency
contracts -- 604,112 8,886 -- --
Other accrued expenses 35,439 19,973 19,070 20,148 18,915
..................................................................................................................................
Total liabilities 7,579,614 20,271,905 23,647,805 10,330,541 21,034,718
..................................................................................................................................
Net assets $857,198,543 $844,814,267 $449,845,800 $527,398,010 $1,242,077,694
..................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) $902,783,700 $643,658,086 $387,304,164 $460,488,346 $1,049,333,068
Undistributed net investment income
(loss) (Note 1) 30,469,332 241,780 (2,807,262) (1,665,907) 261,075
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (Note 1) (31,869,200) 78,254,092 27,795,790 8,448,633 (47,280,338)
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies (44,185,289) 122,660,309 37,553,108 60,126,938 239,763,889
..................................................................................................................................
Total -- Representing net assets
applicable to capital shares
outstanding $857,198,543 $844,814,267 $449,845,800 $527,398,010 $1,242,077,694
..................................................................................................................................
Computation of net asset value Class IA
Net Assets $823,536,444 $732,800,897 $424,023,850 $375,618,450 $1,022,976,801
Number of shares outstanding 69,121,360 37,215,290 30,601,449 19,909,808 69,396,663
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 11.91 $ 19.69 $ 13.86 $ 18.87 $ 14.74
Computation of net asset value Class IB
Net Assets $ 33,662,099 $112,013,370 $25,821,950 $151,779,560 $219,100,893
Number of shares outstanding 2,829,289 5,700,158 1,867,796 8,062,405 14,902,167
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 11.90 $ 19.65 $ 13.82 $ 18.83 $ 14.70
..................................................................................................................................
Cost of investments, including
repurchase agreements (Note 1) $893,502,282 $727,115,261 $427,472,614 $467,677,592 $1,010,711,924
Cost of foreign currency (Note 1) -- 9,211,628 1,821,595 643,927 --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities (continued)
---------------------------------------------------------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging Research
Market Fund Fund Fund Growth Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1) $719,554,019 $7,324,318,743 $252,748,930 $438,442,271 $244,151,072
Repurchase agreements, at value (Note 1) -- 71,068,000 6,134,000 23,584,000 6,833,000
Cash 50,161 -- 666 -- 254
Foreign currency, at value -- -- -- -- --
Dividends, interest, and other
receivables 1,546,628 466,661 644,416 12,871 132,064
Receivable for shares of the fund sold 8,864,989 2,275,349 84,454 709,029 588,167
Receivable for securities sold -- 12,508,687 510,195 1,127,331 2,813,288
Receivable for variation margin -- 623,675 -- 38,136 27,406
Receivable for open forward currency
contracts -- -- -- -- --
Receivable for closed forward currency
contracts -- -- -- -- --
Foreign tax reclaim -- -- 7,322 -- --
..................................................................................................................................
Total assets 730,015,797 7,411,261,115 260,129,983 463,913,638 254,545,251
..................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) -- 406,732 -- 142,059 --
Payable for variation margin -- -- -- -- --
Payable for securities purchased 6,995,800 23,290,268 2,023,140 1,815,837 3,620,285
Payable for shares of the fund
repurchased 4,708,503 1,300,424 3,033 862,980 --
Payable for compensation of Manager
(Note 2) 762,966 8,943,085 447,475 658,650 365,608
Payable for investor servicing and
custodian fees (Note 2) 61,849 392,665 26,927 64,156 40,957
Payable for compensation of Trustees
(Note 2) 11,707 138,435 7,280 4,553 2,114
Payable for administrative services
(Note 2) 2,193 8,008 1,535 1,643 1,493
Payable for distribution fees (Note 2) 7,577 22,425 2,127 8,967 6,846
Payable for open forward currency
contracts -- -- -- -- --
Payable for closed forward currency
contracts -- -- -- -- --
Other accrued expenses 27,126 39,099 16,399 16,064 14,350
..................................................................................................................................
Total liabilities 12,577,721 34,541,141 2,527,916 3,574,909 4,051,653
..................................................................................................................................
Net assets $717,438,076 $7,376,719,974 $257,602,067 $460,338,729 $250,493,598
..................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) $717,438,076 $3,728,979,897 $256,020,563 $459,772,257 $218,419,425
Undistributed net investment income
(loss) (Note 1) -- (11,532,476) 2,072,107 (784,738) 326,809
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (Note 1) -- 505,139,128 (2,480,405) (27,017,890) 11,888,761
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies -- 3,154,133,425 1,989,802 28,369,100 19,858,603
..................................................................................................................................
Total -- Representing net assets
applicable to capital shares
outstanding $717,438,076 $7,376,719,974 $257,602,067 $460,338,729 $250,493,598
..................................................................................................................................
Computation of net asset value Class IA
Net Assets $652,614,021 $7,179,732,192 $240,221,934 $377,791,187 $191,721,411
Number of shares outstanding 652,614,021 166,748,191 21,138,460 18,992,059 12,566,523
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $1.00 $43.06 $11.36 $19.89 $15.26
Computation of net asset value Class IB
Net Assets $ 64,824,055 $196,987,782 $17,380,133 $82,547,542 $ 58,772,187
Number of shares outstanding 64,824,055 4,590,516 1,531,533 4,158,672 3,860,132
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $ 1.00 $ 42.91 $ 11.35 $ 19.85 $ 15.23
..................................................................................................................................
Cost of investments, including
repurchase agreements (Note 1) $719,554,019 $4,239,683,476 $256,893,128 $433,659,427 $231,091,431
Cost of foreign currency (Note 1) -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Assets and Liabilities (continued)
---------------------------------------------------------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Small Cap Technology Utilities Growth Vista Voyager
Value Fund Fund and Income Fund Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1) $43,357,265 $1,073,164 $872,035,165 $901,333,557 $9,571,470,301
Repurchase agreements, at value (Note 1) 2,481,000 12,000 17,917,000 44,217,000 72,025,000
Cash 778 904 6,899 1,744,149 214,909
Foreign currency, at value -- -- -- -- --
Dividends, interest, and other
receivables 38,858 23 3,606,249 123,772 44,523,256
Receivable for shares of the fund sold 923,094 -- 78,643 2,398,846 1,432,814
Receivable for securities sold 189,313 136,558 172,146 56,021,710 58,928,518
Receivable for variation margin -- -- -- 206,720 1,908,723
Receivable for open forward currency
contracts -- -- -- -- --
Receivable for closed forward currency
contracts -- -- -- -- --
Foreign tax reclaim -- -- 20,073 -- 101,914
..................................................................................................................................
Total assets 46,990,308 1,222,649 893,836,175 1,006,045,754 9,750,605,435
..................................................................................................................................
Liabilities
Payable to subcustodian (Note 2) -- -- -- -- 40,883
Payable for variation margin -- -- 3,828 -- --
Payable for securities purchased 100,868 145,672 -- 49,782,831 113,109,030
Payable for shares of the fund
repurchased 705,826 -- 330,244 11,342 2,623,242
Payable for compensation of Manager
(Note 2) 78,523 485 1,490,818 1,269,484 11,984,320
Payable for investor servicing and
custodian fees (Note 2) 16,266 92 79,597 60,482 582,284
Payable for compensation of Trustees
(Note 2) 262 -- 54,895 7,393 70,664
Payable for administrative services
(Note 2) 750 10 2,501 2,396 8,580
Payable for distribution fees (Note 2) 2,039 -- 2,763 19,313 42,063
Payable for open forward currency
contracts -- -- -- -- 14,696
Payable for closed forward currency
contracts -- -- -- -- --
Other accrued expenses 14,098 901 17,492 18,983 52,404
..................................................................................................................................
Total liabilities 918,632 147,160 1,982,138 51,172,224 128,528,166
..................................................................................................................................
Net assets $46,071,676 $1,075,489 $891,854,037 $954,873,530 $ 9,622,077,269
..................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5) $43,799,217 $1,000,000 $701,111,000 $651,637,017 $ 5,510,932,415
Undistributed net investment income
(loss) (Note 1) 57,514 (1,465) 14,570,263 (967,704) (7,101,709)
Accumulated net realized gain (loss) on
investments and foreign currency
transactions (Note 1) 68,882 5,202 36,939,323 88,393,139 650,615,151
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies 2,146,063 71,752 139,233,451 215,811,078 3,467,631,412
..................................................................................................................................
Total -- Representing net assets
applicable to capital shares
outstanding $46,071,676 $1,075,489 $891,854,037 $954,873,530 $ 9,622,077,269
..................................................................................................................................
Computation of net asset value Class IA
Net Assets $28,617,200 $1,074,414 $868,997,027 $781,913,904 $ 9,259,475,324
Number of shares outstanding 2,594,341 99,900 55,062,921 32,863,257 156,389,872
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $11.03 $ 10.75 $ 15.78 $ 23.79 $ 59.21
Computation of net asset value Class IB
Net Assets $17,454,476 $ 1,075 $ 22,857,010 $172,959,626 $ 362,601,945
Number of shares outstanding 1,585,531 100 1,450,586 7,283,674 6,141,454
Net asset value, offering price and
redemption price per share (net assets
divided by number of shares
outstanding) $11.01 $ 10.75 $15.76 $23.75 $59.04
..................................................................................................................................
Cost of investments, including
repurchase agreements (Note 1) $43,692,202 $1,013,412 $750,653,625 $729,630,829 $6,171,219,362
Cost of foreign currency (Note 1) -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations
---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 2000 (Unaudited)
Putnam VT Putnam VT
American Putnam VT Putnam VT The George Putnam VT
Government Asia Pacific Diversified Putnam Fund Global Asset
Income Fund** Growth Fund Income Fund of Boston Allocation Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends $ -- $ 930,037 $ 1,287,787 $ 2,367,108 $ 4,348,892
Interest 94,703 28,346 28,300,745 4,499,994 12,504,981
Less foreign taxes withheld -- (83,552) -- (12,876) (99,651)
..................................................................................................................................
Total investment income 94,703 874,831 29,588,532 6,854,226 16,754,222
..................................................................................................................................
Expenses
Compensation of Manager (Note 2) 10,000 838,003 2,286,204 1,046,784 3,084,876
Investor servicing and custodian fees
(Note 2) 1,353 254,445 256,230 156,426 557,388
Compensation of Trustees (Note 2) 190 8,727 12,244 6,762 12,849
Administrative services (Note 2) 20 3,205 4,621 2,931 10,298
Distribution fees-Class IB 87 6,038 25,716 38,002 7,170
Reports to Shareholders -- 68 -- 434 63
Auditing 12,543 13,481 31,985 21,592 29,954
Legal 1,711 2,142 2,603 2,190 3,173
Other 54 692 1,352 4,802 3
Fees waived and reimbursed by Manager
(Note 2) (12,025) -- -- -- --
..................................................................................................................................
Total expenses 13,933 1,126,801 2,620,955 1,279,923 3,705,774
..................................................................................................................................
Expense reduction (Note 2) (1,461) (61,809) (32,144) (26,502) (80,256)
Net expenses 12,472 1,064,992 2,588,811 1,253,421 3,625,518
..................................................................................................................................
Net investment income (loss) 82,231 (190,161) 26,999,721 5,600,805 13,128,704
..................................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) 44,478 37,363,826 (11,859,858) (7,270,158) 76,852,511
Net realized gain (loss) on futures
contracts (Note 1) -- -- 527,372 278,378 (18,981,837)
Net realized gain (loss) on foreign
currency transactions (Note 1) -- (171,866) (3,088,999) -- (10,016,402)
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the period -- (44,201) 1,807,054 -- 2,797,324
Net unrealized appreciation
(depreciation) of investments, TBA
sale commitments, and futures during
the period 77,626 (87,114,114) (5,444,273) (820,912) (71,148,979)
..................................................................................................................................
Net gain (loss) on investments 122,104 (49,966,355) (18,058,704) (7,812,692) (20,497,383)
..................................................................................................................................
Net increase (decrease) in net assets
resulting from operations $204,335 $(50,156,516) $ 8,941,017 $(2,211,887) $(7,368,679)
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations (continued)
---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 2000 (Unaudited)
Putnam VT
Putnam VT Putnam VT Growth Putnam VT Putnam VT
Global Growth Growth and Opportunities Health Sciences High Yield
Fund Income Fund Fund** Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends $ 5,652,676 $ 95,155,298 $ 42,173 $ 956,711 $ 3,559,549
Interest 573,591 3,450,596 95,404 509,989 49,313,989
Less foreign taxes withheld (472,797) (467,730) (1,213) (19,767) --
..................................................................................................................................
Total investment income 5,753,470 98,138,164 136,364 1,446,933 52,873,538
..................................................................................................................................
Expenses
Compensation of Manager (Note 2) 9,780,174 20,600,019 145,168 1,106,211 3,001,280
Investor servicing and custodian fees
(Note 2) 1,285,703 1,520,020 34,382 131,630 252,335
Compensation of Trustees (Note 2) 35,014 55,993 194 8,171 21,591
Administrative services (Note 2) 16,658 15,484 1,499 3,096 4,746
Distribution fees-Class IB 36,945 180,025 4,124 26,478 17,658
Reports to Shareholders 784 11,960 -- 2,712 --
Auditing 29,652 29,437 12,547 13,356 31,752
Legal 7,946 5,313 1,783 2,918 34,831
Other 6,795 -- 216 644 2,295
Fees waived and reimbursed by Manager
(Note 2) -- -- -- -- --
..................................................................................................................................
Total expenses 11,199,671 22,418,251 199,913 1,295,216 3,366,488
..................................................................................................................................
Expense reduction (Note 2) (214,374) (397,267) (12,053) (20,136) (52,287)
Net expenses 10,985,297 22,020,984 187,860 1,275,080 3,314,201
..................................................................................................................................
Net investment income (loss) (5,231,827) 76,117,180 (51,496) 171,853 49,559,337
..................................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) 406,866,334 (131,260,874) (2,197,137) 4,849,904 (29,753,958)
Net realized gain (loss) on futures
contracts (Note 1) -- (16,341,262) -- (1,042,042) --
Net realized gain (loss) on foreign
currency transactions (Note 1) 508,119 (6,448,207) -- 113 --
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the period (51,793) -- -- 34,357 43,926
Net unrealized appreciation
(depreciation) of investments and
futures during the period (735,108,556) (222,977,844) 3,035,213 81,442,333 (30,240,172)
..................................................................................................................................
Net gain (loss) on investments (327,785,896) (377,028,187) 838,076 85,284,665 (59,950,204)
..................................................................................................................................
Net increase (decrease) in net assets
resulting from operations $(333,017,723) $(300,911,007) $ 786,580 $85,456,518 $(10,390,867)
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations (continued)
---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT
International International International New Putnam VT
Putnam VT Growth Growth and Opportunities Investors
Income Fund Fund Income Fund Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends $ 160,143 $15,183,435 $ 4,891,371 $ 1,174,715 $ 2,817,440
Interest 33,595,939 794,913 554,713 609,886 876,868
Less foreign taxes withheld -- (691,612) (594,615) (153,471) (34,662)
..................................................................................................................................
Total investment income 33,756,082 15,286,736 4,851,469 1,631,130 3,659,646
..................................................................................................................................
Expenses
Compensation of Manager (Note 2) 2,677,022 2,883,258 1,645,179 2,420,804 3,225,982
Investor servicing and custodian fees
(Note 2) 250,945 631,114 310,765 509,567 264,312
Compensation of Trustees (Note 2) 11,778 12,443 9,321 9,142 12,144
Administrative services (Note 2) 2,480 5,680 3,286 4,827 8,208
Distribution fees-Class IB 18,509 51,875 13,589 69,658 114,670
Reports to Shareholders -- 1,447 157 647 1,856
Auditing 31,438 16,354 16,245 17,400 13,791
Legal 2,883 3,207 2,332 2,806 4,125
Other 1,873 3,122 868 103,313 2,264
Fees waived and reimbursed by Manager
(Note 2) -- -- -- -- --
..................................................................................................................................
Total expenses 2,996,928 3,608,500 2,001,742 3,138,164 3,647,352
..................................................................................................................................
Expense reduction (Note 2) (36,835) (65,803) (78,996) (90,143) (36,889)
Net expenses 2,960,093 3,542,697 1,922,746 3,048,021 3,610,463
..................................................................................................................................
Net investment income (loss) 30,795,989 11,744,039 2,928,723 (1,416,891) 49,183
..................................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) (17,236,487) 78,508,063 28,909,066 6,697,146 (28,316,820)
Net realized gain (loss) on futures
contracts (Note 1) 1,587,820 -- (61,511) -- (584,490)
Net realized gain (loss) on foreign
currency transactions (Note 1) -- 484,847 (405,320) 2,727,523 --
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the period -- (57,443) (212,052) 452,165 --
Net unrealized appreciation
(depreciation) of investments and
futures during the period 2,050,725 (82,032,935) (5,302,548) (93,700,212) 4,347,180
..................................................................................................................................
Net gain (loss) on investments (13,597,942) (3,097,468) 22,927,635 (83,823,378) (24,554,130)
..................................................................................................................................
Net increase (decrease) in net assets
resulting from operations $17,198,047 $ 8,646,571 $25,856,358 $(85,240,269) $(24,504,947)
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations (continued)
---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Money New Opportunities New Value OTC & Emerging Research
Market Fund Fund Fund Growth Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends $ -- $ 3,541,591 $2,476,403 $ -- $ 1,027,634
Interest 22,609,472 4,721,756 480,713 847,810 124,081
Less foreign taxes withheld -- (76,324) (14,568) -- (4,513)
..................................................................................................................................
Total investment income 22,609,472 8,187,023 2,942,548 847,810 1,147,202
..................................................................................................................................
Expenses
Compensation of Manager (Note 2) 1,537,673 18,373,547 863,201 1,363,910 656,950
Investor servicing and custodian fees
(Note 2) 194,800 1,330,126 95,539 213,902 120,469
Compensation of Trustees (Note 2) 10,066 41,554 7,474 7,767 6,841
Administrative services (Note 2) 4,130 15,551 2,920 3,724 2,857
Distribution fees-Class IB 35,106 90,560 9,655 36,885 31,298
Reports to Shareholders -- 5,838 578 1,033 89
Auditing 17,189 22,401 13,242 13,311 13,167
Legal 15,367 16,999 2,015 2,803 2,070
Other 65,421 15,522 -- 874 394
Fees waived and reimbursed by Manager
(Note 2) -- -- -- -- --
..................................................................................................................................
Total expenses 1,879,752 19,912,098 994,624 1,644,209 834,135
..................................................................................................................................
Expense reduction (Note 2) (3,708) (192,599) (30,874) (11,661) (13,742)
Net expenses 1,876,044 19,719,499 963,750 1,632,548 820,393
..................................................................................................................................
Net investment income (loss) 20,733,428 (11,532,476) 1,978,798 (784,738) 326,809
..................................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) -- 510,747,836 (1,390,986) (27,426,088) 12,358,696
Net realized gain (loss) on futures
contracts (Note 1) -- 229,571 (133,531) 1,018,156 12,275
Net realized gain (loss) on foreign
currency transactions (Note 1) -- (1,267) -- -- --
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the period -- (307) -- -- --
Net unrealized appreciation
(depreciation) of investments and
futures during the period -- (78,675,471) 5,847,357 (60,435,352) (1,382,542)
..................................................................................................................................
Net gain (loss) on investments -- 432,300,362 4,322,840 (86,843,284) 10,988,429
..................................................................................................................................
Net increase (decrease) in net assets
resulting from operations $20,733,428 $420,767,886 $6,301,638 $(87,628,022) $11,315,238
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Operations (continued)
---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 2000 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT
Small Cap Value Technology Utilities Growth Vista Voyager
Fund Fund*** and Income Fund Fund
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends $ 207,875 $ 20 $14,758,673 $ 617,631 $ 13,126,013
Interest 40,925 2 3,185,703 1,052,431 6,358,902
Less foreign taxes withheld -- -- (141,212) -- (347,419)
..................................................................................................................................
Total investment income 248,800 22 17,803,164 1,670,062 19,137,496
..................................................................................................................................
Expenses
Compensation of Manager (Note 2) 128,186 485 2,993,583 2,377,596 24,397,346
Investor servicing and custodian fees
(Note 2) 43,741 107 243,175 226,269 2,086,158
Compensation of Trustees (Note 2) 1,268 -- 13,416 8,316 51,632
Administrative services (Note 2) 1,514 10 4,722 5,408 16,666
Distribution fees-Class IB 8,216 -- 12,415 71,411 186,809
Reports to Shareholders -- 1,074 1,367 8,692
Auditing 13,060 500 16,205 15,388 13,368
Legal 1,757 400 2,924 3,306 11,300
Other 3 -- 3,473 1,084 4
Fees waived and reimbursed by Manager
(Note 2) -- -- -- -- --
..................................................................................................................................
Total expenses 197,745 1,502 3,290,987 2,710,145 26,771,975
..................................................................................................................................
Expense reduction (Note 2) (6,459) (15) (34,856) (72,379) (454,260)
Net expenses 191,286 1,487 3,256,131 2,637,766 26,317,715
..................................................................................................................................
Net investment income (loss) 57,514 (1,465) 14,547,033 (967,704) (7,180,219)
..................................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) 201,063 5,202 37,192,006 89,814,319 677,413,463
Net realized gain (loss) on futures
contracts (Note 1) -- -- 69,917 (69,389) (9,685,646)
Net realized gain (loss) on foreign
currency transactions (Note 1) -- -- 98,981 -- 92,731
Net unrealized appreciation
(depreciation) of assets and
liabilities in foreign currencies
during the period -- -- (57,269) -- 190,576
Net unrealized appreciation
(depreciation) of investments and
futures during the period 1,721,363 71,752 (30,228,365) 14,703,074 (532,542,134)
..................................................................................................................................
Net gain (loss) on investments 1,922,426 76,954 7,075,270 104,448,004 135,468,990
..................................................................................................................................
Net increase (decrease) in net assets
resulting from operations $1,979,940 $75,489 $21,622,303 $103,480,300 $128,288,771
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets
--------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
American Government Income Fund Asia Pacific Growth Fund
Period ended Six months ended Year ended
June 30 June 30 December 31
2000+** 2000+ 1999
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 82,231 $ (190,161) $ (137,944)
Net realized gain (loss) on
investments and foreign
currency transactions 44,478 37,191,960 34,416,391
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies 77,626 (87,158,315) 90,282,283
....................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 204,335 (50,156,516) 124,560,730
....................................................................................................................
Distributions to shareholders:
From net investment income
Class IA -- (7,436,999) --
Class IB -- (252,340) --
Increase (decrease) from
capital share transactions
(Note 4) 5,299,614 (16,557,317) 42,512,429
....................................................................................................................
Total increase (decrease) in
net assets 5,503,949 (74,403,172) 167,073,159
....................................................................................................................
Net assets:
Beginning of period (Note 5) 1,000,000 257,851,176 90,778,017
....................................................................................................................
End of period $6,503,949 $183,448,004 $257,851,176
....................................................................................................................
Undistributed net investment
income (loss), end of period $ 82,231 $ (6,902,807) $ 976,693
--------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Diversified Income Fund The George Putnam Fund of Boston
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 26,999,721 $ 51,540,107 $ 5,600,805 $ 6,886,890
Net realized gain (loss) on
investments and foreign
currency transactions (14,421,485) (30,097,091) (6,991,780) (4,313,035)
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (3,637,219) (10,311,440) (820,912) (8,628,292)
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 8,941,017 11,131,576 (2,211,887) (6,054,437)
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA (47,334,433) (46,355,564) -- (6,104,192)
Class IB (2,708,184) (248,526) -- (773,218)
From net realized gain on investments
Class IA -- -- -- (358,545)
Class IB -- -- -- (20,722)
From return of capital
Class IA -- -- -- (331,172)
Class IB -- -- -- (41,950)
Increase (decrease) from
capital share transactions
(Note 4) 22,154,516 11,374,604 28,803,539 213,677,105
.................................................................................................................................
Total increase (decrease) in
net assets (18,947,084) (24,097,910) 26,591,652 199,992,869
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 646,918,551 671,016,461 315,119,225 115,126,356
.................................................................................................................................
End of period $627,971,467 $646,918,551 $341,710,877 $315,119,225
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 27,176,772 $ 50,219,668 $ 5,609,862 $ 9,057
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Asset Allocation Fund Global Growth Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 13,128,704 $ 21,964,671 $ (5,231,827) $ (1,894,761)
Net realized gain (loss) on
investments and foreign
currency transactions 47,854,272 90,774,051 407,374,453 502,750,828
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (68,351,655) (1,986,475) (735,160,349) 735,610,133
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations (7,368,679) 110,752,247 (333,017,723) 1,236,466,200
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA (16,495,291) (19,758,177) (19,411,826) (8,217,030)
Class IB (157,517) (37,116) (301,640) (8,486)
From net realized gain on investments
Class IA (86,147,514) (55,437,254) (483,771,156) (171,107,573)
Class IB (845,212) (105,805) (7,803,282) (180,962)
Increase (decrease) from
capital share transactions
(Note 4) 39,296,201 (49,382,307) 536,287,678 74,112,123
.................................................................................................................................
Total increase (decrease) in
net assets (71,718,012) (13,968,412) (308,017,949) 1,131,064,272
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 1,007,704,220 1,021,672,632 3,118,981,724 1,987,917,452
.................................................................................................................................
End of period $ 935,986,208 $1,007,704,220 $2,810,963,775 $3,118,981,724
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 11,313,911 $ 14,838,015 $ (22,483,816) $ 2,461,477
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
--------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Growth and Income Fund Growth Opportunities
Six months ended Year ended Period ended
June 30 December 31 June 30
2000+ 1999 2000+**
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 76,117,180 $ 170,525,622 $ (51,496)
Net realized gain (loss) on
investments and foreign
currency transactions (154,050,343) 801,627,738 (2,197,137)
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (222,977,844) (813,641,826) 3,035,213
........................................................................................................
Net increase (decrease) in
net assets resulting from
operations (300,911,007) 158,511,534 786,580
........................................................................................................
Distributions to shareholders:
From net investment income
Class IA (165,214,564) (140,251,765) --
Class IB (4,503,389) (202,648) --
From net realized gain on investments
Class IA (777,911,164) (699,887,168) --
Class IB (21,594,117) (1,021,247) --
Increase (decrease) from
capital share transactions
(Note 4) 198,945,361 456,071,173 78,982,992
........................................................................................................
Total increase (decrease) in
net assets (1,071,188,880) (226,780,121) 79,769,572
........................................................................................................
Net assets:
Beginning of period (Note 5) 9,729,189,200 9,955,969,321 1,000,000
........................................................................................................
End of period $8,658,000,320 $9,729,189,200 $80,769,572
........................................................................................................
Undistributed net investment
income (loss), end of period $ 75,884,685 $ 169,485,458 $ (51,496)
--------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Health Sciences Fund High Yield Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $171,853 $260,217 $49,559,337 $ 103,831,928
Net realized gain (loss) on
investments and foreign
currency transactions 3,807,975 (17,304,965) (29,753,958) (60,648,127)
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies 81,476,690 13,481,081 (30,196,246) 14,876,985
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 85,456,518 (3,563,667) (10,390,867) 58,060,786
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA -- (186,582) (102,642,266) (109,086,026)
Class IB -- (7,170) (2,784,078) (431,138)
Increase (decrease) from
capital share transactions
(Note 4) 100,518,172 106,202,757 24,285,505 (1,038,661)
.................................................................................................................................
Total increase (decrease) in
net assets 185,974,690 102,445,338 (91,531,706) (52,495,039)
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 239,010,012 136,564,674 982,236,214 1,034,731,253
.................................................................................................................................
End of period $424,984,702 $239,010,012 $890,704,508 $ 982,236,214
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 239,497 $ 67,644 $ 47,357,355 $ 103,224,362
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Income Fund International Growth Fund
Six months ended Year Ended Six months ended Year Ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 30,795,989 $ 61,289,005 $ 11,744,039 $ 2,108,087
Net realized gain (loss) on
investments and foreign
currency transactions (15,648,667) (14,300,538) 78,992,910 68,995,393
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies 2,050,725 (67,511,223) (82,090,378) 161,562,374
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 17,198,047 (20,522,756) 8,646,571 232,665,854
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA (58,222,017) (55,304,022) (13,169,652) --
Class IB (1,648,307) (243,387) (1,262,969) --
From net realized gain on investments
Class IA -- (15,808,532) (57,121,770) --
Class IB -- (69,762) (5,531,679) --
Increase (decrease) from
capital share transactions
(Note 4) (54,045,414) 43,415,753 245,437,760 116,313,958
.................................................................................................................................
Total increase (decrease) in
net assets (96,717,691) (48,532,706) 176,998,261 348,979,812
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 953,916,234 1,002,448,940 667,816,006 318,836,194
.................................................................................................................................
End of period $857,198,543 $ 953,916,234 $844,814,267 $667,816,006
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 30,469,332 $ 59,543,667 $ 241,780 $ 2,930,362
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT International
International Growth and Income Fund New Opportunities Fund
Six months ended Year Ended Six months ended Year ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 2,928,723 $ 5,174,842 $ (1,416,891) $ (676,543)
Net realized gain (loss) on
investments and foreign
currency transactions 28,442,235 49,984,891 9,424,669 36,882,184
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (5,514,600) 22,351,343 (93,248,047) 127,364,978
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 25,856,358 77,511,076 (85,240,269) 163,570,619
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA (17,611,936) -- (202,185) (57,846)
Class IB (810,646) -- (37,021) (10)
From net realized gain on investments
Class IA (38,606,809) -- (18,986,990) --
Class IB (1,790,127) -- (4,249,241) --
Increase (decrease) from
capital share transactions
(Note 4) 84,652,670 14,672,412 271,578,116 65,486,713
.................................................................................................................................
Total increase (decrease) in
net assets 51,689,510 92,183,488 162,862,410 228,999,476
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 398,156,290 305,972,802 364,535,600 135,536,124
.................................................................................................................................
End of period $449,845,800 $398,156,290 $527,398,010 $364,535,600
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ (2,807,262) $ 12,686,597 $ (1,665,907) $ (9,810)
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Investors Fund Money Market Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 49,183 $ 211,892 $ 20,733,428 $ 35,269,086
Net realized gain (loss) on
investments and foreign
currency transactions (28,901,310) (9,540,575) -- --
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies 4,347,180 196,323,644 -- --
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations (24,504,947) 186,994,961 20,733,428 35,269,086
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA -- -- (19,457,255) (34,493,642)
Class IB -- -- (1,276,173) (775,444)
Increase (decrease) from
capital share transactions
(Note 4) 297,637,193 536,035,433 (147,091,278) 256,183,321
.................................................................................................................................
Total increase (decrease) in
net assets 273,132,246 723,030,394 (147,091,278) 256,183,321
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 968,945,448 245,915,054 864,529,354 608,346,033
.................................................................................................................................
End of period $1,242,077,694 $968,945,448 $717,438,076 $864,529,354
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 261,075 $ 211,892 $ -- $ --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Opportunities Fund New Value Fund
Six months ended Year Ended Six months ended Year Ended
June 30 Decmeber 31 June 30 Decmeber 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ (11,532,476) $ (11,834,956) $ 1,978,798 $ 3,832,141
Net realized gain (loss) on
investments and foreign
currency transactions 510,976,140 554,488,113 (1,524,517) 13,497,708
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (78,675,778) 2,069,369,697 5,847,357 (18,973,465)
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 420,767,886 2,612,022,854 6,301,638 (1,643,616)
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA -- -- (3,561,839) (20,345)
Class IB -- -- (190,193) --
From net realized gain on investments
Class IA (534,979,909) (51,876,521) (12,614,026) (4,292,863)
Class IB (9,040,681) (41,740) (692,693) (14,678)
Increase (decrease) from
capital share transactions
(Note 4) 1,004,768,612 347,516,049 9,725,731 8,437,167
.................................................................................................................................
Total increase (decrease) in
net assets 881,515,908 2,907,620,642 (1,031,382) 2,465,665
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 6,495,204,066 3,587,583,424 258,633,449 256,167,784
.................................................................................................................................
End of period $7,376,719,974 $6,495,204,066 $257,602,067 $258,633,449
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ (11,532,476) $ -- $ 2,072,107 $ 3,845,341
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
OTC & Emerging Growth Fund Research Fund
Six months ended Year Ended Six months ended Year Ended
June 30 Decmeber 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ (784,738) $ (388,274) $ 326,809 $ 258,747
Net realized gain (loss) on
investments and foreign
currency transactions (26,407,932) 7,457,979 12,370,971 4,684,952
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (60,435,352) 82,931,192 (1,382,542) 19,261,649
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations (87,628,022) 90,000,897 11,315,238 24,205,348
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA -- -- -- (242,375)
Class IB -- -- -- (36,664)
From net realized gain on investments
Class IA (3,907,875) (500,533) (1,169,068) (3,394,940)
Class IB (492,354) (50,324) (276,233) (567,989)
Increase (decrease) from
capital share transactions
(Note 4) 320,931,877 113,385,084 80,298,293 117,480,745
.................................................................................................................................
Total increase (decrease) in
net assets 228,903,626 202,835,124 90,168,230 137,444,125
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 231,435,103 28,599,979 160,325,368 22,881,243
.................................................................................................................................
End of period $460,338,729 $231,435,103 $250,493,598 $160,325,368
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ (784,738) $ -- $ 326,809 $ --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
--------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Small Cap Fund Technology Fund
Six months ended Period ended Period ended
June 30 December 31 June 30
2000+ 1999* 2000+***
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 57,514 $ (22,032) $ (1,465)
Net realized gain (loss) on
investments and foreign
currency transactions 201,063 (64,508) 5,202
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies 1,721,363 424,700 71,752
........................................................................................................
Net increase (decrease) in
net assets resulting from
operations 1,979,940 338,160 75,489
........................................................................................................
Distributions to shareholders:
In excess of net realized gain on investments
Class IA -- (29,558) --
Class IB -- (16,083) --
From return of capital
Class IA -- (4,645) --
Class IB -- (2,528) --
Increase (decrease) from
capital share transactions
(Note 4) 25,410,093 17,396,297 --
........................................................................................................
Total increase (decrease) in
net assets 27,390,033 17,681,643 75,489
........................................................................................................
Net assets:
Beginning of period (Note 5) 18,681,643 1,000,000 1,000,000
........................................................................................................
End of period $46,071,676 $18,681,643 $1,075,489
........................................................................................................
Undistributed net investment
income (loss), end of period $ 57,514 $ -- $ (1,465)
--------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Utilities Growth and Income Fund Vista Fund
Six months ended Year Ended Six months ended Year Ended
June 30 December 31 June 30 December 31
2000+ 1999 2000+ 1999
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $14,547,033 $ 30,296,703 $ (967,704) $ (1,114,251)
Net realized gain (loss) on
investments and foreign
currency transactions 37,360,904 53,025,246 89,744,930 63,641,878
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (30,285,634) (89,551,656) 14,703,074 125,371,848
.................................................................................................................................
Net increase (decrease) in
net assets resulting from
operations 21,622,303 (6,229,707) 103,480,300 187,899,475
.................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA (29,564,210) (28,075,188) -- --
Class IB (529,611) (76,882) -- --
From net realized gain on investments
Class IA (52,190,409) (29,484,585) (7,580,009) (38,819,301)
Class IB (948,221) (81,067) (1,004,929) (2,334,899)
Increase (decrease) from
capital share transactions
(Note 4) (3,453,630) 3,739,203 279,981,471 120,787,683
.................................................................................................................................
Total increase (decrease) in
net assets (65,063,778) (60,208,226) 374,876,833 267,532,958
.................................................................................................................................
Net assets:
Beginning of period (Note 5) 956,917,815 1,017,126,041 579,996,697 312,463,739
.................................................................................................................................
End of period $891,854,037 $ 956,917,815 $954,873,530 $579,996,697
.................................................................................................................................
Undistributed net investment
income (loss), end of period $ 14,570,263 $ 30,117,051 $ (967,704) $ --
---------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Statement of Changes in Net Assets (continued)
-------------------------------------------------------------------------------
Putnam VT
Voyager Fund
Six months ended Year Ended
June 30 December 31
2000+ 1999
-------------------------------------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ (7,180,219) $ 3,390,787
Net realized gain (loss) on
investments and foreign
currency transactions 667,820,548 1,215,990,475
Net unrealized appreciation
(depreciation) of
investments and assets and
liabilities in foreign
currencies (532,351,558) 2,179,685,883
...............................................................................
Net increase (decrease) in
net assets resulting from
operations 128,288,771 3,399,067,145
...............................................................................
Distributions to shareholders:
From net investment income
Class IA (2,774,971) (6,563,907)
Class IB (14,628) (8,482)
From net realized gain on investments
Class IA (1,177,420,066) (526,374,820)
Class IB (31,034,700) (786,010)
Increase (decrease) from
capital share transactions
(Note 4) 1,418,946,776 613,346,755
...............................................................................
Total increase (decrease) in
net assets 335,991,182 3,478,680,681
...............................................................................
Net assets:
Beginning of period (Note 5) 9,286,086,087 5,807,405,406
...............................................................................
End of period $9,622,077,269 $9,286,086,087
...............................................................................
Undistributed net investment
income (loss), end of period $ (7,101,709) $ 2,868,109
-------------------------------------------------------------------------------
+ Unaudited.
* From April 30, 1999 (commencement of operations) to December 31, 1999.
** From February 1, 2000 (commencement of operations) to June 30, 2000.
*** From June 14, 2000 (commencement of operations) to June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
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 American Government Fund
June 30, 2000+******** $10.00 $.25(a)(b) $.21 $.46
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $17.29 $(.01)(a) $(3.77) $(3.78)
December 31, 1999 8.33 (.01)(a) 8.97 8.96
December 31, 1998 9.20 .08(a) (.56) (.48)
December 31, 1997 11.01 .07 (1.66) (1.59)
December 31, 1996 10.23 .05 .88 .93
December 31, 1995** 10.00 .06(a)(b) .17 .23
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $9.92 $.41(a) $(.27) $.14
December 31, 1999 10.49 .80(a) (.63) .17
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $9.98 $.17(a) $(.24) $(.07)
December 31, 1999 10.28 .32(a) (.36) (.04)
December 31, 1998***** 10.00 .18(a)(b) .19 .37
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $19.60 $.25(a) $(.35) $(.10)
December 31, 1999 18.94 .41(a) 1.69 2.10
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $30.49 $(.05)(a) $(2.49) $(2.54)
December 31, 1999 20.28 (.02)(a) 12.09 12.07
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $26.80 $.21(a) $(.96) $(.75)
December 31, 1999 28.77 .47(a) 0.01 .48
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $10.00 $(.01)(a) $.71 $.70
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $10.50 $.01(a) $3.23 $3.24
December 31, 1999 10.94 .01(a) (.44) (.43)
December 31, 1998***** 10.00 .01(a)(b) .94 .95
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $11.09 $.55(a) $(.67) $(.12)
December 31, 1999 11.70 1.13(a) (.48) .65
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
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized
Investment Investment Gain on Gain on
Period ended Income Income Investments Investments
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $(.56) $-- $-- $--
December 31, 1999 -- -- -- --
December 31, 1998 (.38) -- -- --
December 31, 1997 (.22) -- -- --
December 31, 1996 (.15) -- -- --
December 31, 1995** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $(.79) $-- $-- $--
December 31, 1999 (.74) -- -- --
December 31, 1998 (.48) -- (.21) --
December 31, 1997 (.63) -- (.10) --
December 31, 1996 (.67) -- -- --
December 31, 1995 (.51) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 (.23) -- (.02) --
December 31, 1998***** (.09) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $(.34) $-- $(1.76) $--
December 31, 1999 (.38) -- (1.06) --
December 31, 1998 (.43) -- (1.85) --
December 31, 1997 (.60) -- (1.02) --
December 31, 1996 (.44) -- (.83) --
December 31, 1995 (.25) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $(.19) $-- $(4.76) $--
December 31, 1999 (.09) -- (1.77) --
December 31, 1998 (.52) -- (2.60) --
December 31, 1997 (.41) -- (.44) --
December 31, 1996 (.25) -- (.57) --
December 31, 1995 (.11) -- (.24) --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $(.50) $-- $(2.34) $--
December 31, 1999 (.41) -- (2.04) --
December 31, 1998 (.50) -- (3.26) --
December 31, 1997 (.52) -- (1.27) --
December 31, 1996 (.51) -- (.89) --
December 31, 1995 (.51) -- (.30) --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 (.01) -- -- --
December 31, 1998***** (.01) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $(1.28) $-- $-- $--
December 31, 1999 (1.26) -- -- --
December 31, 1998 (1.08) -- (.17) --
December 31, 1997 (.94) -- (.11) --
December 31, 1996 (.91) -- -- --
December 31, 1995 (1.05) -- -- --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Total
Investment
From Return at
Return Total Net Asset Value, Net Asset
Period ended of Capital Distributions End of Period Value(%)(c)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $-- $-- $10.46 4.60*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $-- $(.56) $12.95 (22.40)*
December 31, 1999 -- -- 17.29 107.56
December 31, 1998 (.01) (.39) 8.33 (5.48)
December 31, 1997 -- (.22) 9.20 (14.66)
December 31, 1996 -- (.15) 11.01 9.10
December 31, 1995** -- -- 10.23 2.30*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $-- $(.79) $9.27 1.50*
December 31, 1999 -- (.74) 9.92 1.66
December 31, 1998 -- (.69) 10.49 (1.37)
December 31, 1997 -- (.73) 11.31 7.38
December 31, 1996 -- (.67) 11.27 8.81
December 31, 1995 -- (.51) 11.03 19.13
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $-- $-- $9.91 (.70)*
December 31, 1999 (.01) (.26) 9.98 (0.36)
December 31, 1998***** -- (.09) 10.28 3.69*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $-- $(2.10) $17.40 (.65)*
December 31, 1999 -- (1.44) 19.60 11.85
December 31, 1998 -- (2.28) 18.94 13.47
December 31, 1997 -- (1.62) 18.76 19.67
December 31, 1996 -- (1.27) 17.25 15.62
December 31, 1995 -- (.25) 16.15 24.71
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $-- $(4.95) $23.00 (10.59)*
December 31, 1999 -- (1.86) 30.49 65.00
December 31, 1998 -- (3.12) 20.28 29.71
December 31, 1997 -- (.85) 18.34 14.33
December 31, 1996 -- (.82) 16.88 17.20
December 31, 1995 -- (.35) 15.18 15.67
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $-- $(2.84) $23.21 (2.93)*
December 31, 1999 -- (2.45) 26.80 1.59
December 31, 1998 -- (3.76) 28.77 15.42
December 31, 1997 -- (1.79) 28.32 24.15
December 31, 1996 -- (1.40) 24.56 21.92
December 31, 1995 -- (.81) 21.47 36.71
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $-- $-- $10.70 7.00*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $-- $-- $13.74 30.86*
December 31, 1999 -- (.01) 10.50 (3.93)
December 31, 1998***** --(e) (.01) 10.94 9.51*
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $-- $(1.28) $9.69 (1.21)*
December 31, 1999 -- (1.26) 11.09 5.92
December 31, 1998 -- (1.25) 11.70 (5.86)
December 31, 1997 -- (1.05) 13.62 14.34
December 31, 1996 -- (.91) 12.96 12.81
December 31, 1995 -- (1.05) 12.37 18.32
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Net Assets, Expenses Income (Loss)
End of Period to Average Net to Average Portfolio
Period ended (in thousands) Assets(%)(d) Net Assets(%) Turnover(%)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $5,773 .37(b)* 2.21(b)* 223.37*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $174,379 .53* (.09)* 77.35*
December 31, 1999 250,986 1.13 (.09) 145.51
December 31, 1998 90,667 1.12 1.01 136.49
December 31, 1997 112,902 1.07 .70 102.92
December 31, 1996 130,548 1.23 .84 66.10
December 31, 1995** 25,045 .81(b)* .72(b)* 67.72*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $580.247 .41* 4.29* 74.51*
December 31, 1999 623,737 .78 7.86 117.02
December 31, 1998 669,053 .78 7.94 186.80
December 31, 1997 608,148 .80 7.43 282.56
December 31, 1996 494,811 .83 7.45 235.53
December 31, 1995 303,721 .85 7.85 297.17
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $276,915 .38* 1.74* 74.99*
December 31, 1999 276,553 .83 3.04 173.41
December 31, 1998***** 113,202 .57(b)* 1.84(b)* 99.85*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $922,149 .39* 1.38* 94.71*
December 31, 1999 1,001,087 .77 2.22 149.82
December 31, 1998 1,020,354 .78 2.54 133.80
December 31, 1997 956,532 .77 3.01 181.05
December 31, 1996 747,734 .83 3.08 165.03
December 31, 1995 535,666 .84 3.31 150.88
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $2,735,065 .37* (.17)* 72.68*
December 31, 1999 3,090,073 .73 (.09) 154.88
December 31, 1998 1,987,094 .72 .26 164.56
December 31, 1997 1,611,503 .75 .77 158.37
December 31, 1996 1,344,887 .76 1.25 79.18
December 31, 1995 831,593 .75 1.49 82.53
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $8,337,349 .25* .85* 30.63*
December 31, 1999 9,567,077 .50 1.66 53.68
December 31, 1998 9,948,386 .50 1.59 63.62
December 31, 1997 8,337,334 .51 2.08 64.96
December 31, 1996 5,679,100 .54 2.90 39.57
December 31, 1995 3,312,306 .57 3.34 50.87
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $64,072 .32* (.03)* 13.53*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $366,550 .40* .06* 33.48*
December 31, 1999 218,848 .83 .14 82.45
December 31, 1998***** 134,436 .61(b)* .14(b)* 39.68*
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $860,518 .36* 5.37* 43.25*
December 31, 1999 964,590 .72 10.18 52.96
December 31, 1998 1,032,892 .71 10.31 52.00
December 31, 1997 1,025,298 .72 9.26 84.61
December 31, 1996 769,918 .76 9.57 62.72
December 31, 1995 498,467 .79 9.42 69.78
--------------------------------------------------------------------------------------------------------------------
See page 168 for Notes to Financial Highlights.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
CLASS IA
--------------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 2000+ $12.52 $.42(a) $(.17) $.25
December 31, 1999 13.73 .78(a) (1.05) (.27)
December 31, 1998 13.42 .82(a) .24 1.06
December 31, 1997 13.21 .88 .18 1.06
December 31, 1996 13.74 .81 (.52) .29
December 31, 1995 12.22 .81 1.56 2.37
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $21.66 $.31(a) $(.08) $.23
December 31, 1999 13.52 .08(a) 8.06 8.14
December 31, 1998 11.43 .11(a) 2.03 2.14
December 31, 1997*** 10.00 .05(b) 1.56 1.61
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $15.25 $.10(a) $.69 $.79
December 31, 1999 12.24 .21(a) 2.80 3.01
December 31, 1998 11.53 .23(a) 1.06 1.29
December 31, 1997*** 10.00 .07 1.87 1.94
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $23.31 $(.06)(a) $(3.34) $(3.40)
December 31, 1999 11.49 (.05)(a) 11.88 11.83
December 31, 1998 9.96 (.04)(a)(b) 1.59 1.55
December 31, 1997*** 10.00 .01(b) (.02) (.01)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
June 30, 2000+ $15.16 $--(a)(e) $(.42) $(.42)
December 31, 1999 11.65 .01(a) 3.50 3.51
December 31, 1998***** 10.00 .02(a)(b) 1.65 1.67
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $1.00 $.0280(a) $-- $.0280(a)
December 31, 1999 1.00 .0476 -- .0476
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $43.54 $(.07)(a) $3.08 $3.01
December 31, 1999 26.06 (.08)(a) 17.93 17.85
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $11.86 $.09(a) $.23 $.32
December 31, 1999 12.03 .18(a) (.14) .04
December 31, 1998 11.76 .16(a) .57 .73
December 31, 1997*** 10.00 .18(a) 1.58 1.76
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $22.79 $(.04)(a) $(2.63) $(2.67)
December 31, 1999 10.09 (.08)(a)(b) 12.84 12.76
December 31, 1998***** 10.00 (.01)(a)(b) .10 .09
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $14.69 $.03(a) $.64 $.67
December 31, 1999 11.93 .05(a)(b) 3.20 3.25
December 31, 1998****** 10.00 .02(a)(b) 1.93 1.95
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized
Investment Investment Gain on Gain on
Period ended Income Income Investments Investments
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 2000+ $(.86) $-- $-- $--
December 31, 1999 (.73) -- (.21) --
December 31, 1998 (.73) (.02) -- --
December 31, 1997 (.85) -- -- --
December 31, 1996 (.82) -- -- --
December 31, 1995 (.85) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $(.41) $-- $(1.79) $--
December 31, 1999 -- -- -- --
December 31, 1998 (.04) -- -- --
December 31, 1997*** (.05) (.02) (.04) (.06)
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $(.68) $-- $(1.50) $--
December 31, 1999 -- -- -- --
December 31, 1998 (.11) -- (.22) (.19)
December 31, 1997*** (.08) (.05) (.28) --
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $(.01) $-- $(1.03) $--
December 31, 1999 (.01) -- -- --
December 31, 1998 (.02) -- -- --
December 31, 1997*** (.01) (.02) -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 -- -- -- --
December 31, 1998***** (.01) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $(.0280) $-- $-- $--
December 31, 1999 (.0476) -- -- --
December 31, 1998 (.0510) -- -- --
December 31, 1997 (.0509) -- -- --
December 31, 1996 (.0497) -- -- --
December 31, 1995 (.0533) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $-- $-- $(3.49) $--
December 31, 1999 -- -- (.37) --
December 31, 1998 -- -- (.32) --
December 31, 1997 -- -- -- --
December 31, 1996 -- -- -- --
December 31, 1995 -- -- (.02) --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $(.18) $-- $(.64) $--
December 31, 1999 --(e) -- (.21) --
December 31, 1998 (.23) -- (.23) --
December 31, 1997*** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $-- $-- $(.23) $--
December 31, 1999 -- -- (.06) --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $-- $-- $(.10) $--
December 31, 1999 (.03) -- (.46) --
December 31, 1998****** (.01) -- (.01) --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Total
Investment
From Return at
Return Total Net Asset Value, Net Asset
Period ended of Capital Distributions End of Period Value(%)(c)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 2000+ $-- $(.86) $11.91 2.01*
December 31, 1999 -- (.94) 12.52 (2.07)
December 31, 1998 -- (.75) 13.73 8.25
December 31, 1997 -- (.85) 13.42 8.64
December 31, 1996 -- (.82) 13.21 2.42
December 31, 1995 -- (.85) 13.74 20.44
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $-- $(2.20) $19.69 .58*
December 31, 1999 -- -- 21.66 60.21
December 31, 1998 (.01) (.05) 13.52 18.69
December 31, 1997*** (.01) (.18) 11.43 16.13
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $-- $(2.18) $13.86 5.78*
December 31, 1999 -- -- 15.25 24.59
December 31, 1998 (.06) (.58) 12.24 11.28
December 31, 1997*** -- (.41) 11.53 19.43
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $-- $(1.04) $18.87 (15.44)*
December 31, 1999 -- (.01) 23.31 102.96
December 31, 1998 -- (.02) 11.49 15.58
December 31, 1997*** -- (.03) 9.96 (.10)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
June 30, 2000+ $-- $-- $14.74 (2.77)*
December 31, 1999 -- -- 15.16 30.13
December 31, 1998***** (.01) (.02) 11.65 16.66*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $-- $(.0280) $1.00 2.79*
December 31, 1999 -- (.0476) 1.00 4.86
December 31, 1998 -- (.0510) 1.00 5.19
December 31, 1997 -- (.0509) 1.00 5.22
December 31, 1996 -- (.0497) 1.00 5.08
December 31, 1995 -- (.0533) 1.00 5.46
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $-- $(3.49) $43.06 6.47*
December 31, 1999 -- (.37) 43.54 69.35
December 31, 1998 -- (.32) 26.06 24.38
December 31, 1997 -- -- 21.23 23.29
December 31, 1996 -- -- 17.22 10.17
December 31, 1995 (.01) (.03) 15.63 44.87
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $-- $(.82) $11.36 3.00*
December 31, 1999 -- (.21) 11.86 .27
December 31, 1998 -- (.46) 12.03 6.26
December 31, 1997*** -- -- 11.76 17.60
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $-- $(.23) $19.89 (11.93)*
December 31, 1999 -- (.06) 22.79 126.52
December 31, 1998***** --(e) -- 10.09 .94*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $-- $(.10) $15.26 4.60*
December 31, 1999 -- (.49) 14.69 27.58
December 31, 1998****** -- (.02) 11.93 19.51*
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Net Assets, Expenses Income (Loss)
End of Period to Average Net to Average Portfolio
Period ended (in thousands) Assets(%)(d) Net Assets(%) Turnover(%)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
June 30, 2000+ $823,536 .34* 3.47* 105.31*
December 31, 1999 935,800 .67 6.07 220.90
December 31, 1998 1,000,161 .67 6.13 233.04
December 31, 1997 789,540 .69 6.58 194.29
December 31, 1996 778,924 .69 6.48 142.49
December 31, 1995 747,024 .70 6.22 149.18
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $732,801 .47* 1.53* 47.02*
December 31, 1999 627,368 1.02 .51 107.38
December 31, 1998 317,602 1.07 .84 98.31
December 31, 1997*** 150,884 1.20(b) .79(b) 75.18
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $424,024 .48* .71* 41.59*
December 31, 1999 387,504 .98 1.50 92.27
December 31, 1998 305,047 .99 1.86 62.61
December 31, 1997*** 206,598 1.12 1.11 53.20
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $375,618 .63* (.28)* 72.44*
December 31, 1999 330,982 1.41 (.36) 196.53
December 31, 1998 135,451 1.60(b) (.36)(b) 157.72
December 31, 1997*** 107,000 1.60(b) .09(b) 131.89
--------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
June 30, 2000+ $1,022,977 .32* .02* 29.12*
December 31, 1999 867,151 .71 .05 65.59
December 31, 1998***** 243,296 .57(b)* .19(b)* 42.97*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $652,614 .25* 2.80* --
December 31, 1999 823,013 .49 4.77 --
December 31, 1998 595,158 .53 5.04 --
December 31, 1997 405,577 .54 5.10 --
December 31, 1996 437,132 .53 4.93 --
December 31, 1995 263,213 .57 5.43 --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $7,179,732 .28* (.16)* 23.91*
December 31, 1999 6,432,227 .59 (.28) 71.14
December 31, 1998 3,586,225 .61 (.16) 59.75
December 31, 1997 2,590,244 .63 (.01) 71.78
December 31, 1996 1,674,197 .72 (.13) 57.94
December 31, 1995 515,109 .84 (.03) 30.87
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $240,222 .40* .80* 46.83*
December 31, 1999 249,092 .80 1.40 98.21
December 31, 1998 255,754 .81 1.34 130.96
December 31, 1997*** 195,391 .85 1.59 64.15
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $377,791 .41* (.19)* 39.83*
December 31, 1999 207,003 .90(b) (.55)(b) 127.98
December 31, 1998***** 28,059 .60(b)* (.16)(b)* 59.93*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $191,721 .39* .18* 74.79*
December 31, 1999 134,115 .85(b) .34(b) 169.16
December 31, 1998****** 22,626 .22(b)* .19(b)* 19.76*
--------------------------------------------------------------------------------------------------------------------
See page 168 for Notes to Financial Highlights.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
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 Small Cap Value Fund
June 30, 2000+ $10.31 $.02(a) $.70 $.72
December 31, 1999******* 10.00 (.02)(a) .37 .35
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $10.00 $(.01)(a) $.76 $.75
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $16.97 $.26(a) $.13 $.39
December 31, 1999 18.19 .52(a) (.72) (.20)
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
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $20.68 $(.03)(a) $3.39 $3.36
December 31, 1999 14.72 (.05)(a) 7.64 7.59
December 31, 1998 12.32 (.02)(a) 2.42 2.40
December 31, 1997*** 10.00 --(e) 2.32 2.32
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $66.25 $(.05)(a) $1.52 $1.47
December 31, 1999 45.85 .03(a) 24.59 24.62
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
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized
Investment Investment Gain on Gain on
Period ended Income Income Investments Investments
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
June 30, 2000+ $-- $-- $-- $--
December 31, 1999******* -- -- -- (.03)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $(.57) $-- $(1.01) $--
December 31, 1999 (.50) -- (.52) --
December 31, 1998 (.51) -- (.88) --
December 31, 1997 (.55) -- (.75) --
December 31, 1996 (.51) -- -- --
December 31, 1995 (.58) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $-- $-- $(.25) $--
December 31, 1999 -- -- (1.63) --
December 31, 1998 -- -- -- --
December 31, 1997*** --(e) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $(.02) $-- $(8.49) $--
December 31, 1999 (.05) -- (4.17) --
December 31, 1998 (.10) -- (2.44) --
December 31, 1997 (.07) -- (1.49) --
December 31, 1996 (.13) -- (1.68) --
December 31, 1995 (.07) -- (.49) --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Total
Investment
From Return at
Return Total Net Asset Value, Net Asset
Period ended of Capital Distributions End of Period Value(%)(c)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
June 30, 2000+ $-- $-- $11.03 6.98*
December 31, 1999******* (.01) (.04) 10.31 3.47*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $-- $-- $10.75 7.50*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $-- $(1.58) $15.78 2.37*
December 31, 1999 -- (1.02) 16.97 (.66)
December 31, 1998 -- (1.39) 18.19 14.92
December 31, 1997 -- (1.30) 17.14 27.10
December 31, 1996 -- (.51) 14.80 15.80
December 31, 1995 -- (.58) 13.28 31.08
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $-- $(.25) $23.79 16.25*
December 31, 1999 -- (1.63) 20.68 52.90
December 31, 1998 -- -- 14.72 19.48
December 31, 1997*** --(e) -- 12.32 23.21
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $-- $(8.51) $59.21 1.37*
December 31, 1999 -- (4.22) 66.25 58.22
December 31, 1998 -- (2.54) 45.85 24.36
December 31, 1997 -- (1.56) 39.08 26.51
December 31, 1996 -- (1.81) 32.53 12.97
December 31, 1995 -- (.56) 30.50 40.67
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IA (continued)
--------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Net Assets, Expenses Income (Loss)
End of Period to Average Net to Average Portfolio
Period ended (in thousands) Assets(%)(d) Net Assets(%) Turnover(%)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
June 30, 2000+ $28,617 .59* .20* 17.56*
December 31, 1999******* 12,298 1.29* (.24)* 48.24*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $1,074 .15* (.15)* 13.83*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $868,997 .36* 1.58* 16.71*
December 31, 1999 945,581 .71 3.02 26.16
December 31, 1998 1,015,327 .72 3.19 24.77
December 31, 1997 822,257 .74 3.63 42.46
December 31, 1996 657,429 .73 4.22 61.94
December 31, 1995 530,461 .68 4.72 60.33
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $781,914 .34* (.12)* 53.99*
December 31, 1999 542,491 .75 (.29) 133.32
December 31, 1998 311,612 .77 (.12) 116.48
December 31, 1997*** 170,660 .87 -- 75.43
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $9,259,475 .28* (.07)* 37.53*
December 31, 1999 9,130,197 .57 .05 85.13
December 31, 1998 5,803,073 .58 .14 62.99
December 31, 1997 4,538,535 .59 .30 82.00
December 31, 1996 3,281,490 .63 .36 63.87
December 31, 1995 2,000,232 .68 .49 57.51
--------------------------------------------------------------------------------------------------------------------
See page 168 for Notes to Financial Highlights.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
CLASS IB
--------------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $10.00 $.24(a)(b) $.22 $.46
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $17.25 $(.02)(a) $(3.77) $(3.79)
December 31, 1999 8.33 (.08)(a) 9.00 8.92
December 31, 1998***** 8.57 (.01)(a) (.23) (.24)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $9.90 $.40(a) $(.27) $.13
December 31, 1999 10.47 .78(a) (.62) .16
December 31, 1998**** 10.95 .62(a) (1.10) (.48)
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $9.98 $.16(a) $(.24) $(.08)
December 31, 1999 10.28 .30(a) (.34) (.04)
December 31, 1998***** 10.00 .17(a)(b) .20 .37
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $19.60 $.24(a) $(.33) $(.09)
December 31, 1999 18.95 .39(a) 1.69 2.08
December 31, 1998***** 18.16 .33(a) .46 .79
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $30.41 $(.06)(a) $(2.49) $(2.55)
December 31, 1999 20.28 (.10)(a) 12.08 11.98
December 31, 1998***** 18.03 (.05)(a) 2.30 2.25
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $26.75 $.19(a) $(.96) $(.77)
December 31, 1999 28.75 .41(a) .04 .45
December 31, 1998**** 28.02 .26(a) .47 .73
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $10.00 $(.02)(a) $.71 $.69
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $10.50 $--(a)(e) $3.22 $3.22
December 31, 1999 10.93 --(a)(e) (.43) (.43)
December 31, 1998***** 10.00 (.01)(a)(b) .95 .94
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $11.08 $.54(a) $(.66) $(.12)
December 31, 1999 11.70 1.11(a) (.47) .64
December 31, 1998***** 12.99 .79(a) (2.08) (1.29)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
June 30, 2000+ $12.51 $.40(a) $(.16) $.24
December 31, 1999 13.73 .76(a) (1.04) (.28)
December 31, 1998***** 12.88 .50(a) .35 .85
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $21.63 $.35(a) $(.13) $.22
December 31, 1999 13.51 .05(a) 8.07 8.12
December 31, 1998***** 13.44 (.04)(a) .15 .11
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $15.22 $.10(a) $.68 $.78
December 31, 1999 12.24 .15(a) 2.83 2.98
December 31, 1998**** 13.36 (.01)(a) (.57) (.58)
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $23.28 $(.07)(a) $(3.34) $(3.41)
December 31, 1999 11.48 (.16)(a) 11.96 11.80
December 31, 1998***** 11.39 (.05)(a)(b) .14 .09
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
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 American Government Fund
June 30, 2000+******** $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $(.55) $-- $-- $--
December 31, 1999 -- -- -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $(.79) $-- $-- $--
December 31, 1999 (.73) -- -- --
December 31, 1998**** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 (.23) (.02) -- (.01)
December 31, 1998***** (.09) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $(.33) $(1.76) $-- $--
December 31, 1999 (.37) (1.06) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $(.18) $(4.76) $-- $--
December 31, 1999 (.08) (1.77) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $(.49) $(2.34) $-- $--
December 31, 1999 (.41) (2.04) -- --
December 31, 1998**** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 --(e) -- -- --
December 31, 1998***** (.01) -- -- --(e)
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $(1.27) $-- $-- $--
December 31, 1999 (1.26) -- -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
June 30, 2000+ $(.85) $-- $-- $--
December 31, 1999 (.73) $(.21) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $(.41) $(1.79) $-- $--
December 31, 1999 -- -- -- --
December 31, 1998***** (.03) -- -- (.01)
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $(.68) $(1.50) $-- $--
December 31, 1999 -- -- -- --
December 31, 1998**** (.11) (.19) (.18) (.06)
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $(.01) $(1.03) $-- $--
December 31, 1999 --(e) -- -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
Total
Investment
Return at
Total Net Asset Value, Net Asset
Period ended Distributions End of Period Value(%)(c)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $-- $10.46 4.60*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $(.55) $12.91 (22.48)*
December 31, 1999 -- 17.25 107.08
December 31, 1998***** -- 8.33 (2.80)*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $(.79) $9.24 1.36*
December 31, 1999 (.73) 9.90 1.65
December 31, 1998**** -- 10.47 (4.38)*
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $-- $9.90 (.80)*
December 31, 1999 (.26) 9.98 (.41)
December 31, 1998***** (.09) 10.28 3.69*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $(2.09) $17.42 (.59)*
December 31, 1999 (1.43) 19.60 11.76
December 31, 1998***** -- 18.95 4.35*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $(4.94) $22.92 (10.65)*
December 31, 1999 (1.85) 30.41 64.56
December 31, 1998***** -- 20.28 12.48*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $(2.83) $23.15 (3.01)*
December 31, 1999 (2.45) 26.75 1.47
December 31, 1998**** -- 28.75 2.61*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $-- $10.69 6.90*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $-- $13.72 30.67*
December 31, 1999 --(e) 10.50 (3.90)
December 31, 1998***** (.01) 10.93 9.40*
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $(1.27) $9.69 (1.17)*
December 31, 1999 (1.26) 11.08 5.81
December 31, 1998***** -- 11.70 (9.93)*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
June 30, 2000+ $(.85) $11.90 1.97*
December 31, 1999 (.94) 12.51 (2.16)
December 31, 1998***** -- 13.73 6.60*
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $(2.20) $19.65 .52*
December 31, 1999 -- 21.63 60.10
December 31, 1998***** (.04) 13.51 .81*
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $(2.18) $13.82 5.69*
December 31, 1999 -- 15.22 24.35
December 31, 1998**** (.54) 12.24 (4.24)*
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $(1.04) $18.83 (15.51)*
December 31, 1999 --(e) 23.28 102.80
December 31, 1998***** -- 11.48 .79*
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Net Assets, Expenses Income (Loss)
End of Period to Average Net to Average Portfolio
Period ended (in thousands) Assets(%)(d) Net Assets(%) Turnover(%)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund
June 30, 2000+******** $731 .43(b)* 2.14(b)* 223.37*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
June 30, 2000+ $9,069 .61* (.14)* 77.35*
December 31, 1999 6,866 1.28 (.64) 145.51
December 31, 1998***** 111 .85* (.10)* 136.49
--------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
June 30, 2000+ $47,724 .49* 4.22* 74.51*
December 31, 1999 23,182 .93 7.67 117.02
December 31, 1998**** 1,963 .69* 5.74* 186.80
--------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
June 30, 2000+ $64,796 .46* 1.66* 74.99*
December 31, 1999 38,566 .98 3.00 173.41
December 31, 1998***** 1,924 .67(b)* 1.74(b)* 99.85*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
June 30, 2000+ $13,837 .46* 1.33* 94.71*
December 31, 1999 6,617 .92 2.15 149.82
December 31, 1998***** 1,319 .63* 1.82* 133.80
--------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
June 30, 2000+ $75,899 .45* (.22)* 77.68*
December 31, 1999 28,909 .88 (.43) 154.88
December 31, 1998***** 823 .59* (.34)* 164.56
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
June 30, 2000+ $320,651 .32* .78* 30.63*
December 31, 1999 162,112 .65 1.55 53.68
December 31, 1998**** 7,583 .49* 1.20* 63.62
--------------------------------------------------------------------------------------------------------------------
Putnam VT Growth Opportunities Fund
June 30, 2000+******** $16,698 .39* (.14)* 13.53*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
June 30, 2000+ $58,435 .47* (.01)* 33.48*
December 31, 1999 20,162 .98 (.01) 82.45
December 31, 1998***** 2,129 .71(b)* (.11)(b)* 39.68*
--------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
June 30, 2000+ $30,186 .44* 5.33* 43.25*
December 31, 1999 17,646 .87 10.01 52.96
December 31, 1998***** 1,840 .58* 7.63* 52.00
--------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
June 30, 2000+ $33,662 .41* 3.37* 105.31*
December 31, 1999 18,116 .82 6.14 220.90
December 31, 1998***** 2,288 .56* 4.03* 233.04
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
June 30, 2000+ $112,013 .54* 1.76* 47.02*
December 31, 1999 40,448 1.17 .31 107.38
December 31, 1998***** 1,234 .83* (.29)* 98.31
--------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
June 30, 2000+ $25,822 .56* .72* 41.59*
December 31, 1999 10,652 1.13 1.08 92.27
December 31, 1998**** 926 .84(b)* (.07)(b)* 62.61
--------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
June 30, 2000+ $151,780 .71* (34)* 72.44*
December 31, 1999 33,554 1.56 (.97) 196.53
December 31, 1998***** 85 1.18* (.44)(b)* 157.72
--------------------------------------------------------------------------------------------------------------------
See page 168 for Notes to Financial Highlights.
</TABLE>
<TABLE>
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights
CLASS IB
--------------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 2000+ $15.13 $(.01)(a) $(.42) $(.43)
December 31, 1999 11.64 (.01)(a) 3.50 3.49
December 31, 1998***** 10.00 .01(a)(b) 1.64 1.65
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $1.00 $.0270 $-- $.0270
December 31, 1999 1.00 0460 -- .0460
December 31, 1998***** 1.00 .0338(a) -- .0338
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $43.44 $(.10)(a) $3.06 $2.96
December 31, 1999 26.04 (.15)(a) 17.92 17.77
December 31, 1998***** 23.94 (.05)(a) 2.15 2.10
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $11.85 $.08(a) $.24 $.32
December 31, 1999 12.02 .17(a) (.13) .04
December 31, 1998***** 11.91 .13(a) .13 .26
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $22.76 $(.06)(a) $(2.62) $(2.68)
December 31, 1999 10.08 (.10)(a)(b) 12.84 12.74
December 31, 1998***** 10.00 (.03)(a)(b) .11 .08
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $14.67 $.01(a) $.65 $.66
December 31, 1999 11.90 .02(a)(b) 3.23 3.25
December 31, 1998****** 10.00 .02(a)(b) 1.90 1.92
--------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
June 30, 2000+ $10.30 $.01(a) $.70 $.71
December 31, 1999******* 10.00 (.03)(a) .37 .34
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $10.00 $(.02)(a) $.77 $.75
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $16.95 $.24(a) $.14 $.38
December 31, 1999 18.19 .47(a) (.69) (.22)
December 31, 1998***** 16.19 .29(a) 1.71 2.00
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $20.65 $(.04)(a) $3.39 $3.35
December 31, 1999 14.73 (.07)(a) 7.62 7.55
December 31, 1998***** 13.76 (.02)(a) .99 .97
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $66.11 $(.08)(a) $1.50 $1.42
December 31, 1999 45.81 (.10)(a) 24.62 24.52
December 31, 1998***** 41.55 (.01)(a) 4.27 4.26
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
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
June 30, 2000+ $-- $-- $-- $--
December 31, 1999 -- -- -- --
December 31, 1998***** (.01) -- -- --(e)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $(.0270) $-- $-- $--
December 31, 1999 (.0460) -- -- --
December 31, 1998***** (.0338) -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $-- $(3.49) $-- $--
December 31, 1999 -- (.37) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $(.18) $(.64) $-- $--
December 31, 1999 -- (.21) -- --
December 31, 1998***** (.13) (.02) -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $-- $(.23) $-- $--
December 31, 1999 -- (.06) -- --
December 31, 1998***** -- -- -- --(e)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $-- $(.10) $-- $--
December 31, 1999 (.02) (.46) -- --
December 31, 1998****** (.01) (.01) -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
June 30, 2000+ $-- $-- $-- $--
December 31, 1999******* -- -- (.03) (.01)
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $-- $-- $-- $--
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $(.56) $(1.01) $-- $--
December 31, 1999 (.50) (.52) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $-- $(.25) $-- $--
December 31, 1999 -- (1.63) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $--(e) $(8.49) $-- $--
December 31, 1999 (.05) (4.17) -- --
December 31, 1998***** -- -- -- --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
Total
Investment
Return at
Total Net Asset Value, Net Asset
Period ended Distributions End of Period Value(%)(c)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Investors Fund
June 30, 2000+ $-- $14.70 (2.84)*
December 31, 1999 -- 15.13 29.98
December 31, 1998***** (.01) 11.64 16.54*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $(.0270) $1.00 2.69*
December 31, 1999 (.0460) 1.00 4.66
December 31, 1998***** (.0338) 1.00 3.42*
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $(3.49) $42.91 6.37*
December 31, 1999 (.37) 43.44 69.10
December 31, 1998***** -- 26.04 8.77*
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $(.82) $11.35 2.96*
December 31, 1999 (.21) 11.85 .26
December 31, 1998***** (.15) 12.02 2.28*
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $(.23) $19.85 (11.99)*
December 31, 1999 (.06) 22.76 126.45
December 31, 1998***** -- 10.08 .82*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $(.10) $15.23 4.54*
December 31, 1999 (.48) 14.67 27.69
December 31, 1998****** (.02) 11.90 19.19*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
June 30, 2000+ $-- $11.01 6.89*
December 31, 1999******* (.04) 10.30 3.37*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $-- $10.75 7.50*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $(1.57) $15.76 2.32*
December 31, 1999 (1.02) 16.95 (0.79)
December 31, 1998***** -- 18.19 12.35*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $(.25) $23.75 16.22*
December 31, 1999 (1.63) 20.65 52.59
December 31, 1998***** -- 14.73 7.05*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $(8.49) $59.04 1.31*
December 31, 1999 (4.22) 66.11 58.01
December 31, 1998***** -- 45.81 10.25*
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
PUTNAM VARIABLE TRUST
Financial Highlights (continued)
CLASS IB (continued)
--------------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Net Assets, Expenses Income (Loss)
End of Period to Average Net to Average Portfolio
Period ended (in thousands) Assets(%)(d) Net Assets(%) Turnover(%)
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
June 30, 2000+ $219,101 .40* (.06)* 29.17*
December 31, 1999 101,795 .86 (.11) 65.59
December 31, 1998***** 2,619 .67(b)* .03(b)* 42.97*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
June 30, 2000+ $64,824 .32* 2.73* --
December 31, 1999 41,516 .64 4.61 --
December 31, 1998***** 13,188 .46* 3.18* --
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
June 30, 2000+ $196,988 .36* (.24)* 23.91*
December 31, 1999 62,977 .74 (.47) 71.14
December 31, 1998***** 1,359 .51* (.25)* 59.75
--------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
June 30, 2000+ $17,380 .47* .75* 46.83*
December 31, 1999 9,541 .95 1.43 98.21
December 31, 1998***** 414 .65* 1.26* 130.96
--------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
June 30, 2000+ $82,548 .49* (.27)* 39.83*
December 31, 1999 24,432 1.05(b) (.68)(b) 127.98
December 31, 1998***** 541 .71(b)* (.42)(b)* 59.93*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
June 30, 2000+ $58,772 .47* .10* 74.79*
December 31, 1999 26,210 1.00(b) .13(b) 169.16
December 31, 1998****** 255 .25(b)* .15(b)* 19.76*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
June 30, 2000+ $17,454 .66* .13* 17.56*
December 31, 1999******* 6,384 1.39* (.31)* 48.24*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Technology Fund
June 30, 2000+********* $1 .16* (.16)* 13.93*
--------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and
Income Fund
June 30, 2000+ $22,857 .43* 1.51* 16.71*
December 31, 1999 11,337 .86 2.77 26.16
December 31, 1998***** 1,799 .59* 1.98* 24.77
--------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
June 30, 2000+ $172,960 .41* (.18)* 53.99*
December 31, 1999 37,506 .90 (.42) 133.32
December 31, 1998***** 851 .62* (.18)* 116.48
--------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
June 30, 2000+ $362,602 .35* (.13)* 37.53*
December 31, 1999 155,889 .72 (.21) 85.13
December 31, 1998***** 4,332 .49* (.04)* 62.99
--------------------------------------------------------------------------------------------------------------------
See page 168 for Notes to Financial Highlights.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
+ Unaudited.
* Not annualized.
** For the period May 1, 1995 (commencement
of operations) to December 31, 1995.
*** For the period January 2, 1997 (commencement
of operations) to December 31, 1997.
**** For the period April 6, 1998 (commencement
of operations) to December 31, 1998.
***** For the period April 30, 1998 (commencement
of operations) to December 31, 1998.
****** For the period September 30, 1998 (commencement
of operations) to December 31, 1998.
******* For the period April 30, 1999 (commencement
of operations) to December 31, 1999.
******** For the period February 1, 2000 (commencement
of operations) to June 30, 2000.
********* For the period June 14, 2000 (commencement
of operations) to June 30, 2000.
(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:
<TABLE>
<CAPTION>
6/30/00 12/31/99 12/31/98 12/31/97 12/31/95
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Putnam VT American Government
Income Fund Class IA .03
Putnam VT American Government
Income Fund Class IB .03
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 OTC and Emerging
Markets Fund Class IA 0.02 0.06
Putnam VT OTC and Emerging
Markets Fund Class IB 0.02 0.05
Putnam VT Research Fund Class IA 0.01 0.03
Putnam VT Research Fund Class IB 0.01 0.03
(c) Total return assumes dividend reinvestment.
(d) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2).
(e) Net investment income, distributions from net investment income and returns of capital were less
than $0.01 per share.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Statements
June 30, 2000 (Unaudited)
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT Health Sciences Fund and Putnam
VT Utilities Growth and Income Fund, which are non-diversified) which
consists of a series of investment portfolios (the "funds"), each of
which is represented by a separate series of class IA shares and class
IB shares of beneficial interest. The Trust currently offers the
following twenty-five funds: Putnam VT American Government Fund, 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 Growth Opportunities Fund, Putnam VT Health Sciences Fund,
Putnam VT High Yield Fund, Putnam VT Income Fund, Putnam VT
International Growth Fund, Putnam VT International Growth and Income
Fund, Putnam VT International New Opportunities Fund, Putnam VT
Investors Fund, Putnam VT Money Market Fund, Putnam VT New Opportunities
Fund, Putnam VT New Value Fund, Putnam VT OTC & Emerging Growth Fund,
Putnam VT Research Fund, Putnam VT Small Cap Value, Putnam VT Technology
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 IA and class IB shares for Putnam VT American Government Fund and
Putnam VT Growth Opportunities Fund on February 1, 2000. Effective June
14, 2000, the Trust began offering class IA and class IB shares for
Putnam VT Technology 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 both classes
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 the 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 of the financial statements and the reported
amounts of increases and decreases in net assets from operations during
the reporting period. 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
sales price on its principal exchange, or if no sales are reported -- as
in the case of some securities traded over-the-counter -- the last
reported bid price. Securities quoted in foreign currencies are
translated into U.S. dollars at the current exchange rate. Short-term
investments having remaining maturities of 60 days or less are stated at
amortized cost, which approximates market value. Other investments,
including restricted securities, are stated at fair value following
procedures approved by the Trustees. Market quotations are not
considered to be readily available for certain debt obligations; such
investments are stated at fair value on the basis of valuations
furnished by a pricing service or dealers, approved by the Trustees,
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, G, H
and I with respect to the valuation of forward currency contracts,
futures and options contracts and TBA purchase and sale commitments.
The valuation of Putnam VT Money Market Fund's portfolio instruments is
determined by means of the amortized cost method 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 Trust'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). Gains or losses on securities sold are determined
on the identified cost basis.
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's are informed of
the ex-dividend date. Non-cash dividends, if any, are recorded at the
fair market value of the security received.
For all funds other than Putnam VT Money Market fund, 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 and any premium resulting from the purchase of stepped-coupon
bonds is amortized on a yield-to-maturity basis.
For Putnam VT Money Market Fund, premiums and discounts from purchases
of short-term investments are amortized/accreted at a constant rate
until maturity.
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 fund 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
fund'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. Investments in foreign securities involve certain risks, including
those related to economic instability, unfavorable political
developments, and currency fluctuations, not present with domestic
investments.
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, except 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. The same funds 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) 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 .01% 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 the fund will generally enter into TBA purchase commitments
with the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts it has entered into, the fund may
dispose of a commitment prior to settlement if Putnam Management deems
it appropriate to do so.
I) 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.
J) Line of credit Each fund, except Putnam VT American Government Fund,
Putnam VT Technology Fund and Putnam VT Money Market Fund, has entered
into a committed line of credit with certain banks. This line of credit
agreement includes restrictions that the funds maintain an asset
coverage ratio of at least 300% and borrowings must not exceed
prospectus limitations.
For the six months ended June 30, 2000, the funds had no borrowings
against the line of credit.
K) Federal income taxes It is the policy of the 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. It is also the intention of the fund to distribute
an amount sufficient to avoid imposition of any excise tax under Section
4982 of the Internal Revenue Code of 1986, as amended. Therefore, no
provision has been made for federal taxes on income, capital gains or
unrealized appreciation on securities held nor for excise tax on income
and capital gains.
At December 31, 1999, the following funds had capital loss carryovers,
which will expire on the following dates:
Loss Carryover Expiration Date
-------------------------------------------------------------------
Putnam VT Asia
Pacific Growth Fund $3,381,000 December 31, 2006
Putnam VT Diversified
Income Fund 16,535,000 December 31, 2006
29,254,000 December 31, 2007
Putnam VT Health
Sciences Fund 3,580,000 December 31, 2006
15,598,000 December 31, 2007
Putnam VT High
Yield Fund 16,523,000 December 31, 2006
60,875,000 December 31, 2007
Putnam VT Income Fund 16,103,000 December 31, 2007
Putnam VT Investors
Fund 7,569,000 December 31, 2006
7,276,000 December 31, 2007
-------------------------------------------------------------------
These capital loss carryovers may be used to offset future capital
gains, if any.
L) Distributions to shareholders For Putnam VT Money Market Fund, income
dividends are recorded daily by the fund and are paid monthly to
shareholders. For all other funds, distributions to shareholders from
net investment income are recorded by each fund on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax
regulations, which may differ from generally accepted accounting
principles. Reclassifications are made to the fund's capital accounts to
reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations.
M) Expenses of the trust Expenses directly charged or attributable to
any fund will be paid from the assets of that fund. Generally, expenses
of the Trust will be allocated among and charged to the assets of each
fund on a basis that the Trustees deem fair and equitable, which may be
based on the relative assets of each fund or the nature of the services
performed and relative applicability to each fund.
N) Beneficial Interest At June 30, 2000, insurance companies or their
separate accounts were record owners of all but a de minimis number of
the shares of each fund. From 63% to 99% of each fund is owned by
accounts of one group of insurance companies.
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment
advisory services, is paid quarterly (except for Putnam VT Technology
Fund, which is paid monthly) based on the average net assets of the
funds. The following summarizes the management fee rates in effect at
June 30, 2000:
<TABLE>
<CAPTION>
Rate
--------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
Putnam VT Global Growth Fund 0.70% of the next $500 million,
Putnam VT International Growth Fund 0.65% of the next $500 million,
Putnam VT International Growth and Income Fund 0.60% of the next $5 billion,
Putnam VT Small Cap Value 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 Money Market Fund 0.45% of first $500 million of average net assets,
0.35% of the next $500 million,
0.30% of the next $500 million,
0.25% of the next $5 billion,
0.225% of the next $5 billion,
0.205% of the next $5 billion,
0.19% of the next $5 billion,
and 0.18% thereafter.
........................................................................................................
Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets,
Putnam VT Growth and Income Fund 0.55% of the next $500 million,
Putnam VT Income Fund 0.50% of the next $500 million,
Putnam VT Investors Fund 0.45% of the next $5 billion,
Putnam VT Research Fund 0.425% of the next $5 billion,
Putnam VT Vista Fund 0.405% of the next $5 billion,
0.39% of the next $5 billion,
and 0.38% thereafter.
........................................................................................................
Putnam VT Diversified Income Fund 0.70% of first $500 million of average net assets,
Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million,
Putnam VT Health Sciences Fund 0.55% of the next $500 million,
Putnam VT High Yield Fund 0.50% of the next $5 billion,
Putnam VT New Opportunities Fund 0.475% of the next $5 billion,
Putnam VT New Value Fund 0.455% of the next $5 billion,
Putnam VT OTC & Emerging Growth Fund 0.44% of the next $5 billion,
Putnam VT Utilities Growth and Income Fund and 0.43% thereafter.
Putnam VT Voyager Fund
........................................................................................................
Putnam VT International New Opportunities Fund 1.00% of the first $500 million of average net assets,
Putnam VT Technology Fund 0.90% of the next $500 million,
0.85% of the next $500 million,
0.80% of the next $5 billion.
0.775% of the next $5 billion,
0.755% of the next $5 billion,
0.74% of the next $5 billion,
and 0.73% thereafter.
........................................................................................................
Putnam VT American Government Income Fund 0.65% of first $500 million of average net assets,
0.55% of the next $500 million,
0.50% of the next $500 million,
0.45% of the next $5 billion,
0.425% of the next $5 billion,
0.405% of the next $5 billion,
0.39% of the next $5 billion,
0.38% of the next $5 billion,
0.37% of the next $5 billion,
0.36% of the next $5 billion,
0.35% of the next $5 billion,
and 0.34% of any excess thereafter.
........................................................................................................
Putnam VT Growth Opportunities Fund 0.70% of first $500 million of average net assets,
0.60% of the next $500 million,
0.55% of the next $500 million,
0.50% of the next $5 billion,
0.475% of the next $5 billion,
0.455% of the next $5 billion,
0.44% of the next $5 billion,
0.43% of the next $5 billion,
and 0.42% of any excess thereafter.
--------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has agreed to limit its compensation (and, to the
extent necessary, bear other expenses) of, Putnam VT American Government
Fund through December 31, 2000, to the extent that expenses of the funds
(exclusive of brokerage commissions, interest, taxes, deferred
organizational and extraordinary expense, credits from Putnam Fiduciary
Trust Company (PFTC), a subsidiary of Putnam Investments, Inc. and
payments under the Trust's distribution plan) would exceed an annual
rate of 0.90% of the fund's average net assets.
The Trust reimburses Putnam Management an allocated amount for the
compensation and related expenses of certain officers of the fund and
their staff who provide administrative services to the fund. The
aggregate amount of all such reimbursements is determined annually by
the Trustees.
Custodial functions for the fund's assets are provided by PFTC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
Under the subcustodian contract between the subcustodian bank and PFTC,
the subcustodian bank has a lien on the securities of Putnam VT Global
Growth Fund, Putnam VT New Opportunities Fund, Putnam VT OTC & Emerging
Growth Fund, Putnam VT Asia Pacific Growth Fund, Putnam VT Growth and
Income Fund, Putnam VT Income Fund and Putnam VT Voyager Fund to the
extent permitted by each fund's investment restrictions to cover any
advances made by the subcustodian bank for the settlement of securities
purchased by the fund. At June 30, 2000 the payable to the subcustodian
bank represents the amount due for cash advance for the settlement of a
security purchased.
For the six months ended June 30, 2000, each fund's expenses were
reduced by the following amounts under expense-offset arrangements with
PFTC and brokerage service arrangements:
Putnam VT American Government Fund $ 1,461
Putnam VT Asia Pacific Growth Fund 61,809
Putnam VT Diversified Income Fund 32,144
Putnam VT The George Putnam Fund of Boston 26,502
Putnam VT Global Asset Allocation Fund 80,256
Putnam VT Global Growth Fund 214,374
Putnam VT Growth and Income Fund 397,267
Putnam VT Growth Opportunities Fund 12,053
Putnam VT Health Sciences Fund 20,136
Putnam VT High Yield Fund 52,287
Putnam VT Income Fund 36,835
Putnam VT International Growth Fund 65,803
Putnam VT International Growth and Income Fund 78,996
Putnam VT International New Opportunities Fund 90,143
Putnam VT Investors Fund 36,889
Putnam VT Money Market Fund 3,708
Putnam VT New Opportunities Fund 192,599
Putnam VT New Value Fund 30,874
Putnam VT OTC & Emerging Growth Fund 11,661
Putnam VT Research Fund 13,742
Putnam VT Small Cap Value 6,459
Putnam VT Technology Fund 15
Putnam VT Utilities Growth and Income Fund 34,856
Putnam VT Vista Fund 72,379
Putnam VT Voyager Fund 454,260
Investor servicing and custodian fees reported in the Statement of
operations exclude these credits. Each fund could have invested a
portion of the 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
$29,302 has been allocated to the Trust, and an additional fee for each
Trustee's meeting attended. Trustees receive additional fees for
attendance at certain committee meetings.
Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan")
which allows the Trustees to defer the receipt of all or a portion of
Trustees Fees payable on or after July 1, 1995. The deferred fees remain
invested in certain Putnam funds until distribution in accordance with
the Deferral Plan.
Each fund has adopted an unfunded noncontributory defined benefit
pension plan (the "Pension Plan") covering all Trustees of the fund who
have served as a 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 Retail
Management, Inc., 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 Retail
Management, Inc., at an annual rate of up to 0.35% of the fund's average
net assets. The Trustees have approved payment by the fund to an annual
rate of 0.15% of the average net assets.
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 2000, purchases and sales of
investment securities (other than short-term investments) were as
follows:
<TABLE>
<CAPTION>
U.S. Government
Obligations Other Securities
-------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT American Government Fund $ 11,590,617 $ 6,927,149
Putnam VT Asia Pacific Growth Fund $ 163,472,730 $ 191,661,355
Putnam VT Diversified Income Fund 129,730,203 125,909,091 316,036,702 327,972,274
Putnam VT The George Putnam Fund of Boston 25,189,460 35,453,551 215,129,240 194,032,010
Putnam VT Global Asset Allocation Fund 50,555,259 55,407,863 688,768,154 806,553,860
Putnam VT Global Growth Fund 2,291,431,360 2,327,407,099
Putnam VT Growth and Income Fund 2,728,229,247 3,502,150,279
Putnam VT Growth Opportunities 86,088,616 7,426,773
Putnam VT Health Sciences Fund 189,377,099 100,844,208
Putnam VT High Yield Fund 385,602,524 437,638,714
Putnam VT Income Fund 621,778,411 609,151,066 283,076,518 389,689,838
Putnam VT International Growth Fund 498,308,188 342,026,800
Putnam VT International Growth and Income Fund 191,570,375 161,707,583
Putnam VT International New Opportunities Fund 575,867,704 339,303,656
Putnam VT Investors Fund 613,901,568 311,809,887
Putnam VT New Opportunities Fund 2,092,732,842 1,645,914,447
Putnam VT New Value Fund 115,177,020 123,678,602
Putnam VT OTC & Emerging Growth Fund 447,179,458 143,048,286
Putnam VT Research Fund 226,066,065 149,958,781
Putnam VT Small Cap Value 28,909,175 5,422,790
Putnam VT Technology Fund 1,144,666 148,457
Putnam VT Utilities Growth and Income Fund 9,501,966 7,017,029 141,989,916 229,640,157
Putnam VT Vista Fund 644,380,680 407,653,389
Putnam VT Voyager Fund 3,512,454,188 3,628,525,859
</TABLE>
Putnam VT Money Market Fund: Cost of purchases and proceeds from sales
(including maturities) of investment securities (all short-term
obligations) aggregated $7,269,458,752 and $7,427,458,718, respectively.
NOTE 4
CAPITAL SHARES
<TABLE>
<CAPTION>
At June 30, 2000, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IA 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 18,588,922 $261,762,847 27,579,721 $316,283,149
Shares issued in connection with
reinvestment of distributions 481,048 7,437,000 -- --
...............................................................................................................
19,069,970 269,199,847 27,579,721 316,283,149
Shares repurchased (20,125,500) (288,682,008) (23,942,691) (277,802,618)
...............................................................................................................
Net increase (decrease) (1,055,530) $(19,482,161) 3,637,030 $38,480,531
...............................................................................................................
Putnam VT Diversified Income Fund
Shares sold 58,871 $819,465 1,599,321 $16,973,792
Shares issued in connection with
reinvestment of distributions 5,153,289 47,334,433 4,727,698 46,355,564
...............................................................................................................
5,212,160 48,153,898 6,327,019 63,329,356
Shares repurchased (5,462,342) (52,481,013) (7,268,655) (72,215,251)
...............................................................................................................
Net decrease (250,182) $(4,327,115) (941,636) $(8,885,895)
...............................................................................................................
Putnam VT The George Putnam Fund of Boston
Shares sold 1,793,501 $17,671,470 17,677,099 $186,001,902
Shares issued in connection with
reinvestment of distributions -- -- 687,784 6,793,909
...............................................................................................................
1,793,501 17,671,470 18,364,883 192,795,811
Shares repurchased (1,570,559) (15,200,832) (1,664,296) (17,228,888)
...............................................................................................................
Net increase 222,942 $2,470,638 16,700,587 $175,566,923
...............................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 48,485 $870,802 329,648 $6,214,449
Shares issued in connection with
reinvestment of distributions 5,819,706 102,642,805 4,231,085 75,195,431
...............................................................................................................
5,868,191 103,513,607 4,560,733 81,409,880
Shares repurchased (3,958,612) (72,121,379) (7,365,834) (135,598,243)
...............................................................................................................
Net increase (decrease) 1,909,579 $31,392,228 (2,805,101) $(54,188,363)
...............................................................................................................
Putnam VT Global Growth Fund
Shares sold 2,236,936 $59,806,209 4,230,668 $88,480,245
Shares issued in connection with
reinvestment of distributions 18,824,651 503,182,982 9,423,258 179,324,603
...............................................................................................................
21,061,587 562,989,191 13,653,926 267,804,848
Shares repurchased (3,491,255) (86,960,050) (10,305,897) (213,800,427)
...............................................................................................................
Net increase 17,570,332 $476,029,141 3,348,029 $54,004,421
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IA 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Growth and Income Fund
Shares sold 953,206 $23,537,029 5,877,191 $167,194,465
Shares issued in connection with
reinvestment of distributions 40,164,312 943,125,728 31,047,267 840,138,933
...............................................................................................................
41,117,518 966,662,757 36,924,458 1,007,333,398
Shares repurchased (38,876,710) (957,173,150) (25,700,198) (710,499,929)
...............................................................................................................
Net increase 2,240,808 $9,489,607 11,224,260 $296,833,469
...............................................................................................................
Putnam VT Health Sciences Fund
Shares sold 7,238,085 $88,712,061 9,825,298 $101,834,005
Shares issued in connection with
reinvestment of distributions -- -- 18,949 186,582
...............................................................................................................
7,238,085 88,712,061 9,844,247 102,020,587
Shares repurchased (1,392,215) (16,563,416) (1,292,330) (13,228,946)
...............................................................................................................
Net increase 5,845,870 $72,148,645 8,551,917 $88,791,641
...............................................................................................................
Putnam VT High Yield Fund
Shares sold 2,680,880 $26,401,722 9,667,206 $108,607,342
Shares issued in connection with
reinvestment of distributions 10,516,626 102,642,266 10,147,537 109,086,026
...............................................................................................................
13,197,506 129,043,988 19,814,743 217,693,368
Shares repurchased (11,408,049) (119,954,305) (21,095,645) (233,967,548)
...............................................................................................................
Net increase (decrease) 1,789,457 $9,089,683 (1,280,902) $(16,274,180)
...............................................................................................................
Putnam VT Income Fund
Shares sold 445,427 $5,513,214 7,176,064 $94,354,087
Shares issued in connection with
reinvestment of distributions 4,921,557 58,222,017 5,595,008 71,112,554
...............................................................................................................
5,366,984 63,735,231 12,771,072 165,466,641
Shares repurchased (10,960,812) (134,401,579) (10,925,703) (138,310,190)
...............................................................................................................
Net increase (decrease) (5,593,828) $(70,666,348) 1,845,369 $27,156,451
...............................................................................................................
Putnam VT International Growth Fund
Shares sold 12,823,839 $260,434,931 18,217,034 $282,648,315
Shares issued in connection with
reinvestment of distributions 3,403,943 70,291,422 -- --
...............................................................................................................
16,227,782 330,726,353 18,217,034 282,648,315
Shares repurchased (7,974,711) (160,972,839) (12,743,647) (197,083,614)
...............................................................................................................
Net increase 8,253,071 $169,753,514 5,473,387 $85,564,701
...............................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 14,938,278 $214,163,287 22,663,944 $306,623,146
Shares issued in connection with
reinvestment of distributions 4,260,432 56,218,745 -- --
...............................................................................................................
19,198,710 270,382,032 22,663,944 306,623,146
Shares repurchased (14,008,027) (200,177,418) (22,165,427) (299,883,229)
...............................................................................................................
Net increase 5,190,683 $70,204,614 498,517 $6,739,917
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IA 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT International New Opportunities Fund
Shares sold 17,909,961 $388,617,406 19,756,966 $280,419,060
Shares issued in connection with
reinvestment of distributions 818,651 19,189,175 4,672 57,846
...............................................................................................................
18,728,612 407,806,581 19,761,638 280,476,906
Shares repurchased (13,019,713) (278,115,943) (17,348,973) (239,870,204)
...............................................................................................................
Net increase 5,708,899 $129,690,638 2,412,665 $40,606,702
...............................................................................................................
Putnam VT Investors Fund
Shares sold 13,538,697 $198,349,528 37,371,494 $464,724,322
Shares issued in connection with
reinvestment of distributions -- -- -- --
...............................................................................................................
13,538,697 198,349,528 37,371,494 464,724,322
Shares repurchased (1,346,085) (19,467,426) (1,058,909) (12,883,959)
...............................................................................................................
Net increase 12,192,612 $178,882,102 36,312,585 $451,840,363
...............................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $1,038,777,795 -- $1,617,558,345
Shares issued in connection with
reinvestment of distributions -- 19,457,255 -- 34,493,642
...............................................................................................................
-- 1,058,235,050 -- 1,652,051,987
Shares repurchased -- (1,228,634,361) -- (1,424,196,741)
...............................................................................................................
Net increase (decrease) -- $(170,399,311) -- $227,855,246
...............................................................................................................
Putnam VT New Opportunities Fund
Shares sold 9,313,591 $417,016,586 22,082,766 $642,155,644
Shares issued in connection with
reinvestment of distributions 11,737,163 534,979,909 1,894,686 51,876,521
...............................................................................................................
21,050,754 951,996,495 23,977,452 694,032,165
Shares repurchased (2,031,212) (83,384,942) (13,877,105) (391,839,342)
...............................................................................................................
Net increase 19,019,542 $868,611,553 10,100,347 $302,192,823
...............................................................................................................
Putnam VT New Value Fund
Shares sold 1,157,112 $13,222,633 3,341,807 $43,372,563
Shares issued in connection with
reinvestment of distributions 1,482,664 16,175,865 346,721 4,313,208
...............................................................................................................
2,639,776 29,398,498 3,688,528 47,685,771
Shares repurchased (2,507,283) (27,881,897) (3,950,045) (48,840,362)
...............................................................................................................
Net increase (decrease) 132,493 $1,516,601 (261,517) $(1,154,591)
...............................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 13,107,543 $318,847,516 9,308,097 $132,534,012
Shares issued in connection with
reinvestment of distributions 158,820 3,907,875 24,169 500,533
...............................................................................................................
13,266,363 322,755,391 9,332,266 133,034,545
Shares repurchased (3,357,153) (64,147,396) (3,030,664) (36,519,324)
...............................................................................................................
Net increase 9,909,210 $258,607,995 6,301,602 $96,515,221
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IA 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Research Fund
Shares sold 3,620,948 $52,681,880 7,932,740 $102,316,586
Shares issued in connection with
reinvestment of distributions 77,938 1,169,068 263,474 3,637,315
...............................................................................................................
3,698,886 53,850,948 8,196,214 105,953,901
Shares repurchased (264,407) (3,864,659) (961,174) (11,933,085)
...............................................................................................................
Net increase 3,434,479 $49,986,289 7,235,040 $94,020,816
...............................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 963,652 $14,785,186 1,859,051 $27,913,010
Shares issued in connection with
reinvestment of distributions 5,145,145 81,754,619 3,654,588 57,559,773
...............................................................................................................
6,108,797 96,539,805 5,513,639 85,472,783
Shares repurchased (6,772,507) (112,697,726) (5,599,815) (91,556,540)
...............................................................................................................
Net decrease (663,710) $(16,157,921) (86,176) $(6,083,757)
...............................................................................................................
Putnam VT Vista Fund
Shares sold 6,646,244 $155,164,463 4,559,333 $76,076,030
Shares issued in connection with
reinvestment of distributions 318,488 7,580,009 2,098,302 38,819,301
...............................................................................................................
6,964,732 162,744,472 6,657,635 114,895,331
Shares repurchased (336,577) (7,399,623) (1,585,037) (25,623,872)
...............................................................................................................
Net increase 6,628,155 $155,344,849 5,072,598 $89,271,459
...............................................................................................................
Putnam VT Voyager Fund
Shares sold 3,489,433 $220,150,358 7,078,671 $341,243,072
Shares issued in connection with
reinvestment of distributions 18,635,639 1,180,195,037 11,992,310 532,938,727
...............................................................................................................
22,125,072 1,400,345,395 19,070,981 874,181,799
Shares repurchased (3,551,690) (216,649,085) (7,828,029) (375,602,675)
...............................................................................................................
Net increase 18,573,382 $1,183,696,310 11,242,952 $498,579,124
...............................................................................................................
<CAPTION>
For the period April 30, 1999
(commencement of operations)
Six months ended June 30 to December 31
---------------------------------------------------------------------------------------------------------------
Class IA 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
Shares sold 1,540,892 $17,643,987 1,353,899 $13,869,475
Shares issued in connection with
reinvestment of distributions -- -- 3,512 34,203
...............................................................................................................
1,540,892 17,643,987 1,357,411 13,903,678
Shares repurchased (139,474) (2,655,953) (264,388) (2,749,700)
...............................................................................................................
Net increase 1,401,418 $14,988,034 1,093,023 $11,153,978
...............................................................................................................
<CAPTION>
For the period February 1, 2000
(commencement of operations)
to June 30
-------------------------------------------------------------------------------------
Class IA 2000
-------------------------------------------------------------------------------------
Shares Amount
-------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT American Government Fund
Shares sold 736,743 $7,522,503
Shares issued in connection with
reinvestment of distributions -- --
.....................................................................................
736,743 7,522,503
Shares repurchased (284,656) (2,944,652)
.....................................................................................
Net increase 452,087 $4,577,851
.....................................................................................
Putnam VT Growth Opportunities Fund
Shares sold 6,105,297 $65,002,750
Shares issued in connection with
reinvestment of distributions -- --
.....................................................................................
6,105,297 65,002,750
Shares repurchased (216,765) (2,354,888)
.....................................................................................
Net increase 5,888,532 $62,647,862
.....................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IB 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 6,309,831 $88,781,517 4,928,954 $60,597,638
Shares issued in connection with
reinvestment of distributions 16,364 252,340 -- --
...............................................................................................................
6,326,195 89,033,857 4,928,954 60,597,638
Shares repurchased (6,022,041) (86,109,013) (4,544,234) (56,565,740)
...............................................................................................................
Net increase 304,154 $2,924,844 384,720 $4,031,898
...............................................................................................................
Putnam VT Diversified Income Fund
Shares sold 2,611,977 $24,465,300 2,189,295 $20,616,398
Shares issued in connection with
reinvestment of distributions 286,767 2,708,184 23,025 248,526
...............................................................................................................
2,898,744 27,173,484 2,212,320 20,864,924
Shares repurchased (72,296) (691,853) (58,989) (604,425)
...............................................................................................................
Net increase 2,826,448 $26,481,631 2,153,331 $20,260,499
...............................................................................................................
Putnam VT George Putnam Fund of Boston
Shares sold 2,889,050 $28,396,205 3,683,758 $38,204,785
Shares issued in connection with
reinvestment of distributions -- -- 84,741 835,890
...............................................................................................................
2,889,050 28,396,205 3,768,499 39,040,675
Shares repurchased (211,119) (2,063,304) (89,747) (930,493)
...............................................................................................................
Net increase 2,677,931 $26,332,901 3,678,752 $38,110,182
...............................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 394,654 $7,025,348 276,691 $4,965,233
Shares issued in connection with
reinvestment of distributions 69,325 1,002,729 8,023 142,921
...............................................................................................................
463,979 8,028,077 284,714 5,108,154
Shares repurchased (7,078) (124,104) (16,724) (302,098)
...............................................................................................................
Net increase 456,901 $7,903,973 267,990 $4,806,056
...............................................................................................................
Putnam VT Global Growth Fund
Shares sold 3,922,173 $100,653,996 1,355,618 $30,644,814
Shares issued in connection with
reinvestment of distributions 304,121 8,104,922 9,961 189,448
...............................................................................................................
4,226,294 108,758,918 1,365,579 30,834,262
Shares repurchased (1,865,185) (48,500,381) (455,628) (10,726,560)
...............................................................................................................
Net increase 2,361,109 $60,258,537 909,951 $20,107,702
...............................................................................................................
Putnam VT Growth and Income Fund
Shares sold 7,263,597 $177,364,594 5,821,770 $159,971,286
Shares issued in connection with
reinvestment of distributions 1,113,850 26,097,506 45,278 1,223,895
...............................................................................................................
8,377,447 203,462,100 5,867,048 161,195,181
Shares repurchased (586,689) (14,006,346) (69,970) (1,957,477)
...............................................................................................................
Net increase 7,790,758 $189,455,754 5,797,078 $159,237,704
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IB 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Health Sciences
Shares sold 2,522,277 $30,641,350 1,793,605 $18,099,640
Shares issued in connection with
reinvestment of distributions -- -- 729 7,170
...............................................................................................................
2,522,277 30,641,350 1,794,334 18,106,810
Shares repurchased (184,582) (2,271,823) (67,952) (695,694)
...............................................................................................................
Net increase 2,337,695 $28,369,527 1,726,382 $17,411,116
...............................................................................................................
Putnam VT High Yield Fund
Shares sold 1,812,682 $18,220,871 1,637,292 $17,487,287
Shares issued in connection with
reinvestment of distributions 285,254 2,784,078 40,105 431,138
...............................................................................................................
2,097,936 21,004,949 1,677,397 17,918,425
Shares repurchased (574,587) (5,809,127) (242,324) (2,682,906)
...............................................................................................................
Net increase 1,523,349 $15,195,822 1,435,073 $15,235,519
...............................................................................................................
Putnam VT Income Fund
Shares sold 1,445,141 $17,451,099 1,416,617 $17,967,184
Shares issued in connection with
reinvestment of distributions 139,448 1,648,307 24,638 313,149
...............................................................................................................
1,584,589 19,099,406 1,441,255 18,280,333
Shares repurchased (203,150) (2,478,472) (160,098) (2,021,031)
...............................................................................................................
Net increase 1,381,439 $16,620,934 1,281,157 $16,259,302
...............................................................................................................
Putnam VT International Growth Fund
Shares sold 9,496,013 $188,810,477 4,045,195 $68,183,600
Shares issued in connection with
reinvestment of distributions 329,677 6,794,648 -- --
...............................................................................................................
9,825,690 195,605,125 4,045,195 68,183,600
Shares repurchased (5,995,649) (119,920,879) (2,266,435) (37,434,343)
...............................................................................................................
Net increase 3,830,041 $75,684,246 1,778,760 $30,749,257
...............................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 4,891,316 $66,900,683 3,016,301 $41,174,054
Shares issued in connection with
reinvestment of distributions 169,191 2,600,773 -- --
...............................................................................................................
5,060,507 69,501,456 3,016,301 41,174,054
Shares repurchased (3,892,389) (55,053,400) (2,392,248) (33,241,559)
...............................................................................................................
Net increase 1,168,118 $14,448,056 624,053 $7,932,495
...............................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 12,437,540 $266,578,930 6,028,770 $94,995,863
Shares issued in connection with
reinvestment of distributions 183,174 4,286,262 1 10
...............................................................................................................
12,620,714 270,865,192 6,028,771 94,995,873
Shares repurchased (5,999,875) (128,977,714) (4,594,610) (70,115,862)
...............................................................................................................
Net increase 6,620,839 $141,887,478 1,434,161 $24,880,011
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IB 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
Shares sold 8,317,906 $120,854,081 6,584,989 $85,283,956
Shares issued in connection with
reinvestment of distributions -- -- -- --
...............................................................................................................
8,317,906 120,854,081 6,584,989 85,283,956
Shares repurchased (143,644) (2,098,990) (82,108) (1,088,886)
...............................................................................................................
Net increase 8,174,262 $118,755,091 6,502,881 $84,195,070
...............................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $476,625,927 -- $251,413,542
Shares issued in connection with
reinvestment of distributions -- 1,276,173 -- 775,444
...............................................................................................................
-- 477,902,100 -- 252,188,986
Shares repurchased -- (454,594,067) -- (223,860,911)
...............................................................................................................
Net increase -- $23,308,033 -- $28,328,075
...............................................................................................................
Putnam VT New Opportunities Fund
Shares sold 3,007,193 $129,957,913 1,426,816 $46,271,360
Shares issued in connection with
reinvestment of distributions 198,959 9,040,681 1,526 41,740
...............................................................................................................
3,206,152 138,998,594 1,428,342 46,313,100
Shares repurchased (65,500) (2,841,535) (30,656) (989,874)
...............................................................................................................
Net increase 3,140,652 $136,157,059 1,397,686 $45,323,226
...............................................................................................................
Putnam VT New Value Fund
Shares sold 982,038 $11,105,389 875,070 $10,834,424
Shares issued in connection with
reinvestment of distributions 80,999 882,886 1,181 14,678
...............................................................................................................
1,063,037 11,988,275 876,251 10,849,102
Shares repurchased (336,976) (3,779,145) (105,237) (1,257,344)
...............................................................................................................
Net increase 726,061 $8,209,130 771,014 $9,591,758
...............................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 3,555,440 $72,172,417 1,315,200 $21,997,294
Shares issued in connection with
reinvestment of distributions 19,215 492,354 2,435 50,324
...............................................................................................................
3,574,655 72,664,771 1,317,635 22,047,618
Shares repurchased (489,519) (10,340,889) (297,737) (5,177,755)
...............................................................................................................
Net increase 3,085,136 $62,323,882 1,019,898 $16,869,863
...............................................................................................................
Putnam VT Research Fund
Shares sold 2,224,319 $32,526,614 1,811,272 $24,052,878
Shares issued in connection with
reinvestment of distributions 1,761 26,380 43,404 604,653
...............................................................................................................
2,226,080 32,552,994 1,854,676 24,657,531
Shares repurchased (152,944) (2,240,990) (89,090) (1,197,602)
...............................................................................................................
Net increase 2,073,136 $30,312,004 1,765,586 $23,459,929
...............................................................................................................
<CAPTION>
Six months ended June 30 Year ended December 31
---------------------------------------------------------------------------------------------------------------
Class IB 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and Income Fund
Shares sold 741,547 $12,129,172 599,025 $10,320,739
Shares issued in connection with
reinvestment of distributions 94,490 1,477,832 10,029 157,949
...............................................................................................................
836,037 13,607,004 609,054 10,478,688
Shares repurchased (54,369) (902,713) (39,037) (655,728)
...............................................................................................................
Net increase 781,668 $12,704,291 570,017 $9,822,960
...............................................................................................................
Putnam VT Vista Fund
Shares sold 5,505,543 $125,459,594 1,661,491 $29,622,169
Shares issued in connection with
reinvestment of distributions 42,218 1,004,929 122,938 2.334,899
...............................................................................................................
5,547,761 126,464,523 1,784,429 31,957,068
Shares repurchased (80,090) (1,827,901) (26,236) (440,844)
...............................................................................................................
Net increase 5,467,671 $124,636,622 1,758,193 $31,516,224
...............................................................................................................
Putnam VT Voyager Fund
Shares sold 3,330,282 $206,563,522 2,287,920 $116,152,666
Shares issued in connection with
reinvestment of distributions 492,175 31,049,328 17,894 794,492
...............................................................................................................
3,822,457 237,612,850 2,305,814 116,947,158
Shares repurchased (38,881) (2,362,384) (42,495) (2,179,527)
...............................................................................................................
Net increase 3,783,576 $235,250,466 2,263,319 $114,767,631
...............................................................................................................
<CAPTION>
For the period April 30, 1999
(commencement of operations)
Six months ended June 30 to December 31
---------------------------------------------------------------------------------------------------------------
Class IB 2000 1999
---------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
Shares sold 999,337 $10,790,306 636,266 $6,404,523
Shares issued in connection with
reinvestment of distributions -- -- 1,903 18,611
...............................................................................................................
999,337 10,790,306 638,169 6,423,134
Shares repurchased (33,894) (368,247) (18,181) (180,815)
...............................................................................................................
Net increase 965,443 $10,422,059 619,988 $6,242,319
...............................................................................................................
<CAPTION>
For the period February 1, 2000
(commencement of operations)
to June 30
---------------------------------------------------------------------------------------
Class IB 2000
---------------------------------------------------------------------------------------
Shares Amount
---------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT American Government Fund
Shares sold 70,611 $729,965
Shares issued in connection with
reinvestment of distributions -- --
.....................................................................................
70,611 729,965
Shares repurchased (800) (8,202)
.....................................................................................
Net increase 69,811 $721,763
.....................................................................................
Putnam VT Growth Opportunities Fund
Shares sold 1,566,982 $16,390,340
Shares issued in connection with
reinvestment of distributions -- --
.....................................................................................
1,566,982 16,390,340
Shares repurchased (5,427) (55,210)
.....................................................................................
Net increase 1,561,555 $16,335,130
.....................................................................................
</TABLE>
*Putnam VT Money Market Fund transactions in capital shares were at a
constant net asset value of $1.00 per share.
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
The following were established as a series of Putnam Variable Trust, a
Massachusetts business trusts on January 31, 2000. During the period
January 31, 2000 to February 1, 2000 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.
Capital
Fund name contribution Shares issued
----------------------------------------------------------------------------
Class IA
Putnam VT American Government Fund $999,000 99,900
Putnam VT Growth Opportunities Fund $999,000 99,900
Class IB
Putnam VT American Government Fund $1,000 100
Putnam VT Growth Opportunities Fund $1,000 100
The following was established as a series of Putnam Variable Trust, a
Massachusetts business trusts on June 13, 2000. During the period June
13, 2000 to June 14, 2000 the following fund had no operations other
than those related to organizational matters including as noted below
the initial capital contributions and the issuance of shares for the
fund.
Capital
Fund name contribution Shares issued
----------------------------------------------------------------------------
Class IA
Putnam VT Technology Fund $999,000 99,900
Class IB
Putnam VT Technology Fund $1,000 100
The following were established as a series of Putnam Variable Trust, a
Massachusetts business trusts on April 29, 1999. During the period April
29, 1998 to April 30, 1999 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.
Capital
Fund name contribution Shares issued
----------------------------------------------------------------------------
Class IA
Putnam VT Small Cap Value Fund $999,000 99,900
Class IB
Putnam VT Small Cap Value Fund $1,000 100
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Putnam
Variable
Trust
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Retail Management, Inc.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary Trust Company
Legal counsel
Ropes & Gray
Trustees
John A. Hill, 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,
George Putnam, III, A.J.C. Smith,
W. Thomas Stephens, W. Nicholas Thorndike
PUTNAM INVESTMENTS
This report has been prepared for the shareholders of Putnam Variable
Trust. It is not authorized for other distribution unless preceded or
accompanied by an effective prospectus that describes the trust's
policies, charges, and other matters of interest for the prospective
investor.
63555 8/00
