Putnam
Hartford
Capital
Manager
variable
annuity
Putnam
Hartford
Capital
Access
variable
annuity
Putnam
Hartford
Inheritance
Manager
variable
life
[HARTFORD LOGO OMITTED]
annual
report
DECEMBER 31, 1999
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Annual report for
Putnam Hartford Capital Manager,
Putnam Hartford Capital Access, and
Putnam Hartford Inheritance Manager / Variable Life
FOR THE 12 MONTHS ENDED DECEMBER 31, 1999
Putnam Investments is pleased to provide this annual report for the
variable annuity contractholders of Putnam Hartford Capital Manager,
Putnam Hartford Capital Access, and Putnam Hartford Inheritance Manager
/ Variable Life.
Among the major benefits that you derive from your investment is the
management expertise and research capability of one of the world's
largest investment management organizations. This expertise offers you
access to 22 sub-accounts that provide a wide range of investment
choices.
While you are in the accumulation phase of your variable annuity or
variable life account, all income, earnings, and capital gains on your
assets are able to grow tax deferred, allowing you to keep all of your
money at work for the entire time, paying taxes only as assets are
withdrawn.
Another benefit the annuity may provide is the opportunity for a stream
of retirement income that you cannot outlive. It will also protect
assets for you and your beneficiaries and provides the ability to avoid
the cost, delay, and publicity of probate.
If you are a variable life contractholder, the ability to put assets to
work in a wide variety of investments provides the opportunity to build
wealth and enhance the future financial security of your beneficiaries.
The following report from your fund's managers provides an in-depth
overview of the investment environment in the world's major securities
markets during the funds' fiscal year. The tables that follow the
overview show the performance of each subaccount for the period. While
such long-term performance can never be taken as a guarantee of future
results, it can serve as a general indication of how a subaccount may
perform over time.
Table of Contents Page
Report from the Fund Managers 4
Performance Summary 5-7
Reports on Individual Funds 8-18
Performance Charts 19-24
Fund Manager Changes 24
Report of Independent Accountants 25
Portfolio of Investments Owned 152-263
Financial Statements
Statement of Assets and Liabilities 264
Statement of Operations 269
Statement of Changes in Net Assets 274
Financial Highlights 286
Notes to Financial Statements 297
To the contract-holders and policy-owners of Putnam Capital Manager
Trust Separate Accounts
The year just ended brought both challenge and change to the world's
financial markets. For equities, 1999 was mainly a good year, with
domestic and many foreign stock markets reaping the benefits of a
worldwide surge in economic growth. Fixed-income markets fared less
positively, as rising interest rates and investor disinterest led to
languishing bond markets here and abroad. Volatility at various times in
various markets brought opportunity that Putnam portfolio managers were
quick to act upon. On balance, U.S. equities performed strongly once
again and Japanese bonds surpassed those in other world markets.
EQUITIES
* United States Although rising interest rates dampened performance
until late October, U.S. equities staged an impressive rally toward
year's end. Technology experienced the strongest gains by far, although
energy, commodities, capital goods, and basic materials also shared
significant pieces of the performance pie. Nevertheless, performance in
each of these areas has been concentrated in a handful of companies.
Stock market valuations are high, supported by surging corporate
earnings and the accelerating economy. In today's low-inflation
environment, most companies have little pricing power and investors are
ready to pay hefty premiums for companies with visible earnings growth.
* Europe Performance among Continental Europe's stock markets was
disappointing throughout the year. Markets remain overvalued, although
the economic data were somewhat stronger than expected in the final
months of the period, providing a friendlier environment for equities.
Cellular telecommunications stocks led performance, while financial
stocks lagged. The European Central Bank's interest-rate increase in
November reassured investors that monetary authorities are vigilant
against inflation. The United Kingdom's stock market had a strong
October and November, although it must still battle longer-term
problematic influences going forward.
* Pacific Rim As economies throughout the region continued to improve,
many Asian stock markets moved higher. Japan's market showed particular
strength, as evidence suggested fundamental improvement in the economy.
Japan's telecommunications, information technology, and finance sectors
provided solid returns, as did companies in other industries using
technology to help drive innovation, restructuring, and improved
efficiency. South Korea's corporate restructuring and memory
chip-producing companies across Asia continued to perform well.
FIXED INCOME
* United States Bonds endured a particularly difficult year as rising
interest rates, fears that economic strength would renew inflation, and
heightened investor interest in the stock market drove prices down
across the bond market. U.S. Treasuries lagged the so-called "spread
sectors" of mortgage-backed securities, corporate bonds, and high-yield
issues. Toward the end of the period, the outlook brightened as bonds
became fairly valued and the Federal Reserve Board remained vigilant
against any uptick in inflation.
* Global With the exception of Japan, most foreign bond markets have
languished along with U.S. bond markets. European bond markets fared
poorly as stronger-than-expected economic data led to an interest-rate
increase by the Central Bank. The United Kingdom was the worst
performer, hurt by an unexpected interest-rate boost and expectations of
more to come. Most emerging markets turned in positive performance,
however, based on higher commodity prices, a revival in manufactured
exports, and accelerating global economic growth.
* High Yield High-yield bonds posted strong returns for the first half
of the year only to retreat in the third quarter. Several factors drove
the decline: concern over possible interest-rate increases by the
Federal Reserve Board, which did raise rates again in August and
November; Y2K-related concerns that investors would liquidate assets;
the loss of momentum from flagging equity markets; a rising default
rate; and net cash outflows from high-yield mutual funds. Nevertheless,
high-yield valuations were attractive at the period's end and the winter
season has historically been a positive one for this sector.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice and are subject to change.
<TABLE>
<CAPTION>
SUB-ACCOUNT PERFORMANCE SUMMARY
- -----------------------------------------------------------------------------------------------------------------------------
Total return at unit value (based on class IA shares)
(as of 12/31/99)
5 years 10 years Life (Annualized)
Putnam Hartford Capital Manager 1 year Annualized Annualized (HL2) HL2 HLA3
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Asia Pacific Growth 104.69% --% --% 12.74%++++ 12.74%
.............................................................................................................................
Diversified Income 0.35 5.43 -- 3.65+++ 3.65
.............................................................................................................................
George Putnam -1.75 -- -- 0.38***** 0.38
.............................................................................................................................
Global Asset Allocation 10.30 15.36 10.71 10.65* 12.57
.............................................................................................................................
Global Growth 62.71 25.34 -- 15.59+ 22.00
.............................................................................................................................
Growth and Income 0.18 17.74 12.41 13.60* 14.34
.............................................................................................................................
Health Sciences -5.27 -- -- 1.65***** 1.65
.............................................................................................................................
High Yield 4.45 7.25 9.29 7.92* 6.89
.............................................................................................................................
Income1 -3.43 5.78 6.07 6.24* 4.38
.............................................................................................................................
International Growth 57.91 -- -- 28.50+++++ 28.50
.............................................................................................................................
International Growth and Income 22.86 -- -- 16.72+++++ 16.72
.............................................................................................................................
International New Opportunities 100.14 -- -- 31.09+++++ 31.09
.............................................................................................................................
Investors 28.32 -- -- 25.79***** 25.79
.............................................................................................................................
Money Market 3.41 3.72 3.53 3.97* 3.43
.............................................................................................................................
New Opportunities 67.00 31.05 -- 28.55** 28.55
.............................................................................................................................
New Value ***** -1.13 -- -- 6.33+++++ 6.33
.............................................................................................................................
OTC & Emerging Growth 123.38 -- -- 61.61***** 61.61
.............................................................................................................................
Research 25.73 -- -- 43.54*** 43.54
.............................................................................................................................
Small Cap Value -- -- -- 2.51++++++ 2.51
.............................................................................................................................
Utilities Growth and Income -2.04 15.48 -- 11.06++ 10.53
.............................................................................................................................
Vista 50.79 -- -- 29.35+++++ 29.35
.............................................................................................................................
Voyager 56.03 29.83 20.61 19.86* 24.60
- -----------------------------------------------------------------------------------------------------------------------------
Total return at CDSC (based on class IA shares)
(as of 12/31/99)
5 years 10 years Life (Annualized)
Putnam Hartford Capital Manager 1 year Annualized Annualized (HL2) HL2 HLA3
- -----------------------------------------------------------------------------------------------------------------------------
Asia Pacific Growth 95.74% --% --% 8.71%++++ 8.71%
.............................................................................................................................
Diversified Income -8.42 2.20 -- 0.13+++ 0.13
.............................................................................................................................
George Putnam -10.37 -- -- -6.08***** -6.08
.............................................................................................................................
Global Asset Allocation 1.35 12.66 8.34 8.45* 11.32
.............................................................................................................................
Global Growth 53.76 22.57 -- 12.98+ 20.91
.............................................................................................................................
Growth and Income -8.58 15.35 10.22 11.84* 13.11
.............................................................................................................................
Health Sciences -13.64 -- -- -5.06***** -5.06
.............................................................................................................................
High Yield -4.50 4.15 7.17 5.59* 5.56
.............................................................................................................................
Income1 -11.93 2.55 3.65 3.88* 2.91
.............................................................................................................................
International Growth 48.96 -- -- 24.65+++++ 24.65
.............................................................................................................................
International Growth and Income 13.91 -- -- 12.69+++++ 12.69
.............................................................................................................................
International New Opportunities 91.19 -- -- 26.87+++++ 26.87
.............................................................................................................................
Investors 19.37 -- -- 19.65***** 19.65
.............................................................................................................................
Money Market -5.54 0.10 0.64 1.21* 1.93
.............................................................................................................................
New Opportunities 58.05 28.72 -- 26.19** 26.19
.............................................................................................................................
New Value -9.79 -- -- 1.96+++++ 1.96
.............................................................................................................................
OTC & Emerging Growth 114.43 -- -- 55.43***** 55.43
.............................................................................................................................
Research 16.78 -- -- 34.94*** 34.94
.............................................................................................................................
Small Cap Value -- -- -- -6.40++++++ -6.40
.............................................................................................................................
Utilities Growth and Income -10.64 12.94 -- 8.57++ 9.13
.............................................................................................................................
Vista 41.84 -- -- 25.65+++++ 25.65
.............................................................................................................................
Voyager 47.07 27.50 18.67 18.07* 23.50
- -----------------------------------------------------------------------------------------------------------------------------
See notes on page 6
Total return for A shares at unit value
(as of 12/31/99)
5 years 10 years Life (Annualized)
Putnam Hartford Capital Manager 1 year Annualized Annualized (HL2) HL2 HLA3
- -----------------------------------------------------------------------------------------------------------------------------
Asia Pacific Growth 105.60% --% --% 13.20%++++ 13.20%
.............................................................................................................................
Diversified Income -0.50 4.72 -- 3.19+++ 3.19
.............................................................................................................................
George Putnam -1.30 -- -- 1.01***** 1.01
.............................................................................................................................
Global Asset Allocation 10.85 15.88 11.20 11.15* 12.87
.............................................................................................................................
Global Growth 63.44 25.90 -- 16.11+ 22.42
.............................................................................................................................
Growth and Income 0.63 18.27 12.92 14.11* 14.64
.............................................................................................................................
Health Sciences -4.84 -- -- 2.11***** 2.11
.............................................................................................................................
High Yield 4.92 7.73 9.78 8.41* 7.17
.............................................................................................................................
Income1 -3.00 6.26 6.54 6.72* 4.65
.............................................................................................................................
International Growth 58.62 -- -- 29.08+++++ 29.08
.............................................................................................................................
International Growth and Income 23.41 -- -- 17.25+++++ 17.25
.............................................................................................................................
International New Opportunities 101.04 -- -- 31.69+++++ 31.69
.............................................................................................................................
Investors 28.90 -- -- 27.18***** 27.18
.............................................................................................................................
Money Market 3.87 4.18 3.94 4.38* 3.70
.............................................................................................................................
New Opportunities 67.75 31.64 -- 29.13** 29.13
.............................................................................................................................
New Value -0.68 -- -- 6.81+++++ 6.81
.............................................................................................................................
OTC & Emerging Growth 124.38 -- -- 62.54***** 62.54
.............................................................................................................................
Research 26.29 -- -- 38.74*** 38.74
.............................................................................................................................
Small Cap Value -- -- -- 2.82++++++ 2.82
.............................................................................................................................
Utilities Growth and Income -1.60 16.00 -- 11.55++ 11.03
.............................................................................................................................
Vista 51.47 -- -- 29.93+++++ 29.93
.............................................................................................................................
Voyager 56.73 30.41 21.16 20.40* 24.93
- -----------------------------------------------------------------------------------------------------------------------------
Total return for A shares at CDSC
(as of 12/31/99)
5 years 10 years Life (Annualized)
Putnam Hartford Capital Manager 1 year Annualized Annualized (HL2) HL2 HLA3
- -----------------------------------------------------------------------------------------------------------------------------
Asia Pacific Growth 96.65% --% --% 9.22%++++ 9.22%
.............................................................................................................................
Diversified Income -9.21 1.46 -- -0.34+++ -0.34
.............................................................................................................................
George Putnam -9.95 -- -- -5.47***** -5.47
.............................................................................................................................
Global Asset Allocation 1.90 13.21 8.88 8.99* 11.61
.............................................................................................................................
Global Growth 54.49 23.16 -- 13.54+ 21.33
.............................................................................................................................
Growth and Income -8.16 15.90 10.77 12.39* 13.41
.............................................................................................................................
Health Sciences -13.24 -- -- -4.61***** -4.61
.............................................................................................................................
High Yield -4.03 4.66 7.70 6.12* 5.84
.............................................................................................................................
Income1 -11.53 3.06 4.17 4.41* 3.18
.............................................................................................................................
International Growth 49.67 -- -- 25.26+++++ 25.26
.............................................................................................................................
International Growth and Income 14.46 -- -- 13.25+++++ 13.25
.............................................................................................................................
International New Opportunities 92.09 -- -- 27.49+++++ 27.49
.............................................................................................................................
Investors 19.95 -- -- 21.09***** 21.09
.............................................................................................................................
Money Market -5.08 0.60 1.10 1.68* 2.20
.............................................................................................................................
New Opportunities 58.80 29.33 -- 26.79** 26.79
.............................................................................................................................
New Value -9.37 -- -- 2.47+++++ 2.47
.............................................................................................................................
OTC & Emerging Growth 115.43 -- -- 56.38***** 56.38
.............................................................................................................................
Research 17.34 -- -- 30.05*** 30.05
.............................................................................................................................
Small Cap Value -- -- -- -6.12++++++ -6.12
.............................................................................................................................
Utilities Growth and Income -10.23 13.48 -- 9.09++ 9.65
.............................................................................................................................
Vista 42.52 -- -- 26.25+++++ 26.25
.............................................................................................................................
Voyager 47.78 28.10 19.24 18.64* 23.83
- -----------------------------------------------------------------------------------------------------------------------------
All total return figures are for subaccounts of the Separate Account and are based on the change in unit value,
which reflects expenses such as mortality charges, applied at the contract level, and does not include the $30
annual maintenance fee. Data for contingent deferred sales charges, which range between 0% and 7%, assume the maximum
rate and include the $30 contract maintenance fee. Performance data represent past results, with no adjustments made
for taxes on reinvested distributions payable upon withdrawal. Future unit values and investment return will vary so
that an investor's units when redeemed may be worth more or less than their original cost.
1 Formerly U.S. Government and High Quality Bond Fund.
2 The separate account for Hartford Life (HL) incepted on June 22, 1987. All 10 year/Life performance
calculations therefore use the inception date of the underlying fund.
3 The separate account for Hartford Life and Annuity (HLA) incepted on March 1, 1993. All Life performance
calculations use this inception date, unless this date predates the underlying fund inception date.
* Commencement of operations: February 1, 1988.
+ Commencement of operations: May 1, 1990.
++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
+++ Commencement of operations: September 15, 1993. An expense limitation was in effect during the period; without
the limitation, total return would have been lower.
** Commencement of operations: May 2, 1994.
++++ Commencement of operations: May 1, 1995. An expense limitation was in effect during the period; without the
limitation, total return would have been lower.
+++++ Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period;
without the limitation, total return would have been lower.
***** Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston,
Health Sciences Fund, Investors Fund, and OTC & Emerging Growth Fund during the period; without the limitation,
total return would have been lower.
*** Commencement of operations: September 30, 1998. The short-term results of a relatively new fund, such as these funds,
are not necessarily indicative of their long-term prospects. Expense limitations were in effect for this fund during
the period; without the limitation, total return would have been lower.
****** Commencement of operations: April 6, 1998.
++++++ Commencement of operations: April 30, 1999. The short-term results of a relatively new fund, such as this fund, are
not necessarily indicative of its long-term prospects.
Total return at unit value (based on class IB shares)
(as of 12/31/99)
5 years 10 years Life (Annualized)
Putnam Hartford Capital Access 1 year Annualized Annualized (HL2) HL2 HLA3
- -----------------------------------------------------------------------------------------------------------------------------
Asia Pacific Growth 104.09% --% --% 12.46%***** 12.46%
.............................................................................................................................
Diversified Income 0.28 5.17 -- 3.41****** 3.41
.............................................................................................................................
George Putnam -1.90 -- -- 0.43***** 0.43
.............................................................................................................................
Global Asset Allocation 10.05 15.23 10.51 10.43***** 12.20
.............................................................................................................................
Global Growth 62.06 25.04 -- 15.29***** 21.58
.............................................................................................................................
Growth and Income -0.01 17.41 12.14 13.30****** 13..83
.............................................................................................................................
Health Sciences -5.36 -- -- 1.33***** 1.33
.............................................................................................................................
High Yield 4.18 7.00 9.02 7.66***** 6.45
.............................................................................................................................
Income1 -3.65 5.57 5.81 6.00***** 3.94
.............................................................................................................................
International Growth 57.67 -- -- 28.11***** 28.11
.............................................................................................................................
International Growth and Income 22.54 -- -- 16.55****** 16.55
.............................................................................................................................
International New Opportunities 99.80 -- -- 30.81***** 30.81
.............................................................................................................................
Investors 28.04 -- -- 26.36***** 26.36
.............................................................................................................................
Money Market 3.57 3.52 3.25 3.68***** 3.08
.............................................................................................................................
New Opportunities 66.62 30.74 -- 28.24***** 28.24
.............................................................................................................................
New Value -1.17 -- -- 6.13***** 6.13
.............................................................................................................................
OTC & Emerging Growth 122.78 -- -- 61.55***** 61.55
.............................................................................................................................
Research 25.59 -- -- 43.26*** 43.26
.............................................................................................................................
Small Cap Value -- -- -- 2.35++++++ 2.35
.............................................................................................................................
Utilities Growth and Income -2.23 15.20 -- 10.78***** 10.26
.............................................................................................................................
Vista 50.35 -- -- 29.04***** 29.04
.............................................................................................................................
Voyager 55.71 29.51 20.32 19.57***** 24.04
- -----------------------------------------------------------------------------------------------------------------------------
Past performance is not indicative of future results. More recent returns may be more or less than
those shown. Returns shown for the subaccounts for periods prior to their inception (4/98) are derived
from the historical performance of the underlying fund, adjusted to reflect the higher mortality and expense
fees applicable to this product, and factors in the annual $30 contract maintenance fee. The subaccount's returns
and unit values will fluctuate so that an investor's units when redeemed may be worth more or less that their
original cost.
The subaccounts invest in class IB shares of the underlying funds. Any performance information regarding class IB
shares prior to their inception (11/97) are based upon the historical performance of class IA shares of the funds,
adjusted to reflect the fees (including 12b-1 fees) and operating costs applicable to class IB shares.
1 Formerly U.S. Government and High Quality Bond Fund.
2 The separate account for Hartford Life (HL) incepted on June 22, 1987. All 10 year/Life performance
calculations therefore use the inception date of the underlying fund.
3 The separate account for Hartford Life and Annuity (HLA) incepted on March 1, 1993. All Life performance
calculations use this inception date, unless this date predates the underlying fund inception date.
* Commencement of operations: February 1, 1988.
+ Commencement of operations: May 1, 1990.
++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
+++ Commencement of operations: September 15, 1993. An expense limitation was in effect during the period; without
the limitation, total return would have been lower.
** Commencement of operations: May 2, 1994.
++++ Commencement of operations: May 1, 1995. An expense limitation was in effect during the period; without the
limitation, total return would have been lower.
+++++ Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period;
without the limitation, total return would have been lower.
***** Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston,
Health Sciences Fund, Investors Fund, and OTC & Emerging Growth Fund during the period; without the limitation,
total return would have been lower.
*** Commencement of operations: September 30, 1998. The short-term results of a relatively new fund, such as these
funds, are not necessarily indicative of their long-term prospects. Expense limitations were in effect for this
fund during the period; without the limitation, total return would have been lower.
****** Commencement of operations: April 6, 1998.
++++++ Commencement of operations: April 30, 1999. The short-term results of a relatively new fund, such as this fund, are
not necessarily indicative of its long-term prospects.
</TABLE>
Putnam Asia Pacific Growth
Sub-Account
The strengthening of Asian stock markets and economies that began late
in 1998 continued throughout 1999, and Putnam Asia Pacific Growth
Sub-Account participated fully in these markets' resurgence. As a result
of strong stock selection and positioning in key markets such as Japan,
South Korea, and Taiwan, the fund was able to take advantage of some of
Asia's most notable restructuring stories as well as some innovative and
dynamic leaders of the "new economy." For the 12 months ended December
31, 1999, the subaccount's class IA shares tallied a total return of
104.69% at unit value.
A tidal wave of restructuring, mergers, and industrial consolidation has
swept Japan during the past year, prompting a stock market renaissance
and a strong rise in the yen's value. A newfound shareholder focus has
led to many mergers and acquisitions among Japan's more inefficient
industries. By focusing on companies in banking and electronics that are
implementing genuine reforms, not just talking about them, the fund has
benefited.
Telecommunications holdings have also been strong performers, since the
astounding growth of the Internet and surging demand for data
communications services has resulted in an unprecedented level of
consolidation and competition in this industry. Over the period, the
fund also enjoyed strong returns from holdings in companies filling the
rapidly growing demand for consumer and business Internet services, as
well as smaller companies in the forefront of Japan's new
service-oriented economy.
Elsewhere in the region, a strengthening Japanese yen improved
competitiveness among South Korean companies, boosting performance for
the fund's South Korean holdings. South Korean semiconductor holdings
benefited from an upturn in this market worldwide, as did the fund's
holdings in Taiwan. Many of the fund's key holdings in Singapore, Hong
Kong, and Australia also posted solid performance.
Although Asian markets and economies have made tremendous strides, there
are a few issues that could spell short-term volatility. In Japan, much
work remains to repair the economy, and the government must act to halt
the yen's rise to protect earnings among Japanese exporters. Meanwhile,
Y2K-related issues could challenge other Asian markets, although the
region's long-term positive potential remains intact.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $17.50507
Capital Manager A shares $13.64044
Capital Access $21.51087
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam Diversified Income
Sub-Account
In the United States and elsewhere, the accelerating pace of global
growth combined with the unpredictable nature of investor sentiment to
create formidable challenges in most fixed-income sectors. Putnam
Diversified Income Sub-Account's performance largely reflects this
unfavorable environment. For the 12 months ended December 31, 1999, the
subaccount's class IA shares tallied a total return of 0.35% at unit
value.
As unnerving as the market's volatility has been this past year, we held
steady on the fund's large exposure to high-yield bonds. Among our
reasons were the extremely attractive valuations currently available and
the market's positive fundamental underpinnings. Within the high-yield
sector, telecommunications holdings remained a top focus. Various media
subsectors including broadcasting and cable operators were also fairly
represented, although we have reduced the fund's weighting in these
industries a bit because we believe the period of heavy consolidation is
waning. Many companies in these industries have issued or are in the
process of issuing stock, prompting credit improvements and higher bond
prices.
As the period progressed, we selectively increased holdings of certain
higher-quality cyclical issues in the paper, chemical, and energy
sectors. Stricter Medicare reimbursement formulas negatively affected
performance from health-care holdings, while earnings disappointments
limited the performance of movie exhibition company holdings. We moved
out of the satellite communications sector entirely.
On the positive side, we bolstered the fund's exposure to
emerging-markets securities, a strategy that contributed significantly
to performance, since these markets rallied impressively. The fund's
minimal position in Japanese bonds hindered performance when these
issues rebounded dramatically. Commercial mortgage-backed security
(CMBS) holdings also added relative value to the portfolio.
- ------------------------------------------------------------------------
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
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $12.53221
Capital Manager A shares $10.24806
Capital Access $9.50609
- ------------------------------------------------------------------------
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.
Please see page 316 for information about a recent change in the fund's
investment policy.
The George Putnam Fund of Boston
Sub-Account
The year ended December 31, 1999, was one of volatility in both stock
and bond markets, as stronger-than-expected economic growth, inflation
fears, rising interest rates, and Y2K jitters combined to keep investors
on their toes. Reflecting this turbulent environment during the 12
months ended December 31, 1999, The George Putnam Fund of Boston
Sub-Account's class IA shares provided a total return of -1.75% at unit
value.
The portfolio remained broadly diversified throughout the period, and
this certainly made its performance much smoother than the ups and downs
of the general market. In the stock market, the strong performance of
value stocks was quite beneficial for the fund. Of course, our equity
strategy does not rely on major shifts in the capital markets. We select
stocks using fundamental analysis, looking for companies that are priced
below their long-term worth and poised for positive changes that can
increase future profits. During the recent period, the portfolio's
better-performing stock sectors included technology, chemicals, and
energy. Financial and telecommunications companies had weaker returns.
On the bond side, high-quality corporate bonds fell in and out of favor
throughout the year. After rallying in the second quarter of 1999,
corporates reeled from a flood of new supply that came to market. In
September and October, corporates rebounded largely because the new
supply was less than anticipated. Although the fund was caught in the
initial corporate downdraft, we later found numerous opportunities to
buy high-grade corporate securities at attractive valuations,
particularly among cyclical companies benefiting from economic strength.
The fund's position in mortgage-backed securities also added value to
the portfolio.
Although we expect some additional market volatility as 2000 progresses,
we are generally optimistic about conditions for value stocks and bonds
and will continue to research appropriate opportunities for the fund.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $10.06322
Capital Manager A shares $10.18584
Capital Access $10.20236
- ------------------------------------------------------------------------
Putnam Global Asset Allocation
Sub-Account
The dramatic shifts in worldwide markets, economies, and investor
perceptions over 1999 once again demonstrated the advantages of Putnam
Global Asset Allocation Sub-Account. With a universe of global
proportions from which to select holdings, we utilized Putnam's full
scope of market, credit, economic, and industry research tools to take
advantage of opportunities within the portfolio. For the 12 months ended
December 31, 1999, the subaccount's class IA shares posted a total
return of 10.30% at unit value.
As the year closed, many of the world's economies showed signs of
renewed strength. In fact, economic revival was most pronounced in some
of the Asian and Latin American countries hit hardest in 1998's global
financial crisis. U.S. equities again led the world, riding the tide of
strong economic fundamentals and record-low unemployment. For the first
half of the year, a group of large-cap growth stocks continued to fuel
the market's rise. Later, value-stocks took over, only to be eclipsed
once again by growth stocks as the period drew to a close. U.S.
investment-grade bonds had a difficult year, as investors regained some
of their appetite for risk and pushed up values in the market's
so-called spread sectors. Consequently, positions in mortgage-backed,
asset-backed, corporate, and high-yield bonds added value to the
portfolio.
International equity markets were unusually attractive for much of the
period, with Asian and Latin American markets leading performance. The
Japanese market rallied quite strongly as corporate restructuring and an
increased attention to shareholder value revitalized investor interest.
European markets began disappointingly, but prospects are brightening.
International bond markets, with the exception of Japan, have languished
along with U.S. bond markets. European markets were the worst
performers, while emerging markets delivered the strongest returns.
As the world's financial markets face varied challenges and changes, we
remain confident that the fund's diversified investment mix and active
portfolio management position it well to take maximum advantage of
opportunities in the months ahead.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of
capital
- ------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $33.37048
Capital Manager A shares $11.05198
Capital Access $11.21426
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam Global Growth
Sub-Account
The close of Putnam Global Growth Sub-Account's fiscal year capped a
rewarding period as investors all over the world gravitated to the
growth potential of many of the companies we favor. Our disciplined and
research-oriented investment process of individual stock analysis, along
with solid stock selection in rapidly growing areas of the global
economy, propelled the fund to strong performance. For the 12 months
ended December 31, 1999, the subaccount's class IA shares posted a total
return of 62.71% at unit value.
Our emphasis on many key technology companies in the U.S., Japanese and
British markets drove the fund's performance. Within the technology
sector, however, we did reduce European information technology service
company holdings as their growth potential became less apparent. Many
fund investments are focused among those companies now building the
backbone of the world's data and voice communications networks as well
as companies providing the equipment, including those ubiquitous
cellular handsets. The fund also has substantial investments in
companies that make the Internet work or in selected "pure play"
Internet companies with dominant brands.
Outside technology, we raised the fund's weighting in pharmaceutical and
biotech companies, particularly in the United States, while maintaining
some of our favored positions in Europe and Japan. The stock prices of
biotechnology companies have been strong this year and pharmaceutical
stocks have begun to come back after concerns about possible U.S.
Medicare reform began to fade. We have also raised the fund's weighting
in financial stocks, particularly those that focus on the gathering and
managing of assets.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $40.57989
Capital Manager A shares $14.43481
Capital Access $16.90297
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam Growth and Income
Sub-Account
Despite the adverse effects created by rising interest rates and
upward-creeping bond yields, 1999 performance was relatively positive
for Putnam Growth and Income Sub-Account. For the 12 months ended
December 31, 1999, the subaccount's class IA shares provided a total
return of 0.18% at unit value.
The chief challenge over the recent period has been the lack of investor
enthusiasm for the value stocks in which the fund invests, along with
the type of strategic sector diversification we follow in managing the
portfolio. In their zeal for companies with expectations of
above-average earnings growth, particularly in the technology sector,
many investors shunned the more conservative equities upon which we
focus: dividend-paying stocks with below-average valuations. Value
stocks outperformed only during April and May, although over the long
term, history has shown them to be competitive performers that offer
less volatility on average than the market in general.
Energy and telephone stocks were the fund's star performers over the
period. Energy benefited from rising oil prices and positive industry
consolidation, while the telephone industry saw increased demand for
voice and data communications from businesses expanding their Internet
presence. Financial stocks remain the fund's largest sector weighting.
These gained dramatically during the first half of the period. When
rising interest rates dampened their performance, we added new positions
in some excellent companies. We also added a pharmaceutical company and
a specialty chemical company to the portfolio.
The U.S. economy continues to provide a supportive environment for
equity performance in general. In addition, the fund stands to benefit
from the gathering pace of international economic growth, since many of
its holdings are companies that have successfully globalized their
operations and stand ready to feel the effects of rising global growth.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $45.64649
Capital Manager A shares $10.31056
Capital Access $10.43956
- ------------------------------------------------------------------------
Putnam Health Sciences
Sub-Account
Health-care investing remained quite challenging throughout the year.
The strengthening global economy made earnings growth more broadly
available and investors moved away from the dependable, defensive growth
that health-care stocks generally offer. As a result, Putnam Health
Sciences Sub-Account posted a total return of -5.27% at unit value for
its class IA shares for the 12 months ended December 31, 1999.
While the long-term prospects remain extremely positive for health-care
stocks, short-term setbacks during 1999 prompted some strategic shifts
in the fund's sector weightings. First, we reduced U.S. pharmaceutical
holdings considerably. These stocks have been the darlings of the fund's
portfolio for many years, delivering impressive returns even as other
sectors of the stock market were underperforming. With global growth
accelerating in 1999, investors began to seek opportunities in other
industries and regions that offered strong growth potential and more
attractive prices. At the same time, uncertainty about potential
Medicare reform took its toll on pharmaceutical stocks.
In addition to reducing U.S. pharmaceutical holdings, we also added some
international drug companies to provide additional diversification and
help offset the underperformance of the U.S. stocks. We also raised the
portfolio's weighting of biotechnology stocks to the highest level in
several years. The biotech rally that began with the largest companies
late in 1998 grew to include companies of all sizes by the end of 1999.
Since the last biotech rally in 1991, the industry has matured and more
companies are developing multiple products. Investors have been
attracted by these changes, along with the ongoing merger and
acquisition rumors that often indicate a thriving industry. Strategic
selection of medical device stocks also helped boost performance over
the period, as did limited exposure to the troubled health-care
services industry.
While pinpointing the timing of a broad turnaround among health-care
stocks is difficult, valuations are reaching attractive levels and the
long-term trends that favor these stocks remain in place.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks of companies in the health sciences industries
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $10.27700
Capital Manager A shares $10.82383
Capital Access $10.20221
- ------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam High Yield
Sub-Account
As investors began taking profits on higher-quality investments and
accepting risk back into their portfolios at the beginning of 1999, the
high-yield market staged a sharp recovery. Unfortunately, the summer
brought rising interest rates, Y2K-related liquidity concerns, and a
rising default rate which put pressure on high-yield bonds. Putnam High
Yield Sub-Account weathered the year's ups and downs, however, providing
a total return of 4.45% at unit value for its class IA shares for the 12
months ended December 31, 1999.
Despite summer's setback, high-yield bonds continue to present
attractive income and price appreciation opportunities. The U.S. economy
and corporate America are both on solid footing, providing a favorable
backdrop for many high-yield debt issuers. Nowhere is this more apparent
than in the telecommunications and broadcasting/media industries where
deregulation and consolidation also have helped drive performance
potential. In fact, these were among the high-yield market's top
performers over the period and continued to be a key focus for the fund.
The booming U.S. economy created pockets of opportunity in other areas
as well. In gaming, for example, new jurisdiction areas such as
Mississippi, Illinois, and Louisiana have provided solid growth
potential without the overcapacity that exists in Las Vegas and Atlantic
City. We view the late stage of the current business cycle as an
opportunity to add some high-quality cyclical issues to the portfolio,
such as those in the paper, chemical, and energy sectors.
In other areas, credit problems grew over the year, with the nursing
home, cinema, and sub-prime lending sectors suffering. Stricter Medicare
reimbursement formulas negatively affected many long-term nursing care
bond holdings, while overbuilding resulted in earnings disappointments
for movie exhibition company holdings.
Although the market may experience some additional volatility in the
months ahead, high-yield bonds appear well positioned to outperform,
given the strong fundamentals supporting them.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $24.79877
Capital Manager A shares $10.35315
Capital Access $9.27202
- ------------------------------------------------------------------------
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 Income
Sub-Account
Fixed-income investors witnessed a sharp turnaround in U.S. bond markets
during the past 12 months. Following a positive start of virtually no
inflation and low interest rates, conditions became decidedly less
favorable as the global economic rebound and a healthy U.S. economy
pushed up inflation and led to sharp fixed-income price declines. With
interest rates rising, Putnam Income Sub-Account weathered the storm as
best as possible, turning in a total return of -3.43% at unit value for
its class IA shares for the 12 months ended December 31, 1999.
After a banner year in 1998, U.S. Treasuries lost their luster when
investors regained their appetite for risk and sought higher yields
elsewhere. For its part, your fund made only small adjustments to its
duration in an attempt to take advantage of the substantial volatility
in the marketplace. Overall, however, our duration posture was neutral,
a beneficial stance given market volatility. Duration is a measure of
the fund's sensitivity to interest-rate changes. Commercial
mortgage-backed security (CMBS) holdings also helped add relative value
to the portfolio, since these securities benefited from strong economic
activity and solid real estate fundamentals.
High-quality corporate bonds fell in and out of favor throughout the
year. After rallying until the second quarter of 1999, corporates reeled
from a flood of new supply that came to market. In September and
October, corporates rebounded largely because the new supply was lower
than anticipated. Although the fund was caught in the initial corporate
downdraft, we later found numerous opportunities to buy high-grade
corporate securities at attractive valuations, particularly among
cyclical companies benefiting from economic strength. As the sector
recovered, our increased allocation to it paid off. That included
additional purchases in mortgages made just in time to take advantage of
a rally in these securities.
- ------------------------------------------------------------------------
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
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $20.57441
Capital Manager A shares $10.06818
Capital Access $9.92451
- ------------------------------------------------------------------------
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 International Growth
Sub-Account
With accelerating growth in Europe and the Pacific Basin, investor
enthusiasm pushed international equity markets higher over the past 12
months. Putnam International Growth Sub-Account shared fully in this
positive turn of events. For the 12 months ended December 31, 1999, the
subaccount's class IA shares posted a total return of 57.91% at unit
value.
Careful stock and sector selection generated virtually all of the fund's
outperformance for the period, continuing a trend in which country
allocation decisions proved less relevant. Market leadership narrowed
throughout the year, with telecommunications and technology stocks
enjoying phenomenal gains while most other sectors, especially cyclicals
like pharmaceuticals and financials, lagged. As a result of a strategy
begun over three years ago, the fund had an overweight position in
telecommunication stocks and a strong emphasis on technology, a strategy
that served it well in the current environment.
Stock selection was extremely positive in Japan, and outperformance by
Japanese holdings accounted for a considerable amount of the fund's
strength during the year. Stock selection was also a significant
contributor in France, Germany, the Netherlands, and the United Kingdom.
Emerging-market holdings also performed well, especially stocks from
Canada, South Korea, Brazil, and Mexico.
Looking ahead, we believe the fund's investment strategy, which combines
top-down country and sector allocations and bottom-up stock selection,
should keep it well positioned to benefit from expanding economic growth
throughout the world.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $21.16425
Capital Manager A shares $13.20680
Capital Access $14.99485
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam International Growth and Income
Sub-Account
In a recovery year for the global economy, Putnam International Growth
and Income Sub-Account acquitted itself well against its benchmark
index. During the fiscal year ended December 31, 1999, its class IA
shares posted a total return of 22.86% at unit value. While the
underlying fund's investment strategy led it to underweight the
high-growth and even higher-valued technology sectors, successful stock
selection allowed the fund to take maximum advantage of the
opportunities within its conservative, risk-averse, value-oriented
approach.
In 1999, sector selection in international markets mattered more than
country allocation. The telecommunications sector, particularly the
industries oriented to Internet services and mobile and data
communications, as well as the technology companies supplying those
industries, were the stars. The fund entered the year well represented
in these sectors, but lightened up as the year progressed and valuations
went beyond the parameters of the fund's valuation disciplines. Some of
the fund's top performers were in these sectors.
Sector consistency worked against the fund in two sectors in particular,
utilities, where U.K. and Japanese holdings performed poorly, and
consumer staples, where litigation hit the tobacco and firearms
industries and beverage producers experienced what felt like a year of
global cooling.
Some sectors were mixed, notably financials. Those in established
countries, particularly in Europe but also in Canada and Australia,
suffered from the gradual increase in interest rates in the Western
world. On the other hand, those in Asia turned in strong performances,
some with triple-digit returns, based on economic recovery in their
regions and on major self-help programs.
As for prospects in 2000 and beyond, Europe is in the first stages of
restructuring, cost-cutting, and focus on shareholder value creation.
Share repurchase programs are coming into vogue. Japan is also showing
early signs of significant change, with many companies shifting top
management teams in an effort to bring in new ideas such as
restructuring, downsizing, and industry consolidation, as well as a
focus on strengthening the bottom line.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $15.87644
Capital Manager A shares $10.70260
Capital Access $11.66607
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments.
Putnam International New Opportunities
Sub-Account
The global recovery from 1998's financial crisis has not only brought
about dramatic changes in Japan and Asia, but has also complemented the
astounding growth and consolidation of several new and dynamic global
industries. Using a stock selection process that emphasizes rapidly
growing international companies of any size, Putnam International New
Opportunities Sub-Account has participated fully in this positive
environment. For the 12 months ended December 31, 1999, the subaccount's
class IA shares posted a total return of 100.14% at unit value.
Telecommunications holdings in the United Kingdom, Canada, Finland,
Germany, and Japan were among the fund's top performers as growth and
consolidation swept this industry. The upturn in the world's
semiconductor business cycle also benefited fund holdings in France, the
United Kingdom, South Korea, and Taiwan. Higher consumer spending has
given the luxury goods area the potential for high growth, and the fund
is well-positioned to benefit. In addition to targeting companies
benefiting from the global recovery, we also focused on companies that
fulfill niche roles often ignored by larger industrial players. One
example is a financial services company that targets recent graduates of
professional degree programs and creates comprehensive financial
planning programs for them. Based on the level of fee income that its
services could generate over time, this holding is poised to deliver 25%
or more earnings growth per year.
As many emerging markets staged sharp rebounds over the past year, we
targeted emerging-market companies with strong management, market
leadership, and significant long-term growth potential. The fund's Asian
chip producers represented a large part of the fund's emerging-market
exposure. Latin American equities have underperformed Asian equities
during the period; however, many now trade at significant discounts. We
have taken this opportunity to target cyclical companies in Mexico and
Brazil that could benefit from global growth, as well as
telecommunications companies in both countries.
We will continue to utilize a bottom-up, research-driven process for
selecting stocks of international companies that we believe offer some
of the world's most exciting growth opportunities.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally traded outside the United States
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $22.46755
Capital Manager A shares $15.15513
Capital Access $19.04083
- ------------------------------------------------------------------------
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 Investors
Sub-Account
The market's continued preference for large-company stocks like those in
the portfolio of Putnam Investors Sub-Account fueled solid performance
for the period. While a broadening of stock market leadership toward
more undervalued stocks in April and May took some wind out of the
fund's sails, the market's return to a large-cap emphasis by period's
end was more beneficial. For the 12 months ended December 31, 1999, the
subaccount's class IA shares posting a total return of 28.32% at unit
value.
The market's shift toward more value-oriented companies in April and May
was somewhat destabilizing for growth-oriented investors. However, it
could turn out to be an exceptionally healthy development in the long
run. With a greater number of companies exhibiting the potential for
strong earnings growth, we have had a more abundant selection of
candidates from which to choose. In fact, as its track record shows,
this fund has had the ability to adapt itself to a variety of markets.
We are keeping the fund well positioned in the areas that offer the most
opportunities to find larger, growing companies. The broad and diverse
sector of technology still offers such an opportunity and the
portfolio's overweight position in technology is what largely drove
performance over the period. Technology companies remained fundamentally
strong as Y2K concerns diminished and explosive demand for Internet and
cellular products and services continued. The fund's biotechnology,
conglomerate, and communications services holdings also contributed
positively to returns. Weakness among consumer, health care, and
financial holdings detracted from performance.
In our view, the stock market continues to be supported by strong
fundamentals despite interest-rate worries, and we will continue to
employ the stock-by-stock research that has enabled the portfolio to
shine thus far.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high quality common stocks
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $14.66923
Capital Manager A shares $12.42145
Capital Access $13.87921
- ------------------------------------------------------------------------
Putnam Money Market
Sub-Account
Money market investments remained attractive throughout the year, and
the market continued to experience inflows of investor cash. Short-term
taxable interest rates rose rapidly as the Federal Reserve Board raised
rates three times. Putnam Money Market Sub-Account took advantage of
higher available yields, with the subaccount's class IA shares posting a
total return of 3.41% at unit value for the 12 months ended December 31,
1999.
In this environment of higher interest rates, duration management was an
important tool for managing the fund. In order to lock in the highest
available money market rates, we kept portfolio duration slightly longer
than the market average for the first half of the period. Besides
allowing the fund to capture additional income, this longer duration
also enabled the fund to avoid reinvestment in January, a time when
money market yields traditionally drop due to increased demand for money
market assets.
Beginning in August, fears of a funding crunch at the end of 1999
spurred corporations to issue more short-term securities than usual.
Historically, this supply surge occurs later in the year, typically in
November and December. This year, however, concerns that Y2K
complications may affect financial markets, along with a Bond Market
Association recommendation to curtail security issuance near the end of
the year, had corporations scrambling early to cover their year-end
financing needs.
Investors have been quick to take advantage of today's higher money
market yields. Indeed, assets invested in money market funds like this
one have grown dramatically over the past year. The corporate sector has
provided many opportunities for the fund to invest these assets, since
yields in that sector have been higher than in the government sector. As
the period drew to a close, we brought the fund's duration back to a
more neutral position. As always, we remain focused on high-quality
issuers and industries and will continue to implement the conservative
strategies that have served shareholders well thus far.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance
of liquidity
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $1.59061
Capital Manager A shares $1.00919
Capital Access $1.04600
- ------------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the subaccount
invests, is not insured or guaranteed by the Federal Deposit Insurance
Corporation or any other government agency. Although the fund seeks to
preserve your investment at $1.00 per share, it is possible to lose
money by investing in the fund.
Putnam New Opportunities
Sub-Account
Putnam New Opportunities Sub-Account finished 1999 on a positive note as
explosive growth in technology and media, along with solid stock
selection within these sectors, boosted performance. Since stock market
leadership remained concentrated in a small number of companies,
particularly in the technology sector, stock selection was the key to
positive performance for most equity funds. For the 12 months ended
December 31, 1999, the subaccount's class IA shares posted a total
return of 67.00% at unit value.
Technology stocks continued to outperform every other sector of the
market throughout the year as businesses such as software, networking,
fiber optics, and data storage capitalized on Internet and e-commerce
demand. The media sector also flourished as Internet companies continued
to advertise through traditional broadcasting outlets. With overweight
positions in both sectors, and solid stock selection within them, the
fund participated fully in this positive environment.
On the negative side, fund investments in business services and
financial services fared poorly over the period. Fortunately, the
portfolio was underweight in these sectors, along with consumer,
health-care, and industrial stocks, which also underperformed.
While the Federal Reserve Board has demonstrated its intolerance of any
uptick in inflation, investors remain fearful of the potential effects
of higher rates and the specter of higher inflation.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average
long-term growth potential
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $41.42432
Capital Manager A shares $14.59595
Capital Access $17.61210
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam New Value
Sub-Account
The undervalued stocks of large and midsize companies that form the
basis of Putnam New Value Sub-Account's portfolio found favor among
investors early in the year, only to decline by the end of the period.
However, sector weightings and individual stock selection contributed
positively to performance. For the 12 months ended December 31, 1999,
the subaccount's class IA shares posted a total return of -1.13% at unit
value.
Buying carefully and holding for the long term is high on our list of
strategies for managing the fund. Over the recent period, this strategy
paid handsome returns, when the fund took profits on its position in
IBM, a holding in the portfolio when the fund began operations. While
many investors had written off the once-powerful company when the fund
decided to invest, it transformed itself back into an industry leader
and the fund realized significant gains from the sale of this holding.
The IBM story illustrates another tenet of our investment philosophy: to
buy stocks of companies that we believe to be fundamentally strong but
suffering short-term setbacks that have dragged down their stock prices.
The portfolio now contains a pharmaceutical company, a waste management
company, and a funeral-home franchise that all fit this description.
Each company has strong market share and solid products that position it
well for future growth; their stocks have become available for bargain
prices due to difficulties we believe to be short-lived.
Fund performance in the recent period benefited from an overweight
position in the energy sector, which enjoyed better conditions because
of rising energy prices. Merger activity in several sectors also
contributed to performance. In the months ahead, we will continue to
take advantage of out-of-favor stocks whose potential may be overlooked
by the broader market.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $12.01434
Capital Manager A shares $10.37329
Capital Access $10.17947
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam OTC & Emerging Growth
Sub-Account
Throughout the past 12 months, stocks of emerging growth companies were
generally out of favor with investors. Large-company stocks and,
fleetingly, value stocks, remained the darlings of the market as
investors sought relative safe havens in an uncertain world. In view of
this somewhat inhospitable environment, we are pleased to report that
Putnam OTC & Emerging Growth Sub-Account's class IA shares posted a
total return of 123.38% at unit value for the 12 months ended December
31, 1999.
The fund's strong performance over the period is in part a result of the
thoroughness of its stock selection process. In choosing holdings for
the portfolio, we categorize emerging-growth companies in two ways. The
first is a company that has the dominant share of a dynamic new
industry. The second type of emerging-growth company gains market share
rapidly in an established industry. Over the period, the fund benefited
from gains in both.
Many of the stocks that contributed to performance were in the
technology area. This sector remains fundamentally strong as Y2K
concerns diminishes and explosive demand continues for Internet and
cellular products and services. Far from a deliberate sector strategy,
the portfolio's overweighting in technology is simply reflective of
where many of the best emerging growth companies now operate.
Performance over the period also benefited from our decision to
underweight the poor-performing consumer, financial, and health-care
sectors.
Some small, emerging growth stocks are still selling at attractive
valuations relative to large-cap stocks offering a fraction of the
growth potential. While selecting winners in today's rapidly changing
Internet-dominated landscape will not be easy, we believe the fund is
well suited to the challenge.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Above-average growth potential
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks primarily of small to medium-size emerging growth
companies
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $22.29234
Capital Manager A shares $16.35129
Capital Access $22.90205
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to
medium-sized companies. Such investments increase the risk of greater
price fluctuations.
Putnam Research
Sub-Account
As the U.S. stock market resumed its advance in October, Putnam Research
Sub-Account was well-positioned to take full advantage of this positive
turn of events. Stock selection drove performance, with particular
success among the fund's biotech and medical tech, technology, and media
sector holdings. For the 12 months ended December 31, 1999, the
subaccount's class IA shares posted a total return of 25.73% at unit
value.
Wireless telecommunications stocks were among the fund's top performers,
as the burgeoning demand for wireless or cellular products has driven an
acceleration of growth for these companies. Technology stocks held in
the fund also benefited from the growth in wireless data demand and the
expansion of Internet commerce. The biotech/medical tech industry has
been another strong sector. Many of the companies in these industries
have expanded from single-product capabilities to multiple-product
lines, which the marketplace has been quick to reflect in valuations.
On the negative side, financial stocks performed poorly. While some of
the recent mergers, acquisitions, and buyouts have not yet yielded the
promised cost savings and revenue enhancements for the new companies, a
negative perception of the impact of rising rates has been the biggest
factor driving the group's underperformance.
Going forward, we intend to keep the fund's focus on stock selection,
concentrating on the most attractive opportunities seen by our analysts
across all industries and investment styles.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $15.71196
Capital Manager A shares $11.83079
Capital Access $15.67358
- ------------------------------------------------------------------------
Putnam Small Cap Value
Sub-Account
As we conclude the first eight months of operations for Putnam Small Cap
Value Sub-Account, the stock market has continued to exhibit volatility
as investors balance the negative effects of inflation fears with the
positive aspects of strong economic growth. For the eight months ended
December 31, 1999, the subaccount's class IA shares posted a total
return of 2.51% at unit value.
As the fund came into existence in April 1999, small companies and
value-oriented sectors such as capital goods, basic materials, and
energy surged. The turnaround was significant because small companies
and value stocks had been underperforming large growth companies for at
least two years, and by some measures, even longer. Obviously, this
change was good for the fund, and performance from these initial days
was quite strong. Unfortunately, rising interest rates depressed stocks
across the board in August. However, the market rallied again in
October, and small-cap stocks shared in the rise.
During the period, several stocks in the portfolio were involved in
acquisition or merger activity that helped drive up their prices.
Although we do not buy stocks based on merger rumors, we were not
surprised that some of the these stocks could be acquisition targets.
These were well-managed companies whose stocks were selling at bargain
prices, making them logical targets for rivals that seek to grow through
acquisition.
As we look ahead, we are optimistic for the portfolio and for small
companies in general. The merger wave that set records in the past few
years appears to be expanding to include small companies. Based on
historical comparisons, 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
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $10.25145
Capital Manager A shares $10.85813
Capital Access $10.23478
- ------------------------------------------------------------------------
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 Utilities Growth and Income
Sub-Account
Fiscal 1999 delivered a particularly difficult set of challenges for
Putnam Utilities Growth and Income Sub-Account. For the 12 months ended
December 31, 1999, the subaccount's class IA shares posted a total
return of -2.04% at unit value.
Mergers and acquisitions have proved rewarding in both the gas and
electric utilities sectors and among the fund's major telephone
holdings. However, our principal goal is always to seek out modestly
priced stocks of companies with strong management and the capacity for
positive change. Currently, we see enormous potential among electric
utilities. Many of these stocks are undervalued, and as acquisitions
were announced in some local distribution companies (LDCs), we began
taking profits and redeploying assets in electric utilities. Many of
these utilities are already supplying power to institutional customers
far removed from their regional headquarters. Eventually electric
utilities will compete for individuals' business just as telephone
companies do today.
It used to be easier to select utilities stocks than it is today. Today,
blurring lines of service between different types of utilities and
changing state regulations make meticulous research on a case-by-case
basis essential to assembling a solid portfolio. Many gas and electric
companies have been divesting assets, forming strategic alliances, and
using newly acquired cash to pave the way for future growth. Some
visionary companies are finding growth prospects in developing
economies. Many of these are represented in the fund's portfolio. At the
same time, some gas companies are starting to offer electric service,
while telephone companies are expanding into the wireless and data
transmission areas.
Although we remain focused principally on equities, we also use bonds
and notes issued by utility companies in order to provide additional
income for the fund. Demand for utilities stocks remains low relative to
the market, but we believe the shifting dynamics of the industry will
provide ample opportunity in coming months.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $22.36018
Capital Manager A shares $9.84052
Capital Access $10.81304
- ------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
Putnam Vista
Sub-Account
Stocks of midsize companies, such as those that make up Putnam Vista
Sub-Account's portfolio, achieved strong gains over the past 12 months,
despite investors' insatiable appetite for large-cap stocks and the more
speculative Internet stocks. Midsize companies tend to be nimble and
entrepreneurial, with more business experience than their smaller
counterparts and more potential for dramatic earnings growth than
larger, more established companies. This is reflected in the fund's
healthy performance. For the 12 months ended December 31, 1999, the
subaccount's class IA shares provided a total return of 50.79% at unit
value.
Two trends had a substantial impact on the performance of midsize
companies during the past year. The first is the continued
outperformance of larger-company stocks. As a result, some companies
that began the year as midsize companies appreciated so rapidly that
they outgrew their mid-cap universe. Consequently, the fund sold some of
the holdings that had outgrown their mid-cap status, realizing solid
gains in the process. The second trend affecting the fund is the high
level of speculation in the stock market today. Rather than doing
time-consuming research of long-term fundamentals, many investors are
opting for quick profits in the hottest names, particularly among
Internet stocks. The fund is poised to benefit with several Internet
holdings.
In terms of sectors, technology remains the fund's strongest performer.
Telecommunications companies, especially cellular communications
companies, have been particularly strong. Advertising and retail
industries have also provided solid returns, while our increased
weighting to biotechnology was boosted performance considerably as this
sector delivered its strongest returns in eight years. An early decision
to reduce the fund's position in drug and health-care services companies
was beneficial as these industries continued to underperform throughout
the period. Rising interest rates took their toll on the financial and
consumer sectors, and fund holdings in these areas dampened performance
slightly.
While we expect some additional volatility in the months ahead, we
believe that midsize companies are well positioned to make their
contribution in the new millennium.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $21.58742
Capital Manager A shares $13.89176
Capital Access $15.41050
- ------------------------------------------------------------------------
The fund invests all or a portion of its assets in small to medium-size
companies. Such investments increase the risk of greater price
fluctuations.
Putnam Voyager
Sub-Account
Putnam Voyager Sub-Account continued its successful journey throughout
another year of volatile markets, owing largely to astute sector
emphasis and solid stock selection among large, small, and midsize
companies. For the 12 months ended December 31, 1999, the subaccount's
class IA shares provided a total return of 56.03% at unit value.
Our strategy has been 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. For this reason,
technology remains one of the largest sector weightings in the
portfolio. Within this sector, we emphasized communications equipment
and components, taking advantage of the fact that rapid growth in data
communications services is driving demand from all industry suppliers.
The strong performance of media, one of the portfolio's largest sectors,
added considerably to the fund's performance. Demand for advertising
continued to grow, driven by the strong economy and growth in both
Internet and pharmaceutical advertising budgets. We concentrated on
radio, television, billboard, cable, and Internet industries.
During the period, we reduced the fund's holdings in health care as real
or feared threats of government Medicare/Medicaid reimbursement
regulations continued to affect the projected earnings of these stocks.
We focused the fund's consumer holdings on leading retailers, especially
those serving value-oriented niches. Some specialty discount retailers
have found ways to increase profits while offering reduced prices to
consumers. While this sector showed strength early in the year,
performance fell off during the third quarter of 1999. The portfolio's
business services holdings were concentrated on computer-related
outsourcing services and transaction processing, both areas of rapid
growth.
While market volatility is likely to continue in the coming months, we
believe that increasing economic activity around the world should allow
us to target a number of stocks with attractive long-term growth
potential.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential
and established companies with positive growth prospects
- ------------------------------------------------------------------------
UNIT VALUE
December 31, 1999 Capital Manager $86.47886
Capital Manager A shares $13.92214
Capital Access $16.72283
- ------------------------------------------------------------------------
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.
[GRAPHICS OMITTED: worm charts of cumulative total returns of a $10,000
investment in class 1A shares at unit value]
Cumulative total returns of a $10,000
investment in class IA shares at
unit value
Putnam Asia Pacific Growth
Sub-Account -- since 5/1/95
(subsequent periods ended 12/31)
Plot points read:
Putnam MSCI
Asia Pacific Pacific
Date Growth Sub-Account Index
5/1/95 10,000 10,000
95 10,135 10,021
96 10,903 9,162
97 9,176 6,826
98 8,552 6,993
99 $17,505 $11,023
Footnote reads:
Putnam Asia Pacific Growth Sub-Account's underlying portfolio seeks
capital appreciation through common stocks of companies located in Asia
and in the Pacific Basin. The Morgan Stanley Capital International
(MSCI) Pacific Index is an unmanaged list of Asian and Pacific Rim
equity securities, excluding U.S., with all values expressed in U.S.
dollars. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam Diversified Income
Sub-Account -- since 9/15/93
(subsequent periods ended 12/31)
Plot points read:
Putnam Lehman Bros. Lehman Bros. Salomon Bros. First
Diversified Aggregate Mortgage- Non-U.S. Boston
Income Bond backed World Govt. High Yield
Date Sub-Account Index Index Bond Index Index
9/15/93 10,000 10,000 10,000 10,000 10,000
93 10,189 10,006 10,090 10,019 10,441
94 9,622 9,714 9,928 10,619 10,339
95 11,302 11,509 11,595 12,695 12,137
96 12,127 11,927 12,217 13,213 13,644
97 12,841 13,078 13,375 12,650 15,367
98 12,489 14,214 14,307 14,900 15,456
99 $12,532 $14,097 $14,572 $14,144 $15,963
Footnote reads:
Putnam Diversified Income Sub-Account's underlying portfolio of U.S.
government, high-yield, and international fixed-income securities seeks
high current income consistent with capital preservation. Lehman Bros.
Aggregate Bond Index is replacing Lehman Bros. Mortgage-backed Index
because Putnam Management believes this index is a more appropriate
index against which to compare the fund's performance. Lehman Bros.
Aggregate Bond Index is composed of securities from Lehman Bros.
Government/Corporate Bond, Mortgage-backed Securities, and Asset Backed
Securities indexes. Salomon Brothers Non-U.S. World Government Bond
Index is an unmanaged list of bonds issued by 10 countries. First Boston
High Yield Index is an unmanaged list of lower-rated higher-yielding
U.S. corporate bonds. Securities indexes assume reinvestment of all
distributions and interest payments and do not take in account brokerage
fees or taxes. Securities in the fund do not match those in the indexes
and performance of the fund will differ. It is not possible to invest
directly in an index.
The George Putnam Fund
of Boston Sub-Account -- since 4/30/98
Plot points read:
The George Lehman Bros. Lehman Bros.
Putnam Fund Govt./Corp. Aggregate
Date Sub-Account S&P 500 Index Bond Index Bond Index
4/30/98 10,000 10,000 10,000 10,000
6/30/98 9,917 10,227 10,210 10,180
9/30/98 9,397 9,210 10,716 10,611
12/31/98 10,242 11,171 10,730 10,647
3/31/99 10,312 11,728 10,601 10,594
6/30/99 10,782 12,555 10,485 10,501
9/30/99 10,013 11,771 10,541 10,572
12/31/99 $10,063 $13,522 $10,498 $10,559
Footnote reads:
The George Putnam Fund of Boston Sub-Account's underlying portfolio
seeks capital appreciation and current income through a balanced
portfolio of stocks and bonds. The Lehman Bros. Govt./Corporate Bond
Index is an unmanaged index of publicly issued U.S. governmental and
corporate debt obligations used as a general measure of the performance
of fixed-income securities. It is replacing the Lehman Bros. Aggregate
Bond Index because Putnam Management believes this index is a more
appropriate index against which to compare the fund's fixed-income
performance. The Lehman Brothers Aggregate Bond Index is composed of
securities from Lehman Brothers Government/Corporate Bond,
Mortgage-backed Securities, and Asset-backed Securities indexes. The
Standard & Poor's 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's
portfolio contains securities that do not match those in the indexes. It
is not possible to invest directly in an index.
Putnam Global Asset Allocation
Sub-Account -- since 12/31/89
Plot points read:
Putnam Global
Asset Allocation
Date Sub-Account MSCI World Index
12/31/89 10,000 10,000
90 9,879 8,298
91 11,594 9,815
92 12,151 9,303
93 14,077 11,396
94 13,535 11,974
95 16,644 14,455
96 18,977 16,404
97 22,394 18,990
98 25,070 23,611
99 $27,651 $29,499
Footnote reads:
Putnam Global Asset Allocation Sub-Account's underlying managed asset
allocation portfolio spread across domestic and international stock and
bond markets seeks a high level of long-term total return consistent
with preservation of capital. The Morgan Stanley Capital International
World Index is an unmanaged list of global equity securities, with all
values expressed in U.S. dollars. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam Global Growth
Sub-Account -- since 5/1/90
(subsequent periods ended 12/31)
Plot points read:
Putnam
Global Growth MSCI All-Country
Date Sub-Account World Free Index MSCI World Index
5/1/90 10,000 10,000 10,000
90 9,234 9,862 9,832
91 10,472 11,826 11,630
92 10,286 11,326 11,022
93 13,432 14,144 13,502
94 13,119 14,855 14,188
95 14,963 17,746 17,128
96 17,294 20,088 19,436
97 19,498 23,100 22,500
98 24,940 28,175 27,976
99 $40,580 $35,730 $34,952
Footnote reads:
Putnam Global Growth Sub-Account's underlying internationally
diversified common stock portfolio seeks capital appreciation. The
Morgan Stanley Capital International All-Country World Free Index is an
unmanaged index of global equity securities available to nondomestic
investors, with all values expressed in U.S. dollars. It is replacing
MSCI World Index because Putnam Management believes this index is a more
appropriate index against which to compare the fund's performance. The
MSCI World Index is an unmanaged list of international equity
securities, with all values expressed in U.S. dollars. The fund's
portfolio contains securities that do not match those in the index. It
is not possible to invest directly in an index.
Putnam Growth and Income
Sub-Account -- since 12/31/89
Plot points read:
Putnam Growth
and Income
Date Sub-Account S&P 500 Index
12/31/89 10,000 10,000
90 10,054 9,690
91 11,803 12,642
92 12,774 13,605
93 14,394 14,976
94 14,244 15,174
95 19,202 20,876
96 23,085 25,669
97 28,262 34,233
98 32,166 44,016
99 $32,222 $53,278
Footnote reads:
Putnam Growth and Income Sub-Account's underlying portfolio primarily of
common stocks seeks capital growth and current income. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam Health Sciences
Sub-Account -- since 4/30/98
Plot points read:
Putnam
Health Sciences S&P 500
Date Sub-Account Index
4/30/98 10,000 10,000
6/30/98 10,047 10,227
9/30/98 9,395 9,210
12/31/98 10,849 11,171
3/31/99 10,317 11,728
6/30/99 10,035 12,555
9/30/99 9,440 11,771
12/31/99 $10,277 $13,522
Footnote reads:
Putnam Health Sciences Sub-Account's underlying portfolio seeks capital
appreciation through stocks of companies in the health sciences
industries. The Standard & Poor's 500 Index is an unmanaged list of
common stocks frequently used as a gauge of general market performance.
The fund's portfolio contains securities that do not match those in the
index. It is not possible to invest directly in an index.
Putnam High Yield
Sub-Account -- since 12/31/89
Plot points read:
Putnam First Boston
High Yield High Yield
Date Sub-Account Index
12/31/89 10,000 10,000
90 9,055 9,362
91 12,932 13,459
92 15,173 15,700
93 17,890 18,669
94 17,477 18,487
95 20,390 21,700
96 22,682 24,396
97 22,575 27,476
98 23,742 27,635
99 $24,799 $28,542
Footnote reads:
Putnam High Yield Sub-Account's underlying portfolio primarily of
high-yielding, lower-rated corporate bonds and notes seeks high current
income, with a secondary objective of capital appreciation. The First
Boston High Yield Index is an unmanaged market-weighted index
constructed to mirror the public investable high-yield debt market. The
fund's portfolio contains securities that do not match those in the
index. It is not possible to invest directly in an index.
Putnam Income Sub-Account --
since 12/31/89
Plot points read:
Putnam Lehman Bros. Lehman Bros.
Income Aggregate Govt./Corporate
Date Sub-Account Bond Index Bond Index
12/31/89 10,000 10,000 10,000
90 10,602 10,896 10,828
91 12,261 12,640 12,575
92 12,996 13,575 13,528
93 14,261 14,899 15,020
94 13,609 14,464 14,493
95 16,163 17,136 17,282
96 16,323 17,759 17,784
97 17,487 19,473 19,519
98 18,666 21,165 21,368
99 $18,026 $20,991 $20,906
Footnote reads:
Putnam Income Sub-Account's underlying portfolio of securities issued or
backed by the full faith and credit of the U.S. government or its
agencies or instrumentalities or backed by the credit of the government
agency, plus foreign governments and corporate bonds rated B or above
seeks current income consistent with preservation of capital. The Lehman
Brothers. Aggregate Bond Index is an unmanaged index of investment-grade
bonds. It is replacing the Lehman Brothers. Govt./Corp. Bond Index
because Putnam Management believes this index is a more appropriate
index against which to compare the fund's performance. The Lehman
Brothers Government/Corporate Bond Index is an unmanaged list of
publicly issued U.S. Treasury obligations, debt obligations of U.S.
government agencies (excluding mortgage-backed securities), fixed-rate
nonconvertible investment-grade corporate debt securities, and U.S.
dollar-denominated SEC-registered nonconvertible debt issued by foreign
governmental entities or international agencies used as a general
measure of the performance of fixed income securities. The fund's
portfolio contains securities that do not match those in the index. It
is not possible to invest directly in an index.
Putnam International Growth
Sub-Account -- since 1/2/97
Plot points read:
Putnam
International
Growth
Date Sub-Account MSCI EAFE Index
1/2/97 10,000 10,000
12/31/97 11,451 10,178
12/31/98 13,403 12,213
12/31/99 $21,164 $15,506
Footnote reads:
Putnam International Growth Sub-Account's underlying portfolio seeks
capital appreciation primarily through stocks of companies in countries
other than the United States. The Morgan Stanley Capital International
(MSCI) EAFE Index is an unmanaged list of stocks from Europe,
Australasia, and the Far East, with all values expressed in U.S.
dollars. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam International Growth and Income
Sub-Account -- since 1/2/97
Plot points read:
Putnam
International
Growth and Income
Date Sub-Account MSCI EAFE Index
1/2/97 10,000 10,000
97 11,776 10,178
98 12,922 12,213
99 $15,876 $15,506
Footnote reads:
Putnam International Growth and Income Sub-Account's underlying
portfolio seeks capital appreciation primarily through stocks of
companies located outside North America. The Morgan Stanley Capital
International (MSCI) EAFE Index is an unmanaged list of stocks from
Europe, Australasia, and the Far East, with all values expressed in U.S.
dollars. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam International New Opportunities
Sub-Account -- since 1/2/97
Plot points read:
Putnam
International
Growth and Income
Date Sub-Account MSCI EAFE Index
1/2/97 10,000 10,000
97 9,850 10,178
98 11,229 12,213
99 $22,468 $15,506
Footnote reads:
Putnam International New Opportunities Sub-Account's underlying
portfolio seeks capital appreciation primarily through stocks of
companies in countries other than the United States. The Morgan Stanley
Capital International (MSCI) EAFE Index is an unmanaged list of stocks
from Europe, Australasia, and the Far East, with all values expressed in
U.S. dollars. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam Investors Sub-Account --
since 4/30/98
Plot points read:
Putnam
Investors
Date Sub-Account S&P 500 Index
4/30/98 10,000 10,000
6/30/98 10,451 10,227
9/30/98 9,204 9,210
12/31/98 11,432 11,171
3/31/99 12,018 11,728
6/30/99 12,464 12,555
9/30/99 11,808 11,771
12/31/99 $14,669 $13,522
Footnote reads:
Putnam Investors Sub-Account's underlying portfolio seeks long-term
capital appreciation through quality common stocks. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam New Opportunities Sub-Account -- since 5/2/94
(subsequent periods ended 12/31)
Plot points read:
Putnam Russell
New Opportunities Russell 2000 Mid Cap
Date Sub-Account Index Growth Index S&P 500 Index
5/1/94 10,000 10,000 10,000 10,000
94 10,718 10,027 10,121 10,398
95 15,312 12,879 13,561 14,305
96 16,635 15,004 15,930 17,590
97 20,223 18,359 19,521 23,459
98 24,805 17,892 23,009 30,163
99 $41,424 $21,695 $34,811 $36,510
Footnote reads:
Putnam New Opportunities Sub-Account's underlying portfolio seeks
long-term capital appreciation primarily through common stock
investments in companies in economic sectors with above-average
long-term growth potential. The Russell 2000 Index is a commonly used
measure of small-company performance. The Russell Mid Cap Growth Index
is an unmanaged index of common stocks of midsized companies that are
also listed on the Russell 1000 Growth Index. The indexes are replacing
the S&P 500 Index because Putnam Management believes they more
accurately reflect the fund's portfolio of small and midsized companies.
The Standard & Poor's 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's
portfolio contains securities that do not match those in the index. It
is not possible to invest directly in an index.
Putnam New Value
Sub-Account -- since 1/2/97
Plot points read:
Putnam
New Value
Date Sub-Account S&P 500 Index
1/2/97 10,000 10,000
12/31/97 11,597 13,336
12/31/98 12,151 17,148
12/31/99 $12,014 $20,756
Footnote reads:
Putnam New Value Sub-Account's underlying portfolio seeks capital
appreciation through investments in undervalued stocks. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam OTC & Emerging Growth
Sub-Account -- since 4/30/98
Plot points read:
Putnam OTC &
Emerging
Growth
Date Sub-Account S&P 500 Index
4/30/98 10,000 10,000
6/30/98 10,186 10,227
9/30/98 7,809 9,210
12/31/98 9,980 11,171
3/31/99 10,744 11,728
6/30/99 11,708 12,555
9/30/99 12,695 11,771
12/31/99 $22,292 $13,522
Footnote reads:
Putnam OTC & Emerging Growth Sub-Account's underlying portfolio seeks
capital appreciation through stocks of small to medium-size emerging
growth companies. The Standard & Poor's 500 Index is an unmanaged list
of common stocks frequently used as a gauge of general market
performance. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam Research
Sub-Account -- since 9/30/98
Plot points read:
Putnam
Research
Date Sub-Account S&P 500 Index
9/30/98 10,000 10,000
12/31/98 12,497 12,130
3/31/99 13,078 12,734
6/30/99 13,914 13,632
9/30/99 13,133 12,780
12/31/99 $15,712 $14,682
Footnote reads:
Putnam Research Sub-Account's underlying portfolio seeks capital
appreciation primarily through common stock investments. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
Putnam Small Cap Value
Sub-Account -- since 4/30/99
Plot points read:
Putnam
Small Cap
Value
Date Sub-Account Russell 2000 Index
4/30/99 10,000 10,000
5/31/99 10,340 10,146
6/30/99 10,967 10,605
7/31/99 10,804 10,314
8/31/99 10,293 9,932
9/30/99 9,853 9,934
10/31/99 9,524 9,975
11/30/99 9,810 10,570
12/31/99 $10,251 $11,767
Footnote reads:
Putnam Small Cap Value Sub-Account's underlying portfolio seeks capital
appreciation through investments in common stocks of small companies.
The Russell 2000 Index is a commonly used measure of small-company
performance. The fund's portfolio contains securities that do not match
those in the index. It is not possible to invest directly in an index.
Putnam Utilities Growth and Income
Sub-Account -- since 5/1/92
(subsequent periods ended 12/31)
Plot points read:
Putnam
Utilities
Growth and Income
Date Sub-Account S&P Utility Index S&P 500 Index
5/1/92 10,000 10,000 10,000
92 10,618 11,192 10,726
93 11,876 12,711 11,807
94 10,889 11,668 11,963
95 14,075 16,577 16,458
96 16,072 17,089 20,237
97 20,143 21,310 26,989
98 22,826 24,451 34,702
99 $22,360 $22,297 $42,004
Footnote reads:
Putnam Utilities Growth and Income Sub-Account's underlying portfolio of
common stocks and bonds issued by public utilities company seeks capital
growth and current income. The Standard & Poor's Utility Index is an
unmanaged list of common stocks issued by utility companies. It is
replacing the Standard & Poor's 500 Index because Putnam Management
believes this index is a more appropriate index against which to compare
the fund's performance. The S&P 500 Index is an unmanaged list of common
stocks frequently used as a gauge of general market performance. The
fund's portfolio contains securities that do not match those in the
index. It is not possible to invest directly in an index.
Putnam Vista Sub-Account -- since 1/2/97
Plot points read:
Putnam Russell
Vista Mid Cap
Date Sub-Account Growth Index S&P 500 Index
1/2/97 10,000 10,000 10,000
12/31/97 12,151 12,254 13,336
12/31/98 14,317 14,443 17,148
12/31/99 $21,587 $21,852 $20,756
Footnote reads:
Putnam Vista Sub-Account's underlying portfolio seeks capital
appreciation primarily through common stocks. The Russell Mid Cap Growth
Index is an unmanaged index of common stocks of midsized companies that
are also listed on the Russell 1000 Growth Index. They are replacing the
Standard & Poor's 500 Index because Putnam Management believes they are
more appropriate indexes against which to compare the fund's
performance. The S&P 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's
portfolio contains securities that do not match those in the index. It
is not possible to invest directly in an index.
Putnam Voyager Sub-Account --
since 12/31/89
Plot points read:
Putnam Russell
Voyager Russell 2000 Mid Cap
Date Sub-Account Index Growth Index S&P 500 Index
12/31/89 10,000 10,000 10,000 10,000
90 9,965 8,052 9,487 9,690
91 13,918 11,760 13,948 12,642
92 15,146 13,925 15,164 13,605
93 17,729 16,554 16,861 14,976
94 17,664 16,252 16,496 15,174
95 24,503 20,876 22,101 20,876
96 27,296 24,319 25,963 25,669
97 34,053 29,757 31,816 34,233
98 41,761 29,000 37,500 44,016
99 $65,158 $35,164 $56,734 $53,278
Footnote reads:
Putnam Voyager Sub-Account's underlying portfolio seeks capital
appreciation through stocks of emerging growth companies with
significant growth potential and established companies with positive
growth prospects. The Russell 2000 Index is a commonly used measure of
small-company performance. The Russell Mid Cap Growth Index is an
unmanaged index of common stocks of midsized companies that are also
listed on the Russell 1000 Growth Index. The indexes are replacing the
Standard & Poor's 500 Index because Putnam Management believes they more
accurately reflect the fund's portfolio of small and midsized companies.
The S&P 500 Index is an unmanaged list of common stocks frequently used
as a gauge of general market performance. The fund's portfolio contains
securities that do not match those in the index. It is not possible to
invest directly in an index.
An investment's performance should not be taken as an assurance
of future results.
Fund manager changes
Stephen P. Dexter has been appointed to the management team of Putnam VT
International New Opportunities Fund. He is a 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 investment
experience.
Deborah F. Kuenstner has been appointed to the management team of Putnam
VT International Growth and Income Fund. She joined Putnam in 1997 as a
senior portfolio manager in the International Core and Value Equity
Group and currently serves as chief investment officer of International
Value Equity. In addition, she was recently appointed to head the Large
Cap Value Equity Team. Before joining Putnam, she was with Du Pont
Pension Fund Investment, Merrill Lynch Securities Research, and the
Federal Reserve Bank of New York. She has 20 years of investment
experience.
Kenneth W. Lang has been appointed to the management team of Putnam VT
New Opportunities Fund. Before joining Putnam in 1997 as an analyst in
the Specialty Growth Group, he was with Montgomery Securities and Morgan
Stanley. He has 9 years of investment experience.
Krishna K. Memani has been appointed to the management team of Putnam VT
High Yield Trust, Putnam VT Income Fund, and Putnam VT Utilities Growth
and Income Fund. He currently heads the Credit Team within the Core
Fixed Income Group. Before joining Putnam in 1998, he was with Morgan
Stanley and Price Waterhouse LLP, now known as PricewaterhouseCoopers
LLP. He has 14 years of investment experience.
Carmel Peters has been appointed to the management team of Putnam VT
Asia Pacific Growth Fund. She joined Putnam in 1997 and is now a senior
portfolio manager on the Emerging Markets Equity Team. Before joining
Putnam, she was with Wheelock NatWest Investment Management Ltd.,
Rothschild Asset Management Asia Pacific, Hong Kong, Rothschild Asset
Management Japan Ltd., and Allied Irish Investment Bank, Dublin. She has
23 years of investment experience.
Mark D. Pollard has been appointed to the management team of Putnam VT
International Growth Fund. He is director of European Core Equities in
the Global Core Equity Group. He joined Putnam's London office in 1990
as a senior international analyst, where he conducted investment
research in most European equity markets. He has 19 years of investment
experience.
George W. Stairs has been appointed to the management team of Putnam VT
International Growth and Income Fund. He is a portfolio manager in the
International Value Equity Group. He joined Putnam in 1994 as an analyst
in the Global Equity Research Group. He has 13 years of investment
experience.
Paul C. Warren has been appointed to the management team of Putnam VT
International Growth Fund. He joined Putnam in 1994 and is a senior
portfolio manager in the Core International Equity Group, contributing
to Putnam's international equity and Pacific Basin equity portfolios. He
has 17 years of investment experience.
Report of Independent Public Accountants
To Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Putnam Capital Manager Trust Separate
Account (Asia Pacific Growth, Diversified Income, The George Putnam Fund
of Boston, Global Asset Allocation, Global Growth, Growth and Income,
Health Sciences, High Yield, Income, International Growth, International
Growth and Income, International New Opportunities, Investors, Money
Market, New Opportunities, New Value, OTC & Emerging Growth, Research,
Small Cap Value, Utilities Growth and Income, Vista, and Voyager sub-
accounts), (collectively, the Account) as of December 31, 1999, and the
related statements of operations and the statements of changes in net
assets for the periods presented. These financial statements are the
responsibility of the Account's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present
fairly, in all material respects, the financial position of the Account
as of December 31, 1999, and the results of its operations and the
changes in its net assets for the periods presented in conformity with
generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 5,513,205
Cost $59,189,358
....................................................................................................................................
Market Value: $95,323,313 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 781
Cost $6,611
....................................................................................................................................
Market Value: 13,469 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 32,031,155
Cost $336,084,881
....................................................................................................................................
Market Value: -- 318,069,364 -- --
....................................................................................................................................
Class IB
Shares 64,456
Cost $639,341
....................................................................................................................................
Market Value: -- 638,755 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 12,435,865
Cost $127,680,901
....................................................................................................................................
Market Value: -- -- 124,109,933 --
....................................................................................................................................
Class IB
Shares 124,895
Cost $1,308,874
....................................................................................................................................
Market Value: -- -- 1,246,453 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 23,791,096
Cost $313,417,187
....................................................................................................................................
Market Value: -- -- -- 466,543,396
....................................................................................................................................
Class IB
Shares 2,300
Cost $42,505
....................................................................................................................................
Market Value: -- -- -- 45,087
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 42,629,091
Cost $583,220,335
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 17,898
Cost $375,540
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 172,946,889
Cost $3,422,223,189
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 156,234
Cost $4,380,451
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 550,602 -- 54,424 --
....................................................................................................................................
Receivable from fund shares sold 1 35,009 -- 202,603
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 95,887,385 318,743,128 125,410,810 466,791,086
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 34,267 -- 202,645
....................................................................................................................................
Payable for fund shares purchased 550,671 -- 54,423 --
....................................................................................................................................
Total Liabilities 550,671 34,267 54,423 202,645
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $95,336,714 $318,708,861 $125,356,387 $466,588,441
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth
Growth and Income
Sub-Account Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 5,513,205
Cost $59,189,358
...................................................................................................
Market Value: $ -- $ --
...................................................................................................
Class IB
Shares 781
Cost $6,611
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 32,031,155
Cost $336,084,881
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 64,456
Cost $639,341
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 12,435,865
Cost $127,680,901
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 124,895
Cost $1,308,874
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 23,791,096
Cost $313,417,187
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 2,300
Cost $42,505
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 42,629,091
Cost $583,220,335
...................................................................................................
Market Value: 1,299,760,975 --
...................................................................................................
Class IB
Shares 17,898
Cost $375,540
...................................................................................................
Market Value: 544,265 --
- ---------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 172,946,889
Cost $3,422,223,189
...................................................................................................
Market Value: -- 4,634,976,622
Class IB
Shares 156,234
Cost $4,380,451
...................................................................................................
Market Value: -- 4,179,250
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- --
...................................................................................................
Receivable from fund shares sold 283,128 3,397,360
- ---------------------------------------------------------------------------------------------------
Total Assets 1,300,588,368 4,642,553,232
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 286,456 3,401,036
...................................................................................................
Payable for fund shares purchased -- --
...................................................................................................
Total Liabilities 286,456 3,401,036
- ---------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $1,300,301,912 $4,639,152,196
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31,1999 Health High Yield Income International
Sciences Sub-Account Sub-Account Growth
Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 8,384,020
Cost $84,615,107
....................................................................................................................................
Market Value: $88,032,206 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 61,609
Cost $629,208
....................................................................................................................................
Market Value: 646,276 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 37,553,470
Cost $436,968,916
....................................................................................................................................
Market Value: -- 416,467,977 -- --
....................................................................................................................................
Class IB
Shares 76,569
Cost $844,304
....................................................................................................................................
Market Value: -- 848,388 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Class IA
Shares 44,365,456
Cost $535,376,114
....................................................................................................................................
Market Value: -- -- 555,455,508 --
....................................................................................................................................
Class IB
Shares 63,071
Cost $831,646
....................................................................................................................................
Market Value: -- -- 789,017 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 10,713,963
Cost $138,244,320
....................................................................................................................................
Market Value: -- -- -- 231,957,291
....................................................................................................................................
Class IB
Shares 44,021
Cost $667,387
....................................................................................................................................
Market Value: -- -- -- 951,734
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 10,111,059
Cost $118,602,963
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 22,454
Cost $310,576
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 5,803,673
Cost $70,594,328
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 6,154
Cost $92,605
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 26,050 -- -- 1,459,403
....................................................................................................................................
Receivable from fund shares sold -- 121,437 699,457 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 88,704,532 417,437,802 556,943,982 234,368,428
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 132,913 699,430 --
....................................................................................................................................
Payable for fund shares purchased 26,042 -- -- 1,459,349
....................................................................................................................................
Total Liabilities 26,042 132,913 699,430 1,459,349
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $88,678,490 $417,304,889 $556,244,552 $232,909,079
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31,1999 International International
Growth New
and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 8,384,020
Cost $84,615,107
...................................................................................................
Market Value: $ -- $ --
...................................................................................................
Class IB
Shares 61,609
Cost $629,208
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 37,553,470
Cost $436,968,916
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 76,569
Cost $844,304
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Class IA
Shares 44,365,456
Cost $535,376,114
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 63,071
Cost $831,646
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 10,713,963
Cost $138,244,320
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 44,021
Cost $667,387
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 10,111,059
Cost $118,602,963
...................................................................................................
Market Value: 154,193,655 --
...................................................................................................
Class IB
Shares 22,454
Cost $310,576
...................................................................................................
Market Value: 341,743 --
- ---------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 5,803,673
Cost $70,594,328
...................................................................................................
Market Value: -- 135,283,626
...................................................................................................
Class IB
Shares 6,154
Cost $92,605
...................................................................................................
Market Value: -- 143,255
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 137,975 507,187
...................................................................................................
Receivable from fund shares sold -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 154,673,373 135,934,068
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...................................................................................................
Payable for fund shares purchased 138,020 507,231
...................................................................................................
Total Liabilities 138,020 507,231
- ---------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $154,535,353 $135,426,837
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31,1999 Investors Money New New
Sub-Account Market Opportunities Value
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
Class IA
Shares 26,291,623
Cost $307,190,189
....................................................................................................................................
Market Value: $398,581,000 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 153,763
Cost $1,916,043
....................................................................................................................................
Market Value: 2,326,437 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Class IA
Shares 370,345,923
Cost $370,345,923
....................................................................................................................................
Market Value: -- 370,345,923 -- --
....................................................................................................................................
Class IB
Shares 1,237,656
Cost $1,237,656
....................................................................................................................................
Market Value: -- 1,237,656 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 43,193,762
Cost $714,212,532
....................................................................................................................................
Market Value: -- -- 1,880,656,412 --
....................................................................................................................................
Class IB
Shares 27,898
Cost $786,511
....................................................................................................................................
Market Value: -- -- 1,211,894 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 8,170,881
Cost $91,624,199
....................................................................................................................................
Market Value: -- -- -- 96,906,649
....................................................................................................................................
Class IB
Shares 12,609
Cost $158,902
....................................................................................................................................
Market Value: -- -- -- 149,417
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 3,805,594
Cost $52,505,782
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 14,609
Cost $180,644
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 3,663,178
Cost $46,386,766
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 13,533
Cost $171,087
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 923,923 -- 643,563 --
....................................................................................................................................
Receivable from fund shares sold -- 3,862,121 -- 6,157
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 401,831,360 375,445,700 1,882,511,869 97,062,223
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 3,837,369 -- 6,152
....................................................................................................................................
Payable for fund shares purchased 923,971 -- 643,827 --
....................................................................................................................................
Total Liabilities 923,971 3,837,369 643,827 6,152
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $400,907,389 $371,608,331 $1,881,868,042 $97,056,071
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31,1999 OTC & Research
Emerging Growth Sub-Account
Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Investors Fund
Class IA
Shares 26,291,623
Cost $307,190,189
...................................................................................................
Market Value: $ -- $ --
...................................................................................................
Class IB
Shares 153,763
Cost $1,916,043
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Class IA
Shares 370,345,923
Cost $370,345,923
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 1,237,656
Cost $1,237,656
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 43,193,762
Cost $714,212,532
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 27,898
Cost $786,511
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 8,170,881
Cost $91,624,199
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 12,609
Cost $158,902
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 3,805,594
Cost $52,505,782
...................................................................................................
Market Value: 86,729,477 --
...................................................................................................
Class IB
Shares 14,609
Cost $180,644
...................................................................................................
Market Value: 332,506 --
- ---------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 3,663,178
Cost $46,386,766
...................................................................................................
Market Value: -- 53,775,451
...................................................................................................
Class IB
Shares 13,533
Cost $171,087
...................................................................................................
Market Value: -- 198,522
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 707,695 355,171
...................................................................................................
Receivable from fund shares sold -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 87,769,678 54,329,144
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...................................................................................................
Payable for fund shares purchased 707,129 355,165
...................................................................................................
Total Liabilities 707,129 355,165
- ---------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $87,062,549 $53,973,979
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31,1999 Small Cap Utilities Vista Voyager
Value Growth Sub-Account Sub-Account
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
Class IA
Shares 407,224
Cost $4,124,523
....................................................................................................................................
Market Value: $4,198,483 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 1,756
Cost $17,589
....................................................................................................................................
Market Value: 18,087 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and Income Fund
Class IA
Shares 28,808,111
Cost $346,094,845
....................................................................................................................................
Market Value: -- 488,873,639 -- --
....................................................................................................................................
Class IB
Shares 27,922
Cost $480,116
....................................................................................................................................
Market Value: -- 473,276 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Class IA
Shares 10,453,503
Cost $134,634,492
....................................................................................................................................
Market Value: -- -- 216,178,445 --
....................................................................................................................................
Class IB
Shares 48,653
Cost $793,752
....................................................................................................................................
Market Value: -- -- 1,004,690 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Class IA
Shares 60,462,031
Cost $1,520,071,189
....................................................................................................................................
Market Value: -- -- -- 4,005,609,540
....................................................................................................................................
Class IB
Shares 38,217
Cost $1,811,518
....................................................................................................................................
Market Value: -- -- -- 2,526,497
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 32,907 -- -- --
....................................................................................................................................
Receivable from fund shares sold -- 259,106 1,507,451 860,813
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 4,249,477 489,606,021 218,690,586 4,008,996,850
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 255,820 1,507,450 864,210
....................................................................................................................................
Payable for fund shares purchased 32,911 -- -- --
....................................................................................................................................
Total Liabilities 32,911 255,820 1,507,450 864,210
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets
(variable annuity contract liabilities) $4,216,566 $489,350,201 $217,183,136 $4,008,132,640
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
Deferred annuity contracts in the accumulation period:
.......................................................................................................................
<S> <C> <C> <C>
Asia Pacific Growth Fund Class IA .40% 988 $18.341475 $ 18,130
.......................................................................................................................
Asia Pacific Growth Fund Class IA 5,434,467 17.505073 95,130,747
.......................................................................................................................
Asia Pacific Growth Fund Class IA-ODBO 4,811 17.487776 84,126
.......................................................................................................................
Asia Pacific Growth Fund Class IB 626 21.510869 13,469
.......................................................................................................................
Diversified Income Fund Class IA .40% 1,060 13.609060 14,425
.......................................................................................................................
Diversified Income Fund Class IA 25,271,829 12.532208 316,711,820
.......................................................................................................................
Diversified Income Fund Class IA-ODBO 46,727 12.519748 585,005
.......................................................................................................................
Diversified Income Fund Class IB 67,194 9.506090 638,753
.......................................................................................................................
George Putnam Fund of Boston Class IA .40% 2,873 10.232444 29,396
.......................................................................................................................
George Putnam Fund of Boston Class IA 12,225,758 10.063218 123,030,468
.......................................................................................................................
George Putnam Fund of Boston Class IA-ODBO 84,418 10.053218 848,669
.......................................................................................................................
George Putnam Fund of Boston Class IB 122,173 10.202363 1,246,454
.......................................................................................................................
Global Asset Allocation Fund Class IA .40% 1,069 21.829742 23,327
.......................................................................................................................
Global Asset Allocation Fund Class IA 13,933,244 33.370480 464,959,032
.......................................................................................................................
Global Asset Allocation Fund Class IA-ODBO 2,336 33.337419 77,880
.......................................................................................................................
Global Asset Allocation Fund Class IB 4,021 11.214258 45,087
.......................................................................................................................
Global Growth Fund Class IA .40% 512 33.289207 17,031
.......................................................................................................................
Global Growth Fund Class IA 31,887,120 40.579891 1,293,975,835
.......................................................................................................................
Global Growth Fund Class IA-ODBO 15,935 40.539605 646,000
.......................................................................................................................
Global Growth Fund Class IB 32,199 16.902971 544,265
.......................................................................................................................
Growth and Income Fund Class IA .40% 791 24.370301 19,274
.......................................................................................................................
Growth and Income Fund Class IA 101,229,232 45.646494 4,620,759,515
.......................................................................................................................
Growth and Income Fund Class IA-ODOB 99,258 45.601095 4,526,258
.......................................................................................................................
Growth and Income Fund Class IB 400,331 10.439556 4,179,280
.......................................................................................................................
Growth and Income Fund Class IA 407 10.310556 4,199
.......................................................................................................................
Health Sciences Fund Class IA .40% 1,000 10.449857 10,450
.......................................................................................................................
Health Sciences Fund Class IA 8,510,425 10.277002 87,461,658
.......................................................................................................................
Health Sciences Fund Class IA-ODBO 50,987 10.266794 523,468
.......................................................................................................................
Health Sciences Fund Class IB 63,347 10.202208 646,276
.......................................................................................................................
High Yield Fund Class IA .40% 1,066 14.846686 15,823
.......................................................................................................................
High Yield Fund Class IA 16,728,985 24.798772 414,858,275
.......................................................................................................................
High Yield Fund Class IA-ODBO 20,559 24.774230 509,333
.......................................................................................................................
High Yield Fund Class IB 91,500 9.272015 848,388
.......................................................................................................................
Income Fund Class IA .40% 1,028 13.952886 14,345
.......................................................................................................................
Income Fund Class IA 26,917,779 20.574405 553,817,280
.......................................................................................................................
Income Fund Class IA-ODBO 26,984 20.553973 554,631
.......................................................................................................................
Income Fund Class IB 79,502 9.924506 789,017
.......................................................................................................................
International Growth Fund Class IA .40% 1,000 21.809098 21,808
.......................................................................................................................
International Growth Fund Class IA 10,901,259 21.164253 230,717,000
.......................................................................................................................
International Growth Fund Class IA-ODBO 52,845 21.143290 1,117,311
.......................................................................................................................
International Growth Fund Class IB 63,471 14.994851 951,734
.......................................................................................................................
International Growth Fund Class IA 216 13.206795 2,856
.......................................................................................................................
International Growth and Income Fund Class IA .40% 1,146 16.361130 18,752
.......................................................................................................................
International Growth and Income Fund Class IA 9,694,669 15.876443 153,916,858
.......................................................................................................................
International Growth and Income Fund Class IA-ODBO 8,110 15.860687 128,632
.......................................................................................................................
International Growth and Income Fund Class IB 29,294 11.666065 341,743
.......................................................................................................................
International New Opportunities Fund Class IA .40% 1,193 23.153672 27,628
.......................................................................................................................
International New Opportunities Fund Class IA 6,012,727 22.467545 135,091,214
.......................................................................................................................
International New Opportunities Fund Class IA-ODBO 5,775 22.445387 129,619
.......................................................................................................................
International New Opportunities Fund Class IB 7,524 19.040832 143,255
.......................................................................................................................
Investors Fund Class IA .40% 3,804 14.915850 56,745
.......................................................................................................................
Investors Fund Class IA 26,922,571 14.669230 394,933,381
.......................................................................................................................
Investors Fund Class IA-ODBO 214,502 14.654665 3,143,458
.......................................................................................................................
Investors Fund Class IB 167,620 13.879211 2,326,437
.......................................................................................................................
Money Market Fund Class IA .40% 10,938 1.287855 14,086
.......................................................................................................................
Money Market Fund Class IA 232,287,373 1.590607 369,477,921
.......................................................................................................................
Money Market Fund Class IA-ODBO 334,888 1.589043 532,151
.......................................................................................................................
Money Market Fund Class IB 1,183,260 1.046003 1,237,694
.......................................................................................................................
New Opportunities Fund Class IA .40% 257 47.374444 12,179
.......................................................................................................................
New Opportunities Fund Class IA 45,291,038 41.424321 1,876,150,508
.......................................................................................................................
New Opportunities Fund Class IA-ODBO 59,167 41.383256 2,448,517
.......................................................................................................................
New Opportunities Fund Class IB 68,810 17.612101 1,211,895
.......................................................................................................................
New Value Fund Class IA .40% 1,000 12.379736 12,380
.......................................................................................................................
New Value Fund Class IA 8,044,530 12.014336 96,649,683
.......................................................................................................................
New Value Fund Class IA-ODBO 15,857 12.002423 190,326
.......................................................................................................................
New Value Fund Class IB 14,678 10.179473 149,417
.......................................................................................................................
OTC & Emerging Fund Class IA .40% 1,000 22.668904 22,670
.......................................................................................................................
OTC & Emerging Fund Class IA 3,870,965 22.292339 86,292,858
.......................................................................................................................
OTC & Emerging Fund Class IA-ODBO 17,956 22.270202 399,884
.......................................................................................................................
OTC & Emerging Fund Class IB 14,519 22.902047 332,506
.......................................................................................................................
OTC & Emerging Fund Class IA 174 16.351294 2,852
.......................................................................................................................
Research Fund Class IA .40% 1,000 15.908774 15,909
.......................................................................................................................
Research Fund Class IA 3,376,481 15.711958 53,051,121
.......................................................................................................................
Research Fund Class IA-ODBO 40,601 15.696369 637,284
.......................................................................................................................
Research Fund Class IB 12,666 15.673577 198,522
.......................................................................................................................
Small Cap Value Fund Class IA .40% 1,000 10.319773 10,322
.......................................................................................................................
Small Cap Value Fund Class IA 390,200 10.251449 4,000,113
.......................................................................................................................
Small Cap Value Fund Class IA-ODBO 17,409 10.241295 178,295
.......................................................................................................................
Small Cap Value Fund Class IB 1,767 10.234780 18,081
.......................................................................................................................
Utilities Growth and Income Fund Class IA .40% 1,024 22.017034 22,552
.......................................................................................................................
Utilities Growth and Income Fund Class IA 21,802,468 22.360175 487,506,991
.......................................................................................................................
Utilities Growth and Income Fund Class IA-ODBO 21,249 22.337937 474,669
.......................................................................................................................
Utilities Growth and Income Fund Class IB 43,769 10.813043 473,276
.......................................................................................................................
Vista Fund Class IA .40% 1,000 22.242121 22,243
.......................................................................................................................
Vista Fund Class IA 9,972,245 21.587416 215,274,996
.......................................................................................................................
Vista Fund Class IA-ODBO 34,677 21.566047 747,856
.......................................................................................................................
Vista Fund Class IB 65,195 15.410501 1,004,690
.......................................................................................................................
Voyager Fund Class IA .40% 1,354 43.339709 58,675
.......................................................................................................................
Voyager Fund Class IA 46,130,288 86.478855 3,989,294,525
.......................................................................................................................
Voyager Fund Class IA-ODBO 39,289 86.393030 3,394,291
.......................................................................................................................
Voyager Fund Class IB 151,081 16.722826 2,526,497
.......................................................................................................................
Voyager Fund Class IA 310 13.922138 4,309
.......................................................................................................................
Sub-total 16,105,298,564
.......................................................................................................................
Annuity contracts in the annuity period:
.......................................................................................................................
Asia Pacific Growth Fund Class IA 5,155 17.505073 90,242
.......................................................................................................................
Diversified Income Fund Class IA 60,553 12.532208 758,858
.......................................................................................................................
George Putnam Fund of Boston Class IA 20,013 10.063218 201,400
.......................................................................................................................
Global Asset Allocation Class IA 44,444 33.370480 1,483,115
.......................................................................................................................
Global Growth Fund Class IA 126,141 40.579891 5,118,781
.......................................................................................................................
Growth and Income Fund Class IA 211,707 45.646494 9,663,670
.......................................................................................................................
Health Sciences Fund Class IA 3,565 10.277002 36,638
.......................................................................................................................
High Yield Fund Class IA 41,402 24.798772 1,026,718
.......................................................................................................................
High Yield Fund Class IA .40% 3,122 14.846686 46,352
.......................................................................................................................
Income Fund Class IA 51,971 20.574405 1,069,279
.......................................................................................................................
International Growth Fund Class IA 4,647 21.164253 98,370
.......................................................................................................................
International Growth and Income Fund Class IA 8,148 15.876443 129,368
.......................................................................................................................
International New Opportunities Fund Class IA 1,563 22.467545 35,121
.......................................................................................................................
Investors Fund Class IA 30,497 14.669230 447,368
.......................................................................................................................
Money Market Fund Class IA 217,828 1.590607 346,479
.......................................................................................................................
New Opportunities Fund Class IA 49,366 41.424321 2,044,943
.......................................................................................................................
New Value Fund Class IA 4,517 12.014336 54,265
.......................................................................................................................
OTC & Emerging Fund Class IA 528 22.292339 11,779
.......................................................................................................................
Research Fund Class IA 4,528 15.711958 71,143
.......................................................................................................................
Small Cap Value Fund Class IA 952 10.251449 9,755
.......................................................................................................................
Utilities Growth and Income Fund Class IA 39,030 22.360175 872,713
.......................................................................................................................
Vista Fund Class IA 6,177 21.587416 133,351
.......................................................................................................................
Voyager Fund Class IA 148,641 86.478855 12,854,343
.......................................................................................................................
Sub-total 36,604,051
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $16,141,902,615
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
................................................................................................................
Dividends $ -- $23,626,889 $ 2,911,345 $ 9,444,495
................................................................................................................
Capital gains income -- -- 157,875 26,498,777
................................................................................................................
Expenses:
................................................................................................................
Mortality and expense
undertakings (628,833) (4,127,990) (1,173,383) (5,848,218)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 891,177 (76,212) (1,244) 5,291,986
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 43,051,248 (17,944,566) (5,601,619) 10,561,151
................................................................................................................
Net gain (loss) on investments 43,942,425 (18,020,778) (5,602,863) 15,853,137
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets reulting
from operations $43,313,592 $ 1,478,121 $(3,707,026) $45,948,191
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Science
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
..............................................................................................
Dividends $3,499,778 $69,357,112 $ 75,247
..............................................................................................
Capital gains income 72,877,988 346,107,793 --
..............................................................................................
Expenses:
..............................................................................................
Mortality and expense
undertakings (11,393,152) (62,808,069) (930,918)
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 6,909,240 7,365,383 (34,395)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 434,809,996 (337,925,763) (1,788,031)
..............................................................................................
Net gain (loss) on investments 441,719,236 (330,560,380) (1,822,426)
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $506,703,850 $22,096,456 $(2,678,097)
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
Investment income:
Dividends $46,767,296 $ 33,319,992 $ -- $ --
................................................................................................................
Capital gains income -- 9,940,795 -- --
Expenses:
................................................................................................................
Mortality and expense
undertakings (5,416,335) (7,550,694) (1,856,105) (1,700,861)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1,313,201 (2,534,111) 786,589 570,488
................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (23,020,713) (53,644,056) 81,520,703 29,466,810
................................................................................................................
Net (loss) gain on investments (21,707,512) (56,178,167) 82,307,292 30,037,298
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets reulting
from operations $19,643,449 $(20,468,074) $80,451,187 $28,336,437
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
(continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 21,843 $ -- $16,466,546
................................................................................................................
Capital gains income -- -- --
................................................................................................................
Expenses:
Mortality and expense
undertakings (852,066) (2,995,013) (4,324,643)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1,080,356 (70,042) --
................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 60,460,890 78,575,496 --
................................................................................................................
Net (loss) gain on investments 61,541,246 78,505,454 --
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets reulting
from operations $60,711,023 $75,510,441 $12,141,903
- ----------------------------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $ 7,922 $ -- $ 97,328
................................................................................................................
Capital gains income 15,621,407 1,672,046 204,778 1,365,786
................................................................................................................
Expenses:
................................................................................................................
Mortality and expense
undertakings (15,636,748) (1,312,104) (313,367) (356,658)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 1,081,401 (427,151) (124,951) (10,117)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 744,657,276 (1,751,719) 33,281,084 6,912,142
................................................................................................................
Net gain (loss) on investments 745,738,677 (2,178,870) 33,156,133 6,902,025
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets reulting
from operations $745,723,336 $(1,811,006) $33,047,544 $8,008,481
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Small Cap Utilities Vista Voyager
December 31, 1999 Value Growth Sub-Account Sub-Account
Sub-Account* and Income
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $14,717,998 $ -- $ 2,930,945
................................................................................................................
Capital gains income 12,381 15,456,883 15,581,485 235,046,993
................................................................................................................
Expenses:
................................................................................................................
Mortality and expense
undertakings (14,930) (6,510,139) (1,862,739) (36,461,014)
................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions 10,162 2,452,590 (162,238) 7,702,028
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 74,457 (35,904,011) 56,896,912 1,237,247,016
................................................................................................................
Net gain (loss) on investments 84,619 (33,451,421) 56,734,674 1,244,949,044
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets reulting
from operations $82,070 $(9,786,679) $70,453,420 $1,446,465,968
- ----------------------------------------------------------------------------------------------------------------
*From inception, April 30, 1999, to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) (628,833) $ 19,498,899 $ 1,737,962 $ 3,596,277
................................................................................................................
Capital gains income -- -- 157,875 26,498,777
................................................................................................................
Net realized gain (loss)
on security transactions 891,177 (76,212) (1,244) 5,291,986
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 43,051,248 (17,944,566) (5,601,619) 10,561,151
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 43,313,592 1,478,121 (3,707,026) 45,948,191
................................................................................................................
Unit Transactions:
Purchases 2,974,901 15,934,296 31,084,432 7,369,483
................................................................................................................
Net transfers 23,863,311 (9,628,445) 57,181,501 (28,647,605)
................................................................................................................
Surrenders for benefit
payments and fees (5,791,583) (31,771,692) (6,304,255) (49,480,082)
................................................................................................................
Net annuity transactions 20,904 411,334 201,617 (75,632)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 21,067,533 (25,054,507) 82,163,295 (70,833,836)
................................................................................................................
Total increase (decrease)
in net assets 64,381,125 (23,576,386) 78,456,269 (24,885,645)
................................................................................................................
Net Assets:
Beginning of period 30,955,589 342,285,247 46,900,118 491,474,086
- ----------------------------------------------------------------------------------------------------------------
End of period $95,336,714 $318,708,861 $125,356,387 $466,588,441
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (7,893,374) $ 6,549,043 $ (855,671)
..............................................................................................
Capital gains income 72,877,988 346,107,793 --
..............................................................................................
Net realized gain (loss)
on security transactions 6,909,240 7,365,383 (34,395)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 434,809,996 (337,925,763) (1,788,031)
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 506,703,850 22,096,456 (2,678,097)
..............................................................................................
Unit Transactions:
Purchases 20,919,499 187,215,499 17,979,538
..............................................................................................
Net transfers 1,371,787 (33,647,755) 24,541,427
..............................................................................................
Surrenders for benefit
payments and fees (85,433,451) (488,015,638) (5,088,956)
..............................................................................................
Net annuity transactions 300,982 1,542,633 36,880
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (62,841,183) (332,905,261) 37,468,889
..............................................................................................
Total increase (decrease)
in net assets 443,862,667 (310,808,805) 34,790,792
..............................................................................................
Net Assets:
Beginning of period 856,439,245 4,949,961,001 53,887,698
- ----------------------------------------------------------------------------------------------
End of period $1,300,301,912 $4,639,152,196 $88,678,490
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 41,350,961 $ 25,769,298 $ (1,856,105) $ (1,700,861)
................................................................................................................
Capital gains income -- 9,940,795 -- --
................................................................................................................
Net realized gain (loss)
on security transactions 1,313,201 (2,534,111) 786,589 570,488
................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (23,020,713) (53,644,056) 81,520,703 29,466,810
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 19,643,449 (20,468,074) 80,451,187 28,336,437
................................................................................................................
Unit Transactions:
Purchases 19,819,924 24,529,600 15,580,769 6,968,268
................................................................................................................
Net transfers (19,840,808) 7,871,716 30,386,324 5,795,395
................................................................................................................
Surrenders for benefit
payments and fees (46,692,842) (80,008,209) (9,628,544) (8,823,357)
................................................................................................................
Net annuity transactions 228,555 331,235 69,762 50,241
................................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (46,485,171) (47,275,658) 36,408,311 3,990,547
................................................................................................................
Total (decrease) increase
in net assets (26,841,722) (67,743,732) 116,859,498 32,326,984
................................................................................................................
Net Assets:
Beginning of period 444,146,611 623,988,284 116,049,581 122,208,369
- ----------------------------------------------------------------------------------------------------------------
End of period $417,304,889 $556,244,552 $232,909,079 $154,535,353
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (830,223) $ (2,995,013) $ 12,141,903
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized gain (loss)
on security transactions 1,080,356 (70,042) --
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 60,460,890 78,575,496 --
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 60,711,023 75,510,441 12,141,903
..............................................................................................
Unit Transactions:
Purchases 4,808,715 77,927,459 23,294,761
..............................................................................................
Net transfers 21,019,812 155,343,961 179,644,287
..............................................................................................
Surrenders for benefit
payments and fees (4,931,035) (15,112,133) (143,671,392)
..............................................................................................
Net annuity transactions 10,598 362,552 179,939
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions 20,908,090 218,521,839 59,447,595
..............................................................................................
Total (decrease) increase
in net assets 81,619,113 294,032,280 71,589,498
..............................................................................................
Net Assets:
Beginning of period 53,807,724 106,875,109 300,018,833
- ----------------------------------------------------------------------------------------------
End of period $135,426,837 $400,907,389 $371,608,331
- ----------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
Operations:
Net investment (loss) income $ (15,636,748) $(1,304,182) $ (313,367) $ (259,330)
................................................................................................................
Capital gains income 15,621,407 1,672,046 204,778 1,365,786
................................................................................................................
Net realized gain (loss)
on security transactions 1,081,401 (427,151) (124,951) (10,117)
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 744,657,276 (1,751,719) 33,281,084 6,912,142
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 745,723,336 (1,811,006) 33,047,544 8,008,481
................................................................................................................
Unit Transactions:
Purchases 51,413,555 5,087,729 6,098,372 11,158,470
................................................................................................................
Net transfers 73,716,538 3,125,383 41,064,377 29,750,450
................................................................................................................
Surrenders for benefit
payments and fees (89,737,588) (8,556,969) (2,414,529) (1,565,171)
................................................................................................................
Net annuity transactions 433,229 5,177 5,871 60,964
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 35,825,734 (338,680) 44,754,091 39,404,713
................................................................................................................
Total increase (decrease)
in net assets 781,549,070 (2,149,686) 77,801,635 47,413,194
................................................................................................................
Net Assets:
Beginning of period 1,100,318,972 99,205,757 9,260,914 6,560,785
- ----------------------------------------------------------------------------------------------------------------
End of period $1,881,868,042 $97,056,071 $87,062,549 $53,973,979
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Small Cap Utilities Vista Voyager
December 31, 1999 Value Growth Sub-Account Sub-Account
Sub-Account* and Income
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<C> <C> <C>
Operations:
Net investment (loss) income $ (14,930) $ 8,207,859 $ (1,862,739) $ (33,530,069)
................................................................................................................
Capital gains income 12,381 15,456,883 15,581,485 235,046,993
................................................................................................................
Net realized gain (loss)
on security transactions 10,162 2,452,590 (162,238) 7,702,028
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 74,457 (35,904,011) 56,896,912 1,237,247,016
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 82,070 (9,786,679) 70,453,420 1,446,465,968
................................................................................................................
Unit Transactions:
Purchases 560,138 17,779,467 11,914,063 108,304,361
................................................................................................................
Net transfers 3,619,946 (2,837,237) 22,752,589 98,252,897
................................................................................................................
Surrenders for benefit
payments and fees (54,840) (53,077,246) (11,199,981) (260,408,744)
................................................................................................................
Net annuity transactions 9,252 260,666 (6,646) (58,447)
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,134,496 (37,874,350) 23,460,025 (53,909,933)
................................................................................................................
Total increase (decrease)
in net assets 4,216,566 (47,661,029) 93,913,445 1,392,556,035
................................................................................................................
Net Assets:
Beginning of period -- 537,011,230 123,269,691 2,615,576,605
- ----------------------------------------------------------------------------------------------------------------
End of period $4,216,566 $489,350,201 $217,183,136 $4,008,132,640
- ----------------------------------------------------------------------------------------------------------------
*From inception, April 30, 1999 to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,111,805 $ 9,139,229 $ 185,822 $ 4,048,734
................................................................................................................
Capital gains income -- 5,862,590 -- 47,058,496
................................................................................................................
Net realized (loss) gain
on security transactions (1,764,199) (32,192) 2,058 (842,305)
................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (1,930,185) (24,771,299) 1,968,230 4,041,060
................................................................................................................
Net (decrease) increase
in net assets resulting
from operations (2,582,579) (9,801,672) 2,156,110 54,305,985
................................................................................................................
Unit Transactions:
Purchases 1,897,548 35,579,052 17,802,735 17,160,875
................................................................................................................
Net transfers (4,187,927) 28,378,148 27,784,759 (24,301,956)
................................................................................................................
Surrenders for benefit
payments and fees (1,899,643) (26,103,606) (843,486) (42,326,606)
................................................................................................................
Net annuity transactions 21,039 115,109 -- (220,472)
................................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (4,168,983) 37,968,703 44,744,008 (49,688,159)
................................................................................................................
Total (decrease) increase
in net assets (6,751,562) 28,167,031 46,900,118 4,617,826
................................................................................................................
Net Assets:
Beginning of period 37,707,151 314,118,216 -- 486,856,260
- ----------------------------------------------------------------------------------------------------------------
End of period $30,955,589 $342,285,247 $46,900,118 $491,474,086
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<C> <C> <C>
Operations:
Net investment income (loss) $ 9,062,231 $ 12,048,276 $ (188,098)
..............................................................................................
Capital gains income 99,975,864 503,102,245 --
..............................................................................................
Net realized (loss) gain
on security transactions 86,719 (13,044,218) 7,391
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 81,122,328 87,730,466 5,222,198
..............................................................................................
Net (decrease) increase
in net assets resulting
from operations 190,247,142 589,836,769 5,041,491
..............................................................................................
Unit Transactions:
Purchases 26,176,679 328,888,237 14,760,637
..............................................................................................
Net transfers (24,478,828) 42,388,882 34,890,394
..............................................................................................
Surrenders for benefit
payments and fees (57,450,776) (348,342,759) (804,824)
..............................................................................................
Net annuity transactions (239,956) 274,015 --
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (55,992,881) 23,208,375 48,846,207
..............................................................................................
Total (decrease) increase
in net assets 134,254,261 613,045,144 53,887,698
..............................................................................................
Net Assets:
Beginning of period 722,184,984 4,336,915,857 --
- ----------------------------------------------------------------------------------------------
End of period $856,439,245 $4,949,961,001 $53,887,698
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account*** Growth Growth
Sub-Account and Income
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 30,248,306 $ 20,557,057 $ (839,619) $ (19,033)
................................................................................................................
Capital gains income 5,776,463 739,634 -- 3,952,074
................................................................................................................
Net realized (loss) gain
on security transactions (1,068,781) 297,895 325,406 226,178
................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (68,167,310) 14,444,406 11,216,654 3,897,830
................................................................................................................
Net (decrease) increase
in net assets resulting
from operations (33,211,322) 36,038,992 10,702,441 8,057,049
................................................................................................................
Unit Transactions:
Purchases 51,499,798 33,368,472 21,335,522 18,854,378
................................................................................................................
Net transfers 12,289,356 90,450,321 33,636,206 15,236,673
................................................................................................................
Surrenders for benefit
payments and fees (39,936,318) (64,755,540) (4,476,094) (6,213,054)
................................................................................................................
Net annuity transactions 36,497 (36,669) 3,222 6,980
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 23,889,333 59,026,584 50,498,856 27,884,977
................................................................................................................
Total (decrease) increase
in net assets (9,321,989) 95,065,576 61,201,297 35,942,026
................................................................................................................
Net Assets:
Beginning of period 453,468,600 528,922,708 54,848,284 86,266,343
- ----------------------------------------------------------------------------------------------------------------
End of period $444,146,611 $623,988,284 $116,049,581 $122,208,369
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<C> <C> <C> <C>
Operations:
Net investment income (loss) $ (569,345) $ (273,311) $ 9,329,349
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized (loss) gain
on security transactions 69,499 26,606 --
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 6,461,818 13,225,708 --
..............................................................................................
Net (decrease) increase
in net assets resulting
from operations 5,961,972 12,979,003 9,329,349
..............................................................................................
Unit Transactions:
Purchases 4,709,200 28,303,782 27,561,765
..............................................................................................
Net transfers 6,135,412 66,945,761 157,861,043
..............................................................................................
Surrenders for benefit
payments and fees (2,667,147) (1,361,265) (97,002,613)
..............................................................................................
Net annuity transactions 3,206 7,828 (18,974)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 8,180,671 93,896,106 88,401,221
..............................................................................................
Total (decrease) increase
in net assets 14,142,643 106,875,109 97,730,570
..............................................................................................
Net Assets:
Beginning of period 39,665,081 -- 202,288,263
- ----------------------------------------------------------------------------------------------
End of period $53,807,724 $106,875,109 $300,018,833
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
***Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1998 Opportunities Value Emerging Growth Sub-Account**
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
Operations:
Net investment (loss) income $ (13,261,139) $ 496,818 $ (35,238) $ (907)
................................................................................................................
Capital gains income 13,104,760 1,734,664 -- 444
................................................................................................................
Net realized (loss) gain
on security transactions (4,633,710) (166,487) (29,039) 2,141
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 200,446,907 2,140,264 1,094,473 503,979
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 195,656,818 4,205,259 1,030,196 505,657
................................................................................................................
Unit Transactions:
Purchases 72,077,164 15,989,831 2,889,609 505,479
................................................................................................................
Net transfers 23,187,515 9,386,671 5,444,882 5,638,915
................................................................................................................
Surrenders for benefit
payments and fees (51,328,474) (5,428,168) (103,773) (89,266)
................................................................................................................
Net annuity transactions 173,750 21,783 -- --
................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 44,109,955 19,970,117 8,230,718 6,055,128
................................................................................................................
Total (decrease) increase
in net assets 239,766,773 24,175,376 9,260,914 6,560,785
................................................................................................................
Net Assets:
Beginning of period 860,552,199 75,030,381 -- --
- ----------------------------------------------------------------------------------------------------------------
End of period $1,100,318,972 $99,205,757 $9,260,914 $6,560,785
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<C> <C> <C>
Operations:
Net investment (loss) income $ 6,874,349 $ (1,312,949) $ (26,816,253)
..............................................................................................
Capital gains income 23,325,262 -- 134,435,124
..............................................................................................
Net realized (loss) gain
on security transactions (255,617) (369,767) (11,140,387)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 31,863,022 17,028,097 377,719,434
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 61,807,016 15,345,381 474,197,918
..............................................................................................
Unit Transactions:
Purchases 34,808,733 22,600,733 137,173,587
..............................................................................................
Net transfers 28,255,011 21,059,612 20,389,207
..............................................................................................
Surrenders for benefit
payments and fees (35,590,822) (4,630,951) (160,084,953)
..............................................................................................
Net annuity transactions 28,596 (11,796) (103,887)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 27,501,518 39,017,598 (2,626,046)
..............................................................................................
Total (decrease) increase
in net assets 89,308,534 54,362,979 471,571,872
..............................................................................................
Net Assets
Beginning of period 447,702,696 68,906,712 2,144,004,733
- ----------------------------------------------------------------------------------------------
End of period $537,011,230 $123,269,691 $2,615,576,605
- ----------------------------------------------------------------------------------------------
*From inception, April 30, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invests deposits by variable annuity contractowners
of the Company in the various mutual funds (the Funds) as directed by the
contractowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investments sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions - Unit transactions are executed based on the unit
values calcultate at the close of the business day. All unit transactions
are executed at fair value.
D) Security Class -- Putnam Variable Trust consists of a series of funds,
each of which is represented by a separate series ov class IA shares and
class IB shares.
Class IA shares are offered at net asset value and are not subject to a
distribution fee. Class IA .40% are for Company employees only.
Class IB shares are offered at net asset value and pay an ongoing
distribution fee.
E) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
F) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.50% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of other Fees -- Annual maintenance fees are deducted through
termination of units of interest from applicable contractowners' accounts,
in accordance with the terms of the contracts. In addition, certain other
charges may apply based on the characteristics of the underlying contract.
These charges are reflected in surrenders for benefit payments and fees on
the accompanying statements of changes in net assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Separate Account VL I and to the Owners
of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Separate Account VL I (Asia Pacific
Growth, Diversified Income, The George Putnam Fund of Boston, Global
Asset Allocation, Global Growth, Growth and Income, Health Sciences, High
Yield, Income, International Growth, International Growth and Income,
International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Utilities Growth and
Income, Vista, and Voyager sub-accounts), (collectively, the Account) as
of December 31, 1999, and the related statements of operations and the
statements of changes in net assets for the periods presented. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes in
its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 102,094
Cost $1,677,538
....................................................................................................................................
Market Value: $1,765,200 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 136,816
Cost $1,502,322
....................................................................................................................................
Market Value: -- 1,358,584 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 16,818
Cost $174,393
....................................................................................................................................
Market Value: -- -- 167,839 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 690,780
Cost $11,251,352
....................................................................................................................................
Market Value: -- -- -- 13,546,203
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 1,607,842
Cost $27,142,993
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,838,619
Cost $45,211,160
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 25,855
Cost $259,413
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 1,409,721 1,320 -- --
....................................................................................................................................
Receivable from fund shares sold -- -- -- 13,775
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,174,921 1,359,904 167,839 13,559,978
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- 15,655
....................................................................................................................................
Payable for fund shares purchased 1,409,681 1,320 -- --
....................................................................................................................................
Total Liabilities 1,409,681 1,320 -- 15,655
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $1,765,240 $1,358,584 $167,839 $13,544,323
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 102,094
Cost $1,677,538
...................................................................................................
Market Value: $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 136,816
Cost $1,502,322
...................................................................................................
Market Value: -- -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 16,818
Cost $174,393
...................................................................................................
Market Value: -- -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 690,780
Cost $11,251,352
...................................................................................................
Market Value: -- -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 1,607,842
Cost $27,142,993
...................................................................................................
Market Value: 49,023,092 -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,838,619
Cost $45,211,160
...................................................................................................
Market Value: -- 49,275,000 --
- ---------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 25,855
Cost $259,413
...................................................................................................
Market Value: -- -- 271,472
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 65,287 14
...................................................................................................
Receivable from fund shares sold 8,510 -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 49,031,602 49,340,287 271,486
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 700 -- --
...................................................................................................
Payable for fund shares purchased -- 65,273 14
...................................................................................................
Total Liabilities 700 65,273 14
- ---------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $49,030,902 $49,275,014 $271,472
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 1,116,640
Cost $13,443,726
....................................................................................................................................
Market Value: $12,383,542 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 752,654
Cost $9,904,246
....................................................................................................................................
Market Value: -- 9,423,231 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 28,375
Cost $418,581
....................................................................................................................................
Market Value: -- -- 614,327 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 8,706
Cost $118,278
....................................................................................................................................
Market Value: -- -- -- 132,760
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 42,703
Cost $703,347
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 65,829
Cost $803,879
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 2,371,068
Cost $2,371,068
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 6,270 6,662 1 16
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 12,389,812 9,429,893 614,328 132,776
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased 6,293 6,469 -- 16
....................................................................................................................................
Total Liabilities 6,293 6,469 -- 16
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $12,383,519 $9,423,424 $614,328 $132,760
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Money
New Sub-Account Market
Opportunities Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 1,116,640
Cost $13,443,726
...................................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 752,654
Cost $9,904,246
...................................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 28,375
Cost $418,581
...................................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 8,706
Cost $118,278
...................................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 42,703
Cost $703,347
...................................................................................................................
Market Value: 995,406 -- --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 65,829
Cost $803,879
...................................................................................................................
Market Value: -- 997,967 --
- -------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 2,371,068
Cost $2,371,068
...................................................................................................................
Market Value: -- -- 2,371,068
- -------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 8,134 28 98
...................................................................................................................
Receivable from fund shares sold -- -- 10
- -------------------------------------------------------------------------------------------------------------------
Total Assets 1,003,540 997,995 2,371,176
- -------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
...................................................................................................................
Payable for fund shares purchased 8,123 31 --
...................................................................................................................
Total Liabilities 8,123 31 --
- -------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $995,417 $997,964 $2,371,176
- -------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Utilities
Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 1,231,273
Cost $24,161,237
....................................................................................................................................
Market Value: $53,609,625 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 22,167
Cost $266,347
....................................................................................................................................
Market Value: -- 262,899 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 159,366
Cost $3,267,925
....................................................................................................................................
Market Value: -- -- 3,631,946 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 253,524
Cost $3,522,876
....................................................................................................................................
Market Value: -- -- -- 4,302,309
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 11,580
Cost $187,809
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 1,592,290
Cost $53,723,476
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 6 28 224
....................................................................................................................................
Receivable from fund shares sold 1,732 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 53,611,357 262,905 3,631,974 4,302,533
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 1,969 -- -- --
....................................................................................................................................
Payable for fund shares purchased -- -- 84 108
....................................................................................................................................
Total Liabilities 1,969 -- 84 108
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $53,609,388 $262,905 $3,631,890 $4,302,425
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------
December 31, 1999 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Opportunities Fund
Shares 1,231,273
Cost $24,161,237
..............................................................................................
Market Value: $ -- $ --
- ----------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 22,167
Cost $266,347
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 159,366
Cost $3,267,925
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 253,524
Cost $3,522,876
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 11,580
Cost $187,809
..............................................................................................
Market Value: 239,480 --
- ----------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 1,592,290
Cost $53,723,476
..............................................................................................
Market Value: -- 105,489,211
- ----------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 61 5,348
..............................................................................................
Receivable from fund shares sold -- --
- ----------------------------------------------------------------------------------------------
Total Assets 239,541 105,494,559
- ----------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
..............................................................................................
Payable for fund shares purchased 60 15,237
..............................................................................................
Total Liabilities 60 15,237
- ----------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $239,481 $105,479,322
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- ---------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Life Contracts:
.....................................................................................................................
Asia Pacific Growth Fund 79,533 $22.195177 $ 1,765,240
.....................................................................................................................
Diversified Income Fund 104,487 13.002362 1,358,584
.....................................................................................................................
George Putnam Fund of Boston 15,887 10.564227 167,839
.....................................................................................................................
Global Asset Allocation Fund 582,401 23.255993 13,544,323
.....................................................................................................................
Global Growth Fund 1,260,424 38.900326 49,030,902
.....................................................................................................................
Growth and Income Fund 1,900,842 25.922728 49,275,014
.....................................................................................................................
Health Sciences Fund 25,135 10.800460 271,472
.....................................................................................................................
High Yield Fund 750,572 16.498765 12,383,519
.....................................................................................................................
Income Fund 654,334 14.401541 9,423,424
.....................................................................................................................
International Growth Fund 39,205 15.669625 614,328
.....................................................................................................................
International Growth and Income Fund 10,909 12.169641 132,760
.....................................................................................................................
International New Opportunities Fund 50,284 19.795791 995,417
.....................................................................................................................
Investors Fund 68,566 14.554810 997,964
.....................................................................................................................
Money Market Fund 1,745,429 1.358506 2,371,176
.....................................................................................................................
New Opportunities Fund 1,391,927 38.514515 53,609,388
.....................................................................................................................
New Value Fund 24,710 10.639520 262,905
.....................................................................................................................
OTC & Emerging Growth Fund 148,834 24.402281 3,631,890
.....................................................................................................................
Utilities Growth and Income Fund 200,172 21.493623 4,302,425
.....................................................................................................................
Vista Fund 14,758 16.227448 239,481
.....................................................................................................................
Voyager Fund 2,311,876 45.624982 105,479,322
- ---------------------------------------------------------------------------------------------------------------------
Grand Total $309,857,373
- ---------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $97,311 $3,859 $ 244,139
.......................................................................................................................
Capital gains income -- -- 212 685,048
.......................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.......................................................................................................................
Net realized gain (loss)
on security transactions 769,641 4,632 12,573 21,824
.......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 87,477 (76,531) (6,653) 504,123
.......................................................................................................................
Net gain (loss) on investments 857,118 (71,899) 5,920 525,947
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $857,118 $25,412 $9,991 $1,455,134
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 129,205 $ 665,486 $ 226
..............................................................................................
Capital gains income 2,690,495 3,320,919 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 122,593 (46,059) (260)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 16,269,773 (3,374,389) (164)
..............................................................................................
Net gain (loss) on investments 16,392,366 (3,420,448) (424)
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $19,212,066 $ 565,957 $(198)
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $869,372 $ 482,299 $ -- $ --
.......................................................................................................................
Capital gains income -- 143,890 -- --
.......................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.......................................................................................................................
Net realized (loss) gain
on security transactions (8,086) (8,133) 5,301 177
.......................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (335,073) (801,902) 189,549 12,287
.......................................................................................................................
Net (loss) gain on investments (343,159) (810,035) 194,850 12,464
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $526,213 $(183,846) $194,850 $12,464
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 27 $ -- $72,286
...................................................................................................
Capital gains income -- -- --
...................................................................................................
Net realized and
unrealized gain (loss)
on investments:
...................................................................................................
Net realized (loss) gain
on security transactions 1,149 (962) --
...................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 291,403 184,285 --
...................................................................................................
Net (loss) gain on investments 292,552 183,323 --
- ---------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $292,579 $183,323 $72,286
- ---------------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1999 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 2 $ -- $115,864
..................................................................................................................
Capital gains income 437,296 341 9,092 121,681
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................
Net realized (loss) gain
on security transactions 13,486 (344) 736,703 (839)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 21,241,134 (4,513) 360,370 (267,639)
..................................................................................................................
Net gain (loss) on investments 21,254,620 (4,857) 1,097,073 (268,478)
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $21,691,916 $(4,514) $1,106,165 $(30,933)
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ -- $ 73,653
...............................................................................
Capital gains income 16,964 5,906,409
...............................................................................
Net realized and
unrealized gain (loss)
on investments:
...............................................................................
Net realized (loss) gain
on security transactions 2,078 (54,159)
...............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 47,168 32,497,732
...............................................................................
Net gain (loss) on investments 49,246 32,443,573
- -------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $66,210 $38,423,635
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 97,311 $ 3,859 $ 244,139
..................................................................................................................
Capital gains income -- -- 212 685,048
..................................................................................................................
Net realized gain (loss)
on security transactions 769,641 4,632 12,573 21,824
..................................................................................................................
Net unrealized appreciation
depreciation) of investments
(during the period 87,477 (76,531) (6,653) 504,123
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 857,118 25,412 9,991 1,455,134
..................................................................................................................
Unit transactions:
Purchases 21,940 247,868 21,168 1,129,158
..................................................................................................................
Net transfers 886,693 (265,171) 139,562 (200,249)
..................................................................................................................
Surrenders for benefit
payments and fees 12,129 (84,623) (3,201) (488,684)
..................................................................................................................
Net loan activity (11) (21,727) (916) (74,888)
..................................................................................................................
Cost of insurance (17,555) (80,513) (7,551) (433,657)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 903,196 (204,166) 149,062 (68,320)
..................................................................................................................
Total increase (decrease)
in net assets 1,760,314 (178,754) 159,053 1,386,814
..................................................................................................................
Net Assets:
Beginning of period 4,926 1,537,338 8,786 12,157,509
- ------------------------------------------------------------------------------------------------------------------
End of period $1,765,240 $1,358,584 $167,839 $13,544,323
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 129,205 $ 665,486 $ 226
...................................................................................................
Capital gains income 2,690,495 3,320,919 --
...................................................................................................
Net realized gain (loss)
on security transactions 122,593 (46,059) (260)
...................................................................................................
Net unrealized appreciation
depreciation) of investments
(during the period 16,269,773 (3,374,389) (164)
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 19,212,066 565,957 (198)
...................................................................................................
Unit transactions:
Purchases 4,444,858 7,009,591 95,416
...................................................................................................
Net transfers (2,017,326) 639,116 124,555
...................................................................................................
Surrenders for benefit
payments and fees (1,005,816) (2,133,166) (54,890)
...................................................................................................
Net loan activity (614,259) (621,297) (2,626)
...................................................................................................
Cost of insurance (1,410,562) (2,232,539) (14,449)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (603,105) 2,661,705 148,006
...................................................................................................
Total increase (decrease)
in net assets 18,608,961 3,227,662 147,808
...................................................................................................
Net Assets:
Beginning of period 30,421,941 46,047,352 123,664
- ---------------------------------------------------------------------------------------------------
End of period $49,030,902 $49,275,014 $271,472
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 869,372 $ 482,299 $ -- $ --
.......................................................................................................................
Capital gains income -- 143,890 -- --
.......................................................................................................................
Net realized (loss) gain
on security transactions (8,086) (8,133) 5,301 177
.......................................................................................................................
Net unrealized (depreciation)
apprecition of investments
during the period (335,073) (801,902) 189,549 12,287
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 526,213 (183,846) 194,850 12,464
.......................................................................................................................
Unit transactions:
Purchases 2,509,553 1,482,153 38,064 30,798
.......................................................................................................................
Net transfers 2,683,231 2,191,880 308,046 76,004
.......................................................................................................................
Surrenders for benefit
payments and fees (333,995) (169,634) (3,955) (2,105)
.......................................................................................................................
Net loan activity (222,215) (53,643) (11,431) (2,431)
.......................................................................................................................
Cost of insurance (541,752) (373,477) (12,864) (4,393)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,094,822 3,077,279 317,860 97,873
.......................................................................................................................
Total increase (decrease)
in net assets 4,621,035 2,893,433 512,710 110,337
.......................................................................................................................
Net Assets:
Beginning of period 7,762,484 6,529,991 101,618 22,423
- -----------------------------------------------------------------------------------------------------------------------
End of period $12,383,519 $9,423,424 $614,328 $132,760
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 27 $ -- $ 72,286
...................................................................................................
Capital gains income -- -- --
...................................................................................................
Net realized (loss) gain
on security transactions 1,149 (962) --
...................................................................................................
Net unrealized (depreciation)
apprecition of investments
during the period 291,403 184,285 --
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 292,579 183,323 72,286
...................................................................................................
Unit transactions:
Purchases 48,934 116,791 175,971
...................................................................................................
Net transfers 660,415 611,363 1,200,618
...................................................................................................
Surrenders for benefit
payments and fees (2,887) (7,639) (136,680)
...................................................................................................
Net loan activity (7,683) (3,038) (17,357)
...................................................................................................
Cost of insurance (7,849) (29,422) (79,379)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 690,930 688,055 1,143,173
...................................................................................................
Total increase (decrease)
in net assets 983,509 871,378 1,215,459
...................................................................................................
Net Assets:
Beginning of period 11,908 126,586 1,155,717
- ---------------------------------------------------------------------------------------------------
End of period $995,417 $997,964 $2,371,176
- ---------------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1999 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 2 $ -- $ 115,864
..................................................................................................................
Capital gains income 437,296 341 9,092 121,681
..................................................................................................................
Net realized gain (loss)
on security transactions 13,486 (344) 736,703 (839)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 21,241,134 (4,513) 360,370 (267,639)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 21,691,916 (4,514) 1,106,165 (30,933)
..................................................................................................................
Unit transactions:
Purchases 4,703,703 28,774 22,023 458,095
..................................................................................................................
Net transfers 149,433 227,891 2,521,188 4,060
..................................................................................................................
Surrenders for benefit
payments and fees (1,038,801) (74) (4,728) (145,810)
..................................................................................................................
Loan withdrawals (546,905) (99) (2,686) (29,755)
..................................................................................................................
Cost of insurance (1,495,145) (6,613) (30,104) (172,471)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,772,285 249,879 2,505,693 114,119
..................................................................................................................
Total increase (decrease)
in net assets 23,464,201 245,365 3,611,858 83,186
..................................................................................................................
Net Assets:
Beginning of period 30,145,187 17,540 20,032 4,219,239
- ------------------------------------------------------------------------------------------------------------------
End of period $53,609,388 $262,905 $3,631,890 $4,302,425
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 73,653
...............................................................................
Capital gains income 16,964 5,906,409
...............................................................................
Net realized gain (loss)
on security transactions 2,078 (54,159)
...............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 47,168 32,497,732
...............................................................................
Net increase (decrease)
in net assets resulting
from operations 66,210 38,423,635
...............................................................................
Unit transactions:
Purchases 33,693 7,999,040
...............................................................................
Net transfers 121,046 1,293,445
...............................................................................
Surrenders for benefit
payments and fees (2,677) (2,289,056)
...............................................................................
Loan withdrawals (58) (1,195,792)
...............................................................................
Cost of insurance (4,323) (2,956,587)
...............................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 147,681 2,851,050
...............................................................................
Total increase (decrease)
in net assets 213,891 41,274,685
...............................................................................
Net Assets:
Beginning of period 25,590 64,204,637
- -------------------------------------------------------------------------------
End of period $239,481 $105,479,322
- -------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 44,660 $ 27 $ 229,958
.......................................................................................................................
Capital gains income -- 18,969 -- 987,748
.......................................................................................................................
Net realized gain (loss)
on security transactions (1,950) 216 1 14,239
.......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 184 (90,075) 99 133,720
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (1,766) (26,230) 127 1,365,665
.......................................................................................................................
Unit transactions:
Purchases 1,047 429,937 1,797 1,222,858
.......................................................................................................................
Net transfers 5,701 266,909 7,237 685,135
.......................................................................................................................
Surrenders for benefit
payments and fees (21) (21,473) (123) (182,499)
.......................................................................................................................
Net loan activity -- (11,902) -- (127,127)
.......................................................................................................................
Cost of insurance (35) (55,844) (252) (330,869)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,692 607,627 8,659 1,267,498
.......................................................................................................................
Total increase (decrease)
in net assets 4,926 581,397 8,786 2,633,163
.......................................................................................................................
Net Assets:
Beginning of period -- 955,941 -- 9,524,346
- -----------------------------------------------------------------------------------------------------------------------
End of period $4,926 $1,537,338 $8,786 $12,157,509
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 554,987 $ 592,084 $ 101
...................................................................................................
Capital gains income 2,774,936 3,865,126 --
...................................................................................................
Net realized gain (loss)
on security transactions (7,956) 29,783 20
...................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,948,427 1,038,459 12,223
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,270,394 5,525,452 12,344
...................................................................................................
Unit transactions:
Purchases 5,019,364 7,070,954 4,436
...................................................................................................
Net transfers 3,191,859 6,016,210 108,383
...................................................................................................
Surrenders for benefit
payments and fees (823,255) (1,329,891) (347)
...................................................................................................
Net loan activity (671,453) (628,747) (2)
...................................................................................................
Cost of insurance (1,015,926) (1,562,683) (1,150)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 5,700,589 9,565,843 111,320
...................................................................................................
Total increase (decrease)
in net assets 11,970,983 15,091,295 123,664
...................................................................................................
Net Assets:
Beginning of period 18,450,958 30,956,057 --
- ---------------------------------------------------------------------------------------------------
End of period $30,421,941 $46,047,352 $123,664
- ---------------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account ** Growth Growth
Sub-Account* and Income
Sub-Account*
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 513,505 $ 361,057 $ 227 $ 270
.......................................................................................................................
Capital gains income 80,578 9,397 -- 651
.......................................................................................................................
Net realized gain (loss)
on security transactions (10,213) 132,832 (2) 7
.......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,174,864) 24,876 6,197 2,195
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (590,994) 528,162 6,422 3,123
.......................................................................................................................
Unit transactions:
Purchases 1,578,769 1,791,710 2,747 2,250
.......................................................................................................................
Net transfers 1,518,889 (2,923,672) 93,024 17,972
.......................................................................................................................
Surrenders for benefit
payments and fees (493,675) (295,573) (238) (105)
.......................................................................................................................
Net loan activity (58,172) (58,278) (3) (20)
.......................................................................................................................
Cost of insurance (330,916) (317,364) (334) (797)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,214,895 (1,803,177) 95,196 19,300
.......................................................................................................................
Total increase (decrease)
in net assets 1,623,901 (1,275,015) 101,618 22,423
.......................................................................................................................
Net Assets:
Beginning of period 6,138,583 7,805,006 -- --
- -----------------------------------------------------------------------------------------------------------------------
End of period $7,762,484 $6,529,991 $101,618 $22,423
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account*
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 70 $ 66,306
...................................................................................................
Capital gains income -- -- --
...................................................................................................
Net realized gain (loss)
on security transactions -- 34 --
...................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 656 9,802 --
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 656 9,906 66,306
...................................................................................................
Unit transactions:
Purchases 1,145 2,864 223,214
...................................................................................................
Net transfers 10,162 115,108 (205,708)
...................................................................................................
Surrenders for benefit
payments and fees (24) (325) (32,523)
...................................................................................................
Net loan activity -- (24) (31,681)
...................................................................................................
Cost of insurance (31) (943) (59,689)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 11,252 116,680 (106,387)
...................................................................................................
Total increase (decrease)
in net assets 11,908 126,586 (40,081)
...................................................................................................
Net Assets:
Beginning of period -- -- 1,195,798
- ---------------------------------------------------------------------------------------------------
End of period $11,908 $126,586 $1,155,717
- ---------------------------------------------------------------------------------------------------
* From inception August 3, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1998 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account* and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 186 $ 7 $ 91,969
..................................................................................................................
Capital gains income 305,733 35 -- 158,511
..................................................................................................................
Net realized gain (loss)
on security transactions (74,393) 1 (18) 8,994
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,084,117 1,064 3,651 263,198
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 5,315,457 1,286 3,640 522,672
..................................................................................................................
Unit transactions:
Purchases 4,989,756 7,363 1,625 470,436
..................................................................................................................
Net transfers 3,222,851 9,119 15,102 341,606
..................................................................................................................
Surrenders for benefit
payments and fees (695,854) (100) (70) (76,934)
..................................................................................................................
Loan withdrawals (325,692) -- (10) (78,333)
..................................................................................................................
Cost of insurance (962,450) (128) (255) (111,123)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,228,611 16,254 16,392 545,652
..................................................................................................................
Total increase (decrease)
in net assets 11,544,068 17,540 20,032 1,068,324
..................................................................................................................
Net Assets:
Beginning of period 18,601,119 -- -- 3,150,915
- ------------------------------------------------------------------------------------------------------------------
End of period $30,145,187 $17,540 $20,032 $4,219,239
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 117,946
...............................................................................
Capital gains income -- 2,877,880
...............................................................................
Net realized gain (loss)
on security transactions (101) (22,334)
...............................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,502 8,969,653
...............................................................................
Net increase (decrease)
in net assets resulting
from operations 4,401 11,943,145
...............................................................................
Unit transactions:
Purchases 1,069 8,611,086
...............................................................................
Net transfers 20,251 4,732,697
...............................................................................
Surrenders for benefit
payments and fees 4 (1,882,355)
...............................................................................
Loan withdrawals -- (723,265)
...............................................................................
Cost of insurance (135) (2,043,615)
...............................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 21,189 8,694,548
...............................................................................
Total increase (decrease)
in net assets 25,590 20,637,693
...............................................................................
Net Assets:
Beginning of period -- 43,566,944
- -------------------------------------------------------------------------------
End of period $25,590 $64,204,637
- -------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended.
Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut and the SEC.
The Account invests deposits by variable life policyowners of the Company
in the various mutual funds (the Funds) as directed by the policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed at fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with the terms of the policies, the
Company assesses cost of insurance charges to cover the Company's
anticipated mortality costs. Because a policy's account value and death
benefit may vary from month to month, the cost of insurance charges may
also vary.
B) Mortality and Expense Rick Charge -- The Company, as issuer of variable
life policies, provides the mortality and expense undertakings and, with
respect to the Account, receives a maximum annual fee of 1.40% of the
Account's average daily net assets. These expenses are reflected in
surrenders for benefit payments and fees on the accompanying statements of
changes in net assets.
C) Administrative and Issue Charges -- The Company assesses a monthly
administrative charge to compensate the Company for administrative costs
in connection with the policies. This charge covers the average expected
cost for these services at a maximum 0f $12 per month. Additionally, the
Company assesses a monthly charge in the first policy year for up-front
costs of underwriting and issuing a policy at a monthly maximum amount of
$62.50. These charges are reflected in surrenders for benefit payments and
fees on the accompanying statements of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable
policyowners' accounts, in accordance with the terms of the policies.
These charges are reflected in surrenders for benefit payments and fees on
the accompanyng statements of changes in net assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Separate Account VL II and to the
Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Separate Account VL II (Asia Pacific
Growth, Diversified Income, The George Putnam Fund of Boston, Global
Asset Allocation, Global Growth, Growth and Income, Health Sciences, High
Yield, Income, International Growth, International Growth and Income,
International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Utilities Growth and
Income, Vista, and Voyager sub-accounts), (collectively, the Account) as
of December 31, 1999, and the related statements of operations
and the statements of changes in net assets for the periods presented.
These financial statements are the responsibility of the Account's
management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes in
its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 11,322
Cost $141,016
....................................................................................................................................
Market Value: $195,766 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 42,461
Cost $448,692
....................................................................................................................................
Market Value: -- 421,639 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 4,370
Cost $44,384
....................................................................................................................................
Market Value: -- -- 43,612 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 211,113
Cost $3,844,016
....................................................................................................................................
Market Value: -- -- -- 4,139,928
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 398,583
Cost $7,200,576
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 467,054
Cost $12,423,917
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 7,483
Cost $74,611
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 2,127 -- 3,467
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 195,766 423,766 43,612 4,143,395
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 1 -- -- --
....................................................................................................................................
Payable for fund shares purchased -- 2,125 -- 3,216
....................................................................................................................................
Total Liabilities 1 2,125 -- 3,216
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $195,765 $421,641 $43,612 $4,140,179
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 11,322
Cost $141,016
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 42,461
Cost $448,692
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 4,370
Cost $44,384
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 211,113
Cost $3,844,016
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 398,583
Cost $7,200,576
..................................................................................................................
Market Value: 12,152,795 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 467,054
Cost $12,423,917
..................................................................................................................
Market Value: -- 12,517,045 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 7,483
Cost $74,611
..................................................................................................................
Market Value: -- -- 78,576
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2,198 4,035 --
..................................................................................................................
Receivable from fund shares sold -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 12,154,993 12,521,080 78,576
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 1
..................................................................................................................
Payable for fund shares purchased 1,653 5,502 --
..................................................................................................................
Total Liabilities 1,653 5,502 1
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $12,153,340 $12,515,578 $78,575
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 343,726
Cost $4,126,478
....................................................................................................................................
Market Value: $3,811,917 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 185,757
Cost $2,360,652
....................................................................................................................................
Market Value: -- 2,325,674 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 20,695
Cost $301,201
....................................................................................................................................
Market Value: -- -- 448,055 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,704
Cost $23,855
....................................................................................................................................
Market Value: -- -- -- 25,990
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 4,549
Cost $92,959
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 45,675
Cost $531,627
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 332,312
Cost $332,312
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2,549 3,147 -- --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,814,466 2,328,821 448,055 25,990
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 3 2
....................................................................................................................................
Payable for fund shares purchased 2,539 3,216 -- --
....................................................................................................................................
Total Liabilities 2,539 3,216 3 2
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $3,811,927 $2,325,605 $448,052 $25,988
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Money
New Sub-Account Market
Opportunities Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 343,726
Cost $4,126,478
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 185,757
Cost $2,360,652
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 20,695
Cost $301,201
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 1,704
Cost $23,855
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 4,549
Cost $92,959
.............................................................................................................
Market Value: 106,044 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 45,675
Cost $531,627
.............................................................................................................
Market Value: -- 692,433 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 332,312
Cost $332,312
.............................................................................................................
Market Value: -- -- 332,312
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 78 1,445 18
.............................................................................................................
Receivable from fund shares sold -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Assets 106,122 693,878 332,330
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
.............................................................................................................
Payable for fund shares purchased -- 1,450 --
.............................................................................................................
Total Liabilities -- 1,450 --
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $106,122 $692,428 $332,330
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Utilities
Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 373,288
Cost $7,857,227
.................................................................................................................................
Market Value: $16,252,954 $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 22,996
Cost $273,358
.................................................................................................................................
Market Value: -- 272,732 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 11,229
Cost $165,980
.................................................................................................................................
Market Value: -- -- 255,917 --
- ---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 70,508
Cost $1,129,635
.................................................................................................................................
Market Value: -- -- -- 1,196,527
- ---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 1,468
Cost $24,769
.................................................................................................................................
Market Value: -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 383,553
Cost $14,651,156
.................................................................................................................................
Market Value: -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 8,724 -- -- 54
.................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total Assets 16,261,678 272,732 255,917 1,196,581
- ---------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 1 --
.................................................................................................................................
Payable for fund shares purchased 8,927 -- -- --
.................................................................................................................................
Total Liabilities 8,927 -- 1 --
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $16,252,751 $272,732 $255,916 $1,196,581
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------
December 31, 1999 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Opportunities Fund
Shares 373,288
Cost $7,857,227
..............................................................................................
Market Value: $ -- $ --
- ----------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 22,996
Cost $273,358
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 11,229
Cost $165,980
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 70,508
Cost $1,129,635
..............................................................................................
Market Value: -- --
- ----------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 1,468
Cost $24,769
..............................................................................................
Market Value: 30,368 --
- ----------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 383,553
Cost $14,651,156
..............................................................................................
Market Value: -- 25,410,360
- ----------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 15,663
..............................................................................................
Receivable from fund shares sold -- --
- ----------------------------------------------------------------------------------------------
Total Assets 30,368 25,426,023
- ----------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
..............................................................................................
Payable for fund shares purchased -- 13,398
..............................................................................................
Total Liabilities -- 13,398
- ----------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $30,368 $25,412,625
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
.......................................................................................................................
Asia Pacific Growth Fund 8,820 $22.195177 $ 195,765
.......................................................................................................................
Diversified Income Fund 32,428 13.002362 421,641
.......................................................................................................................
George Putnam Fund of Boston 4,128 10.564227 43,612
.......................................................................................................................
Global Asset Allocation Fund 178,026 23.255993 4,140,179
.......................................................................................................................
Global Growth Fund 312,423 38.900326 12,153,340
.......................................................................................................................
Growth and Income Fund 482,803 25.922728 12,515,578
.......................................................................................................................
Health Siences Fund 7,275 10.800460 78,575
.......................................................................................................................
High Yield Fund 231,043 16.498765 3,811,927
.......................................................................................................................
Income Fund 161,483 14.401541 2,325,605
.......................................................................................................................
International Growth Fund 28,594 15.669625 448,052
.......................................................................................................................
International Growth and Income Fund 2,135 12.169641 25,988
.......................................................................................................................
International New Opportunities Fund 5,361 19.795791 106,122
.......................................................................................................................
Investors Fund 47,574 14.554810 692,428
.......................................................................................................................
Money Market Fund 244,629 1.358506 332,330
.......................................................................................................................
New Opportunities Fund 421,990 38.514515 16,252,751
.......................................................................................................................
New Value Fund 25,634 10.639520 272,732
.......................................................................................................................
OTC & Emerging Growth Fund 10,487 24.402281 255,916
.......................................................................................................................
Utilities Growth and Income Fund 55,671 21.493623 1,196,581
.......................................................................................................................
Vista Fund 1,871 16.227448 30,368
.......................................................................................................................
Voyager Fund 556,989 45.624982 25,412,625
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $80,712,115
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1999 Growth Income Putnam Fund Allocation
Sub-Account Sub-Account of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $22,458 $1,001 $ 71,013
.............................................................................................................
Capital gains income -- -- 41 199,267
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 449 48 2 2,237
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 54,681 (15,631) (1,442) 161,213
.............................................................................................................
Net gain (loss) on investments 55,130 (15,583) (1,440) 163,450
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $55,130 $ 6,875 $ (398) $433,730
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1999 Growth and Income Sub-Account
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 29,989 $168,362 $ 125
..............................................................................................
Capital gains income 624,480 840,162 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 10,150 (33,683) (382)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,049,316 (833,418) (3,071)
..............................................................................................
Net gain (loss) on investments 4,059,466 (867,101) (3,453)
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $4,713,935 $141,423 $(3,328)
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth and
Sub-Account Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $241,157 $141,863 $ -- $ --
.............................................................................................................
Capital gains income -- 42,324 -- --
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 1,475 (12,893) 254 2,632
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (96,976) (221,917) 146,577 (715)
.............................................................................................................
Net gain (loss) on investments (95,501) (234,810) 146,831 1,917
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $145,656 $(50,623) $146,831 $1,917
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money Market
December 31, 1999 New Opportunities Sub-Account Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 1 $ -- $16,902
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 57 (78) --
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 12,844 140,714 --
..............................................................................................
Net gain (loss) on investments 12,901 140,636 --
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $12,902 $140,636 $16,902
- ----------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Emerging Utilities Growth
December 31, 1999 Opportunities Value Growth and Income
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $ -- $ -- $29,351
..................................................................................................................
Capital gains income 127,960 48 669 30,824
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments: --
..................................................................................................................
Net realized gain (loss)
on security transactions 8,119 (50) 3,794 (1,167)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,351,649 (997) 85,875 (67,896)
..................................................................................................................
Net gain (loss) on investments 6,359,768 (1,047) 89,669 (69,063)
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $6,487,728 $ (999) $90,338 $(8,888)
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends $ -- $ 16,812
..........................................................................
Capital gains income 2,322 1,348,226
..........................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................
Net realized gain (loss)
on security transactions 242 (36,877)
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,571 7,727,928
..........................................................................
Net gain (loss) on investments 4,813 7,691,051
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $7,135 $9,056,089
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1999 Growth Income Putnam Fund Allocation
Sub-Account Sub-Account of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 22,458 $ 1,001 $ 71,013
.............................................................................................................
Capital gains income -- -- 41 199,267
.............................................................................................................
Net realized gain (loss)
on security transactions 449 48 2 2,237
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 54,681 (15,631) (1,442) 161,213
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 55,130 6,875 (398) 433,730
.............................................................................................................
Unit Transactions:
Purchases 24,427 179,265 11,255 314,949
.............................................................................................................
Net transfers 118,773 (49,985) 21,592 (39,079)
.............................................................................................................
Surrenders for benefit
payments and fees (2,565) (16,582) (2,658) (56,245)
.............................................................................................................
Net loan activity -- -- -- (14)
.............................................................................................................
Cost of insurance (1,069) (22,843) (423) (105,067)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 139,566 89,855 29,766 114,544
.............................................................................................................
Total increase (decrease)
in net assets 194,696 96,730 29,368 548,274
.............................................................................................................
Net Assets:
Beginning of period 1,069 324,911 14,244 3,591,905
- -------------------------------------------------------------------------------------------------------------
End of period $195,765 $421,641 $43,612 $4,140,179
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1999 Growth and Income Sub-Account
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 29,989 $ 168,362 $ 125
..............................................................................................
Capital gains income 624,480 840,162 --
..............................................................................................
Net realized gain (loss)
on security transactions 10,150 (33,683) (382)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 4,049,316 (833,418) (3,071)
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,713,935 141,423 (3,328)
..............................................................................................
Unit Transactions:
Purchases 1,301,509 2,424,542 9,089
..............................................................................................
Net transfers (121,599) (363,554) 10,606
..............................................................................................
Surrenders for benefit
payments and fees (286,077) (378,131) (2,828)
..............................................................................................
Net loan activity (1,865) (24,549) (8,505)
..............................................................................................
Cost of insurance (322,725) (620,162) (1,870)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 569,243 1,038,146 6,492
..............................................................................................
Total increase (decrease)
in net assets 5,283,178 1,179,569 3,164
..............................................................................................
Net Assets:
Beginning of period 6,870,162 11,336,009 75,411
- ----------------------------------------------------------------------------------------------
End of period $12,153,340 $12,515,578 $78,575
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth and
Sub-Account Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 241,157 $ 141,863 $ -- $ --
..................................................................................................................
Capital gains income -- 42,324 -- --
..................................................................................................................
Net realized gain (loss)
on security transactions 1,475 (12,893) 254 2,632
..................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (96,976) (221,917) 146,577 (715)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 145,656 (50,623) 146,831 1,917
..................................................................................................................
Unit Transactions:
Purchases 723,890 463,993 17,892 9,252
..................................................................................................................
Net transfers 1,056,399 (441,576) 293,024 (8,372)
..................................................................................................................
Surrenders for benefit
payments and fees (80,333) (43,311) (5,128) (1,616)
..................................................................................................................
Net loan activity (93) 66,816 (1,909) --
..................................................................................................................
Cost of insurance (124,382) (179,232) (8,009) (928)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,575,481 (133,310) 295,870 (1,664)
..................................................................................................................
Total increase (decrease)
in net assets 1,721,137 (183,933) 442,701 253
..................................................................................................................
Net Assets:
Beginning of period 2,090,790 2,509,538 5,351 25,735
- ------------------------------------------------------------------------------------------------------------------
End of period $3,811,927 $2,325,605 $448,052 $25,988
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended International Investors Money Market
December 31, 1999 New Opportunities Sub-Account Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 1 $ -- $ 16,902
...................................................................................................
Capital gains income -- -- --
...................................................................................................
Net realized gain (loss)
on security transactions 57 (78) --
...................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 12,844 140,714 --
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 12,902 140,636 16,902
...................................................................................................
Unit Transactions:
Purchases 4,815 28,819 235,220
...................................................................................................
Net transfers 81,822 428,229 (283,112)
...................................................................................................
Surrenders for benefit
payments and fees 3,487 (6,953) (7,691)
...................................................................................................
Net loan activity -- (8,548)
...................................................................................................
Cost of insurance (480) (12,574) (17,144)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 89,644 428,973 (72,727)
...................................................................................................
Total increase (decrease)
in net assets 102,546 569,609 (55,825)
...................................................................................................
Net Assets:
Beginning of period 3,576 122,819 388,155
- ---------------------------------------------------------------------------------------------------
End of period $106,122 $692,428 $332,330
- ---------------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Emerging Utilities Growth
December 31, 1999 Opportunities Value Growth and Income
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ -- $ -- $ 29,351
.......................................................................................................................
Capital gains income 127,960 48 669 30,824
.......................................................................................................................
Net realized gain (loss)
on security transactions 8,119 (50) 3,794 (1,167)
.......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,351,649 (997) 85,875 (67,896)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,487,728 (999) 90,338 (8,888)
.......................................................................................................................
Unit Transactions:
Purchases 1,631,913 25,445 1,058 233,952
.......................................................................................................................
Net transfers 83,908 250,987 153,855 26,751
.......................................................................................................................
Surrenders for benefit
payments and fees (332,858) (2,892) (3,558) (27,357)
.......................................................................................................................
Net loan activity (57,806) -- -- (14)
.......................................................................................................................
Cost of insurance (446,062) (2,735) (1,247) (58,839)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 879,095 270,805 150,108 174,493
.......................................................................................................................
Total increase (decrease)
in net assets 7,366,823 269,806 240,446 165,605
.......................................................................................................................
Net Assets:
Beginning of period 8,885,928 2,926 15,470 1,030,976
- -----------------------------------------------------------------------------------------------------------------------
End of period $16,252,751 $272,732 $255,916 $1,196,581
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ -- $ 16,812
..........................................................................
Capital gains income 2,322 1,348,226
- --------------------------------------------------------------------------
Net realized gain (loss)
on security transactions 242 (36,877)
- --------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments
during the period 4,571 7,727,928
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations 7,135 9,056,089
- --------------------------------------------------------------------------
Unit Transactions:
Purchases 6,440 2,360,763
- --------------------------------------------------------------------------
Net transfers 13,830 672,345
- --------------------------------------------------------------------------
Surrenders for benefit
payments and fees (2,301) (442,195)
- --------------------------------------------------------------------------
Net loan activity -- (45,856)
- --------------------------------------------------------------------------
Cost of insurance (96) (639,283)
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit transactions 17,873 1,905,774
- --------------------------------------------------------------------------
Total increase (decrease)
in net assets 25,008 10,961,863
- --------------------------------------------------------------------------
Net Assets:
Beginning of period 5,360 14,450,762
- --------------------------------------------------------------------------
End of period $30,368 $25,412,625
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Fund Fund Fund of Boston Fund
Sub-Account* Sub-Account Sub-Account* Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 8,975 $ 122 $ 51,115
.............................................................................................................
Capital gains income -- 3,812 -- 219,555
.............................................................................................................
Net realized gain (loss)
on security transactions -- 181 11 68
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 69 (17,009) 670 37,408
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 69 (4,041) 803 308,146
.............................................................................................................
Unit transactions:
Purchases 1,000 128,587 1,000 369,681
.............................................................................................................
Net transfers -- 47,983 12,809 1,442,896
.............................................................................................................
Surrenders for benefit
payments and fees -- (17,974) (356) (73,960)
.............................................................................................................
Net loan activity -- -- -- 23,838
.............................................................................................................
Cost of insurance -- (18,831) (12) (73,651)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,000 139,765 13,441 1,688,804
.............................................................................................................
Total increase (decrease)
in net assets 1,069 135,724 14,244 1,996,950
.............................................................................................................
Net Assets:
Beginning of period -- 189,187 -- 1,594,955
- -------------------------------------------------------------------------------------------------------------
End of period $1,069 $324,911 $14,244 $3,591,905
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences Fund
Fund Fund Sub-Account*
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 127,435 $ 129,504 $ 69
...................................................................................................
Capital gains income 637,175 845,402 --
...................................................................................................
Net realized gain (loss)
on security transactions (12,611) 15,246 11
...................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 623,542 249,632 7,036
...................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,375,541 1,239,784 7,116
...................................................................................................
Unit transactions:
Purchases 1,390,116 2,372,295 1,000
...................................................................................................
Net transfers 472,175 2,636,000 67,576
...................................................................................................
Surrenders for benefit
payments and fees (229,540) (394,619) (213)
...................................................................................................
Net loan activity 13,683 (74,317) --
...................................................................................................
Cost of insurance (210,154) (418,260) (68)
...................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,436,280 4,121,099 68,295
...................................................................................................
Total increase (decrease)
in net assets 2,811,821 5,360,883 75,411
...................................................................................................
Net Assets:
Beginning of period 4,058,341 5,975,126 --
- ---------------------------------------------------------------------------------------------------
End of period $6,870,162 $11,336,009 $75,411
- ---------------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account ** Growth Growth
Sub-Account* and Income
Sub-Account*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 114,613 $ 159,132 $ 15 $ 320
..................................................................................................................
Capital gains income 17,985 4,142 -- 770
..................................................................................................................
Net realized gain (loss)
on security transactions (6,169) 3,345 4 5
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (280,696) 47,564 278 2,850
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (154,267) 214,183 297 3,945
..................................................................................................................
Unit transactions:
Purchases 451,806 480,043 1,000 1,172
..................................................................................................................
Net transfers 938,222 (975,004) 4,157 20,802
..................................................................................................................
Surrenders for benefit
payments and fees (78,942) (62,811) (102) (132)
..................................................................................................................
Net loan activity (19) (15,305) -- --
..................................................................................................................
Cost of insurance (68,646) (137,056) (1) (52)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,242,421 (710,133) 5,054 21,790
..................................................................................................................
Total increase (decrease)
in net assets 1,088,154 (495,950) 5,351 25,735
..................................................................................................................
Net Assets:
Beginning of period 1,002,636 3,005,488 -- --
- ------------------------------------------------------------------------------------------------------------------
End of period $2,090,790 $2,509,538 $5,351 $25,735
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account*
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 158 $ 17,549
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 7 18 --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 240 20,091 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 247 20,267 17,549
.........................................................................................
Unit transactions:
Purchases 1,000 1,207 376,321
.........................................................................................
Net transfers 2,431 101,790 (222,386)
.........................................................................................
Surrenders for benefit
payments and fees (101) (298) (14,326)
.........................................................................................
Net loan activity -- -- --
.........................................................................................
Cost of insurance (1) (147) (4,514)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 3,329 102,552 135,095
.........................................................................................
Total increase (decrease)
in net assets 3,576 122,819 152,644
.........................................................................................
Net Assets:
Beginning of period -- -- 235,511
- -----------------------------------------------------------------------------------------
End of period $3,576 $122,819 $388,155
- -----------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1998 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account* and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 32 $ 6 $ 19,667
..................................................................................................................
Capital gains income 79,622 6 -- 33,897
..................................................................................................................
Net realized gain (loss)
on security transactions 5 18 8 (421)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,351,153 371 4,062 66,049
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,430,780 427 4,076 119,192
..................................................................................................................
Unit transactions:
Purchases 1,645,046 1,000 1,086 175,713
..................................................................................................................
Net transfers 1,581,473 1,668 10,401 361,235
..................................................................................................................
Surrenders for benefit
payments and fees (286,756) (168) (66) (24,641)
..................................................................................................................
Net loan activity (61,049) -- -- 23,875
..................................................................................................................
Cost of insurance (251,400) (1) (27) (33,941)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,627,314 2,499 11,394 502,241
..................................................................................................................
Total increase (decrease)
in net assets 4,058,094 2,926 15,470 621,433
..................................................................................................................
Net Assets:
Beginning of period 4,827,834 -- -- 409,543
- ------------------------------------------------------------------------------------------------------------------
End of period $8,885,928 $2,926 $15,470 $1,030,976
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 23,145
..........................................................................
Capital gains income -- 564,740
..........................................................................
Net realized gain (loss)
on security transactions 25 4,061
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,028 1,898,310
..........................................................................
Net increase (decrease)
in net assets resulting
from operations 1,053 2,490,256
..........................................................................
Unit transactions:
Purchases 1,000 2,546,550
..........................................................................
Net transfers 3,533 2,515,789
..........................................................................
Surrenders for benefit
payments and fees (224) (452,353)
..........................................................................
Net loan activity -- 47,899
..........................................................................
Cost of insurance (2) (400,770)
..........................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,307 4,257,115
..........................................................................
Total increase (decrease)
in net assets 5,360 6,747,371
..........................................................................
Net Assets:
Beginning of period -- 7,703,391
- --------------------------------------------------------------------------
End of period $5,360 $14,450,762
- --------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended.
Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut and the SEC.
The Account invests deposits by variable life policyowners of the Company
in the various mutual funds (the Funds) as directed by the policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed at fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the policies, the
Company assesses deductions for costs of insurance charges to cover the
Company's anticipated mortality costs. Because a policy's account value
and death benefit may vary from month to month, the cost of insurance
charges may also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
life policies, provides the mortality and expense undertakings and, with
respect to the Account, receives a maximum annual fee of 0.80% of the
Account's average daily net assets. These charges are reflected in
surrenders for benefit payments and fees on the accompanying statements of
changes in net assets.
C) Administrative -- The Company assesses a monthly administrative charge
to compensate the Company for administrative costs in connection with the
policies. This charge covers the average expected cost for these services
and varies based on the face amount of the underlying policy, among other
factors. These charges are reflected in surrenders for benefit payments
and fees on the accompanying statements of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable
policyowners' accounts, in accordance with the terms of the policies. In
addition, certain other charges may apply based on the characteristics of
the underlying policy. These charges are reflected in surrenders for
benefit payments and fees on the accompanying statements of changes in net
assets.
Report of Independent Public Accountants
To Hartford Life Insurance Company Separate Account Five and to the Owners
of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life Insurance Company Separate Account Five (Asia Pacific
Growth, Diversified Income, The George Putnam Fund of Boston, Global
Asset Allocation, Global Growth, Growth and Income, Health Sciences, High
Yield, Income, International Growth, International Growth and Income,
International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Research, Utilities
Growth and Income, Vista, and Voyager sub-accounts), (collectively, the
Account) as of December 31, 1999, and the related statements of
operations and the statements of changes in net assets for the periods
presented. These financial statements are the responsibility of the
Account's management. Our responsibility is to express an opinion on
these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes in
its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 69,998
Cost $720,891
....................................................................................................................................
Market Value: $1,210,269 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 181,975
Cost $1,969,921
....................................................................................................................................
Market Value: -- 1,807,014 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 23,086
Cost $240,351
....................................................................................................................................
Market Value: -- -- 230,396 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 108,459
Cost $1,780,053
....................................................................................................................................
Market Value: -- -- -- 2,126,886
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 501,889
Cost $7,965,580
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 859,727
Cost $19,745,816
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 14,607
Cost $146,444
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 19 -- 1 --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,210,288 1,807,014 230,397 2,126,886
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased -- -- -- --
....................................................................................................................................
Total Liabilities -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $1,210,288 $1,807,014 $230,397 $2,126,886
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 69,998
Cost $720,891
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 181,975
Cost $1,969,921
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 23,086
Cost $240,351
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 108,459
Cost $1,780,053
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 501,889
Cost $7,965,580
..................................................................................................................
Market Value: 15,302,581 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 859,727
Cost $19,745,816
..................................................................................................................
Market Value: -- 23,040,692 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 14,607
Cost $146,444
..................................................................................................................
Market Value: -- -- 153,369
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 36 14,200 --
..................................................................................................................
Receivable from fund shares sold -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 15,302,617 23,054,892 153,369
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
..................................................................................................................
Payable for fund shares purchased -- 14,202 --
..................................................................................................................
Total Liabilities -- 14,202 --
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $15,302,617 $23,040,690 $153,369
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 383,632
Cost $4,748,325
....................................................................................................................................
Market Value: $4,254,479 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 117,711
Cost $1,539,578
....................................................................................................................................
Market Value: -- 1,473,744 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 30,125
Cost $399,785
....................................................................................................................................
Market Value: -- -- 652,214 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 23,809
Cost $294,577
....................................................................................................................................
Market Value: -- -- -- 363,082
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 35,328
Cost $487,284
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 127,604
Cost $1,445,665
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 5,312,477
Cost $5,312,477
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2 -- 2 --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 4,254,481 1,473,744 652,216 363,082
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased -- -- -- --
....................................................................................................................................
Total Liabilities -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract liabilities) $4,254,481 $1,473,744 $652,216 $363,082
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Money
New Sub-Account Market
Opportunities Sub-Account
Assets Sub-Account
Investments:
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 383,632
Cost $4,748,325
.............................................................................................................
Market Value: $ -- $ -- $ --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 117,711
Cost $1,539,578
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 30,125
Cost $399,785
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 23,809
Cost $294,577
.............................................................................................................
Market Value: -- -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 35,328
Cost $487,284
.............................................................................................................
Market Value: 823,484 -- --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 127,604
Cost $1,445,665
.............................................................................................................
Market Value: -- 1,934,476 --
- -------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 5,312,477
Cost $5,312,477
.............................................................................................................
Market Value: -- -- 5,312,477
- -------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 43 398
.............................................................................................................
Receivable from fund shares sold -- -- --
- -------------------------------------------------------------------------------------------------------------
Total Assets 823,484 1,934,519 5,312,875
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 105
.............................................................................................................
Payable for fund shares purchased -- -- --
.............................................................................................................
Total Liabilities -- -- 105
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $823,484 $1,934,519 $5,312,770
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Research
Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 458,551
Cost $7,351,305
....................................................................................................................................
Market Value: $19,965,321 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 21,753
Cost $241,474
....................................................................................................................................
Market Value: -- 257,993 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 21,155
Cost $341,430
....................................................................................................................................
Market Value: -- -- 482,119 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares 26,176
Cost $318,587
....................................................................................................................................
Market Value: -- -- -- 384,260
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 138,965
Cost $1,936,036
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 32,623
Cost $446,224
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 358,883
Cost $11,276,129
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 31 --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 19,965,321 257,993 482,150 384,260
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 479 -- -- --
....................................................................................................................................
Payable for fund shares purchased -- -- -- --
....................................................................................................................................
Total Liabilities 479 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $19,964,842 $257,993 $482,150 $384,260
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets and Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 458,551
Cost $7,351,305
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 21,753
Cost $241,474
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 21,155
Cost $341,430
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares 26,176
Cost $318,587
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 138,965
Cost $1,936,036
..................................................................................................................
Market Value: 2,358,235 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 32,623
Cost $446,224
..................................................................................................................
Market Value: -- 674,635 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 358,883
Cost $11,276,129
..................................................................................................................
Market Value: -- -- 23,775,969
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 29 --
..................................................................................................................
Receivable from fund shares sold -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 2,358,235 674,664 23,775,969
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 560
..................................................................................................................
Payable for fund shares purchased -- -- --
..................................................................................................................
Total Liabilities -- -- 560
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $2,358,235 $674,664 $23,775,409
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts
.......................................................................................................................
Asia Pacific Growth Fund 64,767 $18.686808 $ 1,210,288
.......................................................................................................................
Diversified Income Fund 128,686 14.042005 1,807,014
.......................................................................................................................
George Putnam Fund of Boston 22,378 10.295794 230,397
.......................................................................................................................
Global Asset Allocation 96,998 21.927140 2,126,886
.......................................................................................................................
Global Growth Fund 457,189 33.471090 15,302,617
.......................................................................................................................
Growth and Income Fund 956,028 24.100425 23,040,690
.......................................................................................................................
Health Sciences Fund 14,579 10.519869 153,369
.......................................................................................................................
High Yield Fund 279,558 15.218574 4,254,481
.......................................................................................................................
Income Fund 103,653 14.218077 1,473,744
.......................................................................................................................
International Growth Fund 29,546 22.074242 652,216
.......................................................................................................................
International Growth and Income Fund 21,932 16.555245 363,082
.......................................................................................................................
International New Opportunities Fund 35,144 23.431771 823,484
.......................................................................................................................
Investors Fund 128,834 15.015633 1,934,519
.......................................................................................................................
Money Market Fund 4,131,940 1.285781 5,312,770
.......................................................................................................................
New Opportunities Fund 479,433 41.642607 19,964,842
.......................................................................................................................
New Value Fund 20,592 12.528956 257,993
.......................................................................................................................
OTC & Emerging Fund 21,129 22.819670 482,150
.......................................................................................................................
Research Fund 24,034 15.988405 384,260
.......................................................................................................................
Utilities Growth and Income Fund 107,079 22.023304 2,358,235
.......................................................................................................................
Vista Fund 29,970 22.510986 674,664
.......................................................................................................................
Voyager Fund 597,181 39.812736 23,775,409
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $106,583,110
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $129,914 $ 5,405 $ 37,762
.............................................................................................................
Capital gains income -- -- 163 105,960
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments: -- -- -- --
.............................................................................................................
Net realized gain (loss)
on security transactions 45,471 5,011 (1,314) 2,471
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 621,953 (97,483) (10,248) 80,742
.............................................................................................................
Net gain (loss) on investments 667,424 (92,472) (11,562) 83,213
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $667,424 $ 37,442 $ (5,994) $226,935
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 40,415 $ 333,187 $ 131
..............................................................................................
Capital gains income 841,584 1,662,677 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments: -- -- --
..............................................................................................
Net realized gain (loss)
on security transactions 52,630 57,673 6,278
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,157,054 (1,678,496) (2,609)
..............................................................................................
Net gain (loss) on investments 5,209,684 (1,620,823) 3,669
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $6,091,683 $ 375,041 $3,800
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $491,596 $ 96,279 $ -- $ --
..................................................................................................................
Capital gains income -- 28,724 -- --
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................
Net realized (loss) gain
on security transactions (2,652) (22,882) 48,144 79
..................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (223,116) (138,575) 169,797 61,582
..................................................................................................................
Net (loss) gain on investments (225,768) (161,457) 217,941 61,661
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $265,828 $(36,454) $217,941 $61,661
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 131 $ -- $216,751
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized (loss) gain
on security transactions 8,376 3,456 --
.........................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 318,625 353,240 --
.........................................................................................
Net (loss) gain on investments 327,001 356,696 --
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $327,132 $356,696 $216,751
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 21 $ -- $ 716
.............................................................................................................
Capital gains income 189,948 4,496 1,522 11,189
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 488,152 (2,650) 51,542 405
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,675,568 (3,517) 139,457 64,088
.............................................................................................................
Net gain (loss) on investments 8,163,720 (6,167) 190,999 64,493
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $8,353,668 $(1,650) $192,521 $76,398
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1999 Growth Sub-Account Sub-Account
and Income
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $70,162 $ -- $ 18,669
.........................................................................................
Capital gains income 73,684 54,029 1,497,135
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions 14,954 16,019 113,569
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (166,499) 159,244 7,298,050
.........................................................................................
Net gain (loss) on investments (151,545) 175,263 7,411,619
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $(7,699) $229,292 $8,927,423
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 129,914 $ 5,405 $ 37,762
.............................................................................................................
Capital gains income -- -- 163 105,960
.............................................................................................................
Net realized gain (loss)
on security transactions 45,471 5,011 (1,314) 2,471
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 621,953 (97,483) (10,248) 80,742
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 667,424 37,442 (5,994) 226,935
.............................................................................................................
Unit transactions:
Purchases -- -- -- --
.............................................................................................................
Net transfers 27,497 49,344 234,816 129,536
.............................................................................................................
Surrenders for benefit
payments and fees (28,651) (100,584) (2,095) (102,727)
.............................................................................................................
Net annuity transactions -- -- (9,265) --
.............................................................................................................
Net loan activity (6,746) 626 -- (9,236)
.............................................................................................................
Cost of insurance (13,066) (29,566) (1,565) (30,337)
.............................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (20,966) (80,180) 221,891 (12,764)
.............................................................................................................
Total increase (decrease)
in net assets 646,458 (42,738) 215,897 214,171
.............................................................................................................
Net Assets:
Beginning of period 563,830 1,849,752 14,500 1,912,715
- -------------------------------------------------------------------------------------------------------------
End of period $1,210,288 $1,807,014 $230,397 $2,126,886
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 40,415 $ 333,187 $ 131
..............................................................................................
Capital gains income 841,584 1,662,677 --
..............................................................................................
Net realized gain (loss)
on security transactions 52,630 57,673 6,278
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,157,054 (1,678,496) (2,609)
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,091,683 375,041 3,800
..............................................................................................
Unit transactions:
Purchases -- -- --
..............................................................................................
Net transfers 311,554 397,435 42,633
..............................................................................................
Surrenders for benefit
payments and fees (333,482) (1,509,961) (2,107)
..............................................................................................
Net annuity transactions -- -- --
..............................................................................................
Net loan activity (82,849) (123,070) --
..............................................................................................
Cost of insurance (157,921) (369,081) (1,548)
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (262,698) (1,604,677) 38,978
..............................................................................................
Total increase (decrease)
in net assets 5,828,985 (1,229,636) 42,778
..............................................................................................
Net Assets:
Beginning of period 9,473,632 24,270,326 110,591
- ----------------------------------------------------------------------------------------------
End of period $15,302,617 $23,040,690 $153,369
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 491,596 $ 96,279 $ -- $ --
..................................................................................................................
Capital gains income -- 28,724 -- --
..................................................................................................................
Net realized (loss) gain
on security transactions (2,652) (22,882) 48,144 79
..................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (223,116) (138,575) 169,797 61,582
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 265,828 ($36,454) 217,941 61,661
..................................................................................................................
Unit transactions:
Purchases -- -- -- --
..................................................................................................................
Net transfers (268,618) 78,603 (116,662) 47,834
..................................................................................................................
Surrenders for benefit
payments and fees (378,866) (354,867) (35,148) (4,063)
..................................................................................................................
Net annuity transactions -- -- -- --
..................................................................................................................
Net loan activity (44,399) (21) -- --
..................................................................................................................
Cost of insurance (69,798) (26,228) (6,275) (4,675)
..................................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (761,681) (302,513) (158,085) 39,096
..................................................................................................................
Total (decrease) increase
in net assets (495,853) (338,967) 59,856 100,757
..................................................................................................................
Net Assets:
Beginning of period 4,750,334 1,812,711 592,360 262,325
- ------------------------------------------------------------------------------------------------------------------
End of period $4,254,481 $1,473,744 $652,216 $363,082
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 131 $ -- $ 216,751
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized (loss) gain
on security transactions 8,376 3,456 --
.........................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 318,625 353,240 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 327,132 356,696 216,751
.........................................................................................
Unit transactions:
Purchases -- -- 6,621,693
.........................................................................................
Net transfers 235,513 850,687 (2,437,017)
.........................................................................................
Surrenders for benefit
payments and fees (5,235) (50,045) (2,752,371)
.........................................................................................
Net annuity transactions -- -- --
.........................................................................................
Net loan activity -- (30,396) (210,660)
.........................................................................................
Cost of insurance (5,657) (19,196) (79,432)
.........................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions 224,621 751,050 1,142,213
.........................................................................................
Total (decrease) increase
in net assets 551,753 1,107,746 1,358,964
.........................................................................................
Net Assets:
Beginning of period 271,731 826,773 3,953,806
- -----------------------------------------------------------------------------------------
End of period $823,484 $1,934,519 $5,312,770
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 21 $ -- $ 716
.............................................................................................................
Capital gains income 189,948 4,496 1,522 11,189
.............................................................................................................
Net realized (loss) gain
on security transactions 488,152 (2,650) 51,542 405
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 7,675,568 (3,517) 139,457 64,088
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 8,353,668 (1,650) 192,521 76,398
.............................................................................................................
Unit transactions:
Purchases -- -- -- --
.............................................................................................................
Net transfers (567,694) 13,661 407,082 312,600
.............................................................................................................
Surrenders for benefit
payments and fees (607,516) (5,830) (125,131) (6,697)
.............................................................................................................
Net annuity transactions -- -- -- --
.............................................................................................................
Net loan activity (125,226) -- -- (11,893)
.............................................................................................................
Cost of insurance (216,282) (4,162) (1,462) (3,808)
.............................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (1,516,718) 3,669 280,489 290,202
.............................................................................................................
Total increase (decrease)
in net assets 6,836,950 2,019 473,010 366,600
.............................................................................................................
Net Assets:
Beginning of period 13,127,892 255,974 9,140 17,660
- -------------------------------------------------------------------------------------------------------------
End of period $19,964,842 $257,993 $482,150 $384,260
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1999 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 70,162 $ -- $ 18,669
..............................................................................................
Capital gains income 73,684 54,029 1,497,135
..............................................................................................
Net realized (loss) gain
on security transactions 14,954 16,019 113,569
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (166,499) 159,244 7,298,050
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations (7,699) 229,292 8,927,423
..............................................................................................
Unit transactions:
Purchases -- -- --
..............................................................................................
Net transfers 303,601 127,089 (179,495)
..............................................................................................
Surrenders for benefit
payments and fees (317,707) (35,910) (1,093,644)
..............................................................................................
Net annuity transactions -- -- --
..............................................................................................
Net loan activity (2,644) -- (83,600)
..............................................................................................
Cost of insurance (38,707) (6,638) (271,789)
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (55,457) 84,541 (1,628,528)
..............................................................................................
Total increase (decrease)
in net assets (63,156) 313,833 7,298,895
..............................................................................................
Net Assets:
Beginning of period 2,421,391 360,831 16,476,514
- ----------------------------------------------------------------------------------------------
End of period $2,358,235 $674,664 $23,775,409
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 32,285 $ 70,490 $ 43 $ 41,230
..................................................................................................................
Capital gains income -- 29,940 -- 177,098
..................................................................................................................
Net realized (loss) gain
on security transactions (41,207) 1,671 1 (1,329)
..................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (39,426) (131,240) 293 20,104
..................................................................................................................
Net (decrease) increase
in net assets resulting
from operations (48,348) (29,139) 337 237,103
..................................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
..................................................................................................................
Net transfers (26,828) 328,011 3,811 (36,615)
..................................................................................................................
Surrenders for benefit
payments and fees (92,345) (54,287) 96 (33,858)
..................................................................................................................
Net loan activity (4,990) 442 9,265 (1,979)
..................................................................................................................
Cost of insurance (4,390) (12,619) (9) (12,944)
..................................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (128,553) 261,547 14,163 (85,396)
..................................................................................................................
Total increase (decrease)
in net assets (176,901) 232,408 14,500 151,707
..................................................................................................................
Net Assets:
Beginning of period 740,731 1,617,344 -- 1,761,008
- ------------------------------------------------------------------------------------------------------------------
End of period $563,830 $1,849,752 $14,500 $1,912,715
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 214,168 $ 360,949 $ 97
..............................................................................................
Capital gains income 1,070,840 2,356,273 --
..............................................................................................
Net realized (loss) gain
on security transactions (1,364) (18,503) (8,309)
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 920,126 488,209 9,534
..............................................................................................
Net (decrease) increase
in net assets resulting
from operations 2,203,770 3,186,928 1,322
..............................................................................................
Unit transactions:
Purchases 68 68 1,000
..............................................................................................
Net transfers 54,962 2,023,631 109,086
..............................................................................................
Surrenders for benefit
payments and fees (301,472) (1,114,383) (590)
..............................................................................................
Net loan activity (15,579) 38,426 --
..............................................................................................
Cost of insurance (55,333) (138,157) (227)
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (317,354) 809,585 109,269
..............................................................................................
Total increase (decrease)
in net assets 1,886,416 3,996,513 110,591
..............................................................................................
Net Assets:
Beginning of period 7,587,216 20,273,813 --
- ----------------------------------------------------------------------------------------------
End of period $9,473,632 $24,270,326 $110,591
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account** Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 364,870 $ 80,167 $ 1,961 $ 3,220
.............................................................................................................
Capital gains income 57,254 2,087 -- 8,262
.............................................................................................................
Net realized (loss) gain
on security transactions (37,700) 2,683 (2,248) (13,163)
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (723,080) 36,983 78,151 9,351
.............................................................................................................
Net (decrease) increase
in net assets resulting
from operations (338,656) 121,920 77,864 7,670
.............................................................................................................
Unit transactions:
Purchases -- -- -- --
.............................................................................................................
Net transfers 904,461 252,563 376,363 95,761
.............................................................................................................
Surrenders for benefit
payments and fees (153,503) (52,978) (4,974) (5,988)
.............................................................................................................
Net loan activity (28,064) 2,786 (764) (886)
.............................................................................................................
Cost of insurance (32,618) (11,466) (2,123) (1,476)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 690,276 190,905 368,502 87,411
.............................................................................................................
Total increase (decrease)
in net assets 351,620 312,825 446,366 95,081
.............................................................................................................
Net Assets:
Beginning of period 4,398,714 1,499,886 145,994 167,244
- -------------------------------------------------------------------------------------------------------------
End of period $4,750,334 $1,812,711 $592,360 $262,325
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 439 $ 1,060 $ 187,481
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized (loss) gain
on security transactions (2,535) (937) --
.........................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 30,988 135,571 --
.........................................................................................
Net (decrease) increase
in net assets resulting
from operations 28,892 135,694 187,481
.........................................................................................
Unit transactions:
Purchases -- 1,000 7,126,691
.........................................................................................
Net transfers 56,466 694,266 (6,976,297)
.........................................................................................
Surrenders for benefit
payments and fees (6,199) (3,048) (92,978)
.........................................................................................
Net loan activity (2,292) 0 (144,914)
.........................................................................................
Cost of insurance (1,692) (1,139) (28,775)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 46,283 691,079 (116,273)
.........................................................................................
Total increase (decrease)
in net assets 75,175 826,773 71,208
.........................................................................................
Net Assets:
Beginning of period 196,556 -- 3,882,598
- -----------------------------------------------------------------------------------------
End of period $271,731 $826,773 $3,953,806
- -----------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1998 Opportunities Value Emerging Growth Sub-Account**
Sub-Account Sub-Account Sub-Account*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 5,037 $ 4 $ 28
..................................................................................................................
Capital gains income 159,622 5,627 -- 1
..................................................................................................................
Net realized (loss) gain
on security transactions (29,156) 515 1 1
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,419,602 5,488 1,232 1,585
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,550,068 16,667 1,237 1,615
..................................................................................................................
Unit transactions:
Purchases 68 -- 1,000 1,000
..................................................................................................................
Net transfers 704,490 (40,034) 6,935 15,104
..................................................................................................................
Surrenders for benefit
payments and fees (508,652) (10,026) (22) (42)
..................................................................................................................
Net loan activity (12,156) 222 -- (17)
..................................................................................................................
Cost of insurance (74,421) (1,702) (10) 0
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 109,329 (51,540) 7,903 16,045
..................................................................................................................
Total increase (decrease)
in net assets 2,659,397 (34,873) 9,140 17,660
..................................................................................................................
Net Assets:
Beginning of period 10,468,495 290,847 -- --
- ------------------------------------------------------------------------------------------------------------------
End of period $13,127,892 $255,974 $9,140 $17,660
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 61,115 $ -- $ 33,492
..............................................................................................
Capital gains income 105,334 -- 817,198
..............................................................................................
Net realized (loss) gain
on security transactions 551 (4,666) (39,065)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 134,073 48,979 2,366,551
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 301,073 44,313 3,178,176
..............................................................................................
Unit transactions:
Purchases -- -- 68
..............................................................................................
Net transfers 227,820 140,107 1,085,936
..............................................................................................
Surrenders for benefit
payments and fees (76,662) (4,900) (619,410)
..............................................................................................
Net loan activity 6,862 -- (12,339)
..............................................................................................
Cost of insurance (15,317) (1,419) (92,192)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 142,703 133,788 362,063
..............................................................................................
Total increase (decrease)
in net assets 443,776 178,101 3,540,239
..............................................................................................
Net Assets:
Beginning of period 1,977,615 182,730 12,936,275
- ----------------------------------------------------------------------------------------------
End of period $2,421,391 $360,831 $16,476,514
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of 1940,
as amended. Both the Company and the Account are subject to supervision
and regulation by the Department of Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life policyowners of
the Company in various mutual funds (the Funds) as directed by the
policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit values are
executed at fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the contracts, the
Company assesses deductions for costs of insurance charges to cover the
Company's anticipated mortality costs. Because a policy's account value
and death benefit may vary from month to month, the cost of insurance
charges may also vary.
B) Mortality and Expense Undertakings -- The Company, as issuer of
variable life policies, provides the mortality and expense undertakings
and, with respect to the Account, receives a maximum annual fee of 0.90%
of the Account's average daily net assets. The Company also provides
administrative services and receives an annual fee of 0.40% of the
Account's average daily net assets. These charges are reflected in
surrenders for benefit payments and fees on the accompanying statements
of changes in net assets.
C) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable
policyowners' accounts, in accordance with the terms of the contracts. In
addition, certain other charges may apply based on the characteristics of
the underlying policy. These charges are reflected in surrenders for
benefit payments and fees on the accompanying statements of changes in net
assets.
D) Tax Expense Charge -- The Company will deduct monthly from the account
value a tax expense charge equal to an annual rate of 0.40% for the first
ten years. During the first nine policy years, a premium tax charge will
be imposed on full or partial surrenders at a maximum rate of 2.25%.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Putnam Capital Manager
Trust Separate Account Two and to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Putnam Capital Manager Trust
Separate Account Two (Asia Pacific Growth, Diversified Income, The George
Putnam Fund of Boston, Global Asset Allocation, Global Growth, Growth and
Income, Health Sciences, High Yield, Income, International Growth,
International Growth and Income, International New Opportunities,
Investors, Money Market, New Opportunities, New Value, OTC & Emerging
Growth, Research, Small Cap Value, Utilities Growth and Income, Vista, and
Voyager sub-accounts), (collectively, the Account) as of December 31,
1999, and the related statements of operations and the statements of
changes in net assets for the periods presented. These financial
statements are the responsibility of the Account's management. Our
responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes
in its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 8,164,267
Cost $86,150,675
....................................................................................................................................
Market Value: $141,160,176 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 118,826
Cost $1,680,674
....................................................................................................................................
Market Value: 2,049,744 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 28,007,591
Cost $295,063,345
....................................................................................................................................
Market Value: -- 278,115,382 -- --
....................................................................................................................................
Class IB
Shares 339,151
Cost $3,421,309
....................................................................................................................................
Market Value: -- 3,360,984 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 15,096,173
Cost $154,452,045
....................................................................................................................................
Market Value: -- -- 150,659,802 --
....................................................................................................................................
Class IB
Shares 833,953
Cost $8,598,066
....................................................................................................................................
Market Value: -- -- 8,322,853 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 25,800,902
Cost $397,088,223
....................................................................................................................................
Market Value: -- -- -- 505,955,690
....................................................................................................................................
Class IB
Shares 129,139
Cost $2,315,986
....................................................................................................................................
Market Value: -- -- -- 2,531,118
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 54,676,767
Cost $832,832,666
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 199,296
Cost $4,072,524
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 171,340,570
Cost $3,898,527,366
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 888,514
Cost $24,673,928
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- -- 15,297 --
....................................................................................................................................
Receivable from fund shares sold 1,730,616 103,075 -- 113,635
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 144,940,536 281,579,441 158,997,952 508,600,443
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 1,729,202 103,325 14,889 109,957
....................................................................................................................................
Payable for fund shares purchased -- -- -- --
....................................................................................................................................
Total Liabilities 1,729,202 103,325 14,889 109,957
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $143,211,334 $281,476,116 $158,983,063 $508,490,486
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth
Growth and Income
Sub-Account Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Asia Pacific Growth Fund
Class IA
Shares 8,164,267
Cost $86,150,675
...................................................................................................
Market Value: $ -- $ --
...................................................................................................
Class IB
Shares 118,826
Cost $1,680,674
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Class IA
Shares 28,007,591
Cost $295,063,345
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 339,151
Cost $3,421,309
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Class IA
Shares 15,096,173
Cost $154,452,045
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 833,953
Cost $8,598,066
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Class IA
Shares 25,800,902
Cost $397,088,223
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 129,139
Cost $2,315,986
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Class IA
Shares 54,676,767
Cost $832,832,666
...................................................................................................
Market Value: 1,667,094,623 --
...................................................................................................
Class IB
Shares 199,296
Cost $4,072,524
...................................................................................................
Market Value: 6,060,601 --
- ---------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Class IA
Shares 171,340,570
Cost $3,898,527,366
...................................................................................................
Market Value: -- 4,591,927,277
...................................................................................................
Class IB
Shares 888,514
Cost $24,673,928
...................................................................................................
Market Value: -- 23,767,757
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- --
...................................................................................................
Receivable from fund shares sold 657,802 1,392,712
- ---------------------------------------------------------------------------------------------------
Total Assets 1,673,813,026 4,617,087,746
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 654,492 1,392,393
...................................................................................................
Payable for fund shares purchased -- --
...................................................................................................
Total Liabilities 654,492 1,392,393
- ---------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $1,673,158,534 $4,615,695,353
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Health High Yield Income International
Sciences Sub-Account Sub-Account Growth
Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 12,133,439
Cost $122,451,187
....................................................................................................................................
Market Value: $127,401,113 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 509,962
Cost $5,171,854
....................................................................................................................................
Market Value: 5,349,498 -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 45,558,570
Cost $561,878,289
....................................................................................................................................
Market Value: -- 505,244,538 -- --
....................................................................................................................................
Class IB
Shares 466,340
Cost $5,316,587
....................................................................................................................................
Market Value: -- 5,167,047 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Class IA
Shares 27,752,955
Cost $367,752,738
....................................................................................................................................
Market Value: -- -- 347,466,992 --
....................................................................................................................................
Class IB
Shares 402,262
Cost $5,379,676
....................................................................................................................................
Market Value: -- -- 5,032,292 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 15,791,946
Cost $203,516,312
....................................................................................................................................
Market Value: -- -- -- 341,895,626
....................................................................................................................................
Class IB
Shares 388,175
Cost $5,980,248
....................................................................................................................................
Market Value: -- -- -- 8,392,352
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 15,115,224
Cost $178,072,228
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 136,080
Cost $1,741,404
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 8,076,391
Cost $93,926,382
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 89,975
Cost $1,529,608
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 100,323 -- -- 1,684,804
....................................................................................................................................
Receivable from fund shares sold -- 515,690 1,346,438 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 132,850,934 510,927,275 353,845,722 351,972,782
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 509,621 1,346,756 --
....................................................................................................................................
Payable for fund shares purchased 99,487 -- -- 1,681,590
....................................................................................................................................
Total Liabilities 99,487 509,621 1,346,756 1,681,590
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $132,751,447 $510,417,654 $352,498,966 $350,291,192
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- --------------------------------------------------------------------------------------------------------
December 31, 1999 International International
Growth New
and Income Opportunities
Assets Sub-Account Sub-Account
Investments:
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Health Sciences Fund
Class IA
Shares 12,133,439
Cost $122,451,187
........................................................................................................
Market Value: $ -- $ --
........................................................................................................
Class IB
Shares 509,962
Cost $5,171,854
........................................................................................................
Market Value: -- --
- --------------------------------------------------------------------------------------------------------
Putnam VT High Yield Fund
Class IA
Shares 45,558,570
Cost $561,878,289
........................................................................................................
Market Value: -- --
........................................................................................................
Class IB
Shares 466,340
Cost $5,316,587
........................................................................................................
Market Value: -- --
- --------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Class IA
Shares 27,752,955
Cost $367,752,738
........................................................................................................
Market Value: -- --
........................................................................................................
Class IB
Shares 402,262
Cost $5,379,676
........................................................................................................
Market Value: -- --
- --------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Class IA
Shares 15,791,946
Cost $203,516,312
........................................................................................................
Market Value: -- --
........................................................................................................
Class IB
Shares 388,175
Cost $5,980,248
........................................................................................................
Market Value: -- --
- --------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Class IA
Shares 15,115,224
Cost $178,072,228
........................................................................................................
Market Value: 230,507,159 --
........................................................................................................
Class IB
Shares 136,080
Cost $1,741,404
........................................................................................................
Market Value: 2,071,137 --
- --------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Class IA
Shares 8,076,391
Cost $93,926,382
........................................................................................................
Market Value: -- 188,260,674
........................................................................................................
Class IB
Shares 89,975
Cost $1,529,608
........................................................................................................
Market Value: -- 2,094,615
- --------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 1,251,485
........................................................................................................
Receivable from fund shares sold 140,472 --
- --------------------------------------------------------------------------------------------------------
Total Assets 232,718,768 191,606,774
- --------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 135,895 --
........................................................................................................
Payable for fund shares purchased -- 1,251,926
........................................................................................................
Total Liabilities 135,895 1,251,926
- --------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $232,582,873 $190,354,848
- --------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Investors Money New New
Sub-Account Market Opportunities Value
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Investors Fund
Class IA
Shares 30,164,408
Cost $349,269,765
....................................................................................................................................
Market Value: $457,292,432 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 1,078,429
Cost $12,935,387
....................................................................................................................................
Market Value: 16,316,630 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Class IA
Shares 424,468,789
Cost $424,468,789
....................................................................................................................................
Market Value: -- 424,468,789 -- --
....................................................................................................................................
Class IB
Shares 19,928,941
Cost $19,928,941
....................................................................................................................................
Market Value: -- 19,928,941 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 59,760,365
Cost $999,465,884
....................................................................................................................................
Market Value: -- -- 2,601,966,304 --
....................................................................................................................................
Class IB
Shares 307,466
Cost $9,085,292
....................................................................................................................................
Market Value: -- -- 13,356,331 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 12,503,473
Cost $139,318,083
....................................................................................................................................
Market Value: -- -- -- 148,291,185
....................................................................................................................................
Class IB
Shares 102,442
Cost $1,311,136
....................................................................................................................................
Market Value: -- -- -- 1,213,934
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 4,950,391
Cost $63,675,767
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 210,909
Cost $2,782,260
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 5,410,055
Cost $67,742,678
....................................................................................................................................
Market Value: -- -- -- --
....................................................................................................................................
Class IB
Shares 232,627
Cost $2,948,089
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 5,630,819 1,443,139 --
....................................................................................................................................
Receivable from fund shares sold 632,546 -- -- 56,471
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 474,241,608 450,028,549 2,616,765,774 149,561,590
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 631,523 -- -- 56,077
....................................................................................................................................
Payable for fund shares purchased -- 5,604,821 1,438,686 --
....................................................................................................................................
Total Liabilities 631,523 5,604,821 1,438,686 56,077
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $473,610,085 $444,423,728 $2,615,327,088 $149,505,513
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 OTC & Research
Emerging Growth Sub-Account
Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Investors Fund
Class IA
Shares 30,164,408
Cost $349,269,765
...................................................................................................
Market Value: $ -- $ --
...................................................................................................
Class IB
Shares 1,078,429
Cost $12,935,387
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Class IA
Shares 424,468,789
Cost $424,468,789
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 19,928,941
Cost $19,928,941
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Opportunities Fund
Class IA
Shares 59,760,365
Cost $999,465,884
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 307,466
Cost $9,085,292
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Class IA
Shares 12,503,473
Cost $139,318,083
...................................................................................................
Market Value: -- --
...................................................................................................
Class IB
Shares 102,442
Cost $1,311,136
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Class IA
Shares 4,950,391
Cost $63,675,767
...................................................................................................
Market Value: 112,819,407 --
...................................................................................................
Class IB
Shares 210,909
Cost $2,782,260
...................................................................................................
Market Value: 4,800,280 --
- ---------------------------------------------------------------------------------------------------
Putnam Research Fund
Class IA
Shares 5,410,055
Cost $67,742,678
...................................................................................................
Market Value: -- 79,419,609
...................................................................................................
Class IB
Shares 232,627
Cost $2,948,089
...................................................................................................
Market Value: -- 3,412,641
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 659,310 155,665
...................................................................................................
Receivable from fund shares sold -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 118,278,997 82,987,915
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...................................................................................................
Payable for fund shares purchased 663,751 155,386
...................................................................................................
Total Liabilities 663,751 155,386
- ---------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $117,615,246 $82,832,529
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Small Cap Utilities Vista Voyager
Value Growth Sub-Account Sub-Account
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Small Cap Value Fund
Class IA
Shares 685,439
Cost $7,029,557
....................................................................................................................................
Market Value: $7,066,881 $ -- $ -- $ --
....................................................................................................................................
Class IB
Shares 24,059
Cost $241,470
....................................................................................................................................
Market Value: 247,804 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth and Income Fund
Class IA
Shares 25,240,672
Cost $331,561,067
....................................................................................................................................
Market Value: -- 428,334,208 -- --
....................................................................................................................................
Class IB
Shares 205,705
Cost $3,543,420
....................................................................................................................................
Market Value: -- 3,486,707 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Class IA
Shares 15,228,334
Cost $197,026,952
....................................................................................................................................
Market Value: -- -- 314,921,952 --
....................................................................................................................................
Class IB
Shares 199,426
Cost $3,121,455
....................................................................................................................................
Market Value: -- -- 4,118,153 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Class IA
Shares 69,226,003
Cost $2,168,184,774
....................................................................................................................................
Market Value: -- -- -- 4,586,222,714
....................................................................................................................................
Class IB
Shares 393,685
Cost $18,531,590
....................................................................................................................................
Market Value: -- -- -- 26,026,499
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 73,644 -- 336,876 --
....................................................................................................................................
Receivable from fund shares sold -- 425,739 -- 7,214,771
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 7,388,329 432,246,654 319,376,981 4,619,463,984
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 73,652 432,697 -- 7,207,404
....................................................................................................................................
Payable for fund shares purchased -- -- 337,716 --
....................................................................................................................................
Total Liabilities 73,652 432,697 337,716 7,207,404
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities) $7,314,677 $431,813,957 $319,039,265 $4,612,256,580
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
.......................................................................................................................
Asia Pacific Growth Fund Class IA 8,028,722 $17.505074 $ 140,543,371
.......................................................................................................................
Asia Pacific Growth Fund Class IA-ODBO 22,169 17.487776 387,695
.......................................................................................................................
Asia Pacific Growth Fund Class IB 95,288 21.510869 2,049,725
.......................................................................................................................
Asia Pacific Growth Fund Class IA 1,792 13.640437 24,446
.......................................................................................................................
Diversified Income Fund Class IA 22,091,792 12.532208 276,858,929
.......................................................................................................................
Diversified Income Fund Class IA-ODBO 41,940 12.519748 525,074
.......................................................................................................................
Diversified Income Fund Class IB 353,561 9.506090 3,360,984
.......................................................................................................................
Diversified Income Fund Class IA 2,422 10.248057 24,824
.......................................................................................................................
George Putnam Fund of Boston Class IA 14,824,919 10.063218 149,186,387
.......................................................................................................................
George Putnam Fund of Boston Class IA-ODBO 109,775 10.053218 1,103,588
.......................................................................................................................
George Putnam Fund of Boston Class IB 815,811 10.202363 8,323,203
.......................................................................................................................
George Putnam Fund of Boston Class IA 4,126 10.185844 42,028
.......................................................................................................................
Global Asset Allocation Class IA 15,126,264 33.370480 504,770,693
.......................................................................................................................
Global Asset Allocation Class IA-ODBO 5,104 33.337419 170,163
.......................................................................................................................
Global Asset Allocation Class IB 226,057 11.214258 2,535,058
.......................................................................................................................
Global Growth Fund Class IA 40,918,337 40.579891 1,660,461,667
.......................................................................................................................
Global Growth Fund Class IA-ODBO 22,090 40.539605 895,512
.......................................................................................................................
Global Growth Fund Class IB 358,559 16.902971 6,060,710
.......................................................................................................................
Global Growth Fund Class IA 394 14.430213 5,691
.......................................................................................................................
Global Growth Fund Class IA 670 14.434805 9,671
.......................................................................................................................
Growth and Income Fund Class IA 100,158,425 45.646494 4,571,880,937
.......................................................................................................................
Growth and Income Fund Class IA-ODBO 142,435 45.601095 6,495,184
.......................................................................................................................
Growth and Income Fund Class IB 2,276,326 10.439556 23,763,833
.......................................................................................................................
Growth and Income Fund Class IA 6,096 10.307248 62,838
.......................................................................................................................
Growth and Income Fund Class IA 386 10.435648 4,031
.......................................................................................................................
Growth and Income Fund Class IA 46,684 10.310556 481,342
.......................................................................................................................
Health Sciences Fund Class IA 12,308,375 10.277002 126,493,199
.......................................................................................................................
Health Sciences Fund Class IA-ODBO 69,177 10.266794 710,227
.......................................................................................................................
Health Sciences Fund Class IB 524,340 10.202208 5,349,422
.......................................................................................................................
Health Sciences Fund Class IA 16,983 10.823834 183,819
.......................................................................................................................
High Yield Fund Class IA 20,314,509 24.798771 503,774,857
.......................................................................................................................
High Yield Fund Class IA-ODBO 35,500 24.774230 879,482
.......................................................................................................................
High Yield Fund Class IB 557,275 9.272015 5,167,059
.......................................................................................................................
High Yield Fund Class IA 1,013 10.353154 10,489
.......................................................................................................................
Income Fund Class IA 16,826,890 20.574405 346,203,245
.......................................................................................................................
Income Fund Class IA-ODBO 26,396 20.553973 542,552
.......................................................................................................................
Income Fund Class IB 507,058 9.924506 5,032,298
.......................................................................................................................
Income Fund Class IA 2,588 10.064946 26,046
.......................................................................................................................
International Growth Fund Class IA 16,044,373 21.164253 339,567,163
.......................................................................................................................
International Growth Fund Class IA-ODBO 70,676 21.143290 1,494,314
.......................................................................................................................
International Growth Fund Class IB 559,450 14.994851 8,388,870
.......................................................................................................................
International Growth Fund Class IA 412 13.202587 5,436
.......................................................................................................................
International Growth Fund Class IA 137 14.989280 2,056
.......................................................................................................................
International Growth Fund Class IA 5,356 13.206795 70,730
.......................................................................................................................
International Growth and Income Fund Class IA 14,448,694 15.876443 229,393,867
.......................................................................................................................
International Growth and Income Fund Class IA-ODBO 24,133 15.860687 382,762
.......................................................................................................................
International Growth and Income Fund Class IB 177,593 11.666065 2,071,811
.......................................................................................................................
International Growth and Income Fund Class IA 633 10.699171 6,772
.......................................................................................................................
International Growth and Income Fund Class IA 11,517 10.702604 123,267
.......................................................................................................................
International New Opportunities Fund Class IA 8,346,741 22.467545 187,530,768
.......................................................................................................................
International New Opportunities Fund Class IA-ODBO 15,967 22.445387 358,379
.......................................................................................................................
International New Opportunities Fund Class IB 109,928 19.040832 2,093,126
.......................................................................................................................
International New Opportunities Fund Class IA 2,401 15.150314 36,378
.......................................................................................................................
International New Opportunities Fund Class IA 54 19.033767 1,021
.......................................................................................................................
International New Opportunities Fund Class IA 7,279 15.155127 110,321
.......................................................................................................................
Investors Fund Class IA 30,741,357 14.669230 450,952,041
.......................................................................................................................
Investors Fund Class IA-ODBO 227,502 14.654665 3,333,964
.......................................................................................................................
Investors Fund Class IB 1,175,222 13.879211 16,311,156
.......................................................................................................................
Investors Fund Class IA 73,722 1.241746 91,544
.......................................................................................................................
Investors Fund Class IA 441 13.874033 6,121
.......................................................................................................................
Investors Fund Class IA 9,800 12.421449 121,734
.......................................................................................................................
Money Market Fund Class IA 266,226,784 1.590607 423,462,187
.......................................................................................................................
Money Market Fund Class IA-ODBO 377,012 1.589043 599,089
.......................................................................................................................
Money Market Fund Class IB 19,053,195 1.046003 19,929,699
.......................................................................................................................
New Opportunities Fund Class IA 62,623,770 41.424321 2,594,147,147
.......................................................................................................................
New Opportunities Fund Class IA-ODBO 58,706 41.383256 2,429,442
.......................................................................................................................
New Opportunities Fund Class IB 724,639 17.612101 12,762,422
.......................................................................................................................
New Opportunities Fund Class IA 4,197 14.591299 61,233
.......................................................................................................................
New Opportunities Fund Class IA 33,737 17.605549 593,965
.......................................................................................................................
New Opportunities Fund Class IA 13,371 14.595953 195,158
.......................................................................................................................
New Value Fund Class IA 12,278,279 12.014336 147,515,367
.......................................................................................................................
New Value Fund Class IA-ODBO 20,328 12.002423 243,982
.......................................................................................................................
New Value Fund Class IB 119,266 10.179473 1,214,063
.......................................................................................................................
New Value Fund Class IA 1,659 10.369967 17,202
.......................................................................................................................
New Value Fund Class IA 9,179 10.373288 95,218
.......................................................................................................................
OTC & Emerging Fund Class IA 5,011,644 22.292339 111,721,272
.......................................................................................................................
OTC & Emerging Fund Class IA-ODBO 45,373 22.270202 1,010,475
.......................................................................................................................
OTC & Emerging Fund Class IB 209,596 22.902047 4,800,176
.......................................................................................................................
OTC & Emerging Fund Class IA 2,314 16.351294 37,836
.......................................................................................................................
Research Fund Class IA 4,978,154 15.711958 78,216,554
.......................................................................................................................
Research Fund Class IA-ODBO 64,987 15.696369 1,020,066
.......................................................................................................................
Research Fund Class IB 217,731 15.673577 3,412,618
.......................................................................................................................
Research Fund Class IA 6,169 11.830791 72,990
.......................................................................................................................
Small Cap Value Fund Class IA 676,203 10.251449 6,932,057
.......................................................................................................................
Small Cap Value Fund Class IA-ODBO 6,157 10.241295 63,052
.......................................................................................................................
Small Cap Value Fund Class IB 23,907 10.234780 244,685
.......................................................................................................................
Small Cap Value Fund Class IA 304 10.230953 3,111
.......................................................................................................................
Small Cap Value Fund Class IA 6,610 10.858126 71,772
.......................................................................................................................
Utilities Growth and Income Fund Class IA 19,114,146 22.360175 427,395,648
.......................................................................................................................
Utilities Growth and Income Fund Class IA-ODBO 18,064 22.337937 403,518
.......................................................................................................................
Utilities Growth and Income Fund Class IB 322,461 10.813043 3,486,782
.......................................................................................................................
Utilities Growth and Income Fund Class IA 547 9.837365 5,378
.......................................................................................................................
Utilities Growth and Income Fund Class IA 313 9.840524 3,082
.......................................................................................................................
Vista Fund Class IA 14,524,443 21.587416 313,545,204
.......................................................................................................................
Vista Fund Class IA-ODBO 36,126 21.566047 779,095
.......................................................................................................................
Vista Fund Class IB 267,224 15.410501 4,118,049
.......................................................................................................................
Vista Fund Class IA 1,419 13.887315 19,704
.......................................................................................................................
Vista Fund Class IA 6,984 13.891759 97,015
.......................................................................................................................
Voyager Fund Class IA 52,778,506 86.478855 4,564,224,796
.......................................................................................................................
Voyager Fund Class IA-ODBO 72,256 86.393030 6,242,392
.......................................................................................................................
Voyager Fund Class IB 1,521,211 16.722826 25,438,943
.......................................................................................................................
Voyager Fund Class IA 35,238 16.716602 589,065
.......................................................................................................................
Voyager Fund Class IA 16,860 13.922138 234,722
.......................................................................................................................
Sub-total: 18,354,310,111
.......................................................................................................................
Annuity contracts in the annuity period:
.......................................................................................................................
Asia Pacific Growth Fund Class IA 11,774 17.505073 206,097
.......................................................................................................................
Diversified Income Fund Class IA 56,359 12.532208 706,305
.......................................................................................................................
George Putnam Fund of Boston Class IA 32,580 10.063218 327,857
.......................................................................................................................
Global Asset Allocation Class IA 30,403 33.370480 1,014,572
.......................................................................................................................
Global Growth Fund Class IA 141,087 40.579891 5,725,283
.......................................................................................................................
Growth and Income Fund Class IA 284,955 45.646494 13,007,188
.......................................................................................................................
Health Sciences Fund Class IA 1,438 10.277002 14,780
.......................................................................................................................
High Yield Fund Class IA 23,621 24.798772 585,767
.......................................................................................................................
Income Fund Class IA 33,771 20.574405 694,825
.......................................................................................................................
International Growth Fund Class IA 36,034 21.164253 762,623
.......................................................................................................................
International Growth and Income Fund Class IA 38,069 15.876443 604,394
.......................................................................................................................
International New Opportunities Fund Class IA 10,008 22.467545 224,855
.......................................................................................................................
Investors Fund Class IA 190,434 14.669230 2,793,526
.......................................................................................................................
Money Market Fund Class IA 272,068 1.590607 432,753
.......................................................................................................................
New Opportunities Fund Class IA 124,027 41.424321 5,137,721
.......................................................................................................................
New Value Fund Class IA 34,932 12.014336 419,681
.......................................................................................................................
OTC & Emerging Fund Class IA 2,040 22.292339 45,487
.......................................................................................................................
Research Fund Class IA 7,020 15.711958 110,301
.......................................................................................................................
Utilities Growth and Income Fund Class IA 23,235 22.360175 519,549
.......................................................................................................................
Vista Fund Class IA 22,244 21.587416 480,198
.......................................................................................................................
Voyager Fund Class IA 179,543 86.478855 15,526,662
.......................................................................................................................
Sub-total: 49,340,424
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $18,403,650,535
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $20,746,341 $ 3,704,509 $ 9,844,187
..................................................................................................................
Expenses:
..................................................................................................................
Mortality and expense
undertakings (1,029,107) (3,643,120) (1,565,208) (6,198,235)
..................................................................................................................
Capital gains income -- -- 209,660 27,622,270
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................
Net realized gain (loss)
on security transactions 3,372,520 (27,663) (22,537) 1,374,124
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 68,792,412 (15,765,873) (6,910,385) 16,671,019
..................................................................................................................
Net gain (loss) on investments 72,164,932 (15,793,536) (6,932,922) 18,045,143
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $71,135,825 $ 1,309,685 $ (4,583,961) $49,313,365
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Science
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 4,424,055 $ 66,564,980 $ 110,969
..............................................................................................
Expenses:
..............................................................................................
Mortality and expense
undertakings (14,519,780) (61,099,979) (1,414,934)
..............................................................................................
Capital gains income 92,127,086 332,181,427 --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized gain (loss)
on security transactions 5,846,550 (1,138,423) (28,666)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 562,391,239 (323,924,007) (2,478,737)
..............................................................................................
Net gain (loss) on investments 568,237,789 (325,062,430) (2,507,403)
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $650,269,150 $ 12,583,998 $(3,811,368)
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account * Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $59,497,439 $ 20,028,362 $ -- $ --
.............................................................................................................
Expenses:
.............................................................................................................
Mortality and expense
undertakings (6,840,418) (4,661,105) (2,787,802) (2,582,525)
.............................................................................................................
Capital gains income -- 5,975,488 -- --
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized (loss) gain
on security transactions (1,675,864) (340,290) 1,426,563 2,015,312
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (26,169,927) (33,473,692) 122,393,260 44,768,753
.............................................................................................................
Net (loss) gain on investments (27,845,791) (33,813,982) 123,819,823 46,784,065
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $24,811,230 $(12,471,237) $121,032,021 $44,201,540
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 35,183 $ -- $17,322,804
.........................................................................................
Expenses:
.........................................................................................
Mortality and expense
undertakings (1,296,333) (3,637,258) (4,566,036)
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized (loss) gain
on security transactions 3,852,890 (9,389) --
.........................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 88,295,799 94,977,419 --
.........................................................................................
Net (loss) gain on investments 92,148,689 94,968,030 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations $90,887,539 $91,330,772 $12,756,768
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Fund Sub-Account Sub-Account
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $ 12,285 $ -- $ 149,216
..................................................................................................................
Expenses:
..................................................................................................................
Mortality and expense
undertakings (22,036,093) (2,036,507) (494,549) (559,197)
..................................................................................................................
Capital gains income 22,256,056 2,599,425 291,321 2,100,941
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................
Net realized gain (loss)
on security transactions 5,451,734 (728,466) (51,111) 3,620
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,039,871,912 (2,677,084) 49,148,909 10,790,437
..................................................................................................................
Net gain (loss) on investments 1,045,323,646 (3,405,550) 49,097,798 10,794,057
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $1,045,543,609 $(2,830,347) $48,894,570 $12,485,017
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Small Cap Utilities Vista Voyager
December 31, 1999 Value Growth Sub-Account Sub-Account
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $12,574,469 $ -- $ 3,273,531
.............................................................................................................
Expenses:
.............................................................................................................
Mortality and expense
undertakings (31,728) (5,634,179) (2,718,771) (41,187,764)
.............................................................................................................
Capital gains income 22,625 13,206,014 22,637,128 262,577,634
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions (10,094) 2,108,928 33,227 721,485
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 43,658 (30,354,945) 83,347,036 1,425,647,055
.............................................................................................................
Net gain (loss) on investments 33,564 (28,246,017) 83,380,263 1,426,368,540
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $24,461 $(8,099,713) $103,298,620 $1,651,031,941
- -------------------------------------------------------------------------------------------------------------
*From inception, April 30, 1999, to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment (loss) gain $ (1,029,107) $ 17,103,221 $ 2,139,301 $ 3,645,952
.............................................................................................................
Capital gains income -- -- 209,660 27,622,270
.............................................................................................................
Net realized gain (loss)
on security transactions 3,372,520 (27,663) (22,537) 1,374,124
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 68,792,412 (15,765,873) (6,910,385) 16,671,019
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 71,135,825 1,309,685 (4,583,961) 49,313,365
.............................................................................................................
Unit Transactions:
Purchases 3,806,398 13,537,388 32,216,493 8,047,527
.............................................................................................................
Net transfers 19,229,603 (10,593,802) 71,992,971 (25,499,112)
.............................................................................................................
Surrenders for benefit
payments and fees (4,364,403) (20,757,282) (6,814,707) (29,383,107)
.............................................................................................................
Net annuity transactions 90,120 387,231 323,682 288,021
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 18,761,718 (17,426,465) 97,718,439 (46,546,671)
.............................................................................................................
Total increase (decrease)
in net assets 89,897,543 (16,116,780) 93,134,478 2,766,694
.............................................................................................................
Net Assets
Beginning of period 53,313,791 297,592,896 65,848,585 505,723,792
- -------------------------------------------------------------------------------------------------------------
End of period $143,211,334 $281,476,116 $158,983,063 $508,490,486
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment (loss) gain $ (10,095,725) $ 5,465,001 $ (1,303,965)
..............................................................................................
Capital gains income 92,127,086 332,181,427 --
..............................................................................................
Net realized gain (loss)
on security transactions 5,846,550 (1,138,423) (28,666)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 562,391,239 (323,924,007) (2,478,737)
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 650,269,150 12,583,998 (3,811,368)
..............................................................................................
Unit Transactions:
Purchases 30,766,152 203,654,134 26,786,549
..............................................................................................
Net transfers (6,965,041) 11,743,160 35,811,929
..............................................................................................
Surrenders for benefit
payments and fees (64,786,786) (313,086,698) (5,680,853)
..............................................................................................
Net annuity transactions 437,345 2,862,757 7,497
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (40,548,330) (94,826,645) 56,925,122
..............................................................................................
Total increase (decrease)
in net assets 609,720,820 (82,242,647) 53,113,754
..............................................................................................
Net Assets
Beginning of period 1,063,437,714 4,697,938,002 79,637,693
- ----------------------------------------------------------------------------------------------
End of period $1,673,158,534 $4,615,695,355 $132,751,447
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account * Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 52,657,021 $ 15,367,257 $ (2,787,802) $ (2,582,525)
.............................................................................................................
Capital gains income -- 5,975,488 -- --
.............................................................................................................
Net realized (loss) gain
on security transactions (1,675,864) (340,290) 1,426,563 2,015,312
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (26,169,927) (33,473,692) 122,393,260 44,768,753
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 24,811,230 (12,471,237) 121,032,021 44,201,540
.............................................................................................................
Unit Transactions:
Purchases 22,103,736 22,113,474 21,416,671 9,338,394
.............................................................................................................
Net transfers (55,561,867) 22,336,019 43,414,707 7,110,189
.............................................................................................................
Surrenders for benefit
payments and fees (43,017,635) (30,504,530) (8,882,207) (10,230,215)
.............................................................................................................
Net annuity transactions (33,122) 113,747 259,824 (68,629)
.............................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (76,508,888) 14,058,710 56,208,995 6,149,739
.............................................................................................................
Total (decrease) increase
in net assets (51,697,658) 1,587,473 177,241,016 50,351,279
.............................................................................................................
Net Assets
Beginning of period 562,115,312 350,911,493 173,050,176 182,231,594
- -------------------------------------------------------------------------------------------------------------
End of period $510,417,654 $352,498,966 $350,291,192 $232,582,873
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (1,261,150) $ (3,637,258) $ 12,756,768
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized (loss) gain
on security transactions 3,852,890 (9,389) --
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 88,295,799 94,977,419 --
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 90,887,539 91,330,772 12,756,768
..............................................................................................
Unit Transactions:
Purchases 6,456,992 76,548,331 49,910,299
..............................................................................................
Net transfers 18,917,457 185,287,199 216,517,696
..............................................................................................
Surrenders for benefit
payments and fees (6,103,547) (16,578,181) (121,065,526)
..............................................................................................
Net annuity transactions 156,001 1,811,456 274,104
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions 19,426,903 247,068,805 145,636,573
..............................................................................................
Total (decrease) increase
in net assets 110,314,442 338,399,577 158,393,341
..............................................................................................
Net Assets
Beginning of period 80,040,406 135,210,508 286,030,387
- ----------------------------------------------------------------------------------------------
End of period $190,354,848 $473,610,085 $444,423,728
- ----------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment (loss) income $ (22,036,093) $ (2,024,222) $ (494,549) $ (409,981)
..................................................................................................................
Capital gains income 22,256,056 2,599,425 291,321 2,100,941
..................................................................................................................
Net realized gain (loss)
on security transactions 5,451,734 (728,466) (51,111) 3,620
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,039,871,912 (2,677,084) 49,148,909 10,790,437
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,045,543,609 (2,830,347) 48,894,570 12,485,017
..................................................................................................................
Unit Transactions:
Purchases 70,100,418 8,191,732 8,984,358 16,494,882
..................................................................................................................
Net transfers 33,449,655 (2,806,534) 44,505,495 42,014,115
..................................................................................................................
Surrenders for benefit
payments and fees (94,557,079) (8,355,209) (1,966,594) (2,168,283)
..................................................................................................................
Net annuity transactions 839,512 43,123 20,689 95,277
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 9,832,506 (2,926,888) 51,543,948 56,435,991
..................................................................................................................
Total increase (decrease)
in net assets 1,055,376,115 (5,757,235) 100,438,518 68,921,008
..................................................................................................................
Net Assets
Beginning of period 1,559,950,973 155,262,748 17,176,728 13,911,521
- ------------------------------------------------------------------------------------------------------------------
End of period $2,615,327,088 $149,505,513 $117,615,246 $82,832,529
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended Small Cap Utilities Vista Voyager
December 31, 1999 Value Growth Sub-Account Sub-Account
Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment (loss) income $ (31,728) $ 6,940,290 $ (2,718,771) $ (37,914,233)
..................................................................................................................
Capital gains income 22,625 13,206,014 22,637,128 262,577,634
..................................................................................................................
Net realized gain (loss)
on security transactions (10,094) 2,108,928 33,227 721,485
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 43,658 (30,354,945) 83,347,036 1,425,647,055
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 24,461 (8,099,713) 103,298,620 1,651,031,941
..................................................................................................................
Unit Transactions:
Purchases 1,292,420 17,307,803 16,637,471 148,997,226
..................................................................................................................
Net transfers 6,150,077 6,544,954 28,831,699 120,612,605
..................................................................................................................
Surrenders for benefit
payments and fees (152,281) (33,444,261) (12,112,147) (189,360,075)
..................................................................................................................
Net annuity transactions -- 71,129 119,647 2,330,058
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 7,290,216 (9,520,375) 33,476,670 82,579,814
..................................................................................................................
Total increase (decrease)
in net assets 7,314,677 (17,620,088) 136,775,290 1,733,611,755
..................................................................................................................
Net Assets
Beginning of period -- 449,434,045 182,263,975 2,878,644,825
- ------------------------------------------------------------------------------------------------------------------
End of period $7,314,677 $431,813,957 $319,039,265 $4,612,256,580
- ------------------------------------------------------------------------------------------------------------------
*From inception, April 30, 1999, to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,983,854 $ 7,773,682 $ 290,393 $ 3,657,599
.............................................................................................................
Capital gains income -- 5,008,700 -- 44,644,942
.............................................................................................................
Net realized (loss) gain
on security transactions (2,643,384) (10,560) (77) (1,101,556)
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (4,019,185) (21,217,526) 2,842,929 5,910,330
.............................................................................................................
Net (decrease) increase
in net assets resulting
from operations (4,678,715) (8,445,704) 3,133,245 53,111,315
.............................................................................................................
Unit Transactions:
Purchases 3,701,343 33,956,636 22,958,516 24,919,757
.............................................................................................................
Net transfers (11,415,291) 17,449,089 40,402,664 (3,015,745)
.............................................................................................................
Surrenders for benefit
payments and fees (2,634,973) (15,560,109) (660,976) (20,755,078)
.............................................................................................................
Net annuity transactions 7,452 108,092 15,136 38,867
.............................................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (10,341,469) 35,953,708 62,715,340 1,187,801
.............................................................................................................
Total (decrease) increase
in net assets (15,020,184) 27,508,004 65,848,585 54,299,116
.............................................................................................................
Net Assets
Beginning of period 68,333,975 270,084,892 -- 451,424,676
- -------------------------------------------------------------------------------------------------------------
End of period $53,313,791 $297,592,896 $65,848,585 $505,723,792
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 10,660,832 $ 9,588,435 $ (265,972)
..............................................................................................
Capital gains income 119,580,624 449,520,386 --
..............................................................................................
Net realized (loss) gain
on security transactions (2,048,000) (2,692,306) (40,455)
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 103,901,524 87,694,015 7,606,308
..............................................................................................
Net (decrease) increase
in net assets resulting
from operations 232,094,980 544,110,530 7,299,881
..............................................................................................
Unit Transactions:
Purchases 40,146,277 391,563,606 26,776,582
..............................................................................................
Net transfers (16,693,380) 178,476,225 46,345,740
..............................................................................................
Surrenders for benefit
payments and fees (42,527,743) (203,033,706) (791,265)
..............................................................................................
Net annuity transactions 780,680 3,076,200 6,755
..............................................................................................
Net (decrease) increase
in net assets resulting
from unit transactions (18,294,166) 370,082,325 72,337,812
..............................................................................................
Total (decrease) increase
in net assets 213,800,814 914,192,855 79,637,693
..............................................................................................
Net Assets
Beginning of period 849,636,900 3,783,745,147 --
- ----------------------------------------------------------------------------------------------
End of period $1,063,437,714 $4,697,938,002 $79,637,693
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account*** Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 37,390,576 $ 9,107,847 $ (1,215,665) $ 123,840
.............................................................................................................
Capital gains income 7,154,195 339,070 -- 6,025,944
.............................................................................................................
Net realized (loss) gain
on security transactions (441,473) (333) 925,343 1,131,061
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (87,363,215) 8,314,527 16,747,707 4,828,897
.............................................................................................................
Net (decrease) increase
in net assets resulting
from operations (43,259,917) 17,761,111 16,457,385 12,109,742
.............................................................................................................
Unit Transactions:
Purchases 72,624,888 37,202,879 33,867,169 28,578,698
.............................................................................................................
Net transfers 12,770,669 83,756,988 46,801,653 30,062,010
.............................................................................................................
Surrenders for benefit
payments and fees (33,136,210) (21,228,886) (3,887,820) (5,364,128)
.............................................................................................................
Net annuity transactions 51,619 379,477 185,497 110,000
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 52,310,966 100,110,458 76,966,499 53,386,580
.............................................................................................................
Total increase (decrease)
in net assets 9,051,049 117,871,569 93,423,884 65,496,322
.............................................................................................................
Net Assets
Beginning of period 553,064,263 233,039,924 79,626,292 116,735,272
- -------------------------------------------------------------------------------------------------------------
End of period $562,115,312 $350,911,493 $173,050,176 $182,231,594
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ (885,013) $ (329,888) $ 8,443,527
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized (loss) gain
on security transactions 643,101 9,797 --
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 10,000,358 16,426,490 --
..............................................................................................
Net (decrease) increase
in net assets resulting
from operations 9,758,446 16,106,399 8,443,527
..............................................................................................
Unit Transactions:
Purchases 8,986,296 36,748,793 69,440,184
..............................................................................................
Net transfers 22 83,171,689 84,802,844
..............................................................................................
Surrenders for benefit
payments and fees (2,835,620) (1,228,854) (57,809,657)
..............................................................................................
Net annuity transactions 5,654 412,481 105,102
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,156,352 119,104,109 96,538,473
..............................................................................................
Total increase (decrease)
in net assets 15,914,798 135,210,508 104,982,000
..............................................................................................
Net Assets
Beginning of period 64,125,608 -- 181,048,387
- ----------------------------------------------------------------------------------------------
End of period $80,040,406 $135,210,508 $286,030,387
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
***Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1998 Opportunities Value Emerging Growth Sub-Account**
Sub-Account Sub-Account Sub-Account*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment (loss) income $ (18,820,230) $ 778,978 $ (63,507) $ (4,105)
..................................................................................................................
Capital gains income 18,663,729 2,710,447 -- 1,054
..................................................................................................................
Net realized (loss) gain
on security transactions (5,582,249) (77,945) (5,586) (25)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 284,218,314 3,462,804 2,012,751 1,351,047
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 278,479,564 6,874,284 1,943,658 1,347,971
..................................................................................................................
Unit Transactions:
Purchases 100,408,112 24,038,360 4,950,556 1,647,789
..................................................................................................................
Net transfers 18,404,946 11,223,213 10,400,668 10,968,597
..................................................................................................................
Surrenders for benefit
payments and fees (50,246,741) (5,866,336) (118,154) (52,836)
..................................................................................................................
Net annuity transactions 103,931 42,793 -- --
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 68,670,248 29,438,030 15,233,070 12,563,550
..................................................................................................................
Total increase (decrease)
in net assets 347,149,812 36,312,314 17,176,728 13,911,521
..................................................................................................................
Net Assets
Beginning of period 1,212,801,161 118,950,434 -- --
- ------------------------------------------------------------------------------------------------------------------
End of period $1,559,950,973 $155,262,748 $17,176,728 $13,911,521
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment (loss) income $ 5,455,978 $ (1,899,386) $ (28,562,774)
..............................................................................................
Capital gains income 18,737,853 -- 139,641,873
..............................................................................................
Net realized (loss) gain
on security transactions (18,444) (244,730) (6,215,151)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 26,881,495 24,961,915 407,773,124
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 51,056,882 22,817,799 512,637,072
..............................................................................................
Unit Transactions:
Purchases 35,162,888 35,890,384 199,996,300
..............................................................................................
Net transfers 29,486,383 30,156,192 84,727,443
..............................................................................................
Surrenders for benefit
payments and fees (20,582,321) (4,767,016) (106,034,590)
..............................................................................................
Net annuity transactions 138,914 171,740 1,865,032
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 44,205,864 61,451,300 180,554,185
..............................................................................................
Total increase (decrease)
in net assets 95,262,746 84,269,099 693,191,257
..............................................................................................
Net Assets
Beginning of period 354,171,299 97,994,876 2,185,453,568
- ----------------------------------------------------------------------------------------------
End of period $449,434,045 $182,263,975 $2,878,644,825
- ----------------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
**From inception, October 1, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a
separate investment account within Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State of
Connecticut and the SEC. The Account invests deposits by variable annuity
contractowners of the Company in the various mutual funds as directed by
the contractowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income are accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed at fair value.
D) Security Class -- Putnam Variable Trust consists of a series of funds,
each of which is represented by a separate series of class IA and class IB
shares.
Class IA shares are offered at net asset value and are not subject to a
distribution fee. Class IA .40% are for Company employees only.
Class IB shares are offered at net asset value and pay an ongoing
distribution fee.
E) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
F) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.50% of the Account's average daily net assets.
B) Deduction of Annual Maintenance Fees -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts. In
addition, certain other charges may apply based on the characteristics of
the underlying contract. These charges are reflected in surrenders for
benefit payments and fees on the accompanying statements of changes in net
assets.
Report of Independent Public Accountants
[CAPTION]
To Hartford Life and Annuity Insurance Company Separate Account Five and
to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Separate Account Five (Asia
Pacific Growth, Diversified Income, The George Putnam Fund of Boston,
Global Asset Allocation, Global Growth, Growth and Income, Health
Sciences, High Yield, Income, International Growth, International Growth
and Income, International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Research, Utilities
Growth and Income, Vista, and Voyager sub-accounts), (collectively, the
Account) as of December 31, 1999, and the related statements of operations
and the statements of changes in net assets for the periods presented.
These financial statements are the responsibility of the Account's
management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes
in its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 48,125
Cost $494,901
....................................................................................................................................
Market Value: $832,079 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 262,259
Cost $2,868,447
....................................................................................................................................
Market Value: -- 2,604,236 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 47,963
Cost $492,861
....................................................................................................................................
Market Value: -- -- 478,675 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 233,643
Cost $4,001,690
....................................................................................................................................
Market Value: -- -- -- 4,581,735
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 501,513
Cost $8,546,161
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,285,390
Cost $31,917,534
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 46,708
Cost $466,468
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 24 1,069 -- 39
....................................................................................................................................
Receivable from fund shares sold -- -- 639 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 832,103 2,605,305 479,314 4,581,774
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 685 --
....................................................................................................................................
Payable for fund shares purchased -- 1,004 -- --
....................................................................................................................................
Total Liabilities -- 1,004 685 --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $832,103 $2,604,301 $478,629 $4,581,774
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 48,125
Cost $494,901
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 262,259
Cost $2,868,447
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 47,963
Cost $492,861
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 233,643
Cost $4,001,690
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 501,513
Cost $8,546,161
..................................................................................................................
Market Value: 15,291,127 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 1,285,390
Cost $31,917,534
..................................................................................................................
Market Value: -- 34,448,452 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 46,708
Cost $466,468
..................................................................................................................
Market Value: -- -- 490,439
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 4,308 1
..................................................................................................................
Receivable from fund shares sold -- 9,082 --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 15,295,435 34,457,534 490,440
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 9,460 --
..................................................................................................................
Payable for fund shares purchased 4,346 -- --
..................................................................................................................
Total Liabilities 4,346 9,460 --
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $15,291,089 $34,448,074 $490,440
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Fund
Investments: Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 354,580
Cost $4,464,646
....................................................................................................................................
Market Value: $3,932,290 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 195,675
Cost $2,546,934
....................................................................................................................................
Market Value: -- 2,449,853 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 64,090
Cost $817,729
....................................................................................................................................
Market Value: -- -- 1,387,538 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 66,269
Cost $812,154
....................................................................................................................................
Market Value: -- -- -- 1,010,609
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 61,741
Cost $696,427
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 105,148
Cost $1,277,006
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 5,680,950
Cost $5,680,950
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 23 -- 64 --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,932,313 2,449,853 1,387,602 1,010,609
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 3 -- 55
....................................................................................................................................
Payable for fund shares purchased -- -- -- --
....................................................................................................................................
Total Liabilities -- 3 -- 55
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $3,932,313 $2,449,850 $1,387,602 $1,010,554
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Fund Money
New Sub-Account Market
Opportunities Fund
Assets Fund Sub-Account
Investments: Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 354,580
Cost $4,464,646
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 195,675
Cost $2,546,934
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 64,090
Cost $817,729
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 66,269
Cost $812,154
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 61,741
Cost $696,427
..................................................................................................................
Market Value: 1,439,188 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 105,148
Cost $1,277,006
..................................................................................................................
Market Value: -- 1,594,046 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 5,680,950
Cost $5,680,950
..................................................................................................................
Market Value: -- -- 5,680,950
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 4,271 --
..................................................................................................................
Receivable from fund shares sold -- -- 118,356
- ------------------------------------------------------------------------------------------------------------------
Total Assets 1,439,188 1,598,317 5,799,306
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 46 -- 118,062
..................................................................................................................
Payable for fund shares purchased -- 4,231 --
..................................................................................................................
Total Liabilities 46 4,231 118,062
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $1,439,142 $1,594,086 $5,681,244
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Research
Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 650,979
Cost $11,566,780
....................................................................................................................................
Market Value: $28,343,629 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 74,007
Cost $796,238
....................................................................................................................................
Market Value: -- 877,723 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 14,770
Cost $177,950
....................................................................................................................................
Market Value: -- -- 336,611 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Shares 32,635
Cost $424,186
....................................................................................................................................
Market Value: -- -- -- 479,089
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 174,819
Cost $2,543,190
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 65,378
Cost $865,039
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 480,202
Cost $16,813,918
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 45,722 -- -- --
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 28,389,351 877,723 336,611 479,089
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- 8 3 --
....................................................................................................................................
Payable for fund shares purchased 44,790 -- -- --
....................................................................................................................................
Total Liabilities 44,790 8 3 --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $28,344,561 $877,715 $336,608 $479,089
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Utilities Vista Voyager
Growth Sub-Account Sub-Account
and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 650,979
Cost $11,566,780
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 74,007
Cost $796,238
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 14,770
Cost $177,950
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam Research Fund
Shares 32,635
Cost $424,186
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 174,819
Cost $2,543,190
..................................................................................................................
Market Value: 2,966,670 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 65,378
Cost $865,039
..................................................................................................................
Market Value: -- 1,352,018 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 480,202
Cost $16,813,918
..................................................................................................................
Market Value: -- -- 31,813,391
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 204 33,140 41,261
..................................................................................................................
Receivable from fund shares sold -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 2,966,874 1,385,158 31,854,652
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
..................................................................................................................
Payable for fund shares purchased -- 33,090 40,576
..................................................................................................................
Total Liabilities -- 33,090 40,576
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $2,966,874 $1,352,068 $31,814,076
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred life contracts
.......................................................................................................................
Asia Pacific Growth Fund 44,529 $18.686808 $ 832,103
.......................................................................................................................
Diversified Income Fund 185,465 14.042005 2,604,301
.......................................................................................................................
George Putnam Fund of Boston 46,488 10.295794 478,629
.......................................................................................................................
Global Asset Allocation 208,954 21.927140 4,581,774
.......................................................................................................................
Global Growth Fund 456,845 33.471090 15,291,089
.......................................................................................................................
Growth and Income Fund 1,429,355 24.100425 34,448,074
.......................................................................................................................
Health Sciences Fund 46,620 10.519869 490,440
.......................................................................................................................
High Yield Fund 258,389 15.218574 3,932,313
.......................................................................................................................
Income Fund 172,305 14.218077 2,449,850
.......................................................................................................................
International Growth Fund 62,861 22.074242 1,387,602
.......................................................................................................................
International Growth and Income Fund 61,041 16.555245 1,010,554
.......................................................................................................................
International New Opportunities Fund 61,418 23.431771 1,439,142
.......................................................................................................................
Investors Fund 106,162 15.015633 1,594,086
.......................................................................................................................
Money Market Fund 4,418,516 1.285781 5,681,244
.......................................................................................................................
New Opportunities Fund 680,663 41.642607 28,344,561
.......................................................................................................................
New Value Fund 70,055 12.528956 877,715
.......................................................................................................................
OTC & Emerging Markets Fund 14,751 22.819670 336,608
.......................................................................................................................
Research Fund 29,965 15.988405 479,089
.......................................................................................................................
Utilities Growth and Income Fund 134,715 22.023304 2,966,874
.......................................................................................................................
Vista Fund 60,063 22.510986 1,352,068
.......................................................................................................................
Voyager Fund 799,093 39.812736 31,814,076
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $142,392,192
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $190,336 $ 10,518 $ 78,258
.............................................................................................................
Capital gains income -- -- 366 219,599
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 43,531 (2,000) 31 241
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 419,415 (142,787) (15,660) 175,845
.............................................................................................................
Net gain (loss) on investments 462,946 (144,787) (15,629) 176,086
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $462,946 $ 45,549 $ (4,745) $473,943
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 40,088 $ 477,153 $ 421
.........................................................................................
Capital gains income 834,772 2,381,097 --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions 23,427 (17,393) (264)
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,099,418 (2,369,434) (1,209)
.........................................................................................
Net gain (loss) on investments 5,122,845 (2,386,827) (1,473)
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $5,997,705 $ 471,423 $(1,052)
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $403,465 $102,534 $ -- $ --
.............................................................................................................
Capital gains income -- 30,590 -- --
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions (2,328) 1,542 7,437 2,046
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (177,608) (172,272) 487,609 179,342
.............................................................................................................
Net gain (loss) on investments (179,936) (170,730) 495,046 181,388
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $223,529 $(37,606) $495,046 $181,388
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 306 $ -- $201,261
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions 7,308 (3,076) --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 689,755 289,921 --
.........................................................................................
Net gain (loss) on investments 697,063 286,845 --
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $697,369 $286,845 $201,261
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 65 $ -- $ 846
.............................................................................................................
Capital gains income 245,575 13,719 1,337 11,624
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 364,280 628 25,668 509
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 11,268,711 (18,277) 154,807 53,910
.............................................................................................................
Net gain (loss) on investments 11,632,991 (17,649) 180,475 54,419
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $11,878,566 $(3,865) $181,812 $66,889
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1999 Growth Sub-Account Sub-Account
and Income
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 85,815 $ -- $ 22,437
.........................................................................................
Capital gains income 90,123 98,933 1,799,282
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions 24,556 8,774 21,783
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (232,680) 340,440 9,781,288
.........................................................................................
Net gain (loss) on investments (208,124) 349,214 9,803,071
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $ (32,186) $448,147 $11,624,790
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 190,336 $10,518 $ 78,258
.............................................................................................................
Capital gains income -- -- 366 219,599
.............................................................................................................
Net realized gain (loss)
on security transactions 43,531 (2,000) 31 241
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 419,415 (142,787) (15,660) 175,845
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 462,946 45,549 (4,745) 473,943
.............................................................................................................
Unit transactions:
Purchases -- -- 34,200 --
.............................................................................................................
Net transfers 8,297 (56,016) 367,958 354,808
.............................................................................................................
Surrenders for benefit
payments and fees (5,087) (70,102) (2,717) (131,272)
.............................................................................................................
Net loan activity (2,287) (16,892) -- (14,072)
.............................................................................................................
Cost of insurance (8,834) (42,357) (3,488) (62,050)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (7,911) (185,367) 395,953 147,414
.............................................................................................................
Total increase (decrease)
in net assets 455,035 (139,818) 391,208 621,357
.............................................................................................................
Net assets:
Beginning of period 377,068 2,744,119 87,421 3,960,417
- -------------------------------------------------------------------------------------------------------------
End of period $832,103 $2,604,301 $478,629 $4,581,774
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 40,088 $ 477,153 $ 421
..............................................................................................
Capital gains income 834,772 2,381,097 --
..............................................................................................
Net realized gain (loss)
on security transactions 23,427 (17,393) (264)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 5,099,418 (2,369,434) (1,209)
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 5,997,705 471,423 (1,052)
..............................................................................................
Unit transactions:
Purchases (10) 43,776 --
..............................................................................................
Net transfers 185,562 1,757,603 208,617
..............................................................................................
Surrenders for benefit
payments and fees (382,012) (1,032,228) (4,361)
..............................................................................................
Net loan activity (37,409) (78,698) 1,133
..............................................................................................
Cost of insurance (161,056) (550,185) (5,618)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (394,925) 140,268 199,771
..............................................................................................
Total increase (decrease)
in net assets 5,602,780 611,691 198,719
..............................................................................................
Net assets:
Beginning of period 9,688,309 33,836,383 291,721
- ----------------------------------------------------------------------------------------------
End of period $15,291,089 $34,448,074 $490,440
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 403,465 $ 102,534 $ -- $ --
.............................................................................................................
Capital gains income -- 30,590 -- --
.............................................................................................................
Net realized gain (loss)
on security transactions (2,328) 1,542 7,437 2,046
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (177,608) (172,272) 487,609 179,342
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 223,529 (37,606) 495,046 181,388
.............................................................................................................
Unit transactions:
Purchases 30 30 -- --
.............................................................................................................
Net transfers 58,593 814,102 190,813 137,891
.............................................................................................................
Surrenders for benefit
payments and fees (149,215) (42,489) (63,405) (33,479)
.............................................................................................................
Net loan activity 4,886 (32,642) (183) (173)
.............................................................................................................
Cost of insurance (61,532) (32,696) (14,761) (13,112)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (147,238) 706,305 112,464 91,127
.............................................................................................................
Total increase (decrease)
in net assets 76,291 668,699 607,510 272,515
.............................................................................................................
Net assets:
Beginning of period 3,856,022 1,781,151 780,092 738,039
- -------------------------------------------------------------------------------------------------------------
End of period $3,932,313 $2,449,850 $1,387,602 $1,010,554
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 306 $ -- $ 201,261
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 7,308 (3,076) --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 689,755 289,921 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 697,369 286,845 201,261
.........................................................................................
Unit transactions:
Purchases -- 38,800 9,287,776
.........................................................................................
Net transfers 69,892 1,040,013 (7,019,928)
.........................................................................................
Surrenders for benefit
payments and fees (33,559) (12,946) (46,569)
.........................................................................................
Net loan activity -- (34) (254,939)
.........................................................................................
Cost of insurance (12,883) (13,568) (81,697)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 23,450 1,052,265 1,884,643
.........................................................................................
Total increase (decrease)
in net assets 720,819 1,339,110 2,085,904
.........................................................................................
Net assets:
Beginning of period 718,323 254,976 3,595,340
- -----------------------------------------------------------------------------------------
End of period $1,439,142 $1,594,086 $5,681,244
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1999 Opportunities Value Emerging Growth Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 65 $ -- $ 846
.............................................................................................................
Capital gains income 245,575 13,719 1,337 11,624
.............................................................................................................
Net realized gain (loss)
on security transactions 364,280 628 25,668 509
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 11,268,711 (18,277) 154,807 53,910
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 11,878,566 (3,865) 181,812 66,889
.............................................................................................................
Unit transactions:
Purchases -- -- -- --
.............................................................................................................
Net transfers (498,446) 64,656 114,264 412,499
.............................................................................................................
Surrenders for benefit
payments and fees (441,933) (25,249) (3,318) (3,259)
.............................................................................................................
Net loan activity (51,886) 679 (24) (112)
.............................................................................................................
Cost of insurance (301,255) (13,692) (1,935) (3,257)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (1,293,520) 26,394 108,987 405,871
.............................................................................................................
Total increase (decrease)
in net assets 10,585,046 22,529 290,799 472,760
.............................................................................................................
Net assets:
Beginning of period 17,759,515 855,186 45,809 6,329
- -------------------------------------------------------------------------------------------------------------
End of period $28,344,561 $877,715 $336,608 $479,089
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1999 Growth Sub-Account Sub-Account
and Income
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 85,815 $ -- $ 22,437
.........................................................................................
Capital gains income 90,123 98,933 1,799,282
.........................................................................................
Net realized gain (loss)
on security transactions 24,556 8,774 21,783
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (232,680) 340,440 9,781,288
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations (32,186) 448,147 11,624,790
.........................................................................................
Unit transactions:
Purchases -- 19,200 9,906
.........................................................................................
Net transfers (72,132) 224,415 1,636,538
.........................................................................................
Surrenders for benefit
payments and fees (164,107) (26,365) (743,549)
.........................................................................................
Net loan activity 5 (144) (92,773)
.........................................................................................
Cost of insurance (49,036) (14,489) (348,279)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (285,270) 202,617 461,843
.........................................................................................
Total increase (decrease)
in net assets (317,456) 650,764 12,086,633
.........................................................................................
Net assets:
Beginning of period 3,284,330 701,304 19,727,443
- -----------------------------------------------------------------------------------------
End of period $2,966,874 $1,352,068 $31,814,076
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 15,691 $ 115,993 $ 533 $ 74,618
.............................................................................................................
Capital gains income -- 49,267 -- 320,508
.............................................................................................................
Net realized gain (loss)
on security transactions (2,525) (4,217) (1) (1,780)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (33,195) (207,136) 1,474 50,334
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations (20,029) (46,093) 2,006 443,680
.............................................................................................................
Unit transactions:
Purchases -- 247 1,000 30
.............................................................................................................
Net transfers 44,963 504,241 84,597 567,261
.............................................................................................................
Surrenders for benefit
payments and fees (6,023) (147,039) (131) (159,728)
.............................................................................................................
Net loan activity (6) (46,391) -- (1,101)
.............................................................................................................
Cost of insurance (2,403) (19,553) (51) (22,714)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 36,531 291,505 85,415 383,748
.............................................................................................................
Total increase (decrease)
in net assets 16,502 245,412 87,421 827,428
.............................................................................................................
Net assets:
Beginning of period 360,566 2,498,707 -- 3,132,989
- -------------------------------------------------------------------------------------------------------------
End of period $377,068 $2,744,119 $87,421 $3,960,417
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 192,953 $ 462,353 $ 260
.........................................................................................
Capital gains income 964,765 3,018,243 --
.........................................................................................
Net realized gain (loss)
on security transactions 3,991 (9,131) (8,148)
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 952,580 635,979 25,180
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,114,289 4,107,444 17,292
.........................................................................................
Unit transactions:
Purchases 133 475 1,000
.........................................................................................
Net transfers 1,500,956 6,667,783 275,928
.........................................................................................
Surrenders for benefit
payments and fees (236,217) (1,155,100) (1,830)
.........................................................................................
Net loan activity (27,699) (95,023) (2)
.........................................................................................
Cost of insurance (53,883) (190,625) (667)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,183,290 5,227,510 274,429
.........................................................................................
Total increase (decrease)
in net assets 3,297,579 9,334,954 291,721
.........................................................................................
Net assets:
Beginning of period 6,390,730 24,501,429 --
- -----------------------------------------------------------------------------------------
End of period $9,688,309 $33,836,383 $291,721
- -----------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account** Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 317,574 $ 69,049 $ 2,618 $ 9,068
.............................................................................................................
Capital gains income 49,833 1,797 -- 23,112
.............................................................................................................
Net realized gain (loss)
on security transactions (5,698) 2,076 162 (8,827)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (617,216) 46,607 68,425 5,747
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations (255,507) 119,529 71,205 29,100
.............................................................................................................
Unit transactions:
Purchases -- -- -- 12
.............................................................................................................
Net transfers 955,419 753,569 436,437 369,699
.............................................................................................................
Surrenders for benefit
payments and fees (189,929) (43,665) (32,004) (18,515)
.............................................................................................................
Net loan activity 4,370 (368) (476) (160)
.............................................................................................................
Cost of insurance (26,315) (10,772) (3,272) (3,970)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 743,545 698,764 400,685 347,066
.............................................................................................................
Total increase (decrease)
in net assets 488,038 818,293 471,890 376,166
.............................................................................................................
Net assets:
Beginning of period 3,367,984 962,858 308,202 361,873
- -------------------------------------------------------------------------------------------------------------
End of period $3,856,022 $1,781,151 $780,092 $738,039
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,182 $ 279 $ 203,946
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 627 (2) --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 84,216 27,119 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 86,025 27,396 203,946
.........................................................................................
Unit transactions:
Purchases -- 1,000 18,282,533
.........................................................................................
Net transfers 96,630 227,413 (18,970,303)
.........................................................................................
Surrenders for benefit
payments and fees (12,804) (581) (84,770)
.........................................................................................
Net loan activity (16) (13) (167,934)
.........................................................................................
Cost of insurance (4,122) (239) (37,639)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 79,688 227,580 (978,113)
.........................................................................................
Total increase (decrease)
in net assets 165,713 254,976 (774,167)
.........................................................................................
Net assets:
Beginning of period 552,610 -- 4,369,507
- -----------------------------------------------------------------------------------------
End of period $718,323 $254,976 $3,595,340
- -----------------------------------------------------------------------------------------
*From inception, April 29, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and Higy Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Research
December 31, 1998 Opportunities Value Emerging Growth Sub-Account**
Sub-Account Sub-Account Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 15,023 $ 11 $ 10
.............................................................................................................
Capital gains income 199,094 14,769 -- 1
.............................................................................................................
Net realized gain (loss)
on security transactions (13,414) (10,038) (2,332) 5
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,153,786 16,198 3,855 992
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,339,466 35,952 1,534 1,008
.............................................................................................................
Unit transactions:
Purchases 312 6 1,000 1,000
.............................................................................................................
Net transfers 2,416,753 7,892 43,737 4,389
.............................................................................................................
Surrenders for benefit
payments and fees (425,737) (24,964) (116) (40)
.............................................................................................................
Net loan activity (19,980) (40,176) (301) (13)
.............................................................................................................
Cost of insurance (93,946) (5,238) (45) (15)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,877,402 (62,480) 44,275 5,321
.............................................................................................................
Total increase (decrease)
in net assets 5,216,868 (26,528) 45,809 6,329
.............................................................................................................
Net assets:
Beginning of period 12,542,647 881,714 -- --
- -------------------------------------------------------------------------------------------------------------
End of period $17,759,515 $855,186 $45,809 $6,329
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Utilities Vista Voyager
December 31, 1998 Growth Sub-Account Sub-Account
and Income
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 81,719 $ -- $ 36,862
.........................................................................................
Capital gains income 140,845 -- 899,428
.........................................................................................
Net realized gain (loss)
on security transactions (5,378) (5,989) (5,067)
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 193,433 104,296 2,742,962
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 410,619 98,307 3,674,185
.........................................................................................
Unit transactions:
Purchases -- -- 372
.........................................................................................
Net transfers 704,200 169,516 3,138,920
.........................................................................................
Surrenders for benefit
payments and fees (96,008) (9,634) (527,418)
.........................................................................................
Net loan activity (13,012) (2,798) (17,815)
.........................................................................................
Cost of insurance (20,396) (4,013) (107,679)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 574,784 153,071 2,486,380
.........................................................................................
Total increase (decrease)
in net assets 985,403 251,378 6,160,565
.........................................................................................
Net assets:
Beginning of period 2,298,927 449,926 13,566,878
- -----------------------------------------------------------------------------------------
End of period $3,284,330 $701,304 $19,727,443
- -----------------------------------------------------------------------------------------
*From inception, April 29, 1998, to Decmber 31, 1998.
**From inception, October 1, 1998, to Decmber 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT FIVE -- HARTFORD LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. Both the Company and the Account are subject to
supervision and regulation by the Department of Insurance of the State of
Connecticut and the SEC. The Account invests deposits by variable life
policyowners of the Company in various mutual funds (the Funds) as
directed by the policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed at fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the policies, the
Company assesses deductions for costs of insurance charges to cover the
Company's anticipated mortality costs. Because a policy's account value
and death benefit may vary from month to month, the cost of insurance
charges may also vary.
B) Mortality and Expense Undertakings -- The Company, as issuer of
variable life contracts, provides the mortality and expense undertakings
and, with respect to the Account, receives a maximum annual fee of 0.90%
of the Account's average daily net assets. The Company also provides
administrative services and receives an annual fee of 0.40% of the
Account's average daily net assets. These charges are reflected in
surrenders for benefit payments and fees on the accompanying statements
of changes in net assets.
C) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable
policyowners' accounts, in accordance with the terms of the policies. In
addition, certain other charges may apply based on the characteristic of
the underlying policy. These charges are reflected in surrenders for
benefit payments and fees on the accompanying statements of changes in net
assets.
D) Tax Expense Charge -- The Company will deduct monthly from the account
value a tax expense charge equal to an annual rate of 0.40% for the first
ten years. During the first nine policy years, a premium tax charge will
be imposed on full or partial surrenders at a maximum rate of 2.25%.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Separate Account VL I and
to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Separate Account VL I (Asia
Pacific Growth, Diversified Income, The George Putnam Fund of Boston,
Global Asset Allocation, Global Growth, Growth and Income, Health
Sciences, High Yield, Income, International Growth, International Growth
and Income, International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Utilities Growth and
Income, Vista, and Voyager sub-accounts), (collectively, the Account) as
of December 31, 1999, and the related statements of operations and the
statements of changes in net assets for the periods presented. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes in
its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 59,308
Cost $763,799
....................................................................................................................................
Market Value: $1,025,436 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 103,161
Cost $1,069,034
....................................................................................................................................
Market Value: -- 1,024,392 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 63,974
Cost $664,046
....................................................................................................................................
Market Value: -- -- 638,460 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 101,320
Cost $1,850,142
....................................................................................................................................
Market Value: -- -- -- 1,986,878
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 615,132
Cost $11,862,166
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 632,560
Cost $17,563,290
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 165,692
Cost $1,702,975
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 19,991 624 7,259 49
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 1,045,427 1,025,016 645,719 1,986,927
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased 20,000 624 7,259 7
....................................................................................................................................
Total Liabilities 20,000 624 7,259 7
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $1,025,427 $1,024,392 $638,460 $1,986,920
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 59,308
Cost $763,799
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 103,161
Cost $1,069,034
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 63,974
Cost $664,046
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 101,320
Cost $1,850,142
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 615,132
Cost $11,862,166
..................................................................................................................
Market Value: 18,755,385 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 632,560
Cost $17,563,290
..................................................................................................................
Market Value: -- 16,952,615 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 165,692
Cost $1,702,975
..................................................................................................................
Market Value: -- -- 1,739,761
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 21,718 17,539 20,591
..................................................................................................................
Receivable from fund shares sold -- -- --
- ------------------------------------------------------------------------------------------------------------------
Total Assets 18,777,103 16,970,154 1,760,352
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
..................................................................................................................
Payable for fund shares purchased 21,937 17,831 20,595
..................................................................................................................
Total Liabilities 21,937 17,831 20,595
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $18,755,166 $16,952,323 $1,739,757
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 748,099
Cost $8,511,216
....................................................................................................................................
Market Value: $8,296,413 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 198,313
Cost $2,619,410
....................................................................................................................................
Market Value: -- 2,482,879 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 108,549
Cost $1,710,608
....................................................................................................................................
Market Value: -- -- 2,350,076 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 53,760
Cost $740,008
....................................................................................................................................
Market Value: -- -- -- 819,842
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 34,944
Cost $587,797
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 276,392
Cost $3,531,197
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 846,307
Cost $846,307
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 10,287 3,954 11,266 4,298
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 8,306,700 2,486,833 2,361,342 824,140
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased 10,292 3,952 11,252 4,324
....................................................................................................................................
Total Liabilities 10,292 3,952 11,252 4,324
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $8,296,408 $2,482,881 $2,350,090 $819,816
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Money
New Sub-Account Market
Opportunities Sub-Account
Assets Sub-Account
Investments:
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 748,099
Cost $8,511,216
.......................................................................................................................
Market Value: $ -- $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 198,313
Cost $2,619,410
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 108,549
Cost $1,710,608
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 53,760
Cost $740,008
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 34,944
Cost $587,797
.......................................................................................................................
Market Value: 814,548 -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 276,392
Cost $3,531,197
.......................................................................................................................
Market Value: -- 4,190,105 --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 846,307
Cost $846,307
.......................................................................................................................
Market Value: -- -- 846,307
- -----------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 1,348 19,034 38
.......................................................................................................................
Receivable from fund shares sold -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 815,896 4,209,139 846,345
- -----------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- --
.......................................................................................................................
Payable for fund shares purchased 1,343 19,023 --
.......................................................................................................................
Total Liabilities 1,343 19,023 --
- -----------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $814,553 $4,190,116 $846,345
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Utilities
Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 431,035
Cost $10,846,160
....................................................................................................................................
Market Value: $18,767,277 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 68,996
Cost $853,708
....................................................................................................................................
Market Value: -- 818,297 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 95,840
Cost $1,569,777
....................................................................................................................................
Market Value: -- -- 2,184,196 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 141,128
Cost $2,365,588
....................................................................................................................................
Market Value: -- -- -- 2,394,936
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 58,596
Cost $991,514
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 505,231
Cost $22,435,679
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 40,415 13 3,847 8,011
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 18,807,692 818,310 2,188,043 2,402,947
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased 40,457 11 3,974 7,996
....................................................................................................................................
Total Liabilities 40,457 11 3,974 7,996
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $18,767,235 $818,299 $2,184,069 $2,394,951
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Opportunities Fund
Shares 431,035
Cost $10,846,160
...................................................................................................
Market Value: $ -- $ --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 68,996
Cost $853,708
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 95,840
Cost $1,569,777
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 141,128
Cost $2,365,588
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 58,596
Cost $991,514
...................................................................................................
Market Value: 1,211,757 --
- ---------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 505,231
Cost $22,435,679
...................................................................................................
Market Value: -- 33,471,541
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 1,114 492,237
...................................................................................................
Receivable from fund shares sold -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 1,212,871 33,963,778
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...................................................................................................
Payable for fund shares purchased 1,382 491,801
...................................................................................................
Total Liabilities 1,382 491,801
- ---------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $1,211,489 $33,471,977
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.......................................................................................................................
Asia Pacific Growth Fund 46,200 $22.195177 $ 1,025,427
.......................................................................................................................
Diversified Income Fund 78,785 13.002362 1,024,392
.......................................................................................................................
George Putnam Fund of Boston 60,436 10.564227 638,460
.......................................................................................................................
Global Asset Allocation Fund 85,437 23.255993 1,986,920
.......................................................................................................................
Global Growth Fund 482,134 38.900326 18,755,166
.......................................................................................................................
Growth and Income Fund 653,956 25.922728 16,952,323
.......................................................................................................................
Health Sciences 161,082 10.800460 1,739,757
.......................................................................................................................
High Yield Fund 502,850 16.498765 8,296,408
.......................................................................................................................
Income Fund 172,404 14.401541 2,482,881
.......................................................................................................................
International Growth Fund 149,977 15.669625 2,350,090
.......................................................................................................................
International Growth and Income Fund 67,366 12.169641 819,816
.......................................................................................................................
International New Opportunities Fund 41,148 19.795791 814,553
.......................................................................................................................
Investors Fund 287,885 14.554810 4,190,116
.......................................................................................................................
Money Market Fund 622,997 1.358506 846,345
.......................................................................................................................
New Opportunities Fund 487,277 38.514515 18,767,235
.......................................................................................................................
New Value Fund 76,911 10.639520 818,299
.......................................................................................................................
OTC & Emerging Growth Fund 89,503 24.402281 2,184,069
.......................................................................................................................
Utilities Growth & Income Fund 111,426 21.493623 2,394,951
.......................................................................................................................
Vista Fund 74,657 16.227448 1,211,489
.......................................................................................................................
Voyager Fund 733,633 45.624982 33,471,977
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $120,770,674
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $53,173 $ 14,180 $ 24,983
.............................................................................................................
Capital gains income -- -- 523 70,125
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 17,843 1,938 996 80
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 261,527 (37,046) (27,608) 95,549
.............................................................................................................
Net gain (loss) on investments 279,370 (35,108) (26,612) 95,629
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $279,370 $18,065 $(11,909) $190,737
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 38,016 $ 155,610 $ 1,301
.........................................................................................
Capital gains income 791,631 776,527 --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions (2,383) (33,784) (473)
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,067,598 (1,040,044) 21,618
.........................................................................................
Net gain (loss) on investments 6,065,215 (1,073,828) 21,145
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $6,894,862 $ (141,691) $22,446
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $292,292 $110,447 $ -- $ --
.............................................................................................................
Capital gains income -- 32,951 -- --
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 245 3,034 3,599 (330)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (59,106) (190,824) 627,287 78,520
.............................................................................................................
Net gain (loss) on investments (58,861) (187,790) 630,886 78,190
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $233,431 $(44,392) $630,886 $78,190
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $ 19 $ -- $32,522
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized and
unrealized gain (loss)
on investments:
.........................................................................................
Net realized gain (loss)
on security transactions 39 249 --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 224,583 645,354 --
.........................................................................................
Net gain (loss) on investments 224,622 645,603 --
- -----------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $224,641 $645,603 $32,522
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1999 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ 3 $ -- $ 49,760
.............................................................................................................
Capital gains income 106,172 690 4,151 52,257
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions (6,713) (66) 11,233 (253)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,825,628 (35,850) 610,876 (99,311)
.............................................................................................................
Net gain (loss) on investments 6,818,915 (35,916) 622,109 (99,564)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $6,925,087 $(35,223) $626,260 $ 2,453
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C
Investment Income:
Dividends $ -- $ 15,233
..........................................................................
Capital gains income 84,505 1,221,590
..........................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................
Net realized gain (loss)
on security transactions 454 (39,914)
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 212,805 9,581,148
..........................................................................
Net gain (loss) on investments 213,259 9,541,234
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $297,764 $10,778,057
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1999 Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 53,173 $ 14,180 $24,983
.............................................................................................................
Capital gains income -- -- 523 70,125
.............................................................................................................
Net realized gain (loss)
on security transactions 17,843 1,938 996 80
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 261,527 (37,046) (27,608) 95,549
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 279,370 18,065 (11,909) 190,737
.............................................................................................................
Unit transactions:
Purchases 108,126 211,349 157,313 347,395
.............................................................................................................
Net transfers 666,162 183,678 468,303 541,483
.............................................................................................................
Surrenders for benefit
payments and fees (7,756) (26,818) (24,713) (33,349)
.............................................................................................................
Net loan activity (3,445) (133) (16,345) (4,153)
.............................................................................................................
Cost of insurance (19,412) (48,582) (30,579) (78,837)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 743,675 319,494 553,979 772,539
.............................................................................................................
Total increase (decrease)
in net assets 1,023,045 337,559 542,070 963,276
.............................................................................................................
Net Assets
Beginning of period 2,382 686,833 96,390 1,023,644
- -------------------------------------------------------------------------------------------------------------
End of period $1,025,427 $1,024,392 $638,460 $1,986,920
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1999 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 38,016 $ 155,610 $ 1,301
.........................................................................................
Capital gains income 791,631 776,527 --
.........................................................................................
Net realized gain (loss)
on security transactions (2,383) (33,784) (473)
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,067,598 (1,040,044) 21,618
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,894,862 (141,691) 22,446
.........................................................................................
Unit transactions:
Purchases 3,481,474 4,231,020 536,671
.........................................................................................
Net transfers 1,913,864 6,270,754 1,133,137
.........................................................................................
Surrenders for benefit
payments and fees (392,829) (335,856) (22,235)
.........................................................................................
Net loan activity (82,403) (65,775) (274)
.........................................................................................
Cost of insurance (576,892) (857,222) (82,181)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,343,214 9,242,921 1,565,118
.........................................................................................
Total increase (decrease)
in net assets 11,238,076 9,101,230 1,587,564
.........................................................................................
Net Assets
Beginning of period 7,517,090 7,851,093 152,193
- -----------------------------------------------------------------------------------------
End of period $18,755,166 $16,952,323 $1,739,757
- -----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth
Sub-Account and Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 292,292 $ 110,447 $ -- $ --
..................................................................................................................
Capital gains income -- 32,951 -- --
..................................................................................................................
Net realized gain (loss)
on security transactions 245 3,034 3,599 (330)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (59,106) (190,824) 627,287 78,520
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 233,431 (44,392) 630,886 78,190
..................................................................................................................
Unit transactions:
Purchases 1,491,768 730,356 276,961 141,351
..................................................................................................................
Net transfers 5,301,286 530,713 1,294,798 459,682
..................................................................................................................
Surrenders for benefit
payments and fees (318,863) (37,656) (12,488) (14,071)
..................................................................................................................
Net loan activity (316,408) 8,214 (6,702) (159)
..................................................................................................................
Cost of insurance (287,610) (184,497) (71,011) (29,033)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 5,870,173 1,047,130 1,481,558 557,770
..................................................................................................................
Total increase (decrease)
in net assets 6,103,604 1,002,738 2,112,444 635,960
..................................................................................................................
Net Assets
Beginning of period 2,192,804 1,480,143 237,646 183,856
- ------------------------------------------------------------------------------------------------------------------
End of period $8,296,408 $2,482,881 $2,350,090 $819,816
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1999 New Sub-Account Market
Opportunities Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 19 $ -- $ 32,522
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized gain (loss)
on security transactions 39 249 --
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 224,583 645,354 --
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 224,641 645,603 32,522
..............................................................................................
Unit transactions:
Purchases 85,042 763,172 180,914
..............................................................................................
Net transfers 527,339 2,772,882 210,538
..............................................................................................
Surrenders for benefit
payments and fees (23,805) (25,132) (17,823)
..............................................................................................
Net loan activity (32) (1,256) (48,279)
..............................................................................................
Cost of insurance (15,818) (125,913) (39,490)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 572,726 3,383,753 285,860
..............................................................................................
Total increase (decrease)
in net assets 797,367 4,029,356 318,382
..............................................................................................
Net Assets
Beginning of period 17,186 160,760 527,963
- ----------------------------------------------------------------------------------------------
End of period $814,553 $4,190,116 $846,345
- ----------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1999 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 3 $ -- $ 49,760
.............................................................................................................
Capital gains income 106,172 690 4,151 52,257
.............................................................................................................
Net realized gain (loss)
on security transactions (6,713) (66) 11,233 (253)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 6,825,628 (35,850) 610,876 (99,311)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 6,925,087 (35,223) 626,260 2,453
.............................................................................................................
Unit transactions:
Purchases 2,811,112 44,339 169,618 536,290
.............................................................................................................
Net transfers 3,554,730 828,850 1,611,612 854,187
.............................................................................................................
Surrenders for benefit
payments and fees (456,839) (5,976) (218,538) (87,831)
.............................................................................................................
Net loan activity (49,216) (376) (114) (23,003)
.............................................................................................................
Cost of insurance (540,650) (29,965) (34,954) (121,191)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 5,319,137 836,872 1,527,624 1,158,452
.............................................................................................................
Total increase (decrease)
in net assets 12,244,224 801,649 2,153,884 1,160,905
.............................................................................................................
Net Assets
Beginning of period 6,523,011 16,650 30,185 1,234,046
- -------------------------------------------------------------------------------------------------------------
End of period $18,767,235 $818,299 $2,184,069 $2,394,951
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 15,233
..........................................................................
Capital gains income 84,505 1,221,590
..........................................................................
Net realized gain (loss)
on security transactions 454 (39,914)
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 212,805 9,581,148
..........................................................................
Net increase (decrease)
in net assets resulting
from operations 297,764 10,778,057
..........................................................................
Unit transactions:
Purchases 190,448 5,464,827
..........................................................................
Net transfers 707,722 8,863,280
..........................................................................
Surrenders for benefit
payments and fees 9,128 (548,816)
..........................................................................
Net loan activity (262) (145,402)
..........................................................................
Cost of insurance (40,396) (1,048,842)
..........................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 866,640 12,585,047
..........................................................................
Total increase (decrease)
in net assets 1,164,404 23,363,104
..........................................................................
Net Assets
Beginning of period 47,085 10,108,873
- --------------------------------------------------------------------------
End of period $1,211,489 $33,471,977
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The Global Asset
December 31, 1998 Growth Income George Putnam Allocation
Sub-Account* Sub-Account Fund of Boston Sub-Account
Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 2,718 $532 $ 9,598
.............................................................................................................
Capital gains income -- 1,154 -- 41,227
.............................................................................................................
Net realized gain (loss)
on security transactions -- 15 7 511
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 110 (9,453) 2,022 31,846
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 110 (5,566) 2,561 83,182
.............................................................................................................
Unit transactions:
Purchases 1,025 85,364 26,333 197,777
.............................................................................................................
Net transfers 1,266 584,214 68,878 474,639
.............................................................................................................
Surrenders for benefit
payments and fees (8) (6,589) (507) (12,784)
.............................................................................................................
Net loan activity -- (2) (39) (591)
.............................................................................................................
Cost of insurance (11) (13,198) (836) (29,489)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,272 649,789 93,829 629,552
.............................................................................................................
Total increase (decrease)
in net assets 2,382 644,223 96,390 712,734
.............................................................................................................
Net Assets
Beginning of period -- 42,610 -- 310,910
- -------------------------------------------------------------------------------------------------------------
End of period $2,382 $686,833 $96,390 $1,023,644
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health
December 31, 1998 Growth and Income Sciences
Sub-Account Sub-Account Sub-Account*
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ 66,009 $ 36,061 $ 126
..............................................................................................
Capital gains income 330,045 235,404 --
..............................................................................................
Net realized gain (loss)
on security transactions 3,657 4,991 2
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 799,731 369,952 15,169
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,199,442 646,408 15,297
..............................................................................................
Unit transactions:
Purchases 1,777,192 1,520,697 43,812
..............................................................................................
Net transfers 3,292,482 4,737,360 95,215
..............................................................................................
Surrenders for benefit
payments and fees (99,324) (94,734) (539)
..............................................................................................
Net loan activity (60,658) (99,490) --
..............................................................................................
Cost of insurance (227,264) (257,615) (1,592)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,682,428 5,806,218 136,896
..............................................................................................
Total increase (decrease)
in net assets 5,881,870 6,452,626 152,193
..............................................................................................
Net Assets
Beginning of period 1,635,220 1,398,467 --
- ----------------------------------------------------------------------------------------------
End of period $7,517,090 $7,851,093 $152,193
- ----------------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account** Growth Growth
Sub-Account* and Income
Sub-Account*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 34,276 $ 61,358 $ 631 $ 2,027
..................................................................................................................
Capital gains income 5,378 1,597 -- 4,882
..................................................................................................................
Net realized gain (loss)
on security transactions 8,112 2,773 (2) (4)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (176,046) 12,767 12,182 1,315
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations (128,280) 78,495 12,811 8,220
..................................................................................................................
Unit transactions:
Purchases 465,319 518,167 9,271 17,634
..................................................................................................................
Net transfers 1,652,869 (216,141) 217,210 159,730
..................................................................................................................
Surrenders for benefit
payments and fees (17,686) (23,212) (739) (640)
..................................................................................................................
Net loan activity (12,272) (153) -- (1)
..................................................................................................................
Cost of insurance (51,815) (70,077) (907) (1,087)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,036,415 208,584 224,835 175,636
..................................................................................................................
Total increase (decrease)
in net assets 1,908,135 287,079 237,646 183,856
..................................................................................................................
Net Assets
Beginning of period 284,669 1,193,064 -- --
- ------------------------------------------------------------------------------------------------------------------
End of period $2,192,804 $1,480,143 $237,646 $183,856
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money
December 31, 1998 New Sub-Account* Market
Opportunities Sub-Account
Sub-Account*
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 111 $ 10,171
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 5 (1) --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,169 13,554 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,174 13,664 10,171
.........................................................................................
Unit transactions:
Purchases 1,092 18,749 111,154
.........................................................................................
Net transfers 14,115 131,102 294,105
.........................................................................................
Surrenders for benefit
payments and fees (71) (525) (4,383)
.........................................................................................
Net loan activity -- (2) (1,053)
.........................................................................................
Cost of insurance (124) (2,228) (9,256)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 15,012 147,096 390,567
.........................................................................................
Total increase (decrease)
in net assets 17,186 160,760 400,738
.........................................................................................
Net Assets
Beginning of period -- -- 127,225
- -----------------------------------------------------------------------------------------
End of period $17,186 $160,760 $527,963
- -----------------------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Utilities
December 31, 1998 Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account* and Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 131 $ 10 $ 10,596
.............................................................................................................
Capital gains income 25,739 25 -- 18,263
.............................................................................................................
Net realized gain (loss)
on security transactions (50,616) 255 769 (609)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 967,053 439 3,544 84,719
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 942,176 850 4,323 112,969
.............................................................................................................
Unit transactions:
Purchases 1,695,165 4,212 5,337 269,787
.............................................................................................................
Net transfers 2,990,857 12,066 21,258 641,807
.............................................................................................................
Surrenders for benefit
payments and fees (78,215) (154) (231) (7,600)
.............................................................................................................
Net loan activity (10,265) -- (1) (8,087)
.............................................................................................................
Cost of insurance (162,662) (324) (501) (34,433)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 4,434,880 15,800 25,862 861,474
.............................................................................................................
Total increase (decrease)
in net assets 5,377,056 16,650 30,185 974,443
.............................................................................................................
Net Assets
Beginning of period 1,145,955 -- -- 259,603
- -------------------------------------------------------------------------------------------------------------
End of period $6,523,011 $16,650 $30,185 $1,234,046
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income (loss) $ -- $ 5,550
- --------------------------------------------------------------------------
Capital gains income -- 135,426
- --------------------------------------------------------------------------
Net realized gain (loss)
on security transactions 4 1,139
- --------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments
during the period 7,437 1,302,791
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations 7,441 1,444,906
- --------------------------------------------------------------------------
Unit transactions:
Purchases 1,667 1,842,714
- --------------------------------------------------------------------------
Net transfers 38,890 5,859,152
- --------------------------------------------------------------------------
Surrenders for benefit
payments and fees (259) (104,683)
- --------------------------------------------------------------------------
Net loan activity -- (122,704)
- --------------------------------------------------------------------------
Cost of insurance (654) (253,931)
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit transactions 39,644 7,220,548
- --------------------------------------------------------------------------
Total increase (decrease)
in net assets 47,085 8,665,454
- --------------------------------------------------------------------------
Net Assets
Beginning of period -- 1,443,419
- --------------------------------------------------------------------------
End of period $47,085 $10,108,873
- --------------------------------------------------------------------------
*From inception August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT VL I -- HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Separate Account Variable Life I (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invests deposits by variable life policyowners of the
Company in the various mutual funds (the Funds) as directed by the
policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed at fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts derived
from management's estimates.
3.ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the policies, the
Company assesses deductions for costs of insurance charges to cover the
Company's anticipated mortality costs. Because a policy's account value
and death benefit may vary from month to month, the cost of insurance
charges may also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
life policies, provides the mortality and expense undertakings and, with
respect to the Account, receives a maximum annual fee of 1.40% of the
Account's average daily net assets. These charges are reflected in
surrenders for benefit payments and fees on the accompanying statements
of changes in net assets.
C) Administrative and Issue Charges -- The Company assesses a monthly
administrative charge to compensate the Company for administrative costs
in connection with the policies. This charge covers the average expected
cost for these expenses at a maximum of $12 per month. Additionally, the
Company assesses a monthly charge in the first policy year for up-front
costs of underwriting and issuing a policy at a monthly maximum amount of
$62.50. These charges are reflected in surrenders on the accompanying
statements of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable policy
owners' accounts, in accordance with the terms of the policies. These
charges are reflected in surrenders for benefit payments and fees on the
accompanying statements of changes in net assets.
Report of Independent Public Accountants
To Hartford Life and Annuity Insurance Company Separate Account VL II and
to the Owners of Units of Interest therein:
We have audited the accompanying statements of assets and liabilities of
Hartford Life and Annuity Insurance Company Separate Account VL II (Asia
Pacific Growth, Diversified Income, The George Putnam Fund of Boston,
Global Asset Allocation, Global Growth, Growth and Income, Health
Sciences, High Yield, Income, International Growth, International Growth
and Income, International New Opportunities, Investors, Money Market, New
Opportunities, New Value, OTC & Emerging Growth, Utilities Growth and
Income, Vista, and Voyager sub-accounts), (collectively, the Account) as
of December 31, 1999, and the related statements of operations and the
statements of changes in net assets for the periods presented. These
financial statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial statements
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Account as of
December 31, 1999, and the results of its operations and the changes in
its net assets for the periods presented in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 11, 2000
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Asia Pacific Diversified The Global Asset
Growth Income George Putnam Allocation
Sub-Account Sub-Account Fund of Boston Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 44,412
Cost $541,366
....................................................................................................................................
Market Value: $767,881 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 58,275
Cost $596,967
....................................................................................................................................
Market Value: -- 578,674 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 25,881
Cost $265,835
....................................................................................................................................
Market Value: -- -- 258,291 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 31,976
Cost $581,099
....................................................................................................................................
Market Value: -- -- -- 627,040
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 257,107
Cost $5,139,043
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 360,961
Cost $10,069,295
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 57,991
Cost $580,209
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 30,001 -- 1 20
....................................................................................................................................
Receivable from fund shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 797,882 578,674 258,292 627,060
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- --
....................................................................................................................................
Payable for fund shares purchased 30,000 -- -- --
....................................................................................................................................
Total Liabilities 30,000 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $767,882 $578,674 $258,292 $627,060
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Global Growth Health
Growth and Income Sciences
Sub-Account Sub-Account Sub-Account
Assets
Investments:
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares 44,412
Cost $541,366
.......................................................................................................................
Market Value: $ -- $ -- $ --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares 58,275
Cost $596,967
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares 25,881
Cost $265,835
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Shares 31,976
Cost $581,099
.......................................................................................................................
Market Value: -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Global Growth Fund
Shares 257,107
Cost $5,139,043
.......................................................................................................................
Market Value: 7,839,192 -- --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Growth and Income Fund
Shares 360,961
Cost $10,069,295
.......................................................................................................................
Market Value: -- 9,673,749 --
- -----------------------------------------------------------------------------------------------------------------------
Putnam VT Health Sciences Fund
Shares 57,991
Cost $580,209
.......................................................................................................................
Market Value: -- -- 608,902
- -----------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 9,719 18,900 --
.......................................................................................................................
Receivable from fund shares sold -- -- --
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 7,848,911 9,692,649 608,902
- -----------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 9
.......................................................................................................................
Payable for fund shares purchased 10,026 18,750 --
.......................................................................................................................
Total Liabilities 10,026 18,750 9
- -----------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $7,838,885 $9,673,899 $608,893
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 High Yield Income International International
Sub-Account Sub-Account Growth Growth
Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT High Yield Fund
Shares 336,333
Cost $3,838,275
....................................................................................................................................
Market Value: $3,729,931 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 189,663
Cost $2,462,713
....................................................................................................................................
Market Value: -- 2,374,582 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 45,031
Cost $704,229
....................................................................................................................................
Market Value: -- -- 974,929 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 29,898
Cost $416,492
....................................................................................................................................
Market Value: -- -- -- 455,947
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 24,288
Cost $374,709
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 127,372
Cost $1,615,839
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 1,378,310
Cost $1,378,310
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company -- 4 5,393 --
....................................................................................................................................
Receivable from fund shares sold 20 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 3,729,951 2,374,586 980,322 455,947
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company 10 -- -- 11
....................................................................................................................................
Payable for fund shares purchased -- -- 5,398 --
....................................................................................................................................
Total Liabilities 10 -- 5,398 11
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $3,729,941 $2,374,586 $974,924 $455,936
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------
December 31, 1999 International Investors Money
New Sub-Account Market
Opportunities Sub-Account
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT High Yield Fund
Shares 336,333
Cost $3,838,275
..................................................................................................................
Market Value: $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Income Fund
Shares 189,663
Cost $2,462,713
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth Fund
Shares 45,031
Cost $704,229
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth and Income Fund
Shares 29,898
Cost $416,492
..................................................................................................................
Market Value: -- -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International New Opportunities Fund
Shares 24,288
Cost $374,709
..................................................................................................................
Market Value: 566,149 -- --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Investors Fund
Shares 127,372
Cost $1,615,839
..................................................................................................................
Market Value: -- 1,930,961 --
- ------------------------------------------------------------------------------------------------------------------
Putnam VT Money Market Fund
Shares 1,378,310
Cost $1,378,310
..................................................................................................................
Market Value: -- -- 1,378,310
- ------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 1 3,638 --
..................................................................................................................
Receivable from fund shares sold -- -- 280
- ------------------------------------------------------------------------------------------------------------------
Total Assets 566,150 1,934,599 1,378,590
- ------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- 221
..................................................................................................................
Payable for fund shares purchased -- 3,608 --
..................................................................................................................
Total Liabilities -- 3,608 221
- ------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $566,150 $1,930,991 $1,378,369
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 New New OTC & Utilities
Opportunities Value Emerging Growth Growth
Sub-Account Sub-Account Sub-Account and Income
Assets Sub-Account
Investments:
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT New Opportunities Fund
Shares 132,675
Cost $3,677,974
....................................................................................................................................
Market Value: $5,776,681 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 61,174.
Cost $741,893
....................................................................................................................................
Market Value: -- 725,528 -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 24,505
Cost $349,307
....................................................................................................................................
Market Value: -- -- 558,460 --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 72,857
Cost $1,229,280
....................................................................................................................................
Market Value: -- -- -- 1,236,384
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 36,807
Cost $618,966
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 180,504
Cost $8,200,788
....................................................................................................................................
Market Value: -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 8,780 1 9,793 --
....................................................................................................................................
Receivable from fund shares sold -- -- -- 1,253
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 5,785,461 725,529 568,253 1,237,637
- ------------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- -- -- 1,255
....................................................................................................................................
Payable for fund shares purchased 8,773 -- 9,810 --
....................................................................................................................................
Total Liabilities 8,773 -- 9,810 1,255
- ------------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $5,776,688 $725,529 $558,443 $1,236,382
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------
December 31, 1999 Vista Voyager
Sub-Account Sub-Account
Assets
Investments:
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT New Opportunities Fund
Shares 132,675
Cost $3,677,974
...................................................................................................
Market Value: $ -- $ --
- ---------------------------------------------------------------------------------------------------
Putnam VT New Value Fund
Shares 61,174.
Cost $741,893
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT OTC & Emerging Growth Fund
Shares 24,505
Cost $349,307
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Utilities Growth & Income Fund
Shares 72,857
Cost $1,229,280
...................................................................................................
Market Value: -- --
- ---------------------------------------------------------------------------------------------------
Putnam VT Vista Fund
Shares 36,807
Cost $618,966
...................................................................................................
Market Value: 761,162 --
- ---------------------------------------------------------------------------------------------------
Putnam VT Voyager Fund
Shares 180,504
Cost $8,200,788
...................................................................................................
Market Value: -- 11,958,371
- ---------------------------------------------------------------------------------------------------
Due from Hartford Life Insurance Company 2,686 17,930
...................................................................................................
Receivable from fund shares sold -- --
- ---------------------------------------------------------------------------------------------------
Total Assets 763,848 11,976,301
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance Company -- --
...................................................................................................
Payable for fund shares purchased 2,685 17,675
...................................................................................................
Total Liabilities 2,685 17,675
- ---------------------------------------------------------------------------------------------------
Net Assets (variable life contract liabilities) $761,163 $11,958,626
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------
December 31, 1999 Units Unit Contract
Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts:
.......................................................................................................................
Asia Pacific Growth Fund 34,596 $22.195777 $ 767,882
.......................................................................................................................
Diversified Income Fund 44,505 13.002362 578,674
.......................................................................................................................
George Putnam Fund of Boston 24,450 10.564227 258,292
.......................................................................................................................
Global Asset Allocation Fund 26,963 23.255993 627,060
.......................................................................................................................
Global Growth Fund 201,512 38.900326 7,838,885
.......................................................................................................................
Growth and Income Fund 373,182 25.922728 9,673,899
.......................................................................................................................
Health Siences Fund 56,377 10.800460 608,893
.......................................................................................................................
High Yield Fund 226,074 16.498765 3,729,941
.......................................................................................................................
Income Fund 164,884 14.401541 2,374,586
.......................................................................................................................
International Growth Fund 62,217 15.669625 974,924
.......................................................................................................................
International Growth and Income Fund 37,465 12.169641 455,936
.......................................................................................................................
International New Opportunities Fund 28,600 19.795791 566,150
.......................................................................................................................
Investors Fund 132,670 14.554810 1,930,991
.......................................................................................................................
Money Market Fund 1,014,621 1.358506 1,378,369
.......................................................................................................................
New Opportunities Fund 149,987 38.514515 5,776,688
.......................................................................................................................
New Value Fund 68,192 10.639520 725,529
.......................................................................................................................
OTC & Emerging Growth Fund 22,885 24.402281 558,443
.......................................................................................................................
Utilities Growth and Income Fund 57,523 21.493623 1,236,382
.......................................................................................................................
Vista Fund 46,906 16.227448 761,163
.......................................................................................................................
Voyager Fund 262,107 45.624980 11,958,626
- -----------------------------------------------------------------------------------------------------------------------
Grand Total: $52,781,313
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II - HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1999 Growth Income Putnam Fund Allocation
Sub-Account Sub-Account of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $23,061 $ 5,950 $ 6,496
.............................................................................................................
Capital gains income -- -- 319 18,235
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 677 (296) 27 273
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 226,183 (11,756) (9,563) 29,249
.............................................................................................................
Net gain (loss) on investments 226,860 (12,052) (9,536) 29,522
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $226,860 $11,009 $(3,267) $54,253
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ---------------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1999 Growth and Income Sub-Account
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 10,324 $ 82,679 $ 519
...................................................................................................
Capital gains income 214,984 412,587 --
...................................................................................................
Net realized and
unrealized gain (loss)
on investments:
...................................................................................................
Net realized gain (loss)
on security transactions (8,555) (19,393) 849
...................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,479,211 (561,127) 23,736
...................................................................................................
Net gain (loss) on investments 2,470,656 (580,520) 24,585
- ---------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $2,695,964 $ (85,254) $25,104
- ---------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II - HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth and
Sub-Account Income
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $188,019 $ 57,563 $ -- $ --
.............................................................................................................
Capital gains income -- 17,173 -- --
.............................................................................................................
Net realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized (loss) gain
on security transactions (4,621) (1,612) 55,875 14,000
.............................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (56,566) (103,792) 268,792 38,658
.............................................................................................................
Net (loss) gain on investments (61,187) (105,404) 324,667 52,658
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $126,832 $(30,668) $324,667 $52,658
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended International Investors Money Market
December 31, 1999 New Opportunities Sub-Account Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 13 $ -- $36,485
..............................................................................................
Capital gains income -- -- --
..............................................................................................
Net realized and
unrealized gain (loss)
on investments:
..............................................................................................
Net realized (loss) gain
on security transactions 167,282 285 --
..............................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 191,201 305,881 --
..............................................................................................
Net (loss) gain on investments 358,483 306,166 --
- ----------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $358,496 $306,166 $36,485
- ----------------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II - HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Emerging Utilities Growth
December 31, 1999 Opportunities Value Growth and Income
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ -- $ 2 $ -- $ 17,021
..................................................................................................................
Capital gains income 21,300 410 1,285 17,875
..................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
..................................................................................................................
Net realized (loss) gain
on security transactions (74,118) (42) 194 (5,144)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,903,919 (17,299) 201,676 (28,195)
..................................................................................................................
Net gain (loss) on investments 1,829,801 (17,341) 201,870 (33,339)
- ------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $1,851,101 $(16,929) $203,155 $ 1,557
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Operations (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends $ -- $ 3,744
..........................................................................
Capital gains income 53,041 300,222
..........................................................................
Net realized and
unrealized gain (loss)
on investments:
..........................................................................
Net realized (loss) gain
on security transactions 340 3,384
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 141,175 3,398,379
..........................................................................
Net gain (loss) on investments 141,515 3,401,763
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $194,556 $3,705,729
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1999 Growth Income Putnam Fund Allocation
Sub-Account Sub-Account of Boston Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 23,061 $ 5,950 $ 6,496
.............................................................................................................
Capital gains income -- -- 319 18,235
.............................................................................................................
Net realized gain (loss)
on security transactions 677 (296) 27 273
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 226,183 (11,756) (9,563) 29,249
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 226,860 11,009 (3,267) 54,253
.............................................................................................................
Unit Transactions:
Purchases 11,544 51,671 61,898 127,321
.............................................................................................................
Net transfers 534,285 325,503 121,681 154,876
.............................................................................................................
Surrenders for benefit
payments and fees (8,845) (13,076) (7,613) (20,284)
.............................................................................................................
Net loan activity -- -- -- --
.............................................................................................................
Cost of insurance (4,531) (20,872) (13,604) (21,379)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 532,453 343,226 162,362 240,534
.............................................................................................................
Total increase (decrease)
in net assets 759,313 354,235 159,095 294,787
.............................................................................................................
Net Assets
Beginning of period 8,569 224,439 99,197 332,273
- -------------------------------------------------------------------------------------------------------------
End of period $767,882 $578,674 $258,292 $627,060
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1999 Growth and Income Sub-Account
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 10,324 $ 82,679 $ 519
..............................................................................................
Capital gains income 214,984 412,587 --
..............................................................................................
Net realized gain (loss)
on security transactions (8,555) (19,393) 849
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,479,211 (561,127) 23,736
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,695,964 (85,254) 25,104
..............................................................................................
Unit Transactions:
Purchases 927,414 1,931,571 45,376
..............................................................................................
Net transfers 2,582,332 5,598,828 530,101
..............................................................................................
Surrenders for benefit
payments and fees (113,107) (186,185) (16,861)
..............................................................................................
Net loan activity (42,601) 4,745 (3)
..............................................................................................
Cost of insurance (139,949) (391,660) (19,700)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 3,214,089 6,957,299 538,913
..............................................................................................
Total increase (decrease)
in net assets 5,910,053 6,872,045 564,017
..............................................................................................
Net Assets
Beginning of period 1,928,832 2,801,854 44,876
- ----------------------------------------------------------------------------------------------
End of period $7,838,885 $9,673,899 $608,893
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1999 Sub-Account Sub-Account* Growth Growth and
Sub-Account Income
Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 188,019 $ 57,563 $ -- $ --
..................................................................................................................
Capital gains income -- 17,173 -- --
..................................................................................................................
Net realized gain (loss)
on security transactions (4,621) (1,612) 55,875 14,000
..................................................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period (56,566) (103,792) 268,792 38,658
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 126,832 (30,668) 324,667 52,658
..................................................................................................................
Unit Transactions:
Purchases 757,124 368,161 97,192 52,504
..................................................................................................................
Net transfers 2,282,146 1,315,129 588,502 357,272
..................................................................................................................
Surrenders for benefit
payments and fees (63,031) (40,709) (13,235) (12,129)
..................................................................................................................
Net loan activity (31,040) -- (4) --
..................................................................................................................
Cost of insurance (93,855) (50,346) (42,836) (16,228)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,851,344 1,592,235 629,619 381,419
..................................................................................................................
Total increase (decrease)
in net assets 2,978,176 1,561,567 954,286 434,077
..................................................................................................................
Net Assets
Beginning of period 751,765 813,019 20,638 21,859
- ------------------------------------------------------------------------------------------------------------------
End of period $3,729,941 $2,374,586 $974,924 $455,936
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money Market
December 31, 1999 New Opportunities Sub-Account Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 13 $ -- $ 36,485
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 167,282 285 --
.........................................................................................
Net unrealized (depreciation)
appreciation of investments
during the period 191,201 305,881 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 358,496 306,166 36,485
.........................................................................................
Unit Transactions:
Purchases 14,025 172,801 185,196
.........................................................................................
Net transfers 209,334 1,432,571 1,058,352
.........................................................................................
Surrenders for benefit
payments and fees (7,540) (30,687) (18,664)
.........................................................................................
Net loan activity -- --
.........................................................................................
Cost of insurance (11,827) (44,912) (24,680)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 203,992 1,529,773 1,200,204
.........................................................................................
Total increase (decrease)
in net assets 562,488 1,835,939 1,236,689
.........................................................................................
Net Assets
Beginning of period 3,662 95,052 141,680
- -----------------------------------------------------------------------------------------
End of period $566,150 $1,930,991 $1,378,369
- -----------------------------------------------------------------------------------------
*Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Emerging Utilities Growth
December 31, 1999 Opportunities Value Growth and Income
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 2 $ -- $ 17,021
..................................................................................................................
Capital gains income 21,300 410 1,285 17,875
..................................................................................................................
Net realized gain (loss)
on security transactions (74,118) (42) 194 (5,144)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,903,919 (17,299) 201,676 (28,195)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,851,101 (16,929) 203,155 1,557
..................................................................................................................
Unit Transactions:
Purchases 1,084,027 55,882 35,239 211,762
..................................................................................................................
Net transfers 1,897,800 705,264 314,874 658,887
..................................................................................................................
Surrenders for benefit
payments and fees (129,321) (10,254) (8,673) (34,570)
..................................................................................................................
Net loan activity (5,580) (3) (9) --
..................................................................................................................
Cost of insurance (145,610) (17,973) (13,596) (43,706)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,701,316 732,916 327,835 792,373
..................................................................................................................
Total increase (decrease)
in net assets 4,552,417 715,987 530,990 793,930
..................................................................................................................
Net Assets
Beginning of period 1,224,271 9,542 27,453 442,452
- ------------------------------------------------------------------------------------------------------------------
End of period $5,776,688 $725,529 $558,443 $1,236,382
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1999 Sub-Account Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ -- $ 3,744
..........................................................................
Capital gains income 53,041 300,222
..........................................................................
Net realized gain (loss)
on security transactions 340 3,384
..........................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 141,175 3,398,379
..........................................................................
Net increase (decrease)
in net assets resulting
from operations 194,556 3,705,729
..........................................................................
Unit Transactions:
Purchases 45,420 1,775,053
..........................................................................
Net transfers 532,694 4,254,791
..........................................................................
Surrenders for benefit
payments and fees (11,139) (237,711)
..........................................................................
Net loan activity (4) (8,610)
..........................................................................
Cost of insurance (7,815) (244,692)
..........................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 559,156 5,538,831
..........................................................................
Total increase (decrease)
in net assets 753,712 9,244,560
..........................................................................
Net Assets
Beginning of period 7,451 2,714,066
- --------------------------------------------------------------------------
End of period $761,163 $11,958,626
- --------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified The George Global Asset
December 31, 1998 Growth Income Putnam Fund Allocation
Sub-Account* Sub-Account of Boston Sub-Account
Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 3,629 $ 778 $ 2,857
.............................................................................................................
Capital gains income -- 1,541 -- 12,271
.............................................................................................................
Net realized gain (loss)
on security transactions 1 21 2 16
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 331 (6,773) 2,018 15,297
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 332 (1,582) 2,798 30,441
.............................................................................................................
Unit Transactions:
Purchases 1,000 18,359 1,018 15,068
.............................................................................................................
Net transfers 7,366 130,020 95,712 264,595
.............................................................................................................
Surrenders for benefit
payments and fees (106) (3,807) 42 (10,473)
.............................................................................................................
Cost of insurance (23) (3,546) (373) (6,166)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 8,237 141,026 96,399 263,024
.............................................................................................................
Total increase (decrease)
in net assets 8,569 139,444 99,197 293,465
.............................................................................................................
Net Assets
Beginning of period -- 84,995 -- 38,808
- -------------------------------------------------------------------------------------------------------------
End of period $8,569 $224,439 $99,197 $332,273
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------
For the Year Ended Global Growth Health Sciences
December 31, 1998 Growth and Income Sub-Account*
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ 10,284 $ 6,912 $ 38
..............................................................................................
Capital gains income 51,418 45,119 --
..............................................................................................
Net realized gain (loss)
on security transactions 2,284 (64) (1)
..............................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 222,508 157,616 4,957
..............................................................................................
Net increase (decrease)
in net assets resulting
from operations 286,494 209,583 4,994
..............................................................................................
Unit Transactions:
Purchases 322,831 341,341 1,000
..............................................................................................
Net transfers 1,095,109 2,215,815 39,704
..............................................................................................
Surrenders for benefit
payments and fees (47,555) (85,000) (308)
..............................................................................................
Cost of insurance (30,391) (35,272) (514)
..............................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,339,994 2,436,884 39,882
..............................................................................................
Total increase (decrease)
in net assets 1,626,488 2,646,467 44,876
..............................................................................................
Net Assets
Beginning of period 302,344 155,387 --
- ----------------------------------------------------------------------------------------------
End of period $1,928,832 $2,801,854 $44,876
- ----------------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Year Ended High Yield Income International International
December 31, 1998 Sub-Account Sub-Account** Growth Growth and
Sub-Account* Income
Sub-Account*
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 10,447 $ 10,911 $ 66 $ 206
.............................................................................................................
Capital gains income 1,639 284 -- 496
.............................................................................................................
Net realized gain (loss)
on security transactions 5,348 (1,150) 11 8
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (52,560) 12,055 1,909 796
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations (35,126) 22,100 1,986 1,506
.............................................................................................................
Unit Transactions:
Purchases 295,001 11,794 1,018 5,809
.............................................................................................................
Net transfers 484,563 574,461 18,763 14,788
.............................................................................................................
Surrenders for benefit
payments and fees (33,428) (10,223) (618) (143)
.............................................................................................................
Cost of insurance (6,247) (8,204) (511) (101)
.............................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 739,889 567,828 18,652 20,353
.............................................................................................................
Total increase (decrease)
in net assets 704,763 589,928 20,638 21,859
.............................................................................................................
Net Assets
Beginning of period 47,002 223,091 -- --
- -------------------------------------------------------------------------------------------------------------
End of period $751,765 $813,019 $20,638 $21,859
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------
For the Year Ended International Investors Money Market
December 31, 1998 New Opportunities Sub-Account* Sub-Account
Sub-Account*
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment income $ -- $ 112 $ 1,123
.........................................................................................
Capital gains income -- -- --
.........................................................................................
Net realized gain (loss)
on security transactions 5 14 --
.........................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 239 9,241 --
.........................................................................................
Net increase (decrease)
in net assets resulting
from operations 244 9,367 1,123
.........................................................................................
Unit Transactions:
Purchases 1,000 7,115 49,306
.........................................................................................
Net transfers 2,548 79,363 88,070
.........................................................................................
Surrenders for benefit
payments and fees (104) (437) (3,369)
.........................................................................................
Cost of insurance (26) (356) (1,780)
.........................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 3,418 85,685 132,227
.........................................................................................
Total increase (decrease)
in net assets 3,662 95,052 133,350
.........................................................................................
Net Assets
Beginning of period -- -- 8,330
- -----------------------------------------------------------------------------------------
End of period $3,662 $95,052 $141,680
- -----------------------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
**Formerly Putnam U.S. Government and High Quality Bond Sub-Account, change effective on April 9, 1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statements of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------
For the Year Ended New New OTC & Emerging Utilities Growth
December 31, 1998 Opportunities Value Growth and Income
Sub-Account Sub-Account* Sub-Account* Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ -- $ 98 $ 10 $ 1,849
..................................................................................................................
Capital gains income 4,296 19 -- 3,187
..................................................................................................................
Net realized gain (loss)
on security transactions (21,117) 15 21 58
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 190,762 934 7,477 31,421
..................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 173,941 1,066 7,508 36,515
..................................................................................................................
Unit Transactions:
Purchases 258,118 1,525 3,676 12,990
..................................................................................................................
Net transfers 690,830 7,543 17,238 379,093
..................................................................................................................
Surrenders for benefit
payments and fees (36,267) (191) (314) (5,423)
..................................................................................................................
Cost of insurance (34,620) (401) (655) (6,554)
..................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 878,061 8,476 19,945 380,106
..................................................................................................................
Total increase (decrease)
in net assets 1,052,002 9,542 27,453 416,621
..................................................................................................................
Net Assets
Beginning of period 172,269 -- -- 25,831
- ------------------------------------------------------------------------------------------------------------------
End of period $1,224,271 $9,542 $27,453 $442,452
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statements of Changes in Net Assets (continued)
- --------------------------------------------------------------------------
For the Year Ended Vista Voyager
December 31, 1998 Sub-Account* Sub-Account
- --------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ -- $ 896
- --------------------------------------------------------------------------
Capital gains income -- 21,866
- --------------------------------------------------------------------------
Net realized gain (loss)
on security transactions 11 (5,975)
- --------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments
during the period 1,020 350,909
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations 1,031 367,696
- --------------------------------------------------------------------------
Unit Transactions:
Purchases 1,000 364,335
- --------------------------------------------------------------------------
Net transfers 5,651 1,952,698
- --------------------------------------------------------------------------
Surrenders for benefit
payments and fees (223) (51,533)
- --------------------------------------------------------------------------
Cost of insurance (8) (28,004)
- --------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from unit transactions 6,420 2,237,496
- --------------------------------------------------------------------------
Total increase (decrease)
in net assets 7,451 2,605,192
- --------------------------------------------------------------------------
Net Assets
Beginning of period -- 108,874
- --------------------------------------------------------------------------
End of period $7,451 $2,714,066
- --------------------------------------------------------------------------
*From inception, August 3, 1998, to December 31, 1998.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
SEPARATE ACCOUNT VL II -- HARTFORD LIFE AND ANNUITY INSURANCE
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life and Annuity Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. Both the Company and the Account are subject to supervision and
regulation by the Department of Insurance of the State of Connecticut and
the SEC. The Account invests deposits by variable life policyowners of the
Company in the various mutual funds (the Funds) as directed by the
policyowners.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on the sales of securities are computed on the basis of identified
cost of the investment sold. Dividend and capital gains income is accrued
as of the ex-dividend date. Capital gains income represents dividends from
the Funds which are characterized as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of December 31, 1999.
C) Unit Transactions -- Unit Transactions are executed based on the unit
values calculated at the close of the business day. All unit transactions
are executed ar fair value.
D) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no Federal income taxes are payable with respect to the operations of the
Account.
E) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Cost of Insurance -- In accordance with terms of the policies, the
Company assesses deductions for costs of insurance charges to cover the
Company's anticipated mortality costs. Because a policy's account value
and death benefit may vary from month to month, the cost of insurance
charges may also vary.
B) Mortality and Expense Risk Charge -- The Company, as issuer of variable
life policies, provides the mortality and expense undertakings and, with
respect to the Account, receives a maximum annual fee of 0.80% of the
Account's average daily net assets. These charges are reflected in
surrenders for benefit payments and fees on the accompanying statements
of changes in net assets.
C) Administrative Charges -- The Company assesses a monthly administrative
charge to compensate the Company for administrative costs in connection
with the policies. This charge covers the average expected cost for these
expenses and varies based on the face amount of the underlying policy,
among other factors. These charges are reflected in surrenders for benefit
payments and fees on the accompanying statements of changes in net assets.
D) Deduction of Annual Maintenance Fee -- Annual maintenance fees are
deducted through termination of units of interest from applicable policy
owners' accounts, in accordance with the terms of the policies. In
addition, certain other charges may apply based on the characteristics of
the underlying policy. These charges are reflected in surrenders for
benefit payments and fees on the accompanying statements of changes in
net assets.
Report of independent accountants
For the fiscal year ended December 31, 1999
To the Trustees and Shareholders of
Putnam Variable Trust
In our opinion, the accompanying statements of assets and liabilities,
including the fund's portfolios, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of each
of the twenty-two funds constituting the Putnam Variable Trust (the
"fund"), at December 31, 1999, and the results of each of their
operations, the changes in each of their net assets and the financial
highlights for the periods indicated, in conformity with accounting
principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the funds' management; our
responsibility is to express an opinion on these financial statements
based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in
the United States, which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included
confirmation of investments owned at December 31, 1999 by
correspondence with the custodian, provide a reasonable basis for the
opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 15, 2000
<TABLE>
Putnam VT Asia Pacific Growth Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (99.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (4.1%)
....................................................................................................
256,200 Amcor Ltd. $1,199,905
....................................................................................................
108,348 Broken Hill Proprietary Co., Ltd. 1,422,680
....................................................................................................
256,500 Cable & Wireless Optus Ltd. 857,117
....................................................................................................
213,100 Cable & Wireless Optus Ltd. 144A 712,092
....................................................................................................
1,079,200 Goodman Fielder Ltd. ADR 963,553
....................................................................................................
113,000 National Australia Bank, Ltd. 1,728,499
....................................................................................................
77,164 News Corp. Ltd. ADR 2,951,523
....................................................................................................
75,921 News Corp. Ltd. (The) 737,165
- ----------------------------------------------------------------------------------------------------
10,572,534
- ----------------------------------------------------------------------------------------------------
Hong Kong (13.2%)
....................................................................................................
552,000 Cathay Pacific Airways 983,558
....................................................................................................
379,000 Cheung Kong Infrastructure Holdings 4,814,904
....................................................................................................
867,500 China Telecom Ltd. 5,423,968
....................................................................................................
79,400 City Telecom Ltd. 77,122
....................................................................................................
1,308,000 e-New Media Co. Ltd. 639,444
....................................................................................................
193,000 Henderson Land Development
Co. Ltd. 1,238,994
....................................................................................................
787,600 Hong Kong Telecommunications Ltd. 2,274,748
....................................................................................................
332,000 Hutchison Whampoa, Ltd. 4,826,451
....................................................................................................
396,000 Johnson Electric Holdings Ltd. 2,542,184
....................................................................................................
884,000 Li & Fung Ltd. 2,217,677
....................................................................................................
2,253,000 Pacific Century CyberWorks Ltd. (NON) 5,246,276
....................................................................................................
253,000 Sun Hung Kai Properties Ltd. 2,636,434
....................................................................................................
441,400 Wharf (Holdings) Ltd 1,024,993
- ----------------------------------------------------------------------------------------------------
33,946,753
- ----------------------------------------------------------------------------------------------------
Japan (59.9%)
....................................................................................................
33,400 Advantest Corp. 8,825,602
....................................................................................................
9,570 Ariake Japan Co. Ltd. 542,281
....................................................................................................
500 Asahi Bank Ltd. 3,083
....................................................................................................
24,700 Benesse Corp. 5,946,565
....................................................................................................
49,000 BODYSONIC Co., Ltd. 1,438,638
....................................................................................................
6,800 Citizen Electronics Co., Ltd. 1,231,161
....................................................................................................
16,500 Data Communication Systems Co., Ltd. 2,034,645
....................................................................................................
556 DDI Corp. 7,617,929
....................................................................................................
27,000 Eiden Co., Ltd. 224,868
....................................................................................................
76,000 Eisai Co. Ltd. 1,461,538
....................................................................................................
4,900 Fancl Corp. 1,313,956
....................................................................................................
2,500 Fancl Corp. 144A 670,386
....................................................................................................
32,500 Fuji Machine Manufacturing Co., Ltd. 2,620,865
....................................................................................................
164,000 Fujitsu Ltd. 7,479,350
....................................................................................................
199,000 Furukawa Electric Co., Ltd. (The) 3,018,693
....................................................................................................
12,000 Hitachi Information Systems, Ltd. 698,767
....................................................................................................
19,300 Hoshiden Corp. 1,239,068
....................................................................................................
81,000 Industrial Bank of Japan 780,828
....................................................................................................
100,000 INES Corp. 3,239,381
....................................................................................................
36,000 Ito-Yokado Co., Ltd. 3,910,746
....................................................................................................
7,300 Itoen, Ltd. 1,020,914
....................................................................................................
1,100 Kadokawa Shoten Publishing Co., Ltd. 370,327
....................................................................................................
19,387 KDD Corp. 2,686,631
....................................................................................................
15,500 Kita Kyushu Coca-Cola Bottling 652,280
....................................................................................................
28,400 Kojima Co Ltd. 1,111,764
....................................................................................................
14,500 Komeri Co., Ltd. 439,910
....................................................................................................
39,500 Kyocera Corp. 10,244,177
....................................................................................................
12,000 MEGANE TOP Co., Ltd. 411,039
....................................................................................................
260,000 Mitsubishi Trust and Banking Corp. 2,290,076
....................................................................................................
500 Mitsumi Electric Company, Ltd. 15,659
....................................................................................................
59,000 Murata Manufacturing Co. Ltd. 13,857,898
....................................................................................................
16,000 N I C Corp. 649,834
....................................................................................................
142,000 NEC Corp. 3,383,930
....................................................................................................
969,000 Nikko Securities Co. Ltd. 12,261,861
....................................................................................................
201,000 Nippon Sanso Corp. 590,135
....................................................................................................
158 Nippon Telegraph and Telephone Corp. 2,706,009
....................................................................................................
3,600 Nippon Television Network Corp. 4,227,833
....................................................................................................
14,900 Promise Co., Ltd. 758,270
....................................................................................................
11,100 Rohm Co. Ltd. 4,562,537
....................................................................................................
106,000 Sakura Bank, Ltd. 614,132
....................................................................................................
15,400 SANIX Inc. 1,688,002
....................................................................................................
8,000 Seven-Eleven Japan Co., Ltd. 1,268,350
....................................................................................................
154,000 Sharp Corp. 3,941,182
....................................................................................................
114,000 Shiseido Co., Ltd. 1,662,361
....................................................................................................
35,500 Sony Corp. 10,527,011
....................................................................................................
31,446 Sumitomo Corp. 304,981
....................................................................................................
40,000 Taiyo Yuden Co., Ltd. 2,372,284
....................................................................................................
402,000 Teijin Ltd. 1,483,206
....................................................................................................
900 Toyota Motor Corp. 43,600
....................................................................................................
16,900 Trans Cosmos Inc. 7,211,196
....................................................................................................
18,000 Trend Micro Inc. (NON) 4,544,921
....................................................................................................
22,000 Yamada Denki 2,389,900
- ----------------------------------------------------------------------------------------------------
154,590,560
- ----------------------------------------------------------------------------------------------------
Luxembourg (2.8%)
....................................................................................................
186 NTT Mobile Communications 7,153,846
- ----------------------------------------------------------------------------------------------------
Malaysia (0.6%)
....................................................................................................
505,000 Public Bank Berhad 441,245
....................................................................................................
127,000 Resorts World Berhad 364,318
....................................................................................................
187,000 Telekom Malaysia 723,452
- ----------------------------------------------------------------------------------------------------
1,529,015
- ----------------------------------------------------------------------------------------------------
New Zealand (0.1%)
....................................................................................................
291,600 Carter Holt Harvey Ltd. 381,413
- ----------------------------------------------------------------------------------------------------
Singapore (4.2%)
....................................................................................................
128,500 Chartered Semiconductor Manufacturing 702,734
....................................................................................................
170,376 DBS Group Holdings Ltd. 2,795,231
....................................................................................................
236,750 Overseas-Chinese Banking Corp. Ltd. 2,176,848
....................................................................................................
42,000 Singapore Press Holdings Ltd. 911,178
....................................................................................................
364,500 Venture Manufacturing Ltd. 4,183,864
- ----------------------------------------------------------------------------------------------------
10,769,855
- ----------------------------------------------------------------------------------------------------
South Korea (8.9%)
....................................................................................................
13,100 Cheil Jedang Corp. 1,511,982
....................................................................................................
6,800 Daum Communications Corp. 2,315,595
....................................................................................................
19,300 Hannsoft Inc. 894,432
....................................................................................................
21,000 Korea Telecom Corp. ADR 1,569,750
....................................................................................................
5,900 Korea Telecom Corp. 930,485
....................................................................................................
13,100 Korea Telecom Freetel 3,283,656
....................................................................................................
33,800 L.G. Electronics 1,399,648
....................................................................................................
8,500 LG Information & Communication 1,407,930
....................................................................................................
88,600 Mirae Co. 689,285
....................................................................................................
8,210 Pohang Iron & Steel Company, Ltd. 926,790
....................................................................................................
33,000 Pohang Iron & Steel Company, Ltd. ADR 1,155,000
....................................................................................................
61,600 Samsung Corp. (NON) 922,643
....................................................................................................
18,663 Samsung Electronics Co. 4,373,884
....................................................................................................
39,449 SK Telecom Co., Ltd. ADR 1,513,855
- ----------------------------------------------------------------------------------------------------
22,894,935
- ----------------------------------------------------------------------------------------------------
Taiwan (5.2%)
....................................................................................................
47,000 Ase Test Limited 1,145,625
....................................................................................................
660,130 Far Eastern Textile Ltd. 1,577,749
....................................................................................................
174,600 Hon Hai Precision Industry 1,301,988
....................................................................................................
227,740 President Chain Store Corp. 1,005,161
....................................................................................................
22,200 Synnex Tech Intl. 144A (NON) 583,860
....................................................................................................
383,000 Siliconware Precision Industries Co. GDR 976,417
....................................................................................................
596,810 Taiwan Semiconductor
Manufacturing Co. 3,176,140
....................................................................................................
529,900 United Microelectronics Corp. 1,891,294
....................................................................................................
36,000 Winbond Electronics Corp. GDR (NON) 819,000
....................................................................................................
36,000 Winbond Electronics Corp. GDR 144A (NON) 819,000
- ----------------------------------------------------------------------------------------------------
13,296,234
- ----------------------------------------------------------------------------------------------------
Thailand (0.7%)
....................................................................................................
33,600 Advanced Info Service Public Co., Ltd. 566,725
....................................................................................................
446,100 Siam Commercial Bank Public Co. Ltd. 547,654
....................................................................................................
185,200 Total Access Communication
Public Co. Ltd. 729,688
- ----------------------------------------------------------------------------------------------------
1,844,067
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $155,169,624) $256,979,212
- ----------------------------------------------------------------------------------------------------
UNITS (0.3%) (a) (cost $ 519,910)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
18,800 Tokyo Broadcasting pfd. Structured Note
(Issued by Warburg-UBS), 3.15%,
2000 (Japan) $649,640
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.1%) (a) (NON) (cost $--)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
536,100 Siam Commercial
Banks (Thailand) 5/10/02 $250,380
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.7%) (a) (cost $1,771,000
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,771,000 Interest in $624,736,000 joint repurchase
agreement dated December 31,1999
with S.B.C. Warburg Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $1,771,406 for an effective
yield of 2.75% $1,771,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $157,460,534) (b) $259,650,232
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than 10% at
December 31, 1999 (as a percentage of market value):
Electronics and Electrical Equipment 33.2%
Computer Services and Software 13.2
Telecommunications 13.0
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
The fund's portfolio
December 31, 1999
<CAPTION>
CORPORATE BONDS AND NOTES (46.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
....................................................................................................
Advertising (0.6%)
....................................................................................................
$500,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $522,500
....................................................................................................
350,000 Lamar Media Corp. company guaranty
9 5/8s, 2006 361,375
....................................................................................................
1,200,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 1,185,000
....................................................................................................
1,035,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 1,014,300
....................................................................................................
500,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 515,625
- ----------------------------------------------------------------------------------------------------
3,598,800
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.8%)
....................................................................................................
380,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 334,400
....................................................................................................
220,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 193,600
....................................................................................................
680,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 581,400
....................................................................................................
230,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 215,050
....................................................................................................
1,060,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 914,250
....................................................................................................
1,240,000 Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 1,140,800
....................................................................................................
255,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 244,800
....................................................................................................
250,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 257,500
....................................................................................................
890,000 L-3 Communications Corp. sr. notes
9 1/8s, 2008 841,050
....................................................................................................
320,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 300,000
....................................................................................................
400,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 363,000
- ----------------------------------------------------------------------------------------------------
5,385,850
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
374,855 Premium Standard Farms, Inc. sr. sec. notes
11s, 2003 (PIK) 342,055
- ----------------------------------------------------------------------------------------------------
Airlines (0.7%)
....................................................................................................
860,000 Airbus Industries 144A 12.266s, 2020 886,565
....................................................................................................
390,000 Calair LLC 144A company guaranty
8 1/8s, 2008 360,263
....................................................................................................
470,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 282,000
....................................................................................................
680,000 Canadian Airlines Corp. secd. notes
10s, 2005 (Canada) 537,200
....................................................................................................
315,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 204,750
....................................................................................................
1,010,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 421,675
....................................................................................................
1,770,000 US Air, Inc. pass-through certificates
Ser. 93-A2, 9 5/8s, 2003 1,733,060
- ----------------------------------------------------------------------------------------------------
4,425,513
- ----------------------------------------------------------------------------------------------------
Apparel (0.2%)
....................................................................................................
1,410,000 Fruit of the Loom company guaranty
8 7/8s, 2006 (In default) (NON) 56,400
....................................................................................................
1,120,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 1,136,800
....................................................................................................
265,000 William Carter Holdings Co. sr. sub. notes
Ser. A, 12s, 2008 254,400
- ----------------------------------------------------------------------------------------------------
1,447,600
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.9%)
....................................................................................................
240,000 Aftermarket Technology Corp.
sr. sub. notes 12s, 2004 240,600
....................................................................................................
770,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 723,800
....................................................................................................
460,000 Federal Mogul Corp. notes 7 3/8s, 2006 419,906
....................................................................................................
910,000 Hayes Lemmerz International, Inc.
company guaranty Ser. B, 8 1/4s, 2008 828,100
....................................................................................................
755,000 Lear Corp. sub. notes 9 1/2s, 2006 756,888
....................................................................................................
630,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 623,700
....................................................................................................
1,200,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 1,140,000
....................................................................................................
500,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 470,000
....................................................................................................
100,000 San Luis Corp. S.A. bonds 8 7/8s,
2008 (Mexico) 88,750
....................................................................................................
380,000 Transportation Manufacturing
Operations Inc. company guaranty
11 1/4s, 2009 388,550
- ----------------------------------------------------------------------------------------------------
5,680,294
- ----------------------------------------------------------------------------------------------------
Banks (0.6%)
....................................................................................................
695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 663,725
....................................................................................................
770,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 492,800
....................................................................................................
65,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 62,136
....................................................................................................
100,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 93,276
....................................................................................................
160,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 99,200
....................................................................................................
260,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 243,100
....................................................................................................
155,000 Ocwen Financial Corp. notes
11 7/8s, 2003 142,600
....................................................................................................
300,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 277,791
....................................................................................................
365,000 Provident Capital Trust company
guaranty 8.6s, 2026 332,055
....................................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 138,318
....................................................................................................
750,000 Sovereign Bancorp Inc. sr. notes
10 1/2s, 2006 765,000
....................................................................................................
245,000 Sovereign Capital Trust company
guaranty 9s, 2027 177,721
....................................................................................................
220,000 Webster Capital Trust I 144A bonds
9.36s, 2027 203,157
- ----------------------------------------------------------------------------------------------------
3,690,879
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
....................................................................................................
480,000 Ball Corp. company guaranty 7 3/4s, 2006 468,000
....................................................................................................
240,000 Koppers Industries, Inc. 144A company
guaranty 9 7/8s, 2007 220,800
....................................................................................................
350,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 330,705
....................................................................................................
750,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 684,720
....................................................................................................
1,150,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 1,063,279
....................................................................................................
115,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 104,650
- ----------------------------------------------------------------------------------------------------
2,872,154
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.2%)
....................................................................................................
200,000 Adelphia Communications Corp. sr. notes
Ser. B, 10 1/4s, 2000 201,000
....................................................................................................
1,710,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 1,624,500
....................................................................................................
317,900 AMFM Inc. deb.
12 5/8s, 2006 (PIK) 359,227
....................................................................................................
10,795 Australis Media, Ltd. sr. disc. notes
stepped-coupon zero % (15 3/4s
5/15/00), 2003 (In default)
(Australia) (STP) (PIK) (NON) 1
....................................................................................................
2,250,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 2,019,375
....................................................................................................
820,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s,
2/1/02), 2009 (STP) 732,875
....................................................................................................
980,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 997,150
....................................................................................................
190,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 76,000
....................................................................................................
2,270,000 Chancellor Media Corp. company
guaranty 8s, 2008 2,270,000
....................................................................................................
348,290 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 365,705
....................................................................................................
870,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 870,000
....................................................................................................
300,000 Comcast Corp. sr. notes sub. 9 1/8s, 2006 305,505
....................................................................................................
1,575,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 1,496,250
....................................................................................................
3,170,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 3,177,925
....................................................................................................
1,030,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 947,600
....................................................................................................
1,340,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 1,363,450
....................................................................................................
500,000 Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 501,250
....................................................................................................
1,030,000 Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 983,650
....................................................................................................
630,000 Grupo Televisa S.A. de C.V. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) (STP) 574,875
....................................................................................................
1,250,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,265,625
....................................................................................................
150,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 152,690
....................................................................................................
500,000 Lenfest Communications, Inc. sr. sub.
notes 8 1/4s, 2008 495,000
....................................................................................................
410,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 423,325
....................................................................................................
180,000 Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 183,150
....................................................................................................
710,000 Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 766,800
....................................................................................................
1,318,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 1,117,005
....................................................................................................
445,000 Radio One, Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 475,038
....................................................................................................
505,000 RBS Participacoes S.A. 144A company
guaranty 11s, 2007 (Brazil) 426,725
....................................................................................................
1,200,000 Sinclair Broadcast Group, Inc.
company guaranty 9s, 2007 1,128,000
....................................................................................................
530,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 490,250
....................................................................................................
90,000 Spanish Broadcasting Systems sr. sub
notes 9 5/8s, 2009 90,450
....................................................................................................
200,000 TV Azteca Holdings S.A. de C.V. sr. notes
11s, 2002 (Mexico) 179,500
....................................................................................................
1,100,000 TV Azteca Holdings S.A. de C.V. sr. notes
10 1/2s, 2007 (Mexico) 954,250
- ----------------------------------------------------------------------------------------------------
27,014,146
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
240,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 69,600
....................................................................................................
220,000 Atrium Companies Inc. company
guaranty Ser. B, 10 1/2s, 2009 215,050
....................................................................................................
135,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 86,400
....................................................................................................
1,260,000 D.R. Horton, Inc. company guaranty
8s, 2009 1,152,900
....................................................................................................
380,000 GS Superhighway Holdings sr. notes
10 1/4s, 2007 (China) 247,000
....................................................................................................
910,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 477,750
....................................................................................................
240,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 222,000
....................................................................................................
40,000 NCI Building Systems Inc. sr. sub.
notes Ser. B, 9 1/4s, 2009 38,200
....................................................................................................
980,000 Terex bank term loan FRB 8.436s, 2005 975,100
....................................................................................................
540,000 Toll Corp. company guaranty 8 1/8s, 2009 500,850
- ----------------------------------------------------------------------------------------------------
3,984,850
- ----------------------------------------------------------------------------------------------------
Building Products (0.1%)
....................................................................................................
560,000 Building Materials Corp. company
guaranty 8s, 2008 506,800
....................................................................................................
540,000 Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 432,000
- ----------------------------------------------------------------------------------------------------
938,800
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.6%)
....................................................................................................
150,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 153,000
....................................................................................................
700,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 672,000
....................................................................................................
1,590,000 Iron Mountain, Inc. sr. sub. notes
8 1/4s, 2011 1,454,850
....................................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 164,500
....................................................................................................
1,480,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 754,800
....................................................................................................
433,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 466,558
- ----------------------------------------------------------------------------------------------------
3,665,708
- ----------------------------------------------------------------------------------------------------
Cable Television (2.6%)
....................................................................................................
820,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 549,400
....................................................................................................
950,000 Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s,
9/30/00), 2004 (STP) 855,000
....................................................................................................
750,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 761,250
....................................................................................................
960,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 943,200
....................................................................................................
620,000 Adelphia Communications Corp. sr. notes
Ser. B, 8 3/8s, 2008 576,600
....................................................................................................
280,000 Adelphia Communications Corp. sr. notes
7 7/8s, 2009 252,000
....................................................................................................
560,000 Century Communications Corp. sr. notes
8 7/8s, 2007 539,000
....................................................................................................
240,000 Century Communications Corp. sr. notes
8 3/4s, 2007 228,600
....................................................................................................
1,500,000 Charter Communications Holdings LLC
sr. disc. notes stepped-coupon zero %
(9.92s, 4/1/04), 2011 (STP) 918,750
....................................................................................................
2,350,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 2,188,438
....................................................................................................
230,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 242,650
....................................................................................................
170,000 CSC Holdings, Inc. deb. Ser. B, 8 1/8s, 2009 167,022
....................................................................................................
660,000 CSC Holdings, Inc. sr. notes Ser. B,
8 1/8s, 2009 668,250
....................................................................................................
210,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 198,923
....................................................................................................
1,010,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 952,390
....................................................................................................
755,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 713,475
....................................................................................................
2,450,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,953,875
....................................................................................................
670,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 705,175
....................................................................................................
140,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 145,499
....................................................................................................
170,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 (Canada) 181,900
....................................................................................................
480,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) (In default) (NON) 249,600
....................................................................................................
130,000 TeleWest Communications PLC 144A
notes 11 1/4s, 2008 141,375
....................................................................................................
710,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %
(9 1/4, 4/15/04), 2009 (United Kingdom) (STP) 457,950
....................................................................................................
2,410,000 United Pan-Europe N.V. 144A
stepped-coupon zero % (12.5s,
8/1/2004) 2009 (Netherlands) (STP) 1,385,750
....................................................................................................
810,000 United Pan-Europe N.V. 144A bonds
10 7/8s, 2009 (Netherlands) 822,150
- ----------------------------------------------------------------------------------------------------
16,798,222
- ----------------------------------------------------------------------------------------------------
Cellular Communications (2.2%)
....................................................................................................
1,240,000 Celcaribe S.A. sr. notes
stepped-coupon zero % (13 1/2s,
3/15/04), 2004 (Colombia) (STP) 1,041,600
....................................................................................................
2,955,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 376,763
....................................................................................................
450,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 (In default) (NON) 45,000
....................................................................................................
950,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 1,071,125
....................................................................................................
1,600,000 McCaw International Ltd sr. disc. notes
stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 1,104,000
....................................................................................................
3,060,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 2,524,500
....................................................................................................
400,000 NEXTEL Communicaitons, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 236,000
....................................................................................................
1,130,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 1,265,600
....................................................................................................
1,345,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 10/31/02), 2007 (STP) 958,313
....................................................................................................
4,190,000 NEXTEL Communications, Inc. 144A
sr. notes 9 3/8s, 2009 4,116,675
....................................................................................................
895,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 906,188
....................................................................................................
955,000 US Unwired Inc. sr. disc. notes
stepped-coupon zero %
(13 3/8s, 11/1/04), 2009 (STP) 558,675
- ----------------------------------------------------------------------------------------------------
14,204,439
- ----------------------------------------------------------------------------------------------------
Chemicals (1.6%)
....................................................................................................
410,000 Geo Specialty Chemicals, Inc. sr. sub. notes
10 1/8s, 2008 379,250
....................................................................................................
650,000 Georgia Gulf Corp. 144A sr. sub. notes
10 3/8s, 2007 679,250
....................................................................................................
170,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 159,800
....................................................................................................
550,000 Huntsman Corp. 144A sr. sub. notes
FRN 8.87s, 2007 539,000
....................................................................................................
1,530,000 Huntsman ICI Chemicals Inc. 144A
sr. sub. notes 10 1/8s, 2009 1,575,900
....................................................................................................
1,260,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 1,291,500
....................................................................................................
1,990,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 2,034,775
....................................................................................................
300,000 NL Industries, Inc. sr. notes 11 3/4s, 2003 310,500
....................................................................................................
1,000,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 767,500
....................................................................................................
400,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 316,000
....................................................................................................
554,084 Polytama International notes 11 1/4s,
2007 (Indonesia) 99,735
....................................................................................................
740,000 Royster-Clark Inc. 144A 1st mtge
10 1/4s, 2009 673,400
....................................................................................................
680,000 Scotts Co 144A sr. sub. notes 8 5/8s, 2009 666,400
....................................................................................................
235,000 Sterling Chemicals, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 61,100
....................................................................................................
390,000 Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 401,700
....................................................................................................
660,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 462,000
....................................................................................................
170,000 UCAR Global Enterprises sr. sub. notes
Ser. B, 12s, 2005 176,375
- ----------------------------------------------------------------------------------------------------
10,594,185
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.8%)
....................................................................................................
160,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 168,000
....................................................................................................
480,000 Cybernet Internet Services Intl., Inc.
144A sr. notes 14s, 2009 417,600
....................................................................................................
650,000 Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 (STP) 117,000
....................................................................................................
710,000 PSINet, Inc. sr. notes 11 1/2s, 2008 745,500
....................................................................................................
1,100,000 PSINet, Inc. sr. notes 11s, 2009 1,133,000
....................................................................................................
360,000 PSINet, Inc. 144A sr. notes 10 1/2s, 2006 365,400
....................................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 726,000
....................................................................................................
870,000 Unisys Corp. sr. notes 7 7/8s, 2008 841,725
....................................................................................................
350,000 Verio, Inc. sr. notes 11 1/4s, 2008 367,500
....................................................................................................
290,000 Verio, Inc. sr. notes 10 3/8s, 2005 292,900
- ----------------------------------------------------------------------------------------------------
5,174,625
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.2%)
....................................................................................................
880,000 Axia, Inc. company guaranty 10 3/4s, 2008 807,400
....................................................................................................
860,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 430,000
- ----------------------------------------------------------------------------------------------------
1,237,400
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.1%)
....................................................................................................
550,000 Albecca Inc. company guaranty
10 3/4s, 2008 372,625
....................................................................................................
190,000 Iron Age Corp. company guaranty
9 7/8s, 2008 142,500
....................................................................................................
220,000 Sealy Mattress Co. sr. sub. notes
Ser. B, 9 7/8s, 2007 220,550
- ----------------------------------------------------------------------------------------------------
735,675
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
....................................................................................................
1,250,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 1,056,250
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
895,000 Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 921,850
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.2%)
....................................................................................................
150,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 141,750
....................................................................................................
190,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 184,300
....................................................................................................
360,000 Revlon Consumer Products sr. notes
9s, 2006 264,600
....................................................................................................
1,500,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 735,000
- ----------------------------------------------------------------------------------------------------
1,325,650
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.6%)
....................................................................................................
1,000,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,060,000
....................................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 506,250
....................................................................................................
660,000 Calpine Corp. sr. notes 7 7/8s, 2008 630,300
....................................................................................................
610,000 Calpine Corp. sr. notes 7 3/4s, 2009 568,276
....................................................................................................
920,000 Cleveland Electric Illuminating Co.
1st mtge 6.86s, 2008 839,196
....................................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 376,147
....................................................................................................
1,120,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,041,712
....................................................................................................
330,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 315,209
....................................................................................................
500,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 587,300
....................................................................................................
2,115,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 2,283,883
....................................................................................................
249,512 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 248,851
....................................................................................................
14,366 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 14,303
....................................................................................................
836,625 Northeast Utilities System notes
Ser. A, 8.58s, 2006 842,841
....................................................................................................
90,667 Northeast Utilities System notes
Ser. B, 8.38s, 2005 91,056
....................................................................................................
1,075,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 645,000
- ----------------------------------------------------------------------------------------------------
10,050,324
- ----------------------------------------------------------------------------------------------------
Electronic Components (0.4%)
....................................................................................................
1,180,000 Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 1,206,550
....................................................................................................
360,000 Metromedia Fiber Network, Inc. sr. notes
10s, 2009 368,100
....................................................................................................
1,060,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 540,600
....................................................................................................
1,490,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 759,900
- ----------------------------------------------------------------------------------------------------
2,875,150
- ----------------------------------------------------------------------------------------------------
Electronics (0.3%)
....................................................................................................
125,000 Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 131,250
....................................................................................................
320,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 318,400
....................................................................................................
970,000 Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 945,750
....................................................................................................
125,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 72,500
....................................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 507,500
- ----------------------------------------------------------------------------------------------------
1,975,400
- ----------------------------------------------------------------------------------------------------
Entertainment (0.8%)
....................................................................................................
1,910,000 ITT Corp. notes 6 3/4s, 2005 1,689,834
....................................................................................................
205,000 Premier Parks, Inc.144A sr. disc.
notes stepped-coupon zero %,
(10s, 4/1/03), 2008 (STP) 140,425
....................................................................................................
650,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 611,000
....................................................................................................
940,000 SFX Entertainment, Inc. company
guaranty 9 1/8s, 2008 890,650
....................................................................................................
670,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 274,700
....................................................................................................
950,000 Six Flags Corp. sr. notes 8 7/8s, 2006 928,625
....................................................................................................
973,479 United Artist bank term loan FRB
10.31s, 2006 710,639
....................................................................................................
800,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 136,000
- ----------------------------------------------------------------------------------------------------
5,381,873
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.0%)
....................................................................................................
1,340,000 Allied Waste Industries, Inc. 144A
sr. sub. notes 10s, 2009 1,195,950
....................................................................................................
2,170,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 1,909,600
....................................................................................................
640,000 Allied Waste Industries, Inc. bank term
loan Ser. B, FRN 8.875s, 2006 631,520
....................................................................................................
750,000 Allied Waste Industries, Inc. bank term
loan Ser. C, FRN 9.188s, 2007 746,348
....................................................................................................
1,140,000 Browning-Ferris Industries, Inc. deb.
7.4s, 2035 832,200
....................................................................................................
384,000 USA Waste Services, Inc. sr. notes
6 1/2s, 2002 355,630
....................................................................................................
270,000 Waste Management, Inc. sr. notes
7 1/8s, 2007 236,174
....................................................................................................
30,000 Waste Management, Inc. 144A sr. notes
6 7/8s, 2009 25,278
....................................................................................................
706,000 Waste Management, Inc. notes
6 5/8s, 2002 657,575
- ----------------------------------------------------------------------------------------------------
6,590,275
- ----------------------------------------------------------------------------------------------------
Financial Services (1.2%)
....................................................................................................
985,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 630,400
....................................................................................................
340,000 Advanta Corp. med-term notes Ser. B,
7s, 2001 318,750
....................................................................................................
1,080,000 Advanta Corp. med-term notes Ser. D,
6.92s, 2002 984,874
....................................................................................................
510,000 AMRESCO, Inc. sr. sub. notes
Ser. 97-A, 10s, 2004 331,500
....................................................................................................
250,000 AMRESCO, Inc. sr. sub. notes
Ser. 98-A, 9 7/8s, 2005 160,000
....................................................................................................
430,000 Cellco Finance Corp. NV sr. sub.
notes 15s, 2005 (Netherlands) 464,400
....................................................................................................
680,000 Cellco Finance Corp. NV 144A
sr. notes 12 3/4s, 2005 (Netherlands) 702,100
....................................................................................................
165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 146,779
....................................................................................................
130,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 11,700
....................................................................................................
750,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 67,500
....................................................................................................
1,260,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 138,600
....................................................................................................
825,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 643,500
....................................................................................................
185,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 143,375
....................................................................................................
350,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 329,875
....................................................................................................
190,000 Nationwide Credit, Inc. sr. notes
Ser. A, 10 1/4s, 2008 112,100
....................................................................................................
1,580,000 RBF Finance Co. company guaranty
11s, 2006 1,686,650
....................................................................................................
2,771,000 Realkredit Danmark mtge. 7s, 2029
(Denmark) 370,069
....................................................................................................
1,000,000 Resource America Inc. 144A sr. notes
12s, 2004 820,000
- ----------------------------------------------------------------------------------------------------
8,062,172
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.7%)
....................................................................................................
780,000 Ameriserve Food Co. 144A sec. notes
12s, 2006 639,600
....................................................................................................
470,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 159,800
....................................................................................................
100,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 101,250
....................................................................................................
580,000 Aurora Foods, Inc. 144A sr. sub. notes
Ser. D, 9 7/8s, 2007 587,250
....................................................................................................
790,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 529,300
....................................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 697,000
....................................................................................................
1,070,000 Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 3/4s, 2009 1,035,225
....................................................................................................
610,000 Vlassic Foods Intl., Inc. sr. sub notes
Ser. B, 10 1/4s, 2009 581,025
- ----------------------------------------------------------------------------------------------------
4,330,450
- ----------------------------------------------------------------------------------------------------
Gaming (1.8%)
....................................................................................................
700,000 Argosy Gaming Co. company guaranty
10 3/4s, 2009 735,000
....................................................................................................
1,230,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 1,217,700
....................................................................................................
340,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 300,937
....................................................................................................
810,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (NON) 435,375
....................................................................................................
280,000 Harrahs Entertainment, Inc. company
guaranty 7 1/2s, 2009 261,436
....................................................................................................
1,320,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 1,366,200
....................................................................................................
410,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 405,900
....................................................................................................
560,000 Horseshoe Gaming Holdings company
guaranty 8 5/8s, 2009 539,000
....................................................................................................
1,420,000 International Game Technology sr. notes
7 7/8s, 2004 1,370,300
....................................................................................................
520,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 566,800
....................................................................................................
500,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 493,750
....................................................................................................
660,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 643,500
....................................................................................................
680,000 Park Place Entertainment sr. notes
8 1/2s, 2006 672,874
....................................................................................................
275,000 Players International Inc. sr. notes
10 7/8s, 2005 288,750
....................................................................................................
1,750,000 Trump A.C. 1st mtge. 11 1/4s, 2006 1,417,500
....................................................................................................
1,060,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 1,073,250
- ----------------------------------------------------------------------------------------------------
11,788,272
- ----------------------------------------------------------------------------------------------------
Health Care (1.1%)
....................................................................................................
210,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 193,988
....................................................................................................
720,000 Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 648,000
....................................................................................................
1,600,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 1,428,000
....................................................................................................
140,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 132,338
....................................................................................................
350,000 Conmed Corp. company guaranty
9s, 2008 327,250
....................................................................................................
600,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 352,500
....................................................................................................
530,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 426,650
....................................................................................................
680,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 56,100
....................................................................................................
430,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 35,475
....................................................................................................
280,000 Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B, zero %
(10 1/2s, 11/1/02), 2007 (In default) (STP) (NON) 1,400
....................................................................................................
1,395,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 6,975
....................................................................................................
30,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 28,875
....................................................................................................
1,465,000 Multicare Cos., Inc. sr. sub. notes
9s, 2007 336,950
....................................................................................................
1,040,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 603,200
....................................................................................................
285,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 91,200
....................................................................................................
650,000 Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 624,000
....................................................................................................
745,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 37,250
....................................................................................................
720,000 Sun Healthcare Group, Inc. 144A sr. sub.
notes 9 3/8s, 2008 (In default) (NON) 36,000
....................................................................................................
350,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 338,625
....................................................................................................
585,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 544,050
....................................................................................................
310,000 Tenet Healthcare Corp. sr. notes 8s, 2005 299,150
....................................................................................................
410,000 Tenet Healthcare Corp. sr. notes
Ser. B, 7 5/8s, 2008 380,275
- ----------------------------------------------------------------------------------------------------
6,928,251
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
....................................................................................................
410,000 Lifepoint Hospital Holdings company
guaranty Ser. B, 10 3/4s, 2009 422,300
....................................................................................................
460,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 476,100
- ----------------------------------------------------------------------------------------------------
898,400
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.3%)
....................................................................................................
1,500,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,348,140
....................................................................................................
814,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 732,600
- ----------------------------------------------------------------------------------------------------
2,080,740
- ----------------------------------------------------------------------------------------------------
Lodging (0.9%)
....................................................................................................
670,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 482,400
....................................................................................................
1,550,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 1,379,500
....................................................................................................
120,000 HMH Properties, Inc. sr. notes
Ser. C, 8.45s, 2008 110,700
....................................................................................................
1,675,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,704,313
....................................................................................................
450,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 435,375
....................................................................................................
2,020,000 Starwood Hotels & Resorts notes
6 3/4s, 2003 1,879,065
- ----------------------------------------------------------------------------------------------------
5,991,353
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.2%)
....................................................................................................
280,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 273,700
....................................................................................................
1,000,000 Blount Inc. 144A sr. sub. notes 13s, 2009 1,055,000
- ----------------------------------------------------------------------------------------------------
1,328,700
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
....................................................................................................
480,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 415,200
....................................................................................................
625,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 612,500
....................................................................................................
350,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 259,000
....................................................................................................
450,000 Leiner Health Products sr. sub. notes
9 5/8s, 2007 336,375
....................................................................................................
560,000 Mediq, Inc. company guaranty 11s, 2008 224,000
....................................................................................................
495,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 49,500
- ----------------------------------------------------------------------------------------------------
1,896,575
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.6%)
....................................................................................................
276,000 Anker Coal Group, Inc. 144A sec. notes
14 1/4s, 2007 (PIK) 138,000
....................................................................................................
250,000 Armco, Inc. sr. notes 9s, 2007 252,500
....................................................................................................
1,400,000 Better Minerals & Aggregates Co. 144A
sr. sub. notes 13s, 2009 1,403,500
....................................................................................................
325,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 169,000
....................................................................................................
800,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 400,000
....................................................................................................
800,000 Neenah Corp. company guaranty Ser. F,
11 1/8s, 2007 740,000
....................................................................................................
722,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 696,730
....................................................................................................
390,000 WHX Corp. sr. notes 10 1/2s, 2005 365,625
- ----------------------------------------------------------------------------------------------------
4,165,355
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.3%)
....................................................................................................
250,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 222,500
....................................................................................................
540,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 476,550
....................................................................................................
495,000 Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 (Mexico) 455,400
....................................................................................................
1,536,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 560,640
- ----------------------------------------------------------------------------------------------------
1,715,090
- ----------------------------------------------------------------------------------------------------
Networking (0.2%)
....................................................................................................
180,000 Exodus Communications, Inc. sr. notes
11 1/4s, 2008 186,750
....................................................................................................
950,000 Exodus Communications, Inc. 144A
sr. notes 10 3/4s, 2009 966,625
- ----------------------------------------------------------------------------------------------------
1,153,375
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.0%)
....................................................................................................
550,000 Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 566,500
....................................................................................................
70,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 45,675
....................................................................................................
190,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 194,750
....................................................................................................
440,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 422,884
....................................................................................................
400,000 Gulf Canada Resources, Ltd. sr. notes
8.35s, 2006 (Canada) 393,500
....................................................................................................
500,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 520,000
....................................................................................................
500,000 Nuevo Energy Co. sr. sub. notes
Ser. B, 9 1/2s, 2008 500,000
....................................................................................................
690,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 684,825
....................................................................................................
610,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 588,650
....................................................................................................
580,000 Pogo Producing Co. sr. sub. notes
Ser. B, 8 3/4s, 2007 558,250
....................................................................................................
320,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 140,000
....................................................................................................
990,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 396,000
....................................................................................................
1,090,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 1,117,250
....................................................................................................
200,000 XCL Ltd. 144A company guaranty
13 1/2s, 2004 (In default) (NON) 40,000
- ----------------------------------------------------------------------------------------------------
6,168,284
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.9%)
....................................................................................................
410,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 394,625
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 780,000
....................................................................................................
390,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 382,200
....................................................................................................
560,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 498,400
....................................................................................................
127,778 Jefferson Smurft bank term loan
Ser. B, FRN 8.625s, 2006 127,778
....................................................................................................
980,000 Packaging Corp. company guaranty
9 5/8s, 2009 1,004,500
....................................................................................................
566,033 Packaging Corp. bank term loan FRN
9.438s, 2008 541,580
....................................................................................................
150,000 Radnor Holdings Inc. sr. notes 10s, 2003 150,000
....................................................................................................
1,690,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,656,200
....................................................................................................
450,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 463,500
- ----------------------------------------------------------------------------------------------------
5,998,783
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.0%)
....................................................................................................
1,515,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 969,600
....................................................................................................
300,000 Doman Industries 144A notes
8 3/4s, 2004 255,000
....................................................................................................
620,000 Impac Group Inc. company guaranty
Ser. B, 10 1/8s, 2008 564,200
....................................................................................................
545,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 403,300
....................................................................................................
800,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 826,000
....................................................................................................
1,140,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s,
2007 (Indonesia) 832,200
....................................................................................................
845,000 PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 621,075
....................................................................................................
1,537,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 1,429,410
....................................................................................................
370,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 347,800
- ----------------------------------------------------------------------------------------------------
6,248,585
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.3%)
....................................................................................................
940,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 900,050
....................................................................................................
730,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 697,150
- ----------------------------------------------------------------------------------------------------
1,597,200
- ----------------------------------------------------------------------------------------------------
Publishing (0.6%)
....................................................................................................
1,440,000 Affinity Group Holdings sr. notes
11s, 2007 1,324,800
....................................................................................................
400,000 American Media Operation, Inc. sr. sub.
notes 10 1/4s, 2009 405,000
....................................................................................................
880,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 827,200
....................................................................................................
610,000 Garden State Newspapers sr. sub. notes
8 5/8s, 2011 558,150
....................................................................................................
570,000 Perry-Judd company guaranty
10 5/8s, 2007 501,600
....................................................................................................
136,932 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 124,608
....................................................................................................
160,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 156,800
- ----------------------------------------------------------------------------------------------------
3,898,158
- ----------------------------------------------------------------------------------------------------
Railroads (0.1%)
....................................................................................................
240,000 MRS Logistica, S.A. bonds Ser. B,
10 5/8s, 2005 (Brazil) 194,400
....................................................................................................
630,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero % (11 3/4s,
6/15/02), 2009 (Mexico) (STP) 403,200
- ----------------------------------------------------------------------------------------------------
597,600
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trusts) (0.2%)
....................................................................................................
1,500,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 1,486,275
- ----------------------------------------------------------------------------------------------------
Restaurants (0.2%)
....................................................................................................
500,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 300,000
....................................................................................................
1,200,000 Sbarro Inc. 144A sr. notes 11s, 2009 1,242,000
- ----------------------------------------------------------------------------------------------------
1,542,000
- ----------------------------------------------------------------------------------------------------
Retail (0.9%)
....................................................................................................
240,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 204,000
....................................................................................................
1,370,000 K mart Corp. notes 8 3/8s, 2004 1,363,150
....................................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 395,208
....................................................................................................
250,000 K mart Corp. deb. 7 3/4s, 2012 226,563
....................................................................................................
460,000 Kasper A.S.L. Ltd. sr. notes 12 3/4s, 2004 377,200
....................................................................................................
800,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 806,000
....................................................................................................
1,200,000 NBTY Inc. 144A sr. sub. notes
8 5/8s, 2007 1,116,000
....................................................................................................
915,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 832,650
....................................................................................................
450,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 436,500
- ----------------------------------------------------------------------------------------------------
5,757,271
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.1%)
....................................................................................................
520,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 551,200
....................................................................................................
320,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 211,200
- ----------------------------------------------------------------------------------------------------
762,400
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.6%)
....................................................................................................
750,000 Amkor Technology, Inc. 144A sr. sub.
notes 10 1/2s, 2009 742,500
....................................................................................................
1,000,000 Amkor Technology, Inc. 144A sr. notes
9 1/4s, 2006 980,000
....................................................................................................
1,365,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 1,392,300
....................................................................................................
710,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 653,200
- ----------------------------------------------------------------------------------------------------
3,768,000
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
180,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 162,000
....................................................................................................
745,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 758,038
....................................................................................................
145,000 Transportacion Maritima Mexicana S.A.
de C.V. notes 9 1/4s, 2003 119,625
- ----------------------------------------------------------------------------------------------------
1,039,663
- ----------------------------------------------------------------------------------------------------
Steel (0.7%)
....................................................................................................
1,580,000 AK Steel Corp. company guaranty
7 7/8s, 2009 1,489,150
....................................................................................................
730,000 California Steel Industries sr. notes
Ser. B, 8 1/2s, 2009 698,975
....................................................................................................
920,000 LTV Corp. sr. notes 11 3/4s, 2009 966,000
....................................................................................................
500,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 512,500
....................................................................................................
800,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 822,000
....................................................................................................
90,000 Wheeling-Pittsburgh Steel Corp.
sr. notes 9 1/4s, 2007 84,600
- ----------------------------------------------------------------------------------------------------
4,573,225
- ----------------------------------------------------------------------------------------------------
Telecommunications (6.4%)
....................................................................................................
1,290,000 Alaska Communications Systems Corp.
company guaranty 9 3/8s, 2009 1,248,075
....................................................................................................
540,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 294,300
....................................................................................................
410,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s,
5/15/03), 2005 (Mexico) (STP) 258,300
....................................................................................................
410,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 414,100
....................................................................................................
220,000 CapRock Communications Corp. sr. notes
Ser. B, 12s, 2008 227,700
....................................................................................................
430,000 CapRock Communications Corp. sr. notes
11 1/2s, 2009 440,750
....................................................................................................
750,000 Carrier1 Intl. S.A. sr. notes Ser. B,
13 1/4s, 2009 (Luxembourg) 787,500
....................................................................................................
1,870,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 1,645,600
....................................................................................................
1,080,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 672,300
....................................................................................................
1,130,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 1,166,725
....................................................................................................
915,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 329,400
....................................................................................................
280,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 280,700
....................................................................................................
1,790,000 Firstworld Communication Corp. sr.
disc. notes stepped-coupon zero %
(13, 4/15/03), 2008 (STP) 1,074,000
....................................................................................................
1,080,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 669,600
....................................................................................................
1,300,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 1,296,750
....................................................................................................
420,000 Global Crossing Holdings, Ltd. 144A
sr. notes 9 1/8s, 2006 414,750
....................................................................................................
290,000 Globe Telecom 144A notes 13s, 2009 313,200
....................................................................................................
1,410,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 1,039,875
....................................................................................................
1,580,000 GST Telecommunications, Inc. sr. disc.
notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 766,300
....................................................................................................
330,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 293,700
....................................................................................................
595,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 636,650
....................................................................................................
730,000 Hyperion Telecommunications Inc. sr. sub.
notes 12s, 2007 770,150
....................................................................................................
330,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 173,250
....................................................................................................
730,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 631,450
....................................................................................................
1,560,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 787,800
....................................................................................................
980,000 Insight Midwest 144A sr. notes
9 3/4s, 2009 1,006,950
....................................................................................................
310,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 234,050
....................................................................................................
900,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (11 1/4s, 7/15/02), 2007 (STP) 661,500
....................................................................................................
130,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 7/8s, 2007 120,900
....................................................................................................
1,540,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 1,420,650
....................................................................................................
1,090,000 IPC Information Systems Inc. sr. disc.
notes zero % (10 7/8s,), 2008 (STP) 828,400
....................................................................................................
2,700,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 1,485,000
....................................................................................................
750,000 KMC Telecom Holdings, Inc. 144A sr. notes
13 1/2s, 2009 750,000
....................................................................................................
1,275,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 854,250
....................................................................................................
1,050,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 787,500
....................................................................................................
1,180,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) (STP) 1,038,400
....................................................................................................
100,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 65,000
....................................................................................................
180,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 153,000
....................................................................................................
980,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 1,038,800
....................................................................................................
580,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 626,400
....................................................................................................
500,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 512,500
....................................................................................................
235,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 152,750
....................................................................................................
1,035,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 662,400
....................................................................................................
1,045,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 847,819
....................................................................................................
115,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 90,218
....................................................................................................
330,000 Qwest Communications International,
Inc. sr. notes Ser. B, 7 1/4s, 2008 315,658
....................................................................................................
1,190,000 Rhythms Netconnections, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13 1/2s, 5/15/03), 2008 (STP) 642,600
....................................................................................................
950,000 Startec Global Communications Corp.
sr. notes 12s, 2008 779,000
....................................................................................................
1,060,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 954,000
....................................................................................................
360,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 17,100
....................................................................................................
140,000 Teligent, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 3/1/03), 2008 (STP) 82,250
....................................................................................................
860,000 Teligent, Inc. sr. notes 11 1/2s, 2007 838,500
....................................................................................................
1,210,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 1,240,250
....................................................................................................
440,000 Versatel Telecom B.V. sr. notes 13 1/4s,
2008 (Netherlands) 468,600
....................................................................................................
210,000 Versatel Telecom B.V. sr. notes 13 1/4s,
2008 (Netherlands) 223,650
....................................................................................................
1,850,000 Williams Communications Group Inc.
sr. notes 10 7/8s, 2009 1,935,563
....................................................................................................
660,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 937,200
....................................................................................................
670,000 WinStar Communications. Inc. sr. sub.
notes 11s, 2008 683,400
....................................................................................................
830,000 WinStar Communications, Inc. sr. sub.
notes 10s, 2008 784,350
....................................................................................................
315,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 284,288
....................................................................................................
950,000 Worldwide Fiber, Inc. sr. notes 12s, 2009 980,875
- ----------------------------------------------------------------------------------------------------
41,136,696
- ----------------------------------------------------------------------------------------------------
Telephone Services (2.6%)
....................................................................................................
930,000 Allegiance Telecom, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 663,788
....................................................................................................
260,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 293,800
....................................................................................................
1,980,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 1,821,600
....................................................................................................
860,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(10.8s, 5/15/04), 2009 (Canada) (STP) 410,650
....................................................................................................
1,150,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 678,500
....................................................................................................
1,170,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 573,300
....................................................................................................
540,000 Call-Net Enterprises Inc. sr. notes 8s,
2008 (Canada) 410,400
....................................................................................................
1,060,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 985,800
....................................................................................................
375,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 322,500
....................................................................................................
355,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 301,750
....................................................................................................
276,000 ITC Deltacom, Inc. sr. notes 11s, 2007 289,800
....................................................................................................
150,000 Long Distance International, Inc. sr. notes
12 1/4s, 2008 75,000
....................................................................................................
1,500,000 McLeodUSA, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 1,215,000
....................................................................................................
1,190,000 McLeodUSA, Inc. sr. notes 9 1/2s, 2008 1,192,975
....................................................................................................
100,000 NEXTLINK Communications Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 6/1/04), 2009 (STP) 61,500
....................................................................................................
140,000 NEXTLINK Communications 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 12/1/04), 2009 (STP) 81,550
....................................................................................................
780,000 NEXTLINK Communications Inc. 144A
sr. notes 10 1/2s, 2009 795,600
....................................................................................................
820,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 742,100
....................................................................................................
690,000 RCN Corp. sr. disc. notes
stepped-coupon zero %
(11 1/8s, 10/15/02), 2007 (STP) 488,175
....................................................................................................
1,387,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 1,407,805
....................................................................................................
430,000 RSL Communications, Ltd. 144A notes
10 1/2s, 2008 408,500
....................................................................................................
140,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 125,300
....................................................................................................
315,000 Transtel S.A. pass-through certificates
12 1/2s, 2007 173,250
....................................................................................................
390,000 US Xchange LLC sr. notes 15s, 2008 292,500
....................................................................................................
730,000 Viatel, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 456,250
....................................................................................................
912,000 Viatel, Inc. 144A sr. notes 11 1/2s, 2009 907,440
....................................................................................................
1,470,000 Viatel, Inc. sr. notes 11 1/4s, 2008 1,462,650
- ----------------------------------------------------------------------------------------------------
16,637,483
- ----------------------------------------------------------------------------------------------------
Textiles (0.1%)
....................................................................................................
790,000 Galey & Lord, Inc. company guaranty
9 1/8s, 2008 173,800
....................................................................................................
350,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 339,500
....................................................................................................
280,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 268,800
- ----------------------------------------------------------------------------------------------------
782,100
- ----------------------------------------------------------------------------------------------------
Transportation (0.2%)
....................................................................................................
370,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 363,525
....................................................................................................
1,000,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 1,030,000
- ----------------------------------------------------------------------------------------------------
1,393,525
- ----------------------------------------------------------------------------------------------------
Utilities (0.1%)
....................................................................................................
940,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 904,864
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.8%)
....................................................................................................
1,090,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 1,068,200
....................................................................................................
625,000 Neuvo Grupo Iusacell S.A. 144A sr. notes
14 1/4s, 2006 (Mexico) 650,000
....................................................................................................
360,000 Omnipoint Corp. 144A sr. notes
11 1/2s, 2009 388,800
....................................................................................................
500,000 Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 350,000
....................................................................................................
60,000 Orbital Imaging Corp. sr. notes
Ser. D, 11 5/8s, 2005 39,600
....................................................................................................
215,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 30,100
....................................................................................................
960,000 Telecorp PCS Inc. company guaranty
stepped-coupon zero %
(11 5/8s, 4/15/04), 2009 (STP) 604,800
....................................................................................................
1,860,000 VoiceStream Wireless Corp. 144A
sr. notes 10 3/8s, 2009 1,915,800
- ----------------------------------------------------------------------------------------------------
5,047,300
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $332,832,526) $301,646,112
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (18.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (5.1%)
....................................................................................................
$1,012,721 Federal Home Loan Mortgage
Corporation 7s, July 1, 2012 $1,001,642
....................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
....................................................................................................
88,398 8s, October 1, 2029 89,116
....................................................................................................
3,901,249 7 1/2s Interest Only (IO),
November 25, 2023 1,220,360
....................................................................................................
342,660 7s, with due dates from
December 1, 2010 to May 1, 2011 338,695
....................................................................................................
4,080,196 6 1/2s, with due dates from
August 1, 2010 to November 1, 2028 3,851,128
....................................................................................................
347,670 5 1/2s, August 15, 2014 322,464
....................................................................................................
Government National Mortgage
Association Pass-Through Certificates
....................................................................................................
5,355,208 8s, with due dates from
November 15, 2024 to
December 15, 2027 5,408,759
....................................................................................................
3,809,076 7 1/2s, with due dates from
January 15, 2023 to August 15, 2025 3,785,268
....................................................................................................
13,750,578 7s, with due dates from March 15, 2023
to July 15, 2028 13,318,407
....................................................................................................
3,680,081 6 1/2s, with due dates from
February 15, 2027 to January 15, 2029 3,477,682
- ----------------------------------------------------------------------------------------------------
32,813,521
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (13.1%)
....................................................................................................
23,940,000 U.S. Treasury Bonds 6 1/8s,
August 15, 2029 22,821,523
....................................................................................................
U.S. Treasury Notes
....................................................................................................
15,475,000 6s, August 15, 2009 14,991,406
....................................................................................................
8,765,000 5 1/2s, May 15, 2009 8,166,526
....................................................................................................
40,713,000 5 1/4s, May 15, 2004 (SEG) 39,001,833
- ----------------------------------------------------------------------------------------------------
84,981,288
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $121,129,487) $117,794,809
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (15.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
USD 7,350,000 Argentina (Republic of) unsub.
11 3/4s, 2009 $7,350,000
....................................................................................................
AUD 17,775,000 Australia (Government of) bonds
Ser. 808, 8 3/4s, 2008 12,987,917
....................................................................................................
USD 4,600,000 Brazil (Federal Republic of) notes
14 1/2s, 2009 5,100,480
....................................................................................................
CAD 1,440,000 Canada (Government of) bonds
Ser. WB60, 7 1/4s, 2007 1,052,266
....................................................................................................
CAD 14,290,000 Canada (Government of) bonds
Ser. WL43, 5 3/4s, 2029 9,275,220
....................................................................................................
USD 1,215,000 Colombia (Republic of) unsub. 9 3/4s, 2009 1,132,988
....................................................................................................
USD 465,000 Colombia (Republic of) unsub. 8 5/8s, 2008 405,155
....................................................................................................
EUR 14,145,000 Germany (Federal Republic of) bonds
Ser. 132, 4 1/8s, 2004 13,844,631
....................................................................................................
USD 1,020,000 Philippines (Republic of) bonds
9 7/8s, 2019 1,007,250
....................................................................................................
USD 2,310,000 Russia (Federation of) 144A bonds
12 3/4s, 2028 1,599,675
....................................................................................................
USD 3,755,000 Russia (Federation of) unsub. 10s, 2007 2,342,369
....................................................................................................
USD 12,720,000 Russia (Federation of) deb. principal
loans FRB 6.063s, 2020 (NON) 2,035,200
....................................................................................................
SEK 108,400,000 Sweden (Government of) bonds
Ser. 1041, 6 3/4s, 2014 13,732,408
....................................................................................................
SEK 18,600,000 Sweden (Government of) bonds
Ser. 1035, 6s, 2005 2,236,898
....................................................................................................
USD 890,000 Turkey (Republic of) sr. unsub.
12 3/8s, 2009 950,075
....................................................................................................
GBP 2,510,000 United Kingdom Treasury bonds 10s, 2003 4,531,076
....................................................................................................
GBP 2,590,000 United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 4,508,137
....................................................................................................
GBP 2,455,000 United Kingdom Treasury bonds 8s, 2000 4,027,274
....................................................................................................
USD 7,130,000 United Mexican States bonds Ser. XW,
10 3/8s, 2009 7,568,495
....................................................................................................
USD 1,700,000 Venezuela (Republic of) bonds
9 1/4s, 2027 1,128,460
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $97,660,683) $96,815,974
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (6.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,540,000 Amresco Commercial Mortgage Funding
Ser. 1997-C1, Class F, 7.64s, 2029 $3,231,356
....................................................................................................
1,415,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class D, 6.977s, 2030 1,294,504
....................................................................................................
3,100,000 Commercial Mortgage Asset Trust
Ser. 1999-C1, Class A4, 6.975s, 2013 2,885,422
....................................................................................................
1,575,000 Countrywide Home Loan Ser. 98-3,
Class A5, 6 3/4s, 2028 1,456,137
....................................................................................................
1,980,000 Countrywide Mortgage Backed
Securities, Inc. Ser. 93-C, Class A8,
6 1/2s, 2024 1,787,920
....................................................................................................
27,119,512 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, Interest
Only (IO), 1.244s, 2031 1,432,249
....................................................................................................
1,300,000 DLJ Commercial Mortgage Corp.
Ser. 1999-CG3, Class A1B, 7.34s, 2009 1,280,906
....................................................................................................
Fannie Mae Strip
....................................................................................................
3,207,925 Ser. 281, Class 2, IO, 9s, 2026 904,735
....................................................................................................
2,030,454 Ser. 303, IO, 7.5s, 2029 677,347
....................................................................................................
7,203,739 Ser. 266, Class 2, IO, 7.5s, 2024 2,206,145
....................................................................................................
666,159 Ser. 218, Class 2, IO, 7.5s, 2023 205,677
....................................................................................................
1,522,488 Ser. 222, Class 2, IO, 7s, 2023 465,310
....................................................................................................
1,242,777 Ser. 304, Class 2, IO, 6s, 2028 363,124
....................................................................................................
36,475,708 First Union-Lehman Brothers
Commercial Mortgage Co. Ser. 98-C2,
IO, 0.8029s, 2028 1,323,669
....................................................................................................
Freddie Mac
....................................................................................................
530,000 Ser. 1439, Class I, 7 1/2s, 2022 515,342
....................................................................................................
675,000 Ser. 2040, Class PE, 7 1/2s, 2028 656,323
....................................................................................................
745,302 Ser. 1717, Class L, 6 1/2s, 2024 717,703
....................................................................................................
582,944 Ser. 2113, Class ZM, 6 1/2s, 2028 524,650
....................................................................................................
973,988 Ser. 2122, Class ZA, 6 1/4s, 2028 702,489
....................................................................................................
779,645 Ser. 2188, Class SA, 5.77s, 2029 618,844
....................................................................................................
1,356,622 Ser. 2182, Class SA, 5.17s, 2025 1,128,116
....................................................................................................
Freddie Mac Strip
....................................................................................................
2,189,150 Ser. 202, Principal Only (PO),
zero %, 2029 1,321,700
....................................................................................................
925,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 872,590
....................................................................................................
1,675,000 General Growth Properties Ala Moana
Ser. 1999-C1, Class E, 8.04s, 2004 1,675,000
....................................................................................................
350,000 General Growth Properties Homart
Ser. 1999-C1, Class G, 8.25s, 2003 350,000
....................................................................................................
General Growth Properties Ivanhoe
....................................................................................................
870,000 Ser. 1999-C1, Class G, FRB 9.03s, 2004 870,000
....................................................................................................
729,000 Ser. 1999-C1, Class F, FRB 8.29s, 2004 729,000
....................................................................................................
Government National Mortgage
Association
....................................................................................................
855,000 Ser. 1997-8, Class PE, 7 1/2s, 2027 816,124
....................................................................................................
3,881,895 Ser. 1999-34, Class SC, IO, 2.14s, 2019 240,192
....................................................................................................
1,055,000 GS Mortgage Securities Corp. II
Ser. 98-GLII, Class D, 7.191s, 2031 941,588
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
915,000 Ser. 1996-2, Class E, 6.96s, 2028 766,027
....................................................................................................
499,000 Ser. 98-C2, Class D, 6.956s, 2030 452,609
....................................................................................................
19,500,866 Ser. 96-C2, IO, 1.598s, 2028 1,340,684
....................................................................................................
14,757,840 Ser. 98-C2, Class IO, 1.076s, 2030 1,044,578
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
18,400,306 Ser. 98-HF1, Class X, IO, 1.19s, 2018 997,642
....................................................................................................
845,000 Ser. 98-XL1, Class E, 7.15s, 2030 783,473
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
7,561,535 Ser. 97-MC2, Class X, IO, 1.58s, 2012 511,585
....................................................................................................
2,946,186 Ser. 98-MC1, Class X, IO, 0.856s, 2009 109,676
....................................................................................................
1,037,964 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 1,039,261
....................................................................................................
281,266 Prudential Home Mortgage Securities
Ser. 93-57, Class A4, 5.9s, 2023 277,170
....................................................................................................
658,567 Rural Housing Trust Ser. 87-1, Class
D, 6.33s, 2026 642,558
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $41,606,650) $40,159,425
- ----------------------------------------------------------------------------------------------------
BRADY BONDS (4.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$14,370,472 Brazil (Federal Republic of) bonds
8s, 2014 (POR) $10,796,536
....................................................................................................
5,495,000 Bulgaria (Government of) Ser. A, FRB
6 1/2s, 2024 4,403,144
....................................................................................................
2,280,000 Bulgaria (Government of) Ser. A,
FLIRB 2 3/4s, 2012 1,635,900
....................................................................................................
735,000 Peru (Republic of) bonds Ser. PDI,
FRB 4 1/2s, 2017 508,988
....................................................................................................
11,015,000 United Mexican States sec. Ser. W-B,
6 1/4s, 2019 8,674,313
....................................................................................................
1,333,325 Venezuela (Republic of) deb. Ser. DL,
FRB 6.313s, 2007 1,046,660
....................................................................................................
5,050,000 Venezuela (Republic of) Ser. W-A,
6 3/4s, 2020 3,434,000
- ----------------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $29,742,585) $30,499,541
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (2.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
193 21st Century Telecom Group 144A
13.75% cum. pfd. (PIK) $164,050
....................................................................................................
11,720 AmeriKing, Inc. $3.25 pfd. (PIK) 210,960
....................................................................................................
3,104 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 363,168
....................................................................................................
36,699 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 990,873
....................................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. (PIK) 345,060
....................................................................................................
3,526 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 394,031
....................................................................................................
374 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 370,260
....................................................................................................
15,796 CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 1,745,458
....................................................................................................
22,720 Diva Systems Corp. Ser. C, $6.00 pfd. 102,240
....................................................................................................
34,000 Diva Systems Corp. Ser. D, $6.00 pfd. 153,000
....................................................................................................
980 Dobson Communications 13.00% pfd. 1,068,200
....................................................................................................
636 Dobson Communications Corp. 144A
12.25% pfd. (PIK) 655,080
....................................................................................................
310 First Republic 144A 10.50% pfd. 299,150
....................................................................................................
10,600 Fitzgeralds Gaming $3.75 cum. pfd. 21,200
....................................................................................................
475,000 Fresenius Medical Capital Trust I
Ser. D, 9.00% pfd. (Germany) 465,500
....................................................................................................
720,000 Fresenius Medical Capital Trust II
7.875% pfd. (Germany) 649,800
....................................................................................................
4,880 Global Crossing Holdings 144A
$10.50 pfd. 488,000
....................................................................................................
2,203 ICG Holdings, Inc. 14.25% pfd. (Canada) 1,993,715
....................................................................................................
791 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 775,180
....................................................................................................
916 IXC Communications, Inc. 12.50% pfd. (PIK) 1,007,600
....................................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 30,000
....................................................................................................
623 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 663,495
....................................................................................................
18,489 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 1,016,895
....................................................................................................
169 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 1,728,025
....................................................................................................
19,997 Public Service Co. of New Hampshire
$2.651 1st mtge. pfd. 504,924
....................................................................................................
687 R&B Falcon Corp. 13.875% pfd. 724,785
....................................................................................................
715 WinStar Communications, Inc. 144A
14.25% cum. pfd. (PIK) 704,275
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $18,829,581) $17,634,924
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,925,000 BANAMEX Ser. 1999-A, Class A1,
7 1/2s, 2006 $1,913,065
....................................................................................................
525,000 Contimortgage Home Equity Loan Trust
Ser. 97-1, Class M2, 7.67s, 2028 262,500
....................................................................................................
2,385,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 2,341,772
....................................................................................................
416,294 Green Tree Recreational Equipment &
Cons. Ser. 97-B, Class A1, 6.55s, 2028 412,668
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $5,252,740) $4,930,005
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
4,545 Adelphia Business Solutions, Inc. (NON) $218,160
....................................................................................................
200 AmeriKing, Inc. (NON) 2,000
....................................................................................................
6,800 AMFM, Inc. (NON) 532,100
....................................................................................................
69,601 Celcaribe (NON) 26,100
....................................................................................................
201,624 Celcaribe S.A. 144A (Colombia) (NON) 302,436
....................................................................................................
9,224 Chesapeake Energy Corp. 21,907
....................................................................................................
30,000 Contour Energy Co. (NON) 15,600
....................................................................................................
20,830 Fitzgerald Gaming Corp. (NON) 5,208
....................................................................................................
1,752 Intermedia Communications, Inc. (NON) 68,000
....................................................................................................
6,121 MGC Communications, Inc. (NON) 310,641
....................................................................................................
233 Mothers Work, Inc. (NON) 2,709
....................................................................................................
3,541 NEXTEL Communications, Inc. Class A (NON) 365,166
....................................................................................................
215 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) (NON) 2
....................................................................................................
61 Premium Holdings (L.P.) 144A 611
....................................................................................................
52,810 PSF Holdings LLC Class A (NON) 528,100
....................................................................................................
8,850 Spanish Broadcasting System, Inc.
Class B (NON) 265,500
....................................................................................................
5,939 Viatel, Inc. (NON) 318,479
....................................................................................................
9,200 WinStar Communications, Inc. (NON) 692,300
....................................................................................................
990 World Access, Inc. (NON) 19,054
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,456,671) $3,694,073
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,940,000 Cybernet Internet Service 144A cv.
sr. disc. notes stepped-coupon zero %
(13s, 8/15/04), 2009 (STP) $1,067,000
....................................................................................................
145,000 GST Telecommunications, Inc. 144A cv.
sr. disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 130,500
....................................................................................................
450,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 347,063
....................................................................................................
500,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 548,750
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $1,943,821) $2,093,313
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
2,910 Chesapeake Energy Corp. $3.50 cum.
cv. pfd. $73,114
....................................................................................................
24,670 Global Telesystems, Inc. 144A
$3.625 cv. pfd. 1,400,057
....................................................................................................
4,200 LTV Corp. (The) 144A $4.13 cv. pfd. 258,038
....................................................................................................
30 Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) 320,250
....................................................................................................
712 XCL Ltd 144A Ser. A, $9.50 cv. cum. pfd. 711
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,958,160) $2,052,170
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.2%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
6 Anker Coal Group, Inc. 144A 9/9/99 $0
....................................................................................................
410 Bestel S.A. (Mexico) 5/15/05 20,500
....................................................................................................
410 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 22,550
....................................................................................................
2,575 Cellnet Data Systems, Inc. 10/1/07 24,463
....................................................................................................
36,500 CGA Group Ltd. 144A 2/11/07 365
....................................................................................................
395 Club Regina, Inc. 144A 12/1/04 395
....................................................................................................
1,100 Comunicacion Cellular
144A (Colombia) 11/15/03 59,400
....................................................................................................
6,075 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 608
....................................................................................................
480 Cybernet Internet 144A 7/1/09 38,400
....................................................................................................
1,240 Decrane Holdings 9/30/08 12
....................................................................................................
515 Diva Systems Corp. 5/15/06 95,275
....................................................................................................
4,608 Diva Systems Corp. 3/1/08 36,864
....................................................................................................
10 E. Spire Communications, Inc. 11/1/05 300
....................................................................................................
670 Epic Resorts 6/15/05 7
....................................................................................................
375 Esat Holdings, Inc. (Ireland) 2/1/07 26,250
....................................................................................................
1,790 Firstworld Communication 4/15/08 214,800
....................................................................................................
300 Globalstar Telecommunications 2/15/04 18,000
....................................................................................................
5,181 ICG Communications 10/15/05 91,963
....................................................................................................
650 Interact Systems, Inc. 8/1/03 7
....................................................................................................
270 International Wireless
Communications Holdings 144A 8/15/01 0
....................................................................................................
650 Iridium World Com 144A 7/15/05 7
....................................................................................................
1,750 KMC Telecom Holdings, Inc. 4/15/08 6,125
....................................................................................................
1,035 Knology Holdings 10/22/07 2,329
....................................................................................................
150 Long Distance
International, Inc. 144A 4/13/08 300
....................................................................................................
1,660 McCaw International Ltd. 4/15/07 7,470
....................................................................................................
495 Mediq Inc. 144A 6/1/09 5
....................................................................................................
750 Network Plus Corp. 2/19/09 15,750
....................................................................................................
235 Onepoint Communications, Inc. 6/1/08 2,350
....................................................................................................
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 3,450
....................................................................................................
795 Pathnet, Inc. 144A 4/15/08 7,950
....................................................................................................
960 Paxson Communications
Corp. 144A 6/30/03 2,880
....................................................................................................
640 R&B Falcon Corp. 144A 5/1/09 160,000
....................................................................................................
950 Startec Global
Communications Corp. 5/15/08 14,250
....................................................................................................
235 Sterling Chemicals Holdings 8/15/08 3,760
....................................................................................................
360 Telehub Communications Corp. 7/31/05 900
....................................................................................................
1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 41,700
....................................................................................................
650 Versatel Telecom B.V.
144A (Netherlands) 5/15/08 260,000
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $862,645) $1,195,820
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
840 Australis Media, Ltd. units stepped-
coupon zero % (15 3/4s, 5/15/00), 2003
(In default) (Australia) (STP) (NON) $84
....................................................................................................
570 Equinix, Inc. 144A units 13s, 2007 589,950
....................................................................................................
760 Pegasus Shipping 144A units company
guaranty stepped-coupon zero %
(14 1/2s. 6/20/03), 2008 (Bermuda) (STP) 76,000
....................................................................................................
650 XCL Ltd. units sr. sec. notes
13 1/2s, 2004 (NON) 65,000
....................................................................................................
2,800 XCL Ltd. 144A units cum. pfd. zero % (PIK) 2,800
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $2,740,994) $733,834
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Expiration Date Value
....................................................................................................
$205,000 90 Day Euro Bond Jan. 2000/
Future Contracts (Call) 94 USD $4,100
....................................................................................................
77,500 90 Day Euro Bond Feb. 2000/
Future Contracts (Call) 94 USD 775
....................................................................................................
3,300,000 US Government Treasury Feb. 2000/
Bond Future Contracts (Call) 96 USD 516
- ----------------------------------------------------------------------------------------------------
Total Purchased Options Outstanding
(cost $21,629) $5,391
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$7,000,000 Federal Home Loan Mortgage Corporation
with an effective yield of 5.73%,
January 31, 2000 $6,967,916
....................................................................................................
11,522,000 Interest in $578,946,000 joint repurchase
agreement dated December 31, 1999
with J.P. Morgan, NY due January 3, 2000
with respect to various U.S. Treasury
obligations -- maturity value of
$11,524,400 for an effective
yield of 2.50% 11,522,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $18,489,917) $18,489,916
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $676,528,089) (b) $637,745,307
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1999
(aggregate face value $79,670,081)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $7,678,306 $7,558,444 2/3/00 $119,862
....................................................................................................
Danish Krone 1,489,503 1,581,381 2/3/00 (91,878)
....................................................................................................
Euro 25,176,793 26,623,626 2/3/00 (1,446,833)
....................................................................................................
Japanese Yen 45,965,974 43,906,630 2/3/00 2,059,344
- ----------------------------------------------------------------------------------------------------
$640,495
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1999
(aggregate face value $85,488,634)
- ----------------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollars $4,022,594 $3,977,824 2/3/00 $(44,770)
....................................................................................................
British Pounds 22,825,975 22,936,134 2/3/00 110,159
....................................................................................................
Canadian Dollar 2,139,676 2,078,173 2/3/00 (61,503)
....................................................................................................
Euro 8,304,150 8,769,837 2/3/00 465,687
....................................................................................................
Japanese Yen 46,082,733 43,967,381 2/3/00 (2,115,352)
....................................................................................................
Swedish Krona 3,658,831 3,759,285 2/3/00 100,454
- ----------------------------------------------------------------------------------------------------
$(1,545,325)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Depreciation
....................................................................................................
U.S. Treasury
Bond (Long) $4,365,000 $4,499,134 Mar-00 $(134,134)
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Argentina 1.2%
....................................................................................................
Australia 2.0
....................................................................................................
Brazil 2.8
....................................................................................................
Bulgaria 1.0
....................................................................................................
Canada 3.2
....................................................................................................
Germany 2.4
....................................................................................................
Mexico 3.2
....................................................................................................
Netherlands 1.0
....................................................................................................
Sweden 2.5
....................................................................................................
United Kingdom 2.9
....................................................................................................
United States 73.4
....................................................................................................
Venezuela 1.0
....................................................................................................
Other 3.4
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT The George Putnam Fund of Boston
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (61.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.9%)
....................................................................................................
44,200 Boeing Co. $1,837,063
....................................................................................................
40,900 Raytheon Co. Class B 1,086,406
- ----------------------------------------------------------------------------------------------------
2,923,469
- ----------------------------------------------------------------------------------------------------
Automotive (1.3%)
....................................................................................................
39,100 Ford Motor Co. 2,089,406
....................................................................................................
16,300 General Motors Corp. 1,184,806
....................................................................................................
22,600 Lear Corp. (NON) 723,200
- ----------------------------------------------------------------------------------------------------
3,997,412
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.8%)
....................................................................................................
34,000 Dover Corp. 1,542,750
....................................................................................................
20,400 Minnesota Mining & Manufacturing Co. 1,996,650
....................................................................................................
53,600 Owens-Illinois, Inc. (NON) 1,343,350
....................................................................................................
17,500 W W Grainger 836,719
- ----------------------------------------------------------------------------------------------------
5,719,469
- ----------------------------------------------------------------------------------------------------
Banks (3.1%)
....................................................................................................
63,305 Bank of America Corp. 3,177,120
....................................................................................................
30,700 Bank One Corp. 984,319
....................................................................................................
38,100 Comerica, Inc. 1,778,794
....................................................................................................
45,208 FleetBoston Financial Corp. 1,573,804
....................................................................................................
47,000 U.S. Bancorp 1,119,188
....................................................................................................
25,400 Wells Fargo Co. 1,027,113
- ----------------------------------------------------------------------------------------------------
9,660,338
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.4%)
....................................................................................................
32,000 Hewlett-Packard Co. 3,646,000
....................................................................................................
33,900 Xerox Corp. 769,106
- ----------------------------------------------------------------------------------------------------
4,415,106
- ----------------------------------------------------------------------------------------------------
Chemicals (2.5%)
....................................................................................................
13,200 Air Products & Chemicals, Inc. 443,025
....................................................................................................
15,200 Dow Chemical Co. 2,031,100
....................................................................................................
17,030 du Pont (E.I.) de Nemours & Co., Ltd. 1,121,851
....................................................................................................
15,000 Eastman Chemical Co. 715,313
....................................................................................................
49,500 Engelhard Corp. 934,313
....................................................................................................
25,800 PPG Industries, Inc. 1,614,113
....................................................................................................
6,000 Praxair, Inc. 301,875
....................................................................................................
18,800 Rohm & Haas Co. 764,925
- ----------------------------------------------------------------------------------------------------
7,926,515
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.4%)
....................................................................................................
23,700 Compaq Computer Corp. 641,381
....................................................................................................
6,500 Lexmark International Group, Inc.
Class A (NON) 588,250
- ----------------------------------------------------------------------------------------------------
1,229,631
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (2.0%)
....................................................................................................
26,700 Computer Associates International, Inc. 1,867,331
....................................................................................................
21,400 Electronic Data Systems Corp. 1,432,463
....................................................................................................
28,200 IBM Corp. 3,045,600
- ----------------------------------------------------------------------------------------------------
6,345,394
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.7%)
....................................................................................................
8,700 Temple Inland, Inc. 573,656
....................................................................................................
23,700 United Technologies Corp. 1,540,500
- ----------------------------------------------------------------------------------------------------
2,114,156
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.8%)
....................................................................................................
68,200 Hasbro, Inc. 1,300,063
....................................................................................................
17,500 Whirlpool Corp. 1,138,594
- ----------------------------------------------------------------------------------------------------
2,438,657
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.0%)
....................................................................................................
32,700 Kimberly-Clark Corp. 2,133,675
....................................................................................................
42,900 Philip Morris Cos., Inc. 994,744
- ----------------------------------------------------------------------------------------------------
3,128,419
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.4%)
....................................................................................................
41,000 Fortune Brands, Inc. 1,355,563
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
....................................................................................................
25,300 Marriott International, Inc. Class A 798,531
....................................................................................................
76,200 Service Corp. Intl. 528,638
- ----------------------------------------------------------------------------------------------------
1,327,169
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.3%)
....................................................................................................
15,200 Eaton Corp. 1,103,900
....................................................................................................
35,250 Emerson Electric Co. 2,022,469
....................................................................................................
20,500 Illinois Tool Works, Inc. 1,385,031
....................................................................................................
18,900 Motorola, Inc. 2,783,025
- ----------------------------------------------------------------------------------------------------
7,294,425
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
50,100 Baker Hughes, Inc. 1,055,231
- ----------------------------------------------------------------------------------------------------
Entertainment (0.4%)
....................................................................................................
47,500 Disney (Walt) Productions, Inc. 1,389,375
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
72,600 Waste Management, Inc. 1,247,813
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.5%)
....................................................................................................
7,000 Anheuser-Busch Cos., Inc. 496,125
....................................................................................................
17,800 General Mills, Inc. 636,350
....................................................................................................
37,500 Heinz (H.J.) Co. 1,492,969
....................................................................................................
66,500 Nabisco Group Holdings Corp. 706,563
....................................................................................................
5,700 Nabisco Holdings Corp. Class A 180,263
....................................................................................................
78,000 Pepsi Bottling Group, Inc. (The) 1,291,875
....................................................................................................
48,000 PepsiCo, Inc. 1,692,000
....................................................................................................
61,700 Sara Lee Corp. 1,361,256
....................................................................................................
35,200 Seagram Co., Ltd. 1,581,800
....................................................................................................
39,700 SYSCO Corp. 1,570,631
- ----------------------------------------------------------------------------------------------------
11,009,832
- ----------------------------------------------------------------------------------------------------
Health Care (1.0%)
....................................................................................................
72,100 Abbott Laboratories 2,618,131
....................................................................................................
77,600 HEALTHSOUTH Corp. (NON) 417,100
- ----------------------------------------------------------------------------------------------------
3,035,231
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (9.1%)
....................................................................................................
42,200 Allstate Corp. 1,012,800
....................................................................................................
20,000 American General Corp. 1,517,500
....................................................................................................
29,600 AON Corp. 1,184,000
....................................................................................................
21,700 Associates First Capital Corp. 595,394
....................................................................................................
49,600 BB&T Corp. 1,357,800
....................................................................................................
31,140 Bear Stearns Companies, Inc. (The) 1,331,235
....................................................................................................
57,900 Charter One Financial, Inc. 1,107,338
....................................................................................................
13,100 Chase Manhattan Corp. (CUS) 1,017,706
....................................................................................................
14,900 CIGNA Corp. 1,200,381
....................................................................................................
68,800 Citigroup, Inc. 3,822,700
....................................................................................................
43,300 Fannie Mae 2,703,544
....................................................................................................
2,700 Franklin Resources, Inc. 86,569
....................................................................................................
43,100 Hartford Financial Services Group 2,041,863
....................................................................................................
31,400 Household International, Inc. 1,169,650
....................................................................................................
4,600 Jefferson-Pilot Corp. 313,950
....................................................................................................
23,900 MBNA Corp. 651,275
....................................................................................................
9,900 Merrill Lynch & Co., Inc. 826,650
....................................................................................................
6,300 Morgan (J.P.) & Co., Inc. 797,738
....................................................................................................
30,000 National City Corp. 710,625
....................................................................................................
33,900 PNC Bank Corp. 1,508,550
....................................................................................................
48,850 Synovus Financial Corp. 970,894
....................................................................................................
37,900 Torchmark Corp. 1,101,469
....................................................................................................
25,200 UnumProvident Corp. 807,975
....................................................................................................
36,900 Washington Mutual, Inc. 959,400
- ----------------------------------------------------------------------------------------------------
28,797,006
- ----------------------------------------------------------------------------------------------------
Lodging (0.4%)
....................................................................................................
49,900 Starwood Hotels & Resorts
Worldwide, Inc. 1,172,650
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.6%)
....................................................................................................
22,900 Baxter International, Inc. 1,438,406
....................................................................................................
16,500 Mallinckrodt Inc. 524,906
- ----------------------------------------------------------------------------------------------------
1,963,312
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.4%)
....................................................................................................
13,700 Alcoa Inc. 1,137,100
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.7%)
....................................................................................................
24,800 Chevron, Inc. 2,148,300
....................................................................................................
52,500 Conoco, Inc. 1,299,375
....................................................................................................
28,941 Conoco, Inc. Class B 719,907
....................................................................................................
13,700 El Paso Energy Corp. 531,731
....................................................................................................
99,396 Exxon Mobil Corp. 8,007,590
....................................................................................................
25,600 Halliburton Co. 1,030,400
....................................................................................................
39,200 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 2,369,150
....................................................................................................
48,400 Tosco Corp. 1,315,875
....................................................................................................
23,159 Total S.A. ADR (France) 1,603,761
....................................................................................................
71,800 Union Pacific Resources Group Inc. 915,450
....................................................................................................
37,000 Williams Cos., Inc. 1,130,813
- ----------------------------------------------------------------------------------------------------
21,072,352
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.6%)
....................................................................................................
45,200 Mead Corp. 1,963,375
....................................................................................................
43,600 Weyerhaeuser Co. 3,131,025
- ----------------------------------------------------------------------------------------------------
5,094,400
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (3.0%)
....................................................................................................
52,400 American Home Products Corp. 2,066,525
....................................................................................................
33,900 Bristol-Myers Squibb Co. 2,175,956
....................................................................................................
28,600 Merck & Co., Inc. 1,917,988
....................................................................................................
26,200 Monsanto Co. 933,375
....................................................................................................
52,200 Pharmacia & Upjohn, Inc. 2,349,000
- ----------------------------------------------------------------------------------------------------
9,442,844
- ----------------------------------------------------------------------------------------------------
Photography (0.4%)
....................................................................................................
16,800 Eastman Kodak Co. 1,113,000
- ----------------------------------------------------------------------------------------------------
Publishing (0.6%)
....................................................................................................
28,900 McGraw-Hill, Inc. 1,780,963
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trusts) (0.8%)
....................................................................................................
38,200 Equity Office Properties Trust 940,675
....................................................................................................
36,900 Equity Residential Properties Trust 1,575,169
- ----------------------------------------------------------------------------------------------------
2,515,844
- ----------------------------------------------------------------------------------------------------
Retail (1.3%)
....................................................................................................
19,500 Albertsons, Inc. 628,875
....................................................................................................
11,200 CVS Corp. 447,300
....................................................................................................
43,300 Federated Department Stores, Inc. (NON) 2,189,356
....................................................................................................
37,700 Rite Aid Corp. 421,769
....................................................................................................
23,500 Staples, Inc. (NON) 487,625
- ----------------------------------------------------------------------------------------------------
4,174,925
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.7%)
....................................................................................................
25,850 ALLTEL Corp. 2,137,472
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.8%)
....................................................................................................
118,980 SBC Communications, Inc. 5,800,275
- ----------------------------------------------------------------------------------------------------
Textiles (0.3%)
....................................................................................................
68,735 Shaw Industries, Inc. 1,061,097
- ----------------------------------------------------------------------------------------------------
Transportation (1.8%)
....................................................................................................
66,762 Burlington Northern Santa Fe Corp. 1,618,979
....................................................................................................
13,200 CSX Corp. 414,150
....................................................................................................
20,900 Delta Air Lines, Inc. 1,041,081
....................................................................................................
34,000 FDX Corp. (NON) 1,391,875
....................................................................................................
14,000 UAL Corp. (NON) 1,085,875
- ----------------------------------------------------------------------------------------------------
5,551,960
- ----------------------------------------------------------------------------------------------------
Utilities (7.8%)
....................................................................................................
75,050 American Telephone & Telegraph Co. 3,808,788
....................................................................................................
48,700 Bell Atlantic Corp. 2,998,094
....................................................................................................
57,300 BellSouth Corp. 2,682,356
....................................................................................................
35,500 Carolina Power & Light Co. 1,080,531
....................................................................................................
32,700 CiNergy Corp. 788,888
....................................................................................................
15,350 Consolidated Natural Gas Co. 996,791
....................................................................................................
67,000 DPL, Inc. 1,159,938
....................................................................................................
43,900 Duke Energy Corp. 2,200,488
....................................................................................................
58,500 Entergy Corp. 1,506,375
....................................................................................................
42,100 GTE Corp. 2,970,681
....................................................................................................
69,000 OGE Energy Corp. 1,311,000
....................................................................................................
27,700 Pacific Gas & Electric Co. 567,850
....................................................................................................
55,700 Sempra Energy 967,777
....................................................................................................
43,200 Texas Utilities Co. 1,536,300
- ----------------------------------------------------------------------------------------------------
24,575,857
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $194,690,012) $195,004,262
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (20.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Aerospace and Defense (0.7%)
....................................................................................................
$560,000 Boeing Co. deb. 6 5/8s, 2038 $474,516
....................................................................................................
410,000 Litton Industries Inc. 144A notes 8s, 2009 401,415
....................................................................................................
720,000 Lockheed Martin Corp. bonds
8 1/2s, 2029 720,648
....................................................................................................
600,000 Raytheon Co. deb. 6.4s, 2018 499,794
- ----------------------------------------------------------------------------------------------------
2,096,373
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
195,000 IMC Global, Inc. notes 7.4s, 2002 192,752
- ----------------------------------------------------------------------------------------------------
Airlines (--%)
....................................................................................................
119,899 Northwest Airlines Corp. pass-thru
certificate Ser. 1999-1A, 6.81s, 2020 108,073
- ----------------------------------------------------------------------------------------------------
Automotive (0.7%)
....................................................................................................
800,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 740,880
....................................................................................................
320,000 Delphi Automotive Systems Corp.
deb. 7 1/8s, 2029 281,210
....................................................................................................
895,000 Ford Motor Co. deb. 7.4s, 2046 840,137
....................................................................................................
385,000 Ford Motor Co. bonds 6 5/8s, 2028 333,995
....................................................................................................
10,000 Ford Motor Credit Corp. notes
6.55s, 2002 9,871
- ----------------------------------------------------------------------------------------------------
2,206,093
- ----------------------------------------------------------------------------------------------------
Banks (1.9%)
....................................................................................................
265,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 235,967
....................................................................................................
300,000 Bank United Ser. A, 8s, 2009 275,493
....................................................................................................
815,000 Bayer Hypo-Vereinsbank 8.741s, 2031 802,066
....................................................................................................
425,000 Colonial Bank sub. notes 8s, 2009 387,847
....................................................................................................
250,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 238,985
....................................................................................................
225,000 Dresdner Funding Trust I 144A notes
8.151s, 2031 210,789
....................................................................................................
380,000 First Citizens Bank Capital Trust I
company guaranty 8.05s, 2028 324,900
....................................................................................................
530,000 First Union Capital II company
guaranty Ser. A, 7.95s, 2029 505,525
....................................................................................................
450,000 Firstar Capital Trust I company
guaranty Ser. B, 8.32s, 2026 430,313
....................................................................................................
665,000 Imperial Bank sub. notes 8 1/2s, 2009 615,125
....................................................................................................
660,000 Provident Companies, Inc. bonds
7.405s, 2038 556,426
....................................................................................................
450,000 Providian National Bank sr. notes
6 3/4s, 2002 438,057
....................................................................................................
385,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 372,896
....................................................................................................
310,000 Sovereign Bancorp Inc. sr. notes
10 1/2s, 2006 316,200
....................................................................................................
200,000 Sovereign Bancorp, Inc. sr. notes
6 5/8s, 2001 192,982
- ----------------------------------------------------------------------------------------------------
5,903,571
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.2%)
....................................................................................................
450,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 417,375
....................................................................................................
295,000 Ball Corp. company guaranty
7 3/4s, 2006 287,625
- ----------------------------------------------------------------------------------------------------
705,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.2%)
....................................................................................................
160,000 Chancellor Media Corp. company
guaranty 8s, 2008 160,000
....................................................................................................
450,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 458,069
- ----------------------------------------------------------------------------------------------------
618,069
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
....................................................................................................
528,676 Federal Express Corp. pass-through
certificates Ser. 1998-1A, 6.72s, 2022 477,754
....................................................................................................
285,000 Xerox Corp. notes 5 1/2s, 2003 266,800
- ----------------------------------------------------------------------------------------------------
744,554
- ----------------------------------------------------------------------------------------------------
Cable Television (0.1%)
....................................................................................................
362,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 381,910
- ----------------------------------------------------------------------------------------------------
Chemicals (0.7%)
....................................................................................................
340,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 348,500
....................................................................................................
300,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 306,750
....................................................................................................
410,000 Nova Chemicals Corp. deb. 7s, 2026
(Canada) 396,454
....................................................................................................
615,000 Rohm & Haas Co. deb. 7.85s, 2029 616,802
....................................................................................................
500,000 Union Carbide Corp. notes 6 1/4s, 2003 483,955
- ----------------------------------------------------------------------------------------------------
2,152,461
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.2%)
....................................................................................................
630,000 IBM Corp. deb. 7 1/8s, 2096 575,751
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
....................................................................................................
320,000 Canadian Pacific Ltd. deb. 9.45s,
2021 (Canada) 358,579
....................................................................................................
720,000 TRW, Inc. deb. 7 3/4s, 2029 686,110
....................................................................................................
545,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 510,545
....................................................................................................
210,000 Tyco International Ltd. company
guaranty 6 1/4s, 2003 201,623
- ----------------------------------------------------------------------------------------------------
1,756,857
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.3%)
....................................................................................................
590,000 Imperial Tobacco Global company
guaranty 7 1/8s, 2009 530,363
....................................................................................................
175,000 Philip Morris Companies., Inc. notes
7 1/2s, 2004 171,357
....................................................................................................
345,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 338,331
- ----------------------------------------------------------------------------------------------------
1,040,051
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
25,000 Hertz Corp. sr. notes 7s, 2028 22,150
....................................................................................................
265,000 Hertz Corp. sr. notes 6 1/2s, 2006 250,833
....................................................................................................
400,000 Hertz Corp. notes 6 1/4s, 2009 362,492
- ----------------------------------------------------------------------------------------------------
635,475
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.4%)
....................................................................................................
535,000 Amerada Hess Corp. bonds 7 7/8s, 2029 521,786
....................................................................................................
440,000 KN Capital Trust III company guaranty
7.63s, 2028 372,328
....................................................................................................
240,000 Osprey Trust 144A sec. notes 8.31s, 2003 238,303
- ----------------------------------------------------------------------------------------------------
1,132,417
- ----------------------------------------------------------------------------------------------------
Entertainment (0.4%)
....................................................................................................
560,000 News America Holdings, Inc. deb.
7 3/4s, 2045 509,006
....................................................................................................
410,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 442,033
....................................................................................................
140,000 Time Warner Entertainment sr. notes
8 3/8s, 2033 145,179
....................................................................................................
45,000 Walt Disney Co. med. term notes
5.62s, 2008 39,771
- ----------------------------------------------------------------------------------------------------
1,135,989
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
140,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 123,200
....................................................................................................
340,000 Browning-Ferris Industries, Inc.
deb. 7.4s, 2035 248,200
- ----------------------------------------------------------------------------------------------------
371,400
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.2%)
....................................................................................................
620,000 Pepsi Bottling Group Inc. sr. notes
Ser. B, 7s, 2029 560,926
- ----------------------------------------------------------------------------------------------------
Gaming (0.2%)
....................................................................................................
245,000 International Game Technology 144A
sr. notes 8 3/8s, 2009 237,038
....................................................................................................
300,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 296,250
....................................................................................................
90,000 Park Place Entertainment sr. notes
8 1/2s, 2006 89,057
- ----------------------------------------------------------------------------------------------------
622,345
- ----------------------------------------------------------------------------------------------------
Health Care (0.3%)
....................................................................................................
450,000 Columbia/HCA Healthcare Corp.
med term notes 6.63s, 2045 425,372
....................................................................................................
450,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 435,375
- ----------------------------------------------------------------------------------------------------
860,747
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (6.4%)
....................................................................................................
650,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 633,607
....................................................................................................
715,000 AFLAC Inc. sr. notes 6 1/2s, 2009 656,127
....................................................................................................
595,000 American General Institute 144A
company guaranty 8 1/8s, 2046 593,602
....................................................................................................
75,000 Associates Corp. deb. 6.95s, 2018 69,235
....................................................................................................
350,000 Associates First Capital Corp. sub. deb.
8.15s, 2009 363,381
....................................................................................................
445,000 Bear Stearns & Co., Inc. sr. unsecd. notes
7 5/8s, 2009 436,290
....................................................................................................
395,000 Bombardier Capital, Inc. 144A notes
7.3s, 2002 393,420
....................................................................................................
655,000 Capital One Financial Corp. notes
7 1/4s, 2006 617,079
....................................................................................................
420,000 Capital One Financial Corp. notes
7 1/4s, 2003 404,741
....................................................................................................
580,000 Citicorp sub. notes 6 3/8s, 2008 536,158
....................................................................................................
305,000 Conseco Financing Trust II company
guaranty 8.7s, 2026 272,237
....................................................................................................
770,000 Conseco Inc. notes 8 1/2s, 2002 780,541
....................................................................................................
110,000 Conseco Inc. med-term notes
6 1/2s, 2002 104,044
....................................................................................................
115,000 Countrywide Home Loan Corp. company
guaranty 6.935s, 2007 110,162
....................................................................................................
800,000 Countrywide Home Loan Corp. company
guaranty med term notes 6 1/4s, 2009 722,056
....................................................................................................
455,000 Dime Bancorp, Inc. sr. notes 6 3/8s, 2001 453,640
....................................................................................................
25,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 23,993
....................................................................................................
90,000 Finova Capital Corp. notes 7.4s, 2007 88,048
....................................................................................................
910,000 Finova Capital Corp. notes 6 1/4s, 2002 882,764
....................................................................................................
185,000 Finova Capital Corp. med-term notes
6.11s, 2003 177,987
....................................................................................................
540,000 Ford Motor Credit Corp. notes
7 3/8s, 2009 533,115
....................................................................................................
105,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 93,057
....................................................................................................
40,000 Fremont General Corp. sr. notes Ser. B,
7.7s, 2004 34,625
....................................................................................................
395,000 GATX Capital Corp. notes 7 3/4s, 2006 390,039
....................................................................................................
40,000 General Motors Acceptance Corp.
notes 5 3/4s, 2003 38,086
....................................................................................................
410,000 Goldman Sachs Group, Inc. (The)
notes Ser. B, 7.35s, 2009 400,246
....................................................................................................
540,000 Heller Financial Inc. 144A notes
7 3/8s, 2009 524,594
....................................................................................................
220,000 Household Finance Corp. notes
6 1/2s, 2008 203,744
....................................................................................................
335,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 296,344
....................................................................................................
770,000 Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 745,391
....................................................................................................
235,000 Lehman Brothers Holdings, Inc. notes
6 1/4s, 2003 227,203
....................................................................................................
260,000 Liberty Mutual Insurance 144A notes
7.697s, 2097 217,539
....................................................................................................
475,000 Markel Capital Trust I company
guaranty Ser. B, 8.71s, 2046 401,071
....................................................................................................
510,000 Merey Sweeney L.P. 144A sr. notes
8.85s, 2019 501,330
....................................................................................................
95,000 Newcourt Credit Group Inc. company
guaranty Ser. A, 7 1/8s, 2003 94,718
....................................................................................................
695,000 Newcourt Credit Group Inc.
6 7/8s, 2005 678,202
....................................................................................................
570,000 Paine Webber Group, Inc. sr. med. term
notes 6.52s, 2005 535,800
....................................................................................................
25,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 22,730
....................................................................................................
110,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 101,750
....................................................................................................
360,000 Principal Financial Group 7.95s, 2004 362,160
....................................................................................................
165,000 Prudential Insurance Co. 144A
6 7/8s, 2003 162,654
....................................................................................................
740,000 RBF Finance Co. company guaranty
11 3/8s, 2009 795,500
....................................................................................................
240,000 Safeco Capital Trust I company
guaranty 8.072s, 2037 212,834
....................................................................................................
450,000 Salomon, Inc. sr. notes 6 3/4s, 2003 444,290
....................................................................................................
366,383 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 356,073
....................................................................................................
600,000 Sears Roebuck Acceptance Corp.
notes 6 1/2s, 2028 474,354
....................................................................................................
100,000 Sprint Capital Corp. company guaranty
6.9s, 2019 90,948
....................................................................................................
160,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 145,069
....................................................................................................
545,000 Sprint Capital Corp. company guaranty
5.7s, 2003 517,123
....................................................................................................
615,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 573,697
....................................................................................................
590,000 TCI Communications Inc deb.
8 3/4s, 2015 643,672
....................................................................................................
165,000 TIG Holdings, Inc. notes 8 1/8s, 2005 153,156
....................................................................................................
130,000 Toyota Motor Credit Corp. notes
5 5/8s, 2003 123,777
....................................................................................................
100,000 Transamerica Capital III bonds
7 5/8s, 2037 91,230
....................................................................................................
525,000 Trenwick Capital Trust I company
guaranty 8.82s, 2037 412,902
....................................................................................................
405,000 Zurich Capital Trust I 144A company
guaranty 8.376s, 2037 397,248
- ----------------------------------------------------------------------------------------------------
20,315,383
- ----------------------------------------------------------------------------------------------------
Lodging (0.1%)
....................................................................................................
420,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 373,800
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
....................................................................................................
250,000 AK Steel Corp. sr. notes 9 1/8s, 2006 253,750
- ----------------------------------------------------------------------------------------------------
Office Equipment (--%)
....................................................................................................
35,000 Newell Co. notes 6.35s, 2008 32,409
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.5%)
....................................................................................................
175,000 Alliance Pipeline L.P. 144A sr. notes
7.77s, 2015 (Canada) 169,563
....................................................................................................
500,000 CMS Panhandle Holding Corp. sr. notes
6 1/8s, 2004 470,570
....................................................................................................
650,000 Coastal Corp. bonds 6.95s, 2028 566,358
....................................................................................................
115,000 El Paso Energy Corp. sr. notes
6 3/4s, 2009 107,364
....................................................................................................
185,000 Maritime & NE Pipeline sec. notes
7.7s, 2019 177,970
....................................................................................................
405,000 Norsk Hydro ASA notes 6.36s,
2009 (Norway) 370,138
....................................................................................................
255,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 249,291
....................................................................................................
205,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 180,418
....................................................................................................
450,000 Petro-Canada deb. 9 1/4s, 2021 (Canada) 502,749
....................................................................................................
188,000 Port Arthur Finance Corp. 144A
sec. notes 12 1/2s, 2009 189,880
....................................................................................................
90,000 Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 89,775
....................................................................................................
660,000 Sonat, Inc. notes 7 5/8s, 2011 647,427
....................................................................................................
960,000 Union Oil Company of California
company guaranty 7 1/2s, 2029 897,427
....................................................................................................
150,000 Yosemite Sec Trust I 144A bonds
8 1/4s, 2004 147,888
- ----------------------------------------------------------------------------------------------------
4,766,818
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
250,000 Riverwood International Corp. company
guaranty 10 5/8s, 2007 257,500
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.2%)
....................................................................................................
400,000 Abitibi-Consolidated Inc. deb.
8 1/2s, 2029 385,596
....................................................................................................
290,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 276,353
- ----------------------------------------------------------------------------------------------------
661,949
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.1%)
....................................................................................................
230,000 Monsanto Co. 144A deb. 6.6s, 2028 202,761
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
330,000 News America Holdings, Inc. deb.
7.7s, 2025 309,207
- ----------------------------------------------------------------------------------------------------
Real Estate (0.5%)
....................................................................................................
670,000 Avalon Properties, Inc. notes 6 5/8s,
2005 (R) 633,358
....................................................................................................
595,000 EOP Operating L.P. notes 6.8s, 2009 544,728
....................................................................................................
205,000 EOP Operating L.P. sr. notes 6 3/4s, 2008 188,536
....................................................................................................
50,000 EOP Operating L.P. notes 6 3/8s, 2002 48,930
....................................................................................................
110,000 Omega Healthcare Investors, Inc.
notes 6.95s, 2002 (R) 100,195
- ----------------------------------------------------------------------------------------------------
1,515,747
- ----------------------------------------------------------------------------------------------------
Restaurants (0.5%)
....................................................................................................
1,765,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 1,679,150
- ----------------------------------------------------------------------------------------------------
Retail (0.2%)
....................................................................................................
381,000 K mart Corp. notes 8 3/8s, 2004 379,095
....................................................................................................
305,000 Saks, Inc. company guaranty 8 1/4s, 2008 296,735
- ----------------------------------------------------------------------------------------------------
675,830
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
30,000 US West Capital Funding, Inc. company
guaranty 6 1/4s, 2005 28,391
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.0%)
....................................................................................................
250,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 253,750
....................................................................................................
360,000 AT&T Capital Corp. med. term notes
6.6s, 2005 346,205
....................................................................................................
250,000 Covad Communications Group Inc.
sr. notes 12 1/2s, 2009 258,125
....................................................................................................
250,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 249,375
....................................................................................................
479,000 Global Crossing Holdings Ltd. 144A
sr. notes 9 1/2s, 2009 474,210
....................................................................................................
150,000 Hyperion Telecommunications Corp., Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 133,500
....................................................................................................
250,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 225,000
....................................................................................................
110,000 MCI WorldCom, Inc. sr. notes 6.4s, 2005 105,361
....................................................................................................
440,000 NEXTEL Communications, Inc. 144A
sr. notes 9 3/8s, 2009 432,300
....................................................................................................
250,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 253,125
....................................................................................................
460,000 TCI Communications sr. notes
7 1/8s, 2028 423,600
....................................................................................................
130,000 Williams Communications Group Inc.
sr. notes 10 7/8s, 2009 136,013
- ----------------------------------------------------------------------------------------------------
3,290,564
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.1%)
....................................................................................................
475,000 U S West, Inc. notes 5 5/8s, 2008 415,559
- ----------------------------------------------------------------------------------------------------
Transportation (1.1%)
....................................................................................................
750,000 Airbus Industries 144A 8.027s, 2020 751,350
....................................................................................................
280,000 Atlas Air, Inc. pass-through certificates
Ser. 991A, 7.2s, 2019 254,512
....................................................................................................
200,000 Burlington Northern Santa Fe Corp.
notes 6 1/8s, 2009 179,986
....................................................................................................
23,495 Continental Airlines, Inc.
pass-through certificates Ser. 97CI,
7.42s, 2007 22,968
....................................................................................................
17,699 Continental Airlines, Inc. pass-through
certificates Ser. 974C, 6.8s, 2009 16,779
....................................................................................................
394,339 Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2009 373,916
....................................................................................................
110,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 99,811
....................................................................................................
500,000 CSX Corp. deb. 7.95s, 2027 494,640
....................................................................................................
445,000 Delta Air Lines, Inc. 144A deb. 8.3s, 2029 431,650
....................................................................................................
650,000 United Air Lines Corp. deb. 9 3/4s, 2021 710,366
- ----------------------------------------------------------------------------------------------------
3,335,978
- ----------------------------------------------------------------------------------------------------
Utilities (1.0%)
....................................................................................................
265,000 Aes Eastern Energy 144A pass through
certificates 9s, 2017 248,263
....................................................................................................
275,000 CILCORP, Inc. sr. notes 8.7s, 2009 277,244
....................................................................................................
715,000 CiNergy Corp. deb. 6 1/8s, 2004 673,108
....................................................................................................
340,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 324,761
....................................................................................................
25,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 23,768
....................................................................................................
140,000 GTE Corp. deb. 6.46s, 2008 131,785
....................................................................................................
105,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 104,856
....................................................................................................
50,000 Public Service Co. of New Mexico
sr. notes Ser. B, 7 1/2s, 2018 46,481
....................................................................................................
240,000 Southern Energy 144A sr. notes
7.9s, 2009 233,849
....................................................................................................
410,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 399,184
....................................................................................................
570,000 TXU Electrical Capital company
guaranty 8.175s, 2037 534,385
- ----------------------------------------------------------------------------------------------------
2,997,684
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $67,993,466) $64,913,294
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (11.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (6.6%)
....................................................................................................
$210,000 Federal Home Loan Mortgage Corp.
pass-through certificates 7.51s,
September 25, 2005 $209,934
....................................................................................................
500,000 Federal National Mortgage Association
7s, TBA, January 15, 2029 483,440
....................................................................................................
Federal National Mortgage Association
pass-through certificates
....................................................................................................
1,012,945 8 1/2s, with due dates from May 1, 2017
to December 1, 2026 1,040,141
....................................................................................................
44,954 8s, September 1, 2029 45,319
....................................................................................................
1,095,824 7 1/2s, with due dates from
November 25, 2023 to
September 1, 2029 737,836
....................................................................................................
920,000 7s, December 1, 2029 889,520
....................................................................................................
7,622,232 6 1/2s, with due dates from
November 1, 2027 to
November 1, 2029 7,416,951
....................................................................................................
1,401,772 6s, with due dates from June 1, 2014
to February 15, 2029 1,299,312
....................................................................................................
Government National Mortgage
Association pass-through certificates
....................................................................................................
477,748 8 1/2s, with due dates from
October 15, 2017 to
November 15, 2017 493,007
....................................................................................................
2,115,231 8s, with due dates from July 15, 2025
to July 15, 2027 2,136,384
....................................................................................................
3,235,359 7s, with due dates from August 15, 2023
to January 15, 2029 3,127,085
....................................................................................................
3,225,170 6 1/2s, with due dates from
March 15, 2028 to May 15, 2029 3,026,596
- ----------------------------------------------------------------------------------------------------
20,905,525
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (4.6%)
....................................................................................................
50,000 U.S. Treasury Bonds 6 1/8s,
August 15, 2029 47,664
....................................................................................................
U.S. Treasury Notes
....................................................................................................
335,000 6s, August 15, 2009 324,531
....................................................................................................
1,715,000 5 7/8s, November 15, 2004 1,681,506
....................................................................................................
1,835,000 5 7/8s, November 30, 2001 1,823,238
....................................................................................................
10,655,000 5 7/8s, October 31, 2001 10,588,406
- ----------------------------------------------------------------------------------------------------
14,465,345
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $36,051,172) $35,370,870
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$360,000 Commercial Mortgage Asset Trust
1999-C1, Class A4, 6.975s, 2013 $335,081
....................................................................................................
422,129 Chase Manhattan Bank-First Union
National Ser. 1999-1, Class A1,
7.134s, 2007 418,436
....................................................................................................
CS First Boston Mortgage Securities Corp.
....................................................................................................
225,000 Ser. 1999-C1, Class E, 7.922s, 2009 218,391
....................................................................................................
80,000 Ser. 1999-C1, Class F, 7.922s, 2009 72,850
....................................................................................................
1,183,000 Ser. 1999-C1, Class A2, 7.29s, 2009 1,164,516
....................................................................................................
82,292 Ser. 1999-C1, Class A1, 6.91s, 2008 80,981
....................................................................................................
DLJ Commercial Mortgage Corp.
....................................................................................................
680,000 Ser. 1999-CG3, Class A1B, 7.34s, 2009 670,013
....................................................................................................
277,586 Ser. 1999-CG3, Class A1A, 7.12s, 2008 275,678
....................................................................................................
216,039 Ser. 1998-CG1, Class A1A, 6.11s, 2007 206,641
....................................................................................................
Fannie Mae Strip
....................................................................................................
15,598 Ser. 302, Class 2, Interest Only (IO),
6s, 2029 5,152
....................................................................................................
256,887 Ser. 304, Class 2, IO, 6s, 2028 75,059
....................................................................................................
91,268 Ser. 301, Class 1, Principal Only (PO),
zero %, 2029 55,445
....................................................................................................
Freddie Mac
....................................................................................................
58,398 Ser. 2113, Class ZM, 6 1/2s, 2028 52,558
....................................................................................................
555,252 Ser. 1954, Class MG, IO, 6s, 2027 190,174
....................................................................................................
9,165 Ser. 176, PO, zero %, 2026 6,016
....................................................................................................
70,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s,
June 25, 2028 66,034
....................................................................................................
General Growth Properties-Homart
....................................................................................................
60,000 Ser. 1999-C1, Class G, 8.969s, 2003 60,000
....................................................................................................
70,000 Ser. 1999-C1, Class F, 8.719s, 2003 70,000
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
140,000 Ser. 1997-GL, Class A2B, 6.86s, 2030 138,097
....................................................................................................
390,000 Ser. 1998-GLII, Class A2, 6.562s, 2031 364,528
....................................................................................................
93,990 Ser. 1998-GLII, Class A1, 6.312s, 2031 90,965
....................................................................................................
LB Commercial Conduit Mortgage Trust
....................................................................................................
402,000 Ser. 1999-C1, Class A2, 6.78s, 2009 382,324
....................................................................................................
64,729 Ser. 1999-C2, Class A1, 7.105s, 2008 64,205
....................................................................................................
160,000 Ser. 1999-C2, Class B, 7.425s, 2009 155,856
....................................................................................................
62,000 Lehman Large Loan Ser. 1997-ll1,
Class A2, 6.84s, 2006 61,031
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
160,000 Ser. 1996-C2, Class E, 6.96s,
November 21, 2028 133,950
....................................................................................................
291,405 Ser. 1998-C2, Class A1, 6.22s,
February 15, 2030 282,026
....................................................................................................
967,648 Ser. 1998-C2, Class IO, 1.576s,
February 15, 2030 68,491
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
925,000 Ser. 1999-CAM1, Class A3, 6.92s, 2008 899,852
....................................................................................................
368,164 Ser. 1999-CAM1, Class A2, 6.76s, 2008 359,822
....................................................................................................
190,000 Ser. 1998-XL1, Class A3, 6.48s, 2030 178,630
....................................................................................................
12,964 Ser. 1998-WF1, Class A1, 6 1/4s, 2007 12,536
....................................................................................................
453,332 Ser. 1998-HF1, Class A1, 6.19s, 2007 437,324
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
95,453 Ser. 1997-MC2, Class A1, 6.53s, 2007 92,888
....................................................................................................
231,278 Ser. 1998-MC1, Class A1, 6.417s, 2007 223,906
....................................................................................................
552,687 Ser. 1997-MC2, Class X, IO,
1.58s, 2012 37,393
....................................................................................................
100,000 Residential Asset Securitization
Trust Ser. 98-A12, Class A14, 8s, 2028 100,906
....................................................................................................
1,037,534 TIAA Retail Commercial Mortgage Trust
Ser. 1999-1, Class A, 7.17s, 2008 1,022,619
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $9,240,906) $9,130,374
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$385,000 Ontario (Province of) sr. unsub.
5 1/2s, 2008 (Canada) $341,021
....................................................................................................
130,000 Quebec (Province of) deb. 7s, 2007 127,153
....................................................................................................
695,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) 616,938
- ----------------------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes
(cost $1,195,788) $1,085,112
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$165,000 Associates Manufactured Housing
Ser. 1997-2, Class M, 7.03s, 2028 $145,716
....................................................................................................
75,000 Green Tree Financial Corp.
Ser. 1997-2, Class B1, 7.56s, 2028 59,355
....................................................................................................
350,000 Standard Credit Card Master Trust
Ser. 1994-2, Class A, 7 1/4s, 2006 350,245
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $560,635) $555,316
- ----------------------------------------------------------------------------------------------------
MUNICIPAL BOND (0.1%) (a) (cost $400,617)
- ----------------------------------------------------------------------------------------------------
Principal Amount Rating Value
....................................................................................................
$425,000 Mashantucket Pequot Tribe 144A
bonds Ser. A, Finance Security
Assurance (FSA), 6.57s, 2013 Aaa $374,935
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.1%) (a) (cost $196,305)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
190 Centaur Funding Corp 144A $9.08 pfd.
(9.08%) (Cayman Islands) $191,587
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.0%) (a) (cost $9,371,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$9,371,000 Interest in $624,736,000 joint repurchase
agreement dated December 31,1999,
year with S.B.C. Warburg Inc. due
January 3, 2000, with respect to various
U.S. Treasury obligations -- maturity
value of $9,373,148 for an effective
yield of 2.75% $9,371,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $319,699,901) (b) $315,996,750
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Global Asset Allocation Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (68.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.8%)
....................................................................................................
3,300 Asatsu Inc. (Japan) $222,842
....................................................................................................
1,971 Havas Advertising SA (France) 838,735
....................................................................................................
9,400 Interep National Radio Sales, Inc. 125,725
....................................................................................................
61,500 Interpublic Group Cos. Inc. 3,547,781
....................................................................................................
2,950 Lamar Advertising Co. (NON) 178,659
....................................................................................................
13,500 Omnicom Group, Inc. 1,350,000
....................................................................................................
1,581 Publicis S.A. (France) 596,432
....................................................................................................
54,922 WPP Group PLC (United Kingdom) 870,353
- ----------------------------------------------------------------------------------------------------
7,730,527
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.6%)
....................................................................................................
61,860 Boeing Co. 2,571,056
....................................................................................................
13,760 Honeywell International Inc. 793,780
....................................................................................................
11,690 Northrop Grumman Corp. 631,991
....................................................................................................
24,575 Raytheon Co. Class A 609,767
....................................................................................................
64,809 Smiths Industries PLC (United Kingdom) 968,405
- ----------------------------------------------------------------------------------------------------
5,574,999
- ----------------------------------------------------------------------------------------------------
Automotive (0.6%)
....................................................................................................
38,555 Bayerische Motoren Werke (BMW) AG
(Germany) 1,175,226
....................................................................................................
14,600 CSK Auto Corp. (NON) 255,500
....................................................................................................
28,305 Ford Motor Co. 1,512,548
....................................................................................................
25,435 General Motors Corp. 1,848,807
....................................................................................................
24,755 Lear Corp. 792,160
- ----------------------------------------------------------------------------------------------------
5,584,241
- ----------------------------------------------------------------------------------------------------
Banks (2.1%)
....................................................................................................
43,635 Bank of America Corp. 2,189,932
....................................................................................................
63,555 Bank One Corp. 2,037,732
....................................................................................................
6,435 Banque Nationale de Paris (France) 592,983
....................................................................................................
31,355 Comerica, Inc. 1,463,887
....................................................................................................
34,600 Fifth Third Bancorp 2,538,775
....................................................................................................
118,104 Firstar Corp. 2,494,947
....................................................................................................
55,854 FleetBoston Financial Corp. 1,944,417
....................................................................................................
80,000 Fuji Bank Ltd. (The) (Japan) 777,452
....................................................................................................
162,000 Keppel Bank (Singapore) 358,269
....................................................................................................
14,000 Northern Trust Corp. 742,000
....................................................................................................
2,442 Societe Generale (France) 567,487
....................................................................................................
29,730 U.S. Bancorp 707,946
....................................................................................................
82,290 Wells Fargo Co. 3,330,589
....................................................................................................
15,700 Zions Bancorp 929,244
- ----------------------------------------------------------------------------------------------------
20,675,660
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.9%)
....................................................................................................
27,525 Cooper Industries, Inc. 1,113,042
....................................................................................................
19,060 Deere (John) & Co. 826,728
....................................................................................................
13,670 Minnesota Mining & Manufacturing Co. 1,337,951
....................................................................................................
72,910 Owens-Illinois, Inc. (NON) 1,827,307
....................................................................................................
37,685 Parker-Hannifin Corp. 1,933,712
....................................................................................................
9,061 Sandvik AB Class A (Sweden) 283,905
....................................................................................................
11,830 Sandvik AB Class B (Sweden) 376,924
....................................................................................................
22,505 W W Grainger 1,076,020
- ----------------------------------------------------------------------------------------------------
8,775,589
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.2%)
....................................................................................................
8,000 Genentech, Inc. (NON) 1,076,000
....................................................................................................
16,700 Invitrogen Corp. (NON) 1,002,000
- ----------------------------------------------------------------------------------------------------
2,078,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.6%)
....................................................................................................
20,900 Ackerly Group, Inc. (NON) 378,813
....................................................................................................
20,200 Acme Communications, Inc. (NON) 671,650
....................................................................................................
1,200 AMFM, Inc. (NON) 93,900
....................................................................................................
132,700 Carlton Communications PLC
(United Kingdom) 1,292,612
....................................................................................................
47,600 CBS Corp. 3,043,425
....................................................................................................
21,500 Citadel Communications Corp. (NON) 1,394,813
....................................................................................................
6,000 Classic Communications, Inc. (NON) 219,375
....................................................................................................
42,500 Clear Channel Communications, Inc. 3,793,125
....................................................................................................
45,400 Comcast Corp. Class A (NON) 2,295,538
....................................................................................................
36,700 Cumulus Media Inc. Class A (NON) 1,862,525
....................................................................................................
14,451 Grupo Televisa S.A. de C.V.GDR (Mexico) 986,281
....................................................................................................
7,200 Jones Intercable, Inc. (NON) 499,050
....................................................................................................
98,028 Mediaset SPA (Italy) (NON) 1,522,634
....................................................................................................
46,920 News Corp. Ltd. ADR (Australia) (NON) 1,794,690
....................................................................................................
840 Nippon Television Network Corp.
(Japan) (NON) 986,494
....................................................................................................
15,800 Pegasus Communications Corp. (NON) 1,544,450
....................................................................................................
15,700 Radio One, Inc. (NON) 1,444,400
....................................................................................................
7,700 Radio Unica Corp. (NON) 222,338
....................................................................................................
19,438 SAGA Communications Inc. Class A (NON) 393,609
....................................................................................................
26,200 Salem Communications Corp. Class A 592,775
....................................................................................................
1,700 Spanish Broadcasting System, Inc. Class B 51,000
....................................................................................................
1,660 Television Francaise I (TF1) (France) (NON) 868,379
....................................................................................................
1,600 Wink Communications, Inc. (NON) 96,100
- ----------------------------------------------------------------------------------------------------
26,047,976
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.6%)
....................................................................................................
2,903 Bouygues S.A. (France) 1,842,784
....................................................................................................
60,517 CRH PLC (Ireland) 1,302,834
....................................................................................................
18,700 Dycom Industries, Inc. (NON) 823,969
....................................................................................................
2,100 Fuji Machine Manufacturing Co., Ltd.
(Japan) 169,348
....................................................................................................
16,800 Insituform Technologies, Inc. 474,600
....................................................................................................
8,822 Lafarge Coppee (France) 1,025,942
- ----------------------------------------------------------------------------------------------------
5,639,477
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (3.1%)
....................................................................................................
6,800 About.com, Inc. 610,300
....................................................................................................
168,422 Aegis Group PLC (United Kingdom) 612,155
....................................................................................................
6,500 Avery Dennison Corp. 473,688
....................................................................................................
34,700 BMC Software, Inc. 2,773,831
....................................................................................................
31,400 Braun Consulting, Inc. 2,245,100
....................................................................................................
7,100 Charles River Associates Inc. 237,850
....................................................................................................
65,800 Cisco Systems, Inc. (NON) 7,048,825
....................................................................................................
15,700 CoStar Group, Inc. (NON) 563,238
....................................................................................................
16,600 Daisytek International Corp. (NON) 386,988
....................................................................................................
31,100 EMC Corp. (NON) 3,397,675
....................................................................................................
32,865 Hewlett-Packard Co. 3,744,556
....................................................................................................
4,900 Jupiter Communications, Inc. (NON) 148,225
....................................................................................................
13,100 Loislaw.com, Inc. (NON) 512,538
....................................................................................................
10,200 Macrovision Corp. (NON) 754,800
....................................................................................................
11,300 Management Network Group, Inc. (The) 368,663
....................................................................................................
15,294 Mannesmann AG (Germany) 3,684,890
....................................................................................................
12,500 NCO Group, Inc. 376,563
....................................................................................................
10,800 Precision Response Corp. (NON) 261,900
....................................................................................................
19,250 ProBusiness Services, Inc. 693,000
....................................................................................................
10,547 Provant, Inc. 266,312
....................................................................................................
18,000 RoweCom, Inc. (NON) 816,750
....................................................................................................
6,900 U.S. Interactive, Inc. (NON) 296,700
....................................................................................................
37,771 Xerox Corp. 856,930
- ----------------------------------------------------------------------------------------------------
31,131,477
- ----------------------------------------------------------------------------------------------------
Cable Television (--%)
....................................................................................................
2,940 United Pan-Europe NV 375,620
- ----------------------------------------------------------------------------------------------------
Chemicals (0.9%)
....................................................................................................
25,615 Akzo-Nobel N.V. (Netherlands) (NON) 1,283,281
....................................................................................................
5,800 Albany Molecular Research, Inc. 176,900
....................................................................................................
2 Celanese AG (Germany) 36
....................................................................................................
2,058 Clariant AG (Switzerland) 981,170
....................................................................................................
14,055 Dow Chemical Co. 1,878,099
....................................................................................................
23,473 du Pont (E.I.) de Nemours & Co., Ltd. 1,546,284
....................................................................................................
14,790 PPG Industries, Inc. 925,299
....................................................................................................
35,500 Praxair, Inc. 1,786,094
- ----------------------------------------------------------------------------------------------------
8,577,163
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.9%)
....................................................................................................
31,810 Compaq Computer Corp. (NON) 860,858
....................................................................................................
1,600 Crossroads Systems, Inc. (NON) 135,200
....................................................................................................
16,800 Emulex Corp. (NON) (SEG) 1,890,000
....................................................................................................
8,400 Lexmark International Group, Inc. Class A 760,200
....................................................................................................
7,000 PRI Automation, Inc. (NON) 469,875
....................................................................................................
17,915 Seagate Technology, Inc. (NON) 834,167
....................................................................................................
56,400 Sun Microsystems, Inc. (NON) 4,367,475
- ----------------------------------------------------------------------------------------------------
9,317,775
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (6.3%)
....................................................................................................
3,300 Allaire Corp. (NON) 482,831
....................................................................................................
23,400 Apple Computer, Inc. (NON) 2,405,813
....................................................................................................
20,700 Aware, Inc. (NON) 752,963
....................................................................................................
7,600 BackWeb Technologies Ltd. (Israel) (NON) 320,150
....................................................................................................
4,900 Be Free, Inc. (NON) 352,188
....................................................................................................
16,500 Brio Technology, Inc. (NON) 693,000
....................................................................................................
12,800 Business Objects S.A. (France) (NON) 1,710,400
....................................................................................................
7,500 C-Bridge Internet Solutions, Inc. (NON) 364,688
....................................................................................................
5,700 Clarify, Inc. (NON) 718,200
....................................................................................................
9,300 Comverse Technology, Inc. (NON) 1,346,175
....................................................................................................
10,700 Cybex Computer Products Corp. (NON) 433,350
....................................................................................................
2,400 Cysive, Inc. (NON) 172,950
....................................................................................................
54,700 Dell Computer Corp. 2,789,700
....................................................................................................
22,200 Dendrite International, Inc. 752,025
....................................................................................................
600 Digimarc Corp. (NON) 30,000
....................................................................................................
30,400 DSET Corp. (NON) 1,136,200
....................................................................................................
10,800 E-Stamp Corp. (NON) 240,300
....................................................................................................
3,500 EarthWeb Inc. (NON) 176,094
....................................................................................................
900 eGain Communications Corp. (NON) 33,975
....................................................................................................
56,455 Electronic Data Systems Corp. (NON) 3,778,957
....................................................................................................
13,000 Exchange Applications, Inc. (NON) 726,375
....................................................................................................
6,500 Flycast Communications Corp. (NON) 844,594
....................................................................................................
17,300 Fujitsu Ltd. (Japan) (NON) 788,980
....................................................................................................
25,600 Globix Corp. (NON) 1,536,000
....................................................................................................
13,200 Harris Interactive Inc. (NON) 172,425
....................................................................................................
31,540 IBM Corp. 3,406,320
....................................................................................................
14,000 iGo Corp. (NON) 126,875
....................................................................................................
7,100 Informatica Corp. (NON) 755,263
....................................................................................................
8,200 Inso Corp. (NON) 264,450
....................................................................................................
8,200 InterVU Inc. (NON) 861,000
....................................................................................................
4,700 Keynote Systems, Inc. (NON) 346,625
....................................................................................................
7,600 McAfee.com Corp. (NON) 342,000
....................................................................................................
10,000 Micromuse, Inc. (NON) 1,700,000
....................................................................................................
115,100 Microsoft Corp. (NON) 13,437,925
....................................................................................................
6,600 Multex.com Inc. (NON) 248,325
....................................................................................................
45,960 NCR Corp. (NON) 1,740,735
....................................................................................................
5,870 Net Perceptions, Inc. (NON) 246,540
....................................................................................................
12,830 Netegrity, Inc. (NON) 730,508
....................................................................................................
16,300 Novadigm, Inc. (NON) 338,225
....................................................................................................
500 OnDisplay, Inc. (NON) 45,438
....................................................................................................
35,900 Oracle Corp. (NON) 4,023,044
....................................................................................................
7,300 Predictive Systems, Inc. (NON) 478,150
....................................................................................................
8,400 Proxicom, Inc. (NON) 1,044,225
....................................................................................................
10,550 Razorfish, Inc. (NON) 1,003,569
....................................................................................................
13 SAP AG (Germany) 6,395
....................................................................................................
1,057 SAP AG Systeme Preference Bearer
(Germany) 635,879
....................................................................................................
22,950 SeaChange International, Inc. (NON) 811,856
....................................................................................................
5,500 Silknet Software, Inc. (NON) 911,625
....................................................................................................
5,300 SilverStream Software, Inc. (NON) 630,700
....................................................................................................
5,600 Spyglass, Inc. (NON) 212,363
....................................................................................................
24,300 Technology Solutions Co. (NON) 795,825
....................................................................................................
10,100 VERITAS Software Corp. (NON) 1,445,563
....................................................................................................
20,800 Verity, Inc. (NON) 885,300
....................................................................................................
1,600 Viant Corp. (NON) 158,400
....................................................................................................
7,400 Worldgate Communications, Inc. (NON) 351,963
....................................................................................................
7,136 Yahoo! Inc. (NON) 3,087,658
....................................................................................................
15,600 Zamba Corp. (NON) 271,050
- ----------------------------------------------------------------------------------------------------
64,102,127
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.5%)
....................................................................................................
11,500 Corning Inc. 1,482,781
....................................................................................................
171,859 Granada Group PLC (United Kingdom) 1,742,073
....................................................................................................
18,000 Hutchison Whampoa, Ltd. (Hong Kong) (NON) 261,675
....................................................................................................
110,116 Securicor Group PLC (United Kingdom) 285,944
....................................................................................................
28,045 TRW, Inc. 1,456,587
....................................................................................................
175,011 Tyco International Ltd. 6,803,553
....................................................................................................
54,295 United Technologies Corp. 3,529,175
- ----------------------------------------------------------------------------------------------------
15,561,788
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
....................................................................................................
62,157 Hasbro, Inc. 1,184,868
....................................................................................................
36,345 Newell Rubbermaid Inc. 1,054,005
....................................................................................................
30 Swatch Group AG (The) (Switzerland) 6,991
....................................................................................................
451 Swatch Group AG (The) Class B
(Switzerland) 519,557
....................................................................................................
19,850 Whirlpool Corp. 1,291,491
- ----------------------------------------------------------------------------------------------------
4,056,912
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.1%)
....................................................................................................
20,750 Clorox Co. 1,045,281
....................................................................................................
41,500 Colgate-Palmolive Co. 2,697,500
....................................................................................................
46,900 Estee Lauder Cos. Class A 2,365,519
....................................................................................................
600 Fancl Corp. 144A (Japan) 160,893
....................................................................................................
400 Fancl Corp. (Japan) 107,262
....................................................................................................
62,650 Kimberly-Clark Corp. 4,087,913
....................................................................................................
30,595 Philip Morris Cos., Inc. 709,422
....................................................................................................
9,000 Wesley Jessen VisionCare, Inc. (NON) 340,875
- ----------------------------------------------------------------------------------------------------
11,514,665
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
....................................................................................................
11,000 Amazon.com, Inc. (NON) 837,375
....................................................................................................
71,400 America Online, Inc. 5,386,238
....................................................................................................
130 AmeriKing, Inc. (NON) 1,300
....................................................................................................
12,000 Carey International, Inc. (NON) 292,500
....................................................................................................
11,200 Learning Tree International, Inc. 313,600
....................................................................................................
6,600 MarketWatch.com, Inc. (NON) 240,900
....................................................................................................
12,950 On Assignment, Inc. (NON) 386,881
....................................................................................................
132,370 Service Corp. International 918,317
....................................................................................................
12,400 SportsLine USA, Inc. (NON) 621,550
- ----------------------------------------------------------------------------------------------------
8,998,661
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.1%)
....................................................................................................
63,000 Shiseido Co., Ltd. (Japan) (NON) 918,673
- ----------------------------------------------------------------------------------------------------
Education (0.1%)
....................................................................................................
3,100 Benesse Corp. (Japan) 746,330
....................................................................................................
6,000 Career Education Corp. (NON) 230,250
....................................................................................................
19,300 ProsoftTraining.com (NON) 200,238
- ----------------------------------------------------------------------------------------------------
1,176,818
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.9%)
....................................................................................................
29,400 Act Manufacturing, Inc. 1,102,500
....................................................................................................
6,900 Advantest Corp. (Japan) 1,823,253
....................................................................................................
7,100 Alpha Industries, Inc. 406,919
....................................................................................................
16,000 ANADIGICS, Inc. (NON) 755,000
....................................................................................................
21,300 Applied Materials, Inc. 2,698,444
....................................................................................................
5,990 ASM Lithography Holding N.V.
(Netherlands) 664,661
....................................................................................................
11,100 ATMI, Inc. (NON) 366,994
....................................................................................................
15,700 Credence Systems Corp. 1,358,050
....................................................................................................
19,800 DII Group Inc., (The) (NON) 1,405,181
....................................................................................................
15,780 Eaton Corp. 1,146,023
....................................................................................................
18,110 Emerson Electric Co. 1,039,061
....................................................................................................
7,100 Etec Systems, Inc. (NON) 318,613
....................................................................................................
7,900 Exar Corp. (NON) 465,113
....................................................................................................
74,200 General Electric Co. 11,482,450
....................................................................................................
9,700 Hadco Corp. (NON) 494,700
....................................................................................................
20,000 Helix Technology Corp. 896,250
....................................................................................................
49,000 Hon Hai Precision Industry (Taiwan) 365,392
....................................................................................................
21,045 Illinois Tool Works, Inc. (NON) 1,421,853
....................................................................................................
40,200 Intel Corp. 3,308,963
....................................................................................................
15,300 Kent Electronics Corp. (NON) 348,075
....................................................................................................
14,100 Kyocera Corp. (Japan) 3,656,782
....................................................................................................
31,600 LTX Corp. 707,050
....................................................................................................
21,800 Maker Communications, Inc. (NON) 931,950
....................................................................................................
14,600 Micrel, Inc. (NON) 831,288
....................................................................................................
64,790 Motorola, Inc. 9,540,328
....................................................................................................
19,120 Nanometrics, Inc. (NON) 384,790
....................................................................................................
55,000 NEC Corp. (Japan) 1,310,677
....................................................................................................
15,484 Philips Electronics N.V. (Netherlands) 2,102,882
....................................................................................................
12,500 Power Integrations, Inc. (NON) 599,219
....................................................................................................
44,420 Rockwell International Corp. 2,126,608
....................................................................................................
5,800 Rudolph Technologies, Inc. 194,300
....................................................................................................
6,721 Samsung Electronics Co. (South Korea) 1,575,142
....................................................................................................
40,000 Sharp Corp. (Japan) 1,023,684
....................................................................................................
222,160 Siebe PLC (United Kingdom) 1,209,416
....................................................................................................
800 Silicon Image, Inc. (NON) 56,050
....................................................................................................
23,700 Sipex Corp. (NON) 582,131
....................................................................................................
34,200 Solectron Corp. 3,253,275
....................................................................................................
18,100 Sony Corp. (Japan) 5,367,293
....................................................................................................
4,819 STMicroelectronics N.V. ADR (France) 729,777
....................................................................................................
48,800 Tandy Corp. 2,400,350
....................................................................................................
19,500 Texas Instruments, Inc. 1,889,063
....................................................................................................
166,000 Toshiba Corp. 1,267,176
....................................................................................................
3,550 TranSwitch Corp. (NON) 257,597
....................................................................................................
8,000 TriQuint Semiconductor, Inc. 890,000
....................................................................................................
10,000 Veeco Instruments, Inc. (NON) 468,125
....................................................................................................
201,000 Winbond Electronics Corp. (Taiwan) 477,199
....................................................................................................
700 Winbond Electronics Corp.
GDR (Taiwan) 15,925
....................................................................................................
40,200 Xilinx, Inc. (NON) 1,827,844
....................................................................................................
26,100 Zoran Corp. (NON) 1,455,075
....................................................................................................
5,800 Zygo Corp. (NON) 116,725
- ----------------------------------------------------------------------------------------------------
79,115,216
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
11,100 Advanced Energy Industries, Inc. (NON) 546,675
- ----------------------------------------------------------------------------------------------------
Entertainment (1.1%)
....................................................................................................
16,900 Carnival Corp. Class A 808,031
....................................................................................................
57,320 Disney (Walt) Productions, Inc. 1,676,610
....................................................................................................
26,600 Sunterra Corp. (NON) 305,900
....................................................................................................
49,300 Time Warner, Inc. 3,571,169
....................................................................................................
81,900 Viacom, Inc. Class B (NON) 4,949,831
- ----------------------------------------------------------------------------------------------------
11,311,541
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.2%)
....................................................................................................
14,403 Vivendi (France) 1,298,976
....................................................................................................
84,770 Waste Management, Inc. 1,456,984
- ----------------------------------------------------------------------------------------------------
2,755,960
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.4%)
....................................................................................................
14,700 Anheuser-Busch Cos., Inc. 1,041,863
....................................................................................................
70,437 Diageo PLC (United Kingdom) 566,644
....................................................................................................
19,700 Diedrich Coffee, Inc. (NON) 80,031
....................................................................................................
23,735 General Mills, Inc. 848,526
....................................................................................................
1,529 Groupe Danone (France) 359,933
....................................................................................................
8,200 Hain Food Group, Inc. (The) (NON) 183,475
....................................................................................................
28,605 Heinz (H.J.) Co. 1,138,837
....................................................................................................
41,605 Kellogg Co. 1,281,954
....................................................................................................
7,150 P.F. Chang's China Bistro, Inc. (NON) 177,856
....................................................................................................
75,995 Pepsi Bottling Group, Inc. (The) 1,258,667
....................................................................................................
49,150 PepsiCo, Inc. 1,732,538
....................................................................................................
8,095 Quaker Oats Co. (The) 531,234
....................................................................................................
71,360 Sara Lee Corp. 1,574,380
....................................................................................................
28,615 Seagram Co., Ltd. 1,285,887
....................................................................................................
30,400 SYSCO Corp. (NON) 1,202,700
....................................................................................................
276,329 Tesco PLC (United Kingdom) (NON) 840,314
- ----------------------------------------------------------------------------------------------------
14,104,839
- ----------------------------------------------------------------------------------------------------
Health Care (0.5%)
....................................................................................................
58,995 Abbott Laboratories (NON) 2,142,256
....................................................................................................
7,200 Allscripts, Inc. (NON) 316,800
....................................................................................................
18,200 Province Healthcare Co. (NON) 345,800
....................................................................................................
15,775 Renal Care Group, Inc. (NON) 368,741
....................................................................................................
71,050 Tenet Healthcare Corp. (NON) 1,669,675
- ----------------------------------------------------------------------------------------------------
4,843,272
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.2%)
....................................................................................................
14,700 Accredo Health, Inc. (NON) 452,025
....................................................................................................
14,800 Advance Paradigm, Inc. (NON) 319,125
....................................................................................................
12,900 AmSurg Corp. (NON) 83,850
....................................................................................................
2,000 eBenX Inc. (NON) 90,500
....................................................................................................
18,100 Eclipsys Corp. (NON) 463,813
....................................................................................................
11,400 Medquist, Inc. (NON) 294,263
....................................................................................................
16,100 RehabCare Group, Inc. (NON) 340,113
- ----------------------------------------------------------------------------------------------------
2,043,689
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (6.5%)
....................................................................................................
16,610 Ace Ltd. 277,179
....................................................................................................
5,710 Aetna Inc. 318,689
....................................................................................................
31,130 Allstate Corp. 747,120
....................................................................................................
21,300 American Express Co. 3,541,125
....................................................................................................
47,350 American General Corp. 3,592,681
....................................................................................................
47,385 American International Group, Inc. 5,123,503
....................................................................................................
19,785 AON Corp. 791,400
....................................................................................................
8,454 Axa S.A. (France) 1,177,054
....................................................................................................
41,850 Associates First Capital Corp. 1,148,259
....................................................................................................
6,100 Banca Popolare di Brescia SpA (Italy) 539,100
....................................................................................................
36,349 Barclays PLC (United Kingdom) 1,046,358
....................................................................................................
27,800 Capital One Financial Corp. 1,339,613
....................................................................................................
89,600 Charter One Financial, Inc. 1,713,600
....................................................................................................
835 Cie Finance Richemont (Switzerland) 1,993,090
....................................................................................................
22,165 CIGNA Corp. 1,785,668
....................................................................................................
162,395 Citigroup, Inc. 9,023,072
....................................................................................................
3,710 Credit Suisse Group (Switzerland) 737,572
....................................................................................................
28,401 DBS Group Holdings Ltd. (Singapore) 465,954
....................................................................................................
26,900 Fannie Mae 1,679,569
....................................................................................................
45,000 First Security Corp. 1,148,906
....................................................................................................
41,570 First Union Corp. 1,364,016
....................................................................................................
36,500 Grupo Financiero Bancomer, S.A. de
C.V. (Mexico) 146,617
....................................................................................................
38,379 Internationale Nederlanden Groep
(ING) (Netherlands) 2,314,240
....................................................................................................
109,487 Investor AB (Sweden) 1,544,699
....................................................................................................
16,005 Jefferson-Pilot Corp. 1,092,341
....................................................................................................
341 Julius Baer Holdings AG (Switzerland) 1,030,283
....................................................................................................
11,705 Lehman Brothers Holding, Inc. 991,267
....................................................................................................
42,285 Lincoln National Corp. 1,691,400
....................................................................................................
14,995 Merrill Lynch & Co., Inc. 1,252,083
....................................................................................................
13,546 Morgan (J.P.) & Co., Inc. 1,715,262
....................................................................................................
60,255 National City Corp. 1,427,290
....................................................................................................
8,900 National Discount Brokers Group, Inc. 234,738
....................................................................................................
289,000 Nikko Securities Co. Ltd. (Japan) (NON) 3,657,046
....................................................................................................
31,500 Overseas-Chinese Banking Corp. Ltd.
(Singapore) 289,633
....................................................................................................
60,640 Overseas Union Bank Ltd. (Singapore) 355,313
....................................................................................................
38,927 PNC Bank Corp. 1,732,252
....................................................................................................
8,600 Promise Co., Ltd. (Japan) 437,659
....................................................................................................
23,765 Providian Financial Corp. 2,164,100
....................................................................................................
33,735 Reliastar Financial Corp. 1,321,990
....................................................................................................
20,484 Svenska Handelsbanken (Sweden) 257,691
....................................................................................................
24,775 Travelers Property Casualty Corp. 848,544
....................................................................................................
28,512 United Overseas Bank Ltd. (Singapore) (NON) 251,879
....................................................................................................
39,027 Washington Mutual, Inc. 1,014,702
- ----------------------------------------------------------------------------------------------------
65,324,557
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.6%)
....................................................................................................
5,200 ArthroCare Corp. (NON) 317,200
....................................................................................................
22,445 Bausch & Lomb, Inc. 1,536,080
....................................................................................................
26,975 Baxter International, Inc. 1,694,367
....................................................................................................
4,800 Igen, Inc. (NON) 142,800
....................................................................................................
40,975 Mallinckrodt Inc. 1,303,517
....................................................................................................
16,000 Osteotech, Inc. (NON) 214,000
....................................................................................................
12,600 ResMed Inc. (NON) 526,050
....................................................................................................
6,300 Ventana Medical Systems, Inc. (NON) 156,713
- ----------------------------------------------------------------------------------------------------
5,890,727
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
23,630 Alcoa Inc. 1,961,290
....................................................................................................
3,900 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 136,500
....................................................................................................
580 Pohang Iron & Steel Company, Ltd.
(South Korea) 65,474
- ----------------------------------------------------------------------------------------------------
2,163,264
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.1%)
....................................................................................................
18,460 Atlantic Richfield Co. 1,596,790
....................................................................................................
3,200 British Petroleum Co. PLC
(United Kingdom) 32,179
....................................................................................................
27,700 Burlington Resources Inc. 915,831
....................................................................................................
17,270 Chevron, Inc. 1,496,014
....................................................................................................
124,340 Conoco, Inc. 3,077,415
....................................................................................................
34,385 El Paso Energy Corp. 1,334,568
....................................................................................................
79,200 Enron Corp. 3,514,500
....................................................................................................
117,718 Exxon Mobil Corp. 9,483,656
....................................................................................................
23,320 Halliburton Co. 938,630
....................................................................................................
69,975 Occidental Petroleum Corp. 1,513,209
....................................................................................................
78,535 Royal Dutch Petroleum Co. PLC
ADR (Netherlands) 4,746,459
....................................................................................................
22,620 Schlumberger Ltd. 1,272,375
....................................................................................................
507,532 Shell Transportation & Trading
(United Kingdom) 4,218,217
....................................................................................................
12,390 Texaco, Inc. 672,932
....................................................................................................
42,300 Tosco Corp. 1,150,031
....................................................................................................
29,221 Total S.A. Class B (France) 3,895,013
....................................................................................................
4,379 Transocean Sedco Forex Inc. 147,525
....................................................................................................
40,785 Williams Cos., Inc. 1,246,492
- ----------------------------------------------------------------------------------------------------
41,251,836
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
....................................................................................................
17,700 Sealed Air Corp. (NON) 917,081
....................................................................................................
56,895 Smurfit-Stone Container Corp. (NON) 1,393,928
- ----------------------------------------------------------------------------------------------------
2,311,009
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.7%)
....................................................................................................
19,522 Abitibi-Consolidated Inc. (Canada) 227,957
....................................................................................................
77,910 Boise Cascade Corp. 3,155,355
....................................................................................................
62,700 Jefferson Smurfit Group PLC (Ireland) 187,885
....................................................................................................
22,439 Stora Enso Oyj Class R (Finland) 390,750
....................................................................................................
4,500 Stora Enso Oyj Class A (Finland) 79,675
....................................................................................................
42,475 Weyerhaeuser Co. 3,050,236
- ----------------------------------------------------------------------------------------------------
7,091,858
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (4.0%)
....................................................................................................
20,200 Allergan, Inc. 1,004,950
....................................................................................................
66,875 American Home Products Corp. 2,637,383
....................................................................................................
48,400 Amgen Inc. (NON) 2,907,025
....................................................................................................
524 Ares-Serono Group Class B, (Switzerland) 1,119,095
....................................................................................................
30,272 Aventis S.A. (France) 1,751,107
....................................................................................................
14,000 Biogen, Inc. (NON) 1,183,000
....................................................................................................
77,490 Bristol-Myers Squibb Co. 4,973,889
....................................................................................................
13,500 Cephalon, Inc. (NON) 466,594
....................................................................................................
17,000 Eisai Co. Ltd. (Japan) 326,923
....................................................................................................
21,324 Elan Corp. PLC ADR (Ireland) 612,399
....................................................................................................
8,400 ILEX Oncology Inc. (NON) 202,650
....................................................................................................
11,100 Immunex Corp. (NON) 1,215,450
....................................................................................................
41,900 Johnson & Johnson 3,901,938
....................................................................................................
9,250 Medicis Pharmaceutical Corp. Class A (NON) 393,703
....................................................................................................
38,235 Merck & Co., Inc. 2,564,135
....................................................................................................
53,650 Monsanto Co. 1,911,281
....................................................................................................
21,300 Neurocrine Biosciences, Inc. (NON) 527,175
....................................................................................................
47,852 Pharmacia & Upjohn, Inc. 2,153,340
....................................................................................................
15,850 Priority Healthcare Corp. Class B (NON) 458,659
....................................................................................................
26,878 Sanofi-Synthelabo SA (France) (NON) 1,117,803
....................................................................................................
99,100 Schering-Plough Corp. 4,180,781
....................................................................................................
5,000 Trimeris, Inc. (NON) 118,125
....................................................................................................
52,000 Warner-Lambert Co. 4,260,750
....................................................................................................
8,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 279,507
- ----------------------------------------------------------------------------------------------------
40,267,662
- ----------------------------------------------------------------------------------------------------
Photography (0.2%)
....................................................................................................
200 Canon, Inc. (Japan) 7,947
....................................................................................................
25,500 Eastman Kodak Co. (NON) 1,689,375
- ----------------------------------------------------------------------------------------------------
1,697,322
- ----------------------------------------------------------------------------------------------------
Publishing (0.3%)
....................................................................................................
18,875 McGraw-Hill, Inc. 1,163,172
....................................................................................................
26,805 Times Mirror Co. Class A 1,795,935
- ----------------------------------------------------------------------------------------------------
2,959,107
- ----------------------------------------------------------------------------------------------------
Real Estate (0.1%)
....................................................................................................
80,000 Cheung Kong Infrastructure Holdings
(Hong Kong) 1,016,339
- ----------------------------------------------------------------------------------------------------
Recreation (0.1%)
....................................................................................................
12,900 Cinar Films, Inc. Class B, (Canada) 316,050
....................................................................................................
118,705 EMI Group PLC (United Kingdom) 1,164,918
- ----------------------------------------------------------------------------------------------------
1,480,968
- ----------------------------------------------------------------------------------------------------
Retail (3.4%)
....................................................................................................
9,662 99 Cents Only Stores (NON) 369,572
....................................................................................................
16,300 Cost Plus, Inc. (NON) 580,688
....................................................................................................
5,700 Costco Wholesale Corp. (NON) 520,125
....................................................................................................
36,500 CVS Corp. 1,457,719
....................................................................................................
37,000 Dayton Hudson Corp. 2,717,188
....................................................................................................
21,377 Factory 2-U Stores, Inc. 606,572
....................................................................................................
10,400 Fatbrain.com, Inc. 260,650
....................................................................................................
59,160 Federated Department Stores, Inc. (NON) 2,991,278
....................................................................................................
111,600 Home Depot, Inc. (The) 7,651,575
....................................................................................................
13,000 Ito-Yokado Co., Ltd. (Japan) 1,412,214
....................................................................................................
98,810 K mart Corp. (NON) 994,276
....................................................................................................
5,400 Kojima Co Ltd. (Japan) 211,392
....................................................................................................
15,900 Linens 'N Things, Inc. (NON) 471,038
....................................................................................................
11,000 REX Stores Corp. (NON) 385,000
....................................................................................................
87,680 Rite Aid Corp. 980,920
....................................................................................................
62,260 Saks, Inc. (NON) 968,921
....................................................................................................
27,200 Sunglass Hut International, Inc. (NON) 306,000
....................................................................................................
178,000 TJX Cos., Inc. (The) 3,637,875
....................................................................................................
7,500 Tuesday Morning Corp. (NON) 138,281
....................................................................................................
24,084 Tweeter Home Entertainment
Group, Inc. (NON) 854,982
....................................................................................................
104,400 Wal-Mart Stores, Inc. 7,216,650
- ----------------------------------------------------------------------------------------------------
34,732,916
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
....................................................................................................
15,448 Gucci Group N.V. (Netherlands) 1,768,796
- ----------------------------------------------------------------------------------------------------
Telecommunications (7.1%)
....................................................................................................
2,576 Adelphia Business Solutions, Inc. (NON) 123,624
....................................................................................................
3,600 Aether Systems, Inc. (NON) 257,850
....................................................................................................
430 Alcatel Alsthom CGE S.A. (France) 98,628
....................................................................................................
57,590 ALLTEL Corp. 4,761,973
....................................................................................................
32,550 BCE, Inc. (Canada) 2,949,552
....................................................................................................
10,500 Black Box Corp. (NON) 703,500
....................................................................................................
96,727 British Telecommunications PLC ADR 2,364,105
....................................................................................................
10,500 Cable & Wireless Communications
(United Kingdom) 150,959
....................................................................................................
76,800 Cable & Wireless Optus Ltd. (Australia) (NON) 256,634
....................................................................................................
100,000 Cable & Wireless PLC (United Kingdom) 1,694,555
....................................................................................................
45,774 Carso Global Telecom (Mexico) 430,643
....................................................................................................
527,000 China Telecom Ltd. (Hong Kong) (NON) 3,295,021
....................................................................................................
8,800 CTC Communications Group, Inc. (NON) 343,338
....................................................................................................
138 DDI Corp. (Japan) 1,890,781
....................................................................................................
10,207 France Telecom S.A. (France) (NON) 1,348,220
....................................................................................................
4,000 GlobeSpan, Inc. (NON) 260,500
....................................................................................................
1,200 Helsingin Puhelin Oyj (Helsinki
Telephone Corp.) Class E, (Finland) 99,835
....................................................................................................
1,902 HPY Holding Oyj (Finland) 71,275
....................................................................................................
8,100 Intermedia Communications, Inc. (NON) 314,381
....................................................................................................
17,400 JDS Uniphase Corp. (NON) 2,806,838
....................................................................................................
2,517 KDD Corp. (Japan) (NON) 348,803
....................................................................................................
8,610 Korea Telecom Corp. (South Korea) 643,598
....................................................................................................
20,100 Lightbridge, Inc. (NON) 557,775
....................................................................................................
65,900 Lucent Technologies, Inc. 4,930,144
....................................................................................................
23,400 MCI WorldCom, Inc. (NON) 1,241,663
....................................................................................................
107 MGC Communications, Inc. (NON) 5,430
....................................................................................................
17,200 Natural Microsystems Corp. (NON) 805,175
....................................................................................................
26,100 NEXTEL Communications, Inc. Class A (NON) 2,691,563
....................................................................................................
25,000 Nokia Corp. ADR (Finland) 4,750,000
....................................................................................................
5,030 Nortel Networks Corp. (Canada) 506,892
....................................................................................................
23 NTT Mobile Communications
(Luxembourg) 884,615
....................................................................................................
8,600 Omnipoint Corp. (NON) 1,037,375
....................................................................................................
38,886 Orange PLC ADR (United Kingdom) 1,312,864
....................................................................................................
25,934 Oy Nokia AB Class A (Finland) 4,696,129
....................................................................................................
44,500 Pinnacle Holdings Inc. (NON) 1,885,688
....................................................................................................
8,600 Powerwave Technologies, Inc. (NON) 502,025
....................................................................................................
36,225 Price Communications Corp (NON) 1,007,508
....................................................................................................
10,400 Proxim, Inc. (NON) 1,144,000
....................................................................................................
24,600 QUALCOMM, Inc. (NON) 4,332,675
....................................................................................................
30,100 Somera Communications, Inc. (NON) 374,369
....................................................................................................
11,000 Spectrian Corp. (NON) 310,750
....................................................................................................
22,400 Sprint PCS 2,296,000
....................................................................................................
9,124 Tele Centro Sul Participacoes S.A. (Brazil) 828,003
....................................................................................................
276,587 Telecom Italia Mobile SpA (Italy) (NON) 3,085,754
....................................................................................................
49,460 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 3,180,838
....................................................................................................
22,995 Telesp Celular Participacoes S.A.
ADR (Brazil) 974,413
....................................................................................................
3 Telesp Participacoes S.A. (Brazil) 64
....................................................................................................
50,462 Telfonica S.A. (Spain) 1,258,966
....................................................................................................
8,700 Tellabs, Inc. (NON) 558,431
....................................................................................................
681 Viatel, Inc. (NON) 36,519
....................................................................................................
7,800 VoiceStream Wireless Corp. (NON) 1,110,038
....................................................................................................
4,999 WinStar Communications. Inc. (NON) 376,175
....................................................................................................
157 World Access, Inc. (NON) 3,022
- ----------------------------------------------------------------------------------------------------
71,899,476
- ----------------------------------------------------------------------------------------------------
Telephone Services (1.1%)
....................................................................................................
21,700 Airgate PCS, Inc. (NON) 1,144,675
....................................................................................................
99 Nippon Telegraph and Telephone Corp.
(Japan) (NON) 1,695,537
....................................................................................................
161,288 SBC Communications, Inc. (NON) (SEG) 7,862,790
- ----------------------------------------------------------------------------------------------------
10,703,002
- ----------------------------------------------------------------------------------------------------
Transportation (0.9%)
....................................................................................................
59,058 Burlington Northern Santa Fe Corp. 1,432,157
....................................................................................................
115,000 Cathay Pacific Airways (Hong Kong) 204,908
....................................................................................................
28,855 CSX Corp. 905,326
....................................................................................................
19,975 Delta Air Lines, Inc. 995,005
....................................................................................................
21,350 Eagle USA Airfreight, Inc. (NON) 920,719
....................................................................................................
18,300 Expeditors International of
Washington, Inc. 801,769
....................................................................................................
23,800 FDX Corp. (NON) 974,313
....................................................................................................
18,600 Fritz Companies, Inc. (NON) 195,300
....................................................................................................
134,400 Southwest Airlines Co. (NON) 2,175,600
- ----------------------------------------------------------------------------------------------------
8,605,097
- ----------------------------------------------------------------------------------------------------
Utilities (3.9%)
....................................................................................................
67,087 AT&T Corp. 3,404,665
....................................................................................................
107,796 AT&T Corp. Class A 6,117,423
....................................................................................................
50,115 Bell Atlantic Corp. 3,085,205
....................................................................................................
57,315 BellSouth Corp. 2,683,058
....................................................................................................
45,945 CiNergy Corp. 1,108,423
....................................................................................................
26,594 Companhia Energetica de Minas Gerais
ADR (Brazil) 585,068
....................................................................................................
36,495 Consolidated Edison, Inc. 1,259,078
....................................................................................................
33,575 Dominion Resources, Inc. 1,317,819
....................................................................................................
31,695 Duke Energy Corp. 1,588,712
....................................................................................................
55,772 Edison International 1,460,529
....................................................................................................
58,380 Entergy Corp. 1,503,285
....................................................................................................
41,995 GTE Corp. 2,963,272
....................................................................................................
32,200 Independent Energy Holdings PLC
(United Kingdom) (NON) 1,072,663
....................................................................................................
720 Korea Electric Power Corp. (South Korea) 22,330
....................................................................................................
32,094 Korea Electric Power Corp.
ADR (South Korea) 537,575
....................................................................................................
104,561 Scottish Power PLC (United Kingdom) 792,178
....................................................................................................
96,925 Sprint Corp. 6,524,264
....................................................................................................
14,856 Telefonos de Mexico S.A. ADR
Class L (Mexico) 1,671,300
....................................................................................................
35,220 Texas Utilities Co. 1,252,511
- ----------------------------------------------------------------------------------------------------
38,949,358
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $507,101,203) $690,672,634
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Advertising (0.1%)
....................................................................................................
$100,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $104,500
....................................................................................................
255,000 Lamar Media Corp. company guaranty
9 5/8s, 2006 263,288
....................................................................................................
225,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 222,188
....................................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,413
....................................................................................................
100,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 103,125
- ----------------------------------------------------------------------------------------------------
708,514
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
....................................................................................................
20,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 17,600
....................................................................................................
60,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 52,800
....................................................................................................
110,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 94,050
....................................................................................................
280,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 261,800
....................................................................................................
25,000 K&F Industries, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2007 24,000
....................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 51,500
....................................................................................................
50,000 L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 46,875
....................................................................................................
50,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 45,375
....................................................................................................
1,125,000 Lockheed Martin Corp. bonds
8 1/2s, 2029 1,126,013
....................................................................................................
810,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 772,627
....................................................................................................
400,000 Raytheon Co. notes 6 3/4s, 2007 373,172
- ----------------------------------------------------------------------------------------------------
2,865,812
- ----------------------------------------------------------------------------------------------------
Agriculture (0.1%)
....................................................................................................
645,457 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (PIK) 588,980
- ----------------------------------------------------------------------------------------------------
Apparel (--%)
....................................................................................................
210,000 Fruit of the Loom company guaranty
8 7/8s, 2006 (In default) (NON) 8,400
....................................................................................................
50,000 William Carter Holdings Co. sr. sub. notes
Ser. A, 12s, 2008 48,000
....................................................................................................
125,000 William Carter Holdings Co. sr. sub. notes
Ser. A, 10 3/8s, 2006 113,750
- ----------------------------------------------------------------------------------------------------
170,150
- ----------------------------------------------------------------------------------------------------
Automotive (0.5%)
....................................................................................................
290,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 290,725
....................................................................................................
380,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 351,918
....................................................................................................
345,000 DaimlerChrysler Corp. company
guaranty 7.2s, 2009 338,873
....................................................................................................
920,000 Delphi Automotive Systems Corp. notes
6 1/8s, 2004 870,283
....................................................................................................
90,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 84,600
....................................................................................................
90,000 Federal Mogul Corp. notes 7 1/2s, 2009 79,772
....................................................................................................
60,000 Federal Mogul Corp. notes 7 3/8s, 2006 54,770
....................................................................................................
665,000 Ford Motor Co. bonds 6 5/8s, 2028 576,901
....................................................................................................
170,000 Hayes Lemmerz International, Inc.
company guaranty Ser. B, 8 1/4s, 2008 154,700
....................................................................................................
1,810,000 Hertz Corp. sr. notes 7s, 2028 1,603,642
....................................................................................................
75,000 Lear Corp. sub. notes 9 1/2s, 2006 75,188
....................................................................................................
180,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 171,000
....................................................................................................
250,000 Navistar International Corp. sr. notes
Ser. B, 7s, 2003 239,375
....................................................................................................
45,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 17,100
....................................................................................................
160,000 Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 99,200
- ----------------------------------------------------------------------------------------------------
5,008,047
- ----------------------------------------------------------------------------------------------------
Banks (0.5%)
....................................................................................................
215,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 205,325
....................................................................................................
1,010,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 899,344
....................................................................................................
40,000 Delta Financial Corp. sr. notes
9 1/2s, 2004 25,600
....................................................................................................
1,180,000 Fleet Boston Corp. sub. notes
7 3/8s, 2009 1,155,751
....................................................................................................
1,290,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,219,914
....................................................................................................
15,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 9,300
....................................................................................................
5,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 4,675
....................................................................................................
10,000 Ocwen Financial Corp. notes
11 7/8s, 2003 9,200
....................................................................................................
70,000 Provident Capital Trust company
guaranty 8.6s, 2026 63,682
....................................................................................................
535,000 Provident Companies, Inc. bonds
7.405s, 2038 451,042
....................................................................................................
80,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 69,159
....................................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s,
2004 629,564
....................................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 4,617
- ----------------------------------------------------------------------------------------------------
4,747,173
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
....................................................................................................
250,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 231,875
....................................................................................................
170,000 Ball Corp. company guaranty 8 1/4s, 2008 164,475
....................................................................................................
180,000 Ball Corp. company guaranty 7 3/4s, 2006 175,500
....................................................................................................
95,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 89,763
....................................................................................................
170,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 157,180
- ----------------------------------------------------------------------------------------------------
818,793
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.4%)
....................................................................................................
10,000 Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 10,050
....................................................................................................
245,000 Affinity Group Holdings sr. notes
11s, 2007 225,400
....................................................................................................
150,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 150,000
....................................................................................................
88,000 AMFM Inc. deb.
12 5/8s, 2006 (PIK) 99,440
....................................................................................................
175,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 156,406
....................................................................................................
110,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 111,925
....................................................................................................
10,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 4,000
....................................................................................................
290,000 Chancellor Media Corp. company
guaranty 8s, 2008 290,000
....................................................................................................
370,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 344,563
....................................................................................................
40,000 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 42,000
....................................................................................................
270,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 270,000
....................................................................................................
100,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 95,000
....................................................................................................
320,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 320,800
....................................................................................................
130,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 119,600
....................................................................................................
60,000 Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 61,050
....................................................................................................
225,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 225,563
....................................................................................................
10,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 9,800
....................................................................................................
110,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 111,972
....................................................................................................
100,000 Lenfest Communications, Inc. sr. sub.
notes 8 1/4s, 2008 99,000
....................................................................................................
30,000 Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 30,525
....................................................................................................
10,000 Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 (STP) 10,675
....................................................................................................
100,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 92,500
....................................................................................................
1,050,000 TCI Communications, Inc. sr. notes
8.65s, 2004 1,113,851
- ----------------------------------------------------------------------------------------------------
3,994,120
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
90,000 Albecca Inc. company guaranty
10 3/4s, 2008 60,975
....................................................................................................
25,000 American Architectural Products Corp.
company guaranty 11 3/4s, 2007 7,250
....................................................................................................
40,000 Atrium Companies Inc. company
guaranty Ser. B, 10 1/2s, 2009 39,100
....................................................................................................
200,000 Building Materials Corp. company
guaranty 8s, 2008 181,000
....................................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 16,000
....................................................................................................
100,000 Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 80,000
....................................................................................................
180,000 D.R. Horton Inc. company guaranty
10s, 2006 185,400
....................................................................................................
50,000 D.R. Horton, Inc. company guaranty
8s, 2009 45,750
....................................................................................................
40,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 37,000
....................................................................................................
70,000 NCI Building Systems Inc. sr. sub. notes
Ser. B, 9 1/4s, 2009 66,850
....................................................................................................
80,000 Toll Corp. company guaranty 8 1/8s, 2009 74,200
- ----------------------------------------------------------------------------------------------------
793,525
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.1%)
....................................................................................................
175,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 178,500
....................................................................................................
220,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 211,200
....................................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 47,000
....................................................................................................
110,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 56,100
....................................................................................................
153,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 164,858
- ----------------------------------------------------------------------------------------------------
657,658
- ----------------------------------------------------------------------------------------------------
Cable Television (0.2%)
....................................................................................................
240,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 216,000
....................................................................................................
60,000 Adelphia Communications Corp. sr. notes
Ser. B, 8 3/8s, 2008 55,800
....................................................................................................
90,000 Adelphia Communications Corp. sr. notes
7 7/8s, 2009 81,000
....................................................................................................
300,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 316,500
....................................................................................................
10,000 CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,425
....................................................................................................
238,000 CSC Holdings, Inc. deb. Ser. B,
8 1/8s, 2009 233,830
....................................................................................................
30,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 28,418
....................................................................................................
80,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 75,437
....................................................................................................
95,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 89,775
....................................................................................................
125,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 131,563
....................................................................................................
20,000 Jones Intercable, Inc. sr. notes 9 5/8s, 2002 20,786
....................................................................................................
238,000 Jones Intercable, Inc. sr. notes 8 7/8s, 2007 243,484
....................................................................................................
30,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 (Canada) 32,100
....................................................................................................
30,000 TeleWest Communications PLC 144A
11 1/4s, 2008 32,625
....................................................................................................
230,000 TeleWest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 234,025
....................................................................................................
130,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %
(9 1/4, 4/15/04), 2009 (United Kingdom) (STP) 83,850
....................................................................................................
100,000 United Pan-Europe N.V. 144A 10 7/8s,
2009 (Netherlands) 101,500
....................................................................................................
300,000 United Pan-Europe N.V. 144A
stepped-coupon zero %
(12 1/2s, 2004), 2009 (Netherlands) (STP) 172,500
- ----------------------------------------------------------------------------------------------------
2,159,618
- ----------------------------------------------------------------------------------------------------
Chemicals (0.3%)
....................................................................................................
1,500,000 du Pont (E.I.) de Nemours & Co., Ltd.
notes 6 7/8s, 2009 1,452,855
....................................................................................................
60,000 Geo Specialty Chemicals, Inc. sr. sub. notes
10 1/8s, 2008 55,500
....................................................................................................
30,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 28,200
....................................................................................................
110,000 Huntsman Corp. 144A sr. sub. notes
FRN 8.872s, 2007 107,800
....................................................................................................
260,000 Huntsman ICI Chemicals Inc. 144A
sr. sub. notes 10 1/8s, 2009 267,800
....................................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 105,131
....................................................................................................
815,000 Nova Chemical Corp. notes 7.4s,
2009 (Canada) 767,217
....................................................................................................
30,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 23,700
....................................................................................................
70,000 Royster-Clark Inc. 144A 1st mtge
10 1/4s, 2009 63,700
....................................................................................................
100,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 26,000
....................................................................................................
80,000 UCAR Global Enterprises sr. sub.
notes Ser. B, 12s, 2005 83,000
- ----------------------------------------------------------------------------------------------------
2,980,903
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (--%)
....................................................................................................
20,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 21,000
....................................................................................................
110,000 PSINet, Inc. sr. notes 11 1/2s, 2008 115,500
....................................................................................................
60,000 PSINet, Inc. 144A sr. notes 10 1/2s, 2006 60,900
....................................................................................................
30,000 Unisys Corp. sr. notes 7 7/8s, 2008 29,025
....................................................................................................
200,000 Verio Inc. sr. notes 10 3/8s, 2005 202,000
- ----------------------------------------------------------------------------------------------------
428,425
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.1%)
....................................................................................................
110,000 Axia, Inc. company guaranty 10 3/4s, 2008 100,925
....................................................................................................
150,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 75,000
....................................................................................................
650,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 608,907
....................................................................................................
455,000 Tyco International Ltd. company
guaranty 6 1/4s, 2003 436,850
- ----------------------------------------------------------------------------------------------------
1,221,682
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (--%)
....................................................................................................
160,000 Iron Age Corp. company guaranty
9 7/8s, 2008 120,000
....................................................................................................
30,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 21,150
- ----------------------------------------------------------------------------------------------------
141,150
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
....................................................................................................
30,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 29,100
....................................................................................................
30,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 28,350
....................................................................................................
110,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 111,650
....................................................................................................
560,000 Philip Morris Companies., Inc. notes
7 1/2s, 2004 548,341
....................................................................................................
50,000 Revlon Consumer Products sr. notes
9s, 2006 36,750
....................................................................................................
450,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 220,500
....................................................................................................
240,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 202,800
....................................................................................................
120,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 108,000
- ----------------------------------------------------------------------------------------------------
1,285,491
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.1%)
....................................................................................................
580,000 Fortune Brands, Inc. 144A sr. notes
7 1/8s, 2004 572,843
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 33,000
....................................................................................................
280,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 284,900
....................................................................................................
195,000 IPC Information Systems Inc. sr. disc.
notes zero % (10 7/8s, 11/1/01), 2008 (STP) 148,200
....................................................................................................
80,000 Sun International Hotels Ltd. sr. sub. notes
8 5/8s, 2007 75,200
- ----------------------------------------------------------------------------------------------------
541,300
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.1%)
....................................................................................................
35,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 36,750
....................................................................................................
40,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 39,800
....................................................................................................
210,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 236,775
....................................................................................................
200,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 204,000
....................................................................................................
275,000 Flextronics International Ltd. sr. sub.
notes Ser. B, 8 3/4s, 2007 268,125
....................................................................................................
40,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 23,200
....................................................................................................
430,000 Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 439,675
....................................................................................................
95,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 94,050
....................................................................................................
180,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 91,800
....................................................................................................
100,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 92,000
- ----------------------------------------------------------------------------------------------------
1,526,175
- ----------------------------------------------------------------------------------------------------
Energy-Related (--%)
....................................................................................................
5,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 3,000
....................................................................................................
300,000 PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 298,629
- ----------------------------------------------------------------------------------------------------
301,629
- ----------------------------------------------------------------------------------------------------
Entertainment (0.3%)
....................................................................................................
140,000 AMC Entertainment, Inc. sr. sub.
notes 9 1/2s, 2009 123,550
....................................................................................................
135,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 117,450
....................................................................................................
370,000 Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 5/8s, 3/1/03), 2008 (STP) 135,050
....................................................................................................
140,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 75,250
....................................................................................................
320,000 ITT Corp. notes 6 3/4s, 2005 283,114
....................................................................................................
580,000 News America Holdings, Inc. deb.
7 3/4s, 2045 527,185
....................................................................................................
3,000 Premier Parks, Inc. sr. notes 9 1/4s, 2006 2,955
....................................................................................................
70,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 65,800
....................................................................................................
90,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 36,900
....................................................................................................
365,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 393,517
....................................................................................................
1,070,000 Time Warner Entertainment Inc.
company guaranty 6 5/8s, 2029 912,368
....................................................................................................
320,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 54,400
- ----------------------------------------------------------------------------------------------------
2,727,539
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
460,000 Allied Waste Industries, Inc. 144A
sr. sub. notes 10s, 2009 410,550
....................................................................................................
210,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 184,800
....................................................................................................
50,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 44,875
....................................................................................................
110,000 Waste Management, Inc. 144A sr. notes
6 7/8s, 2009 92,686
- ----------------------------------------------------------------------------------------------------
732,911
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.1%)
....................................................................................................
30,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 10,200
....................................................................................................
45,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 45,563
....................................................................................................
1,045,000 Pepsi Bottling Group Inc. sr. notes
Ser. B, 7s, 2029 945,432
....................................................................................................
140,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 93,800
....................................................................................................
100,000 Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 3/4s, 2009 96,750
- ----------------------------------------------------------------------------------------------------
1,191,745
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
50,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 44,256
....................................................................................................
180,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 186,300
....................................................................................................
80,000 Horseshoe Gaming Holdings company
guaranty 8 5/8s, 2009 77,000
....................................................................................................
10,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 10,900
....................................................................................................
250,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 246,875
....................................................................................................
200,000 Park Place Entertainment sr. notes
8 1/2s, 2006 197,904
....................................................................................................
80,000 Trump A.C. 1st mtge. 11 1/4s, 2006 64,800
....................................................................................................
190,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 192,375
- ----------------------------------------------------------------------------------------------------
1,020,410
- ----------------------------------------------------------------------------------------------------
Health Care (0.1%)
....................................................................................................
65,000 Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 60,044
....................................................................................................
50,000 Columbia/HCA Healthcare Corp.
med. term notes notes 7.69s, 2025 41,000
....................................................................................................
10,000 Columbia/HCA Healthcare Corp.
notes 7 1/4s, 2008 9,000
....................................................................................................
160,000 Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 151,243
....................................................................................................
60,000 Conmed Corp. company guaranty
9s, 2008 56,100
....................................................................................................
140,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 82,250
....................................................................................................
90,000 Hudson Respiratory Care, Inc. sr. sub.
notes 9 1/8s, 2008 72,450
....................................................................................................
160,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 13,200
....................................................................................................
110,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 9,075
....................................................................................................
130,000 Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 (In default) (NON) 650
....................................................................................................
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) 400
....................................................................................................
260,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 59,800
....................................................................................................
60,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 34,800
....................................................................................................
50,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 16,000
....................................................................................................
40,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 37,200
....................................................................................................
90,000 Tenet Healthcare Corp. sr. notes
Ser. B, 7 5/8s, 2008 83,475
....................................................................................................
125,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 120,938
- ----------------------------------------------------------------------------------------------------
847,625
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
....................................................................................................
80,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 82,800
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (1.6%)
....................................................................................................
100,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 64,000
....................................................................................................
60,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 56,250
....................................................................................................
180,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 164,146
....................................................................................................
970,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 945,537
....................................................................................................
1,010,000 American General Institute 144A
company guaranty 8 1/8s, 2046 1,007,627
....................................................................................................
590,000 Chase Manhattan Corp. sub. notes 6s,
2009 530,853
....................................................................................................
890,000 CIT Group Holdings sr. notes 6 1/2s, 2002 879,204
....................................................................................................
685,000 Citicorp sub. notes 6 3/8s, 2008 633,221
....................................................................................................
80,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 71,166
....................................................................................................
10,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 900
....................................................................................................
40,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 3,600
....................................................................................................
210,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 23,100
....................................................................................................
1,000,000 Countrywide Home Loan Corp. company
guaranty med. term notes 6 1/4s, 2009 902,570
....................................................................................................
535,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 474,149
....................................................................................................
1,175,000 Goldman Sachs Group, Inc. (The) notes
Ser. B, 7.35s, 2009 1,147,047
....................................................................................................
920,000 Heller Financial Inc. notes 6s, 2004 873,568
....................................................................................................
480,000 Household Finance Corp. notes
6 1/2s, 2008 444,533
....................................................................................................
575,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 508,651
....................................................................................................
175,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 136,500
....................................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 65,875
....................................................................................................
10,000 Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 9,425
....................................................................................................
380,000 Merrill Lynch & Co., Inc. notes 6s, 2009 340,674
....................................................................................................
500,000 Money Store, Inc. notes 8.05s, 2002 508,570
....................................................................................................
1,020,000 National Westminster Bank sub. notes
7 3/8s, 2009 (United Kingdom) 996,775
....................................................................................................
1,950,000 NationsBank Corp. sub. notes
6 7/8s, 2005 1,903,005
....................................................................................................
30,000 Nationwide Credit Inc. sr. notes
Ser. A, 10 1/4s, 2008 17,700
....................................................................................................
275,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 259,848
....................................................................................................
705,000 Peoples Bank-Bridgeport sub. notes
7.2s, 2006 640,986
....................................................................................................
30,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 27,779
....................................................................................................
1,040,000 Popular, Inc. med. term notes 6.4s, 2000 1,037,670
....................................................................................................
270,000 RBF Finance Co. company guaranty
11s, 2006 288,225
....................................................................................................
370,000 Sears Roebuck Acceptance Corp. notes
6 7/8s, 2017 317,630
....................................................................................................
895,000 Sprint Capital Corp. company guaranty
6.9s, 2019 813,985
- ----------------------------------------------------------------------------------------------------
16,094,769
- ----------------------------------------------------------------------------------------------------
Lodging (--%)
....................................................................................................
70,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 50,400
....................................................................................................
250,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 222,500
- ----------------------------------------------------------------------------------------------------
272,900
- ----------------------------------------------------------------------------------------------------
Manufacturing (--%)
....................................................................................................
125,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 122,188
....................................................................................................
170,000 Blount Inc. 144A sr. sub. notes 13s, 2009 179,350
- ----------------------------------------------------------------------------------------------------
301,538
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (--%)
....................................................................................................
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) 8,000
....................................................................................................
100,000 Mediq, Inc. company guaranty 11s, 2008 40,000
- ----------------------------------------------------------------------------------------------------
122,000
- ----------------------------------------------------------------------------------------------------
Metals and Mining (--%)
....................................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 157,325
....................................................................................................
110,000 AK Steel Corp. company guaranty
7 7/8s, 2009 103,675
....................................................................................................
32,000 Anker Coal Group, Inc. 144A sec. notes
14 1/4s, 2007 (PIK) 16,000
....................................................................................................
65,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 33,800
....................................................................................................
120,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 60,000
....................................................................................................
60,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 57,900
- ----------------------------------------------------------------------------------------------------
428,700
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.6%)
....................................................................................................
855,000 Amerada Hess Corp. bonds 7 7/8s, 2029 833,882
....................................................................................................
160,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 150,000
....................................................................................................
10,000 Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 6,525
....................................................................................................
150,000 Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 153,000
....................................................................................................
600,000 CMS Panhandle Holding Corp. sr. notes
6 1/8s, 2004 564,684
....................................................................................................
995,000 Coastal Corp. bonds 6.95s, 2028 866,963
....................................................................................................
240,000 Coda Energy Inc. company
guaranty Ser. B, 10 1/2s, 2006 247,200
....................................................................................................
1,000,000 Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 934,610
....................................................................................................
245,000 Gulf Canada Resources Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 251,125
....................................................................................................
120,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 115,332
....................................................................................................
655,000 K N Energy, Inc. sr. notes 6.45s, 2003 636,706
....................................................................................................
40,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 39,700
....................................................................................................
140,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 135,100
....................................................................................................
400,000 Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 391,044
....................................................................................................
290,000 Pogo Producing Co. sr. sub. notes
Ser. B, 8 3/4s, 2007 279,125
....................................................................................................
60,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 26,250
....................................................................................................
50,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 20,000
....................................................................................................
30,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 29,850
....................................................................................................
160,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 164,000
- ----------------------------------------------------------------------------------------------------
5,845,096
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
20,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 19,250
....................................................................................................
35,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 34,300
....................................................................................................
160,000 Packaging Corp. company guaranty
9 5/8s, 2009 164,000
....................................................................................................
90,000 Radnor Holdings Inc. sr. notes 10s, 2003 90,000
....................................................................................................
190,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 186,200
....................................................................................................
55,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 55,825
- ----------------------------------------------------------------------------------------------------
549,575
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
....................................................................................................
100,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04),
2049 (Indonesia) (STP) 64,000
....................................................................................................
10,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 9,496
....................................................................................................
5,000 Consumers International 144A sr. notes
10 1/4s, 2005 3,900
....................................................................................................
825,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 786,176
....................................................................................................
100,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 103,250
....................................................................................................
190,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 176,700
....................................................................................................
40,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 37,600
- ----------------------------------------------------------------------------------------------------
1,181,122
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (--%)
....................................................................................................
150,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 143,625
- ----------------------------------------------------------------------------------------------------
Publishing (--%)
....................................................................................................
150,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 141,000
....................................................................................................
100,000 Garden State Newspapers, Inc. sr. sub.
notes 8 5/8s, 2011 91,500
....................................................................................................
80,000 News America Holdings, Inc. deb.
7.7s, 2025 74,959
....................................................................................................
100,000 Perry-Judd company guaranty
10 5/8s, 2007 88,000
....................................................................................................
28,079 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 25,552
....................................................................................................
35,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 34,300
- ----------------------------------------------------------------------------------------------------
455,311
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trusts) (0.1%)
....................................................................................................
1,020,000 EOP Operating L.P. notes 6.763s, 2007 944,316
....................................................................................................
30,000 Host Marriott L.P. sr. notes Ser. E,
8 3/8s, 2006 28,200
....................................................................................................
210,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 208,079
- ----------------------------------------------------------------------------------------------------
1,180,595
- ----------------------------------------------------------------------------------------------------
Retail (0.2%)
....................................................................................................
855,000 Federated Department Stores, Inc.
sr. notes 8 1/2s, 2003 878,675
....................................................................................................
40,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 34,000
....................................................................................................
90,000 K mart Corp. med. term notes
8.85s, 2011 83,786
....................................................................................................
10,000 K mart Corp. med. term notes
8.19s, 2003 9,698
....................................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 9,880
....................................................................................................
980,000 Lowe's Cos., Inc. deb. 6 1/2s, 2029 825,817
....................................................................................................
50,000 Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 48,500
- ----------------------------------------------------------------------------------------------------
1,890,356
- ----------------------------------------------------------------------------------------------------
Satellite Services (--%)
....................................................................................................
80,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 84,800
....................................................................................................
250,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 2/15/03), 2008 (STP) 131,250
- ----------------------------------------------------------------------------------------------------
216,050
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 International Shipholding Corp. sr. notes
7 3/4s, 2007 27,000
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.9%)
....................................................................................................
130,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 131,950
....................................................................................................
20,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 19,000
....................................................................................................
40,000 Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 45,200
....................................................................................................
180,000 Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/4s, 2/15/03), 2008 (STP) 128,475
....................................................................................................
55,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 29,975
....................................................................................................
70,000 Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 5/15/03), 2005 (Mexico) (STP) 44,100
....................................................................................................
70,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 70,700
....................................................................................................
220,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 202,400
....................................................................................................
130,000 Carrier1 Intl. S.A. sr. notes Ser. B,
13 1/4s, 2009 (Luxembourg) 136,500
....................................................................................................
175,000 Celcaribe S.A. sr. notes
stepped-coupon zero %
(13 1/2s, 3/15/04), 2004 (Colombia) (STP) 147,000
....................................................................................................
360,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 45,900
....................................................................................................
270,000 Clearnet Communications, Inc. sr. disc.
notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 264,600
....................................................................................................
225,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %,
(12s, 12/15/01), 2006
(United Kingdom) (STP) 198,000
....................................................................................................
45,000 Conecel Holdings 144A notes Ser. A,
14s, 2000 4,500
....................................................................................................
80,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 49,800
....................................................................................................
260,000 Covad Communications Group Inc.
sr. notes 12 1/2s, 2009 268,450
....................................................................................................
100,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 3/01/03), 2008 (STP) 36,000
....................................................................................................
100,000 Esprit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 100,250
....................................................................................................
300,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13, 4/15/03), 2008 (STP) 180,000
....................................................................................................
160,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 148,800
....................................................................................................
300,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s,02/15/03), 2008 (STP) 186,000
....................................................................................................
430,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 428,925
....................................................................................................
210,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 154,875
....................................................................................................
300,000 GST Telecommunications, Inc. sr. disc.
notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 145,500
....................................................................................................
60,000 Hyperion Telecommunications Corp.,
Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 53,400
....................................................................................................
90,000 Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s, 2004 96,300
....................................................................................................
130,000 Hyperion Telecommunications Inc.
sr. sub. notes 12s, 2007 137,150
....................................................................................................
130,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (Canada) (STP) 112,450
....................................................................................................
190,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 95,950
....................................................................................................
90,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 67,950
....................................................................................................
85,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 78,413
....................................................................................................
265,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 241,150
....................................................................................................
300,000 International Cabletel, Inc. sr.
notes stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 270,000
....................................................................................................
55,000 ITC Deltacom, Inc. sr. notes 11s, 2007 57,750
....................................................................................................
170,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 93,500
....................................................................................................
240,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %,
(11 7/8s, 10/15/02), 2007 (STP) 160,800
....................................................................................................
90,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 67,500
....................................................................................................
10,000 McCaw International Ltd sr. disc.
notes stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 6,900
....................................................................................................
150,000 Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B,
zero % (14s, 12/1/01), 2006 (Canada) (STP) 132,000
....................................................................................................
315,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 259,875
....................................................................................................
10,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 6,500
....................................................................................................
20,000 Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 17,000
....................................................................................................
480,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 283,200
....................................................................................................
180,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 201,600
....................................................................................................
170,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 180,200
....................................................................................................
90,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 97,200
....................................................................................................
110,000 NTL Inc. sr. notes Ser. B, 10s,
2007 (United Kingdom) 112,750
....................................................................................................
40,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 26,000
....................................................................................................
140,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 89,600
....................................................................................................
220,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 222,750
....................................................................................................
70,000 Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 63,350
....................................................................................................
65,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 52,735
....................................................................................................
180,000 Qwest Communications International,
Inc. sr. notes Ser. B, 7 1/4s, 2008 172,177
....................................................................................................
30,000 RCN Corp. sr. disc. notes
stepped-coupon zero %, (11 1/8s,
10/15/02), 2007 (STP) 21,225
....................................................................................................
170,000 Rhythms Netconnections, Inc. sr.
disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 5/15/03), 2008 (STP) 91,800
....................................................................................................
250,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 250,000
....................................................................................................
60,000 Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 39,600
....................................................................................................
80,000 Startec Global Communications Corp.
sr. notes 12s, 2008 65,600
....................................................................................................
50,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 45,000
....................................................................................................
110,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 5,225
....................................................................................................
100,000 Teligent, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 3/1/03), 2008 (STP) 58,750
....................................................................................................
70,000 Teligent, Inc. sr. notes 11 1/2s, 2007 68,250
....................................................................................................
200,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 205,000
....................................................................................................
50,000 US Xchange LLC sr. notes 15s, 2008 37,500
....................................................................................................
110,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 117,150
....................................................................................................
580,000 Viatel, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 362,500
....................................................................................................
150,000 Viatel, Inc. 144A sr. notes 11 1/2s, 2009 149,250
....................................................................................................
160,000 Viatel, Inc. sr. notes 11 1/4s, 2008 159,200
....................................................................................................
290,000 Williams Communications Group Inc.
sr. notes 10 7/8s, 2009 303,413
....................................................................................................
40,000 WinStar Communications, Inc. sr. sub.
notes 10s, 2008 37,800
....................................................................................................
50,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 45,125
....................................................................................................
140,000 Worldwide Fiber, Inc. 144A 12s, 2009 144,550
- ----------------------------------------------------------------------------------------------------
8,829,988
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.1%)
....................................................................................................
70,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 41,300
....................................................................................................
220,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 107,800
....................................................................................................
100,000 Call-Net Enterprises, Inc. sr. notes
8s, 2008 (Canada) 76,000
....................................................................................................
50,000 Long Distance International, Inc. sr. notes
12 1/4s, 2008 25,000
....................................................................................................
10,000 McLeodUSA, Inc. sr. notes 8 1/8s, 2009 9,325
....................................................................................................
123,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 124,845
....................................................................................................
70,000 RSL Communications, Ltd. 144A
10 1/2s, 2008 66,500
....................................................................................................
85,000 RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 76,075
- ----------------------------------------------------------------------------------------------------
526,845
- ----------------------------------------------------------------------------------------------------
Textiles (--%)
....................................................................................................
130,000 Day International Group, Inc. company
guaranty 9 1/2s, 2008 108,550
....................................................................................................
50,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 48,500
....................................................................................................
60,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 57,600
....................................................................................................
49,957 Polytama International notes 11 1/4s,
2007 (Indonesia) 8,992
- ----------------------------------------------------------------------------------------------------
223,642
- ----------------------------------------------------------------------------------------------------
Transportation (0.4%)
....................................................................................................
100,000 Airbus Industries 144A 12.266s, 2020 103,089
....................................................................................................
490,000 Calair LLC 144A company guaranty
8 1/8s, 2008 452,638
....................................................................................................
120,000 Canadian Airlines Corp. secd. notes
10s, 2005 (Canada) 94,800
....................................................................................................
150,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 151,500
....................................................................................................
1,641,549 Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2009 1,556,533
....................................................................................................
150,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 153,375
....................................................................................................
135,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 137,363
....................................................................................................
50,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 49,125
....................................................................................................
130,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %,
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 83,200
....................................................................................................
130,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 84,500
....................................................................................................
70,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 29,225
....................................................................................................
1,095,000 Union Pacific Corp. notes 7 3/8s, 2009 1,064,406
- ----------------------------------------------------------------------------------------------------
3,959,754
- ----------------------------------------------------------------------------------------------------
Utilities (0.4%)
....................................................................................................
715,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 685,671
....................................................................................................
300,000 Calpine Corp. sr. notes 10 1/2s, 2006 318,000
....................................................................................................
110,000 Calpine Corp. sr. notes 7 7/8s, 2008 105,050
....................................................................................................
70,000 Calpine Corp. sr. notes 7 3/4s, 2009 65,212
....................................................................................................
840,000 CiNergy Corp. deb. 6 1/8s, 2004 790,784
....................................................................................................
100,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 104,125
....................................................................................................
150,000 Cleveland Electric Illuminating Co.
1st mtge 6.86s, 2008 136,826
....................................................................................................
210,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 200,588
....................................................................................................
10,000 El Paso Electric Co. 1st mtge.
Ser. E, 9.4s, 2011 10,688
....................................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 264,369
....................................................................................................
40,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 41,600
....................................................................................................
120,650 Midland Funding Corp. I deb. Ser. C-94,
10.33s, 2002 124,149
....................................................................................................
420,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 453,537
....................................................................................................
37,805 Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 37,705
....................................................................................................
37,805 Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 37,640
....................................................................................................
26,217 Northeast Utilities System notes
Ser. A, 8.58s, 2006 26,412
....................................................................................................
113,333 Northeast Utilities System notes
Ser. B, 8.38s, 2005 113,819
....................................................................................................
30,000 Public Service Co. of New Mexico
sr. notes Ser. A, 7.1s, 2005 28,879
....................................................................................................
170,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 175,100
- ----------------------------------------------------------------------------------------------------
3,720,154
- ----------------------------------------------------------------------------------------------------
Wireless Communications (--%)
....................................................................................................
90,000 Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 63,000
....................................................................................................
120,000 Telecorp PCS Inc. company guaranty
stepped-coupon zero %
(11 5/8s, 4/15/04), 2009 (STP) 75,600
....................................................................................................
240,000 VoiceStream Wireless Corp. 144A
sr. notes 10 3/8s, 2009 247,200
- ----------------------------------------------------------------------------------------------------
385,800
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $91,566,937) $84,469,838
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
AUD 5,300,000 Australia (Government of) bonds
Ser. 808, 8 3/4s, 2008 $3,872,628
....................................................................................................
CAD 2,760,000 Canada (Government of) bonds
Ser. WL43, 5 3/4S, 2029 1,805,738
....................................................................................................
CAD 52,270,000 Canada (Government of) bonds
4 1/2s, 2001 35,483,504
....................................................................................................
EUR 11,285,000 France (Government of) Treasury
bonds 4s, 2000 11,352,710
....................................................................................................
EUR 8,476,685 Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 8,109,696
....................................................................................................
EUR 615,000 Germany (Federal Republic of) bonds
Ser. 98, 4 3/4s, 2028 516,916
....................................................................................................
EUR 10,400,000 Germany (Federal Republic of) notes
3s, 2001 10,352,545
....................................................................................................
USD 1,160,000 Quebec (Province of) deb. 7s, 2007 1,134,596
....................................................................................................
USD 445,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) 395,018
....................................................................................................
SEK 600,000 Sweden (Government of) bonds
Ser. 1039, 5 1/2s, 2002 71,156
....................................................................................................
GBP 3,550,000 United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 6,179,107
- ----------------------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $81,004,915) $79,273,614
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (7.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (4.7%)
....................................................................................................
Federal Home Loan Mortgage Corporation
....................................................................................................
$1,140,392 8 1/2s, July 1, 2028 $1,171,387
....................................................................................................
1,094,024 6 1/2s, April 1, 2029 1,031,456
....................................................................................................
931,243 6s, July 1, 2006 895,734
....................................................................................................
Federal National Mortgage Association
....................................................................................................
3,210,000 6s,TBA, May 15, 2008 3,005,363
....................................................................................................
281,833 7s, TBA, July 1, 2007 283,829
....................................................................................................
75,561 Federal National Mortgage Association
Adjustable Rate Mortgages 6.884s,
July 1, 2025 76,694
....................................................................................................
Federal National Mortgage Association
Pass-Through Certificates
....................................................................................................
2,981,893 8 1/2s, with due dates from
October 1, 2018 to September 1, 2029 3,062,610
....................................................................................................
3,107,602 8s, with due dates from May 1, 2025
to September 1, 2029 3,132,835
....................................................................................................
2,688,746 7 1/2s, with due dates from
September 1, 2010 to
September 1, 2029 2,101,873
....................................................................................................
4,072,192 7s, with due dates from
October 1, 2011 to March 1, 2028 3,968,358
....................................................................................................
3,908,335 6 1/2s, with due dates from
March 1, 2028 to September 1, 2029 3,682,355
....................................................................................................
12,156,250 6s, with due dates from
March 1, 2014 to July 1, 2029 11,199,779
....................................................................................................
1,370,000 5 3/4s, April 15, 2003 1,330,613
....................................................................................................
Government National Mortgage
Association Pass-Through Certificates
....................................................................................................
33,592 11s, December 15, 2015 37,003
....................................................................................................
1,340,828 10s, with due dates from
June 15, 2013 to March 1, 2029 1,456,707
....................................................................................................
532,676 9 1/2s, December 15, 2017 571,295
....................................................................................................
801,328 8s, with due dates from
September 15, 2020 to
August 15, 2027 810,601
....................................................................................................
2,130,433 7 1/2s, with due dates from
January 15, 2023 to January 15, 2024 2,117,118
....................................................................................................
4,581,072 7s, with due dates from May 15, 2023 to
August 15, 2029 4,431,904
....................................................................................................
3,633,391 6 1/2s, with due dates from
December 15, 2027 to May 15, 2029 3,409,682
- ----------------------------------------------------------------------------------------------------
47,777,196
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (2.7%)
....................................................................................................
3,965,000 U.S. Treasury Bonds 6 1/8s,
August 15, 2029 (SEG) 3,779,755
....................................................................................................
135,000 U. S. Treasury Interest Strip, zero %,
February 15, 2019 36,875
....................................................................................................
U.S. Treasury Notes
....................................................................................................
10,425,000 6 1/8s, December 31, 2001 (SEG) 10,402,169
....................................................................................................
6,295,000 6s, August 15, 2009 (SEG) 6,098,281
....................................................................................................
6,785,000 5 7/8s, November 15, 2004 (SEG) 6,652,489
- ----------------------------------------------------------------------------------------------------
26,969,569
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $76,485,638) $74,746,765
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$1,551,080 Chase Manhattan Bank-First Union
Mortgage Trust Ser.99-1 Class A1,
7.134s, 2007 $1,537,508
....................................................................................................
2,294,965 Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 2,381,026
....................................................................................................
Commercial Mortgage Acceptance Corp.
....................................................................................................
125,000 Ser. 97-ML1, Class A2, 6.53s, 2007 120,410
....................................................................................................
6,523,861 Ser. 97-ML1,Class Interest Only (IO),
0.957s, 2017 301,729
....................................................................................................
875,000 Commercial Mortgage Asset Trust
Ser. 99-C1 Class A4, 6.975s, 2013 814,434
....................................................................................................
430,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 359,252
....................................................................................................
1,050,000 CS First Boston Mortgage Securities
Corp. Ser. 99-C1, Class A2, 7.29s, 2009 1,033,594
....................................................................................................
3,924,485 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO,
1.244s, 2031 207,262
....................................................................................................
DLJ Commercial Mortgage Trust
....................................................................................................
1,015,000 Ser. 99-CG3, Class A1B, 7.34s, 2009 1,000,092
....................................................................................................
381,681 Ser. 99-CG3, Class A1A, 7.12s, 2009 379,057
....................................................................................................
367,629 Ser. 98-CG1, Class A1A, 6.11s, 2007 351,637
....................................................................................................
Fannie Mae
....................................................................................................
735,544 Ser. 97-61, Class ZC, 7s, 2023 647,963
....................................................................................................
1,750,000 Ser. 96-1, 6 5/8s, 2009 1,699,688
....................................................................................................
7,725,000 Ser. 98-1, 6.5s, 2004 7,628,438
....................................................................................................
214,859 Ser. 98-30, Class TH, Principal Only (PO)
6.5s, 2012 130,527
....................................................................................................
32,171 Ser.302, Class 2, PO 6s, 2029 10,626
....................................................................................................
Freddie Mac
....................................................................................................
2,045,000 Ser. 1439, Class I, 7.5s, 2022 1,988,443
....................................................................................................
1,418,719 Ser. 1954, Class IO, 6s, 2027 485,911
....................................................................................................
172,599 Ser. 2113, Class ZM, 6.5s, 2028 155,339
....................................................................................................
1,535,522 Ser 2160, Class D, 6s, 2025 1,451,189
....................................................................................................
54,987 Freddie Mac Strip, Ser.176, PO,
zero %, 2026 36,094
....................................................................................................
340,000 GMAC Commercial Mortgage
Securities Inc. 6.175s, 2033 310,994
....................................................................................................
3,290,000 Government National Mortgage
Association Ser. 98-8, Class PE,
7 1/2s, 2027 3,140,408
....................................................................................................
370,000 GS Mortgage Securities Corp. II
Ser. 98-GLII, Class A2, 6.562s, 2031 345,834
....................................................................................................
LB Commercial Conduit Mortgage Trust
....................................................................................................
1,505,000 Ser. 99-C2, Class A2, 7.325s, 2009 1,481,720
....................................................................................................
716,994 Ser. 99-C2, Class A1, 7.105s, 2009 711,196
....................................................................................................
346,000 Ser. 99-C1, Class A2, 6.78s, 2009 329,065
....................................................................................................
365,344 Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class A1, 6.22s, 2030 353,585
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
1,280,000 Ser. 96-WF1, Class A2, 7.218s, 2006 1,279,800
....................................................................................................
257,930 Ser. 98-HF1, Class A1, 6.19s, 2007 248,822
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
355,812 Ser. 98-MC1, Class A1, 6.417s, 2007 344,471
....................................................................................................
2,990,379 Ser. 98-MC1, Class X, IO, 0.856s, 2009 111,322
....................................................................................................
444,058 PNC Mortgage Securities Corp.
Ser. 97-6, Class A2, 6.6s, 2027 444,613
....................................................................................................
1,550,000 PP&L Transition Bond Company Ser. 99-1,
Class A7, 7.05s, 2009 1,534,004
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $34,492,461) $33,356,053
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$521,945 Advanta Mortgage Loan Trust
Ser. 97-2, Class A2, 7.05s, 2021 $520,722
....................................................................................................
919,073 Advanta Mortgage Loan Trust
Ser. 97-3, Class A3, 6.69s, 2017 916,309
....................................................................................................
1,355,000 Advanta Mortgage Loan Trust
Ser. 97-4, Class A7, 6.63s, 2029 1,312,392
....................................................................................................
75,113 Amresco Residential Securities Mortgage
Loan Ser. 97-3, Class A3, 6.6s, 2018 74,820
....................................................................................................
70,440 Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 70,407
....................................................................................................
1,345,000 Chemical Master Credit Card Trust
5.98s, 2008 1,271,442
....................................................................................................
1,010,000 Citibank Credit Card Master Trust
Ser. 99-5, Class A, 6.1s, 2008 951,602
....................................................................................................
546,638 First Plus Ser. 98-A, Class A, 8 1/2s, 2023 409,978
....................................................................................................
350,000 GE Capital Mortgage Services, Inc.
Ser. 96-HE2, Class A4, 7.65s, 2012 350,547
....................................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,188,643
....................................................................................................
1,990,000 Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 1,953,931
....................................................................................................
1,017,914 Green Tree Recreational Equipment &
Cons. Ser. 98-A, Class A1C, 6.18s, 2019 999,544
....................................................................................................
530,000 Standard Credit Card Master Trust
7 1/4s, 2006 530,371
....................................................................................................
139,585 The Money Store Home Equity Trust
Ser. 96-A, Class A5, 6.85s, 2019 139,367
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $10,944,807) $10,690,075
- ----------------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.5%) (a)
(cost $3,984,373)
- ----------------------------------------------------------------------------------------------------
Expiration Date/
Contract Amount Strike Price Value
....................................................................................................
JPY 1,500,000,000 Japanese Government Feb-00/
Bond Future Contracts 100 JPY $4,816,500
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
3,300 AmeriKing, Inc. $3.25 pfd. (PIK) $59,400
....................................................................................................
10,000 California Federal Bancorp Inc.
Ser. A, $2.281 pfd. 232,500
....................................................................................................
631 Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 73,827
....................................................................................................
503 Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. (PIK) 56,210
....................................................................................................
56 Concentric Network Corp. Ser. B,
$13.50 pfd. (13.50%) (PIK) 55,440
....................................................................................................
874 CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 96,577
....................................................................................................
20 Dobson Communications Corp. 144A
$12.25 pfd. (PIK) 20,600
....................................................................................................
190 Fresenius Medical Capital Trust I Ser. D,
9.00% company guaranty, pfd. (Germany) 186,200
....................................................................................................
250 Fresenius Medical Capital Trust II $7.875
company guaranty, pfd. (Germany) 225,625
....................................................................................................
2,200 Global Crossing Holdings 144A
$10.50 pfd. 220,000
....................................................................................................
273 ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 241,605
....................................................................................................
191 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 187,180
....................................................................................................
49 IXC Communications, Inc. $12.50 pfd. (PIK) 53,900
....................................................................................................
62 NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 66,030
....................................................................................................
44 NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 44,000
....................................................................................................
6,087 Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 334,785
....................................................................................................
18 Paxson Communications Corp.
13.25% cum. pfd. (PIK) 184,050
....................................................................................................
96 R&B Falcon Corp. 13.875% pfd. 101,280
....................................................................................................
110 WinStar Communications, Inc. 144A
$14.25 cum. pfd. (PIK) 108,350
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $2,697,554) $2,547,559
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
800 Pohang Iron & Steel Company, Ltd.
Structured Note (issued by UBS AG),
3.00%, 2000 (South Korea) $89,682
....................................................................................................
1,200 Pohang Iron & Steel Company, Ltd.
Structured Note (issued by Merrill Lynch
& Co., Inc.) 3.00%, 2000 (South Korea) 134,400
....................................................................................................
11,600 Tokyo Broadcasting 144A Structured Note
(issued by UBS AG), 3.15%, 2003 (Japan) 400,841
....................................................................................................
6,500 Tokyo Broadcasting Structured Warrants
expiration 11/17/00, (issued by Lehman
Brothers Finance S.A.) (Japan) 219,635
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $682,240) $844,558
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
70 Bestel S.A. (Mexico) 5/15/05 $3,500
....................................................................................................
70 Birch Telecommunications,
Inc. 144A 6/15/08 3,850
....................................................................................................
275 Cellnet Data Systems, Inc. 10/1/07 2,613
....................................................................................................
40 Club Regina, Inc. 144A 12/1/04 40
....................................................................................................
607 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 61
....................................................................................................
1,110 Diva Systems Corp. 3/1/08 8,880
....................................................................................................
500 DTI Holdings Inc. 3/1/08 5
....................................................................................................
175 Esat Holdings, Inc. (Ireland) 2/1/07 12,250
....................................................................................................
300 Firstworld Communication 4/15/08 36,000
....................................................................................................
80 Globalstar Telecommunications 2/15/04 4,800
....................................................................................................
150 KMC Telecom Holdings, Inc. 4/15/08 525
....................................................................................................
210 Knology Holdings 10/22/07 473
....................................................................................................
50 Long Distance
International, Inc. 144A 4/13/08 100
....................................................................................................
10 McCaw International Ltd. 4/15/07 45
....................................................................................................
130 Network Plus Corp. 2/19/09 2,730
....................................................................................................
40 Onepoint Communications, Inc. 6/1/08 400
....................................................................................................
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
....................................................................................................
1,920 Powertel, Inc. 2/1/06 8,640
....................................................................................................
90 R&B Falcon Corp. 144A 5/1/09 22,500
....................................................................................................
80 Startec Global
Communications Corp. 5/15/08 1,200
....................................................................................................
110 Telehub Communications Corp. 7/31/05 275
....................................................................................................
150 UIH Australia/Pacific, Inc. 144A 5/15/06 4,500
....................................................................................................
110 Versatel Telecom B.V. 144A
(Netherlands) 5/15/08 44,000
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $82,802) $161,907
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (--%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$70,000 HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 $53,988
....................................................................................................
50,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 54,875
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $104,905) $108,863
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (--%) (a) (cost $25,750)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
515 Chesapeake Energy Corp. $3.50
cum. cv. pfd. $12,939
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.4%) (a) (cost $24,189,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$24,189,000 Interest in $520,132,000 joint repurchase
agreement dated December 31, 1999
with Morgan Stanley Co. Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $24,193,979 for an effective
yield of 2.47% $24,189,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $833,362,585) (b) $1,005,890,305
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1999
- ----------------------------------------------------------------------------------------------------
(aggregate face value $179,362,843)
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollar $26,599,283 $26,259,926 2/3/00 $339,357
....................................................................................................
Canadian Dollar 9,615,198 9,540,324 2/3/00 74,874
....................................................................................................
Danish Krone 2,124,628 2,238,906 2/3/00 (114,278)
....................................................................................................
Euro 42,350,598 44,348,292 2/3/00 (1,997,694)
....................................................................................................
Greek Drachma 488,105 515,134 2/3/00 (27,029)
....................................................................................................
Japanese Yen 79,658,859 76,444,291 2/3/00 3,214,568
....................................................................................................
New Zealand Dollar 167,512 169,418 2/3/00 (1,906)
....................................................................................................
Norwegian Krone 405,152 415,761 2/3/00 (10,609)
....................................................................................................
Pound Sterling 5,516,299 5,527,592 2/3/00 (11,293)
....................................................................................................
Swedish Krona 11,030,407 11,150,930 2/3/00 (120,523)
....................................................................................................
Swiss Franc 2,599,705 2,752,269 2/3/00 (152,564)
- ----------------------------------------------------------------------------------------------------
$1,192,903
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1999
- ----------------------------------------------------------------------------------------------------
(aggregate face value $136,629,355)
Unrealized
Market Aggregate Delivery Appreciation
Value Face Value Date (Depreciation)
....................................................................................................
Australian Dollar $3,302,117 $3,209,143 2/3/00 $(92,974)
....................................................................................................
Canadian Dollar 37,382,588 36,574,812 2/3/00 (807,776)
....................................................................................................
Euro 5,235,545 5,560,803 2/3/00 325,258
....................................................................................................
Greek Drachma 487,800 513,991 2/3/00 26,191
....................................................................................................
Hong Kong Dollar 1,294,090 1,293,695 2/3/00 (395)
....................................................................................................
Japanese Yen 69,081,558 66,700,782 2/3/00 (2,380,776)
....................................................................................................
Pound Sterling 19,624,389 19,745,860 2/3/00 121,471
....................................................................................................
Singapore Dollar 312,505 310,990 2/3/00 (1,515)
....................................................................................................
Swedish Krona 2,627,361 2,719,279 2/3/00 91,918
- ----------------------------------------------------------------------------------------------------
$(2,718,598)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Unrealized
Aggregate Expiration Appreciation/
Total Value Face Value Date (Depreciation)
....................................................................................................
ASX Index (Short) $875,541 $869,494 Mar-00 $(6,047)
....................................................................................................
CAC-40 (Short) 15,559,903 14,489,261 Jan-00 (1,070,642)
....................................................................................................
DAX Index (Short) 4,771,684 4,197,734 Mar-00 (573,950)
....................................................................................................
Euro-Bund (Long) 3,457,240 3,511,544 Mar-00 (54,304)
....................................................................................................
Euro-Bund (Short) 11,209,838 11,341,996 Mar-00 132,158
....................................................................................................
FT-SE 100 Index
(Short) 21,414,227 20,703,970 Mar-00 (710,257)
....................................................................................................
Gilt 10 Yr (Short) 5,939,067 6,089,804 Mar-00 150,257
....................................................................................................
Japanese Government
Bonds 10 Yr (Long) 63,698,082 62,810,600 Mar-00 887,482
....................................................................................................
MIB 30 Index (Long) 6,074,993 5,560,522 Mar-00 514,471
....................................................................................................
Nasdaq 100 (Short) 25,528,560 22,078,840 Mar-00 (3,449,720)
....................................................................................................
Nikkei 225 SMX
(Short) 12,623,361 12,445,498 Mar-00 (177,863)
....................................................................................................
Russell 2000 (Short) 60,939,025 56,024,207 Mar-00 (4,914,818)
....................................................................................................
S&P 500 Index (Long 4,081,550 3,967,975 Mar-00 113,575
....................................................................................................
S&P 500 Index
(Short) 25,602,450 24,673,815 Mar-00 (928,635)
....................................................................................................
US Treasury Note
10 Yr (Long) 106,595,625 108,595,585 Mar-00 (1,999,960)
- ----------------------------------------------------------------------------------------------------
$(12,087,773)
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 4.5%
....................................................................................................
Finland 1.1
....................................................................................................
France 3.1
....................................................................................................
Germany 2.5
....................................................................................................
Japan 2.9
....................................................................................................
Netherlands 1.3
....................................................................................................
Switzerland 1.0
....................................................................................................
United Kingdom 2.8
....................................................................................................
United States 77.3
....................................................................................................
Other 3.5
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Global Growth Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (99.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.4%)
....................................................................................................
213,600 Omnicom Group, Inc. $21,360,000
....................................................................................................
1,344,500 WPP Group PLC (United Kingdom) 21,306,391
- ----------------------------------------------------------------------------------------------------
42,666,391
- ----------------------------------------------------------------------------------------------------
Automotive (--%)
....................................................................................................
50 Telco (Tata Engineering and
Locomotive Co., Ltd.) (India) (RES) 231
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (--%)
....................................................................................................
224 Larsen & Toubro Ltd. GDR (India) (RES) 2,863
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.2%)
....................................................................................................
356,200 CBS Corp. 22,774,538
....................................................................................................
196,700 Clear Channel Communications, Inc. (NON) 17,555,475
....................................................................................................
289,400 Comcast Corp. Class A 14,632,788
....................................................................................................
1,297,084 Mediaset SPA (Italy) 20,147,139
....................................................................................................
107,259 Television Francaise I (TF1) (France) 56,109,328
- ----------------------------------------------------------------------------------------------------
131,219,268
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.2%)
....................................................................................................
23,010 Altran Technologies SA (France) 13,888,836
....................................................................................................
265,300 BMC Software, Inc. (NON) 21,207,419
....................................................................................................
526,400 Cisco Systems, Inc. (NON) 56,390,600
....................................................................................................
210,800 EMC Corp. (NON) 23,029,900
....................................................................................................
320,540 Randstad Holding N.V. (Netherlands) 15,413,743
- ----------------------------------------------------------------------------------------------------
129,930,498
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.2%)
....................................................................................................
514,100 Dell Computer Corp. (NON) 26,219,100
....................................................................................................
559,300 Sun Microsystems, Inc. (NON) 43,310,794
- ----------------------------------------------------------------------------------------------------
69,529,894
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (16.2%)
....................................................................................................
1,336,300 Capita Group PLC (United Kingdom) 24,284,914
....................................................................................................
109,500 CheckFree Holdings Corp. (NON) 11,442,750
....................................................................................................
43,300 Fujitsu Support and Services, Inc.
144A (Japan) 21,230,476
....................................................................................................
361,900 Intuit, Inc. (NON) 21,691,381
....................................................................................................
1,092,300 Logica PLC (United Kingdom) 28,179,088
....................................................................................................
943,100 Microsoft Corp. (NON) 110,106,925
....................................................................................................
1,434,378 Misys PLC (United Kingdom) 22,359,959
....................................................................................................
498,300 Oracle Corp. (NON) 55,840,744
....................................................................................................
80,800 Phone.com, Inc. (NON) 9,367,750
....................................................................................................
1,115,568 SEMA Group PLC (United Kingdom) 20,075,266
....................................................................................................
54,600 Softbank Corp. (Japan) 52,259,542
....................................................................................................
210,900 VERITAS Software Corp. (NON) 30,185,063
....................................................................................................
14 Yahoo Japan Corp. (Japan) 12,522,999
....................................................................................................
197,600 Yahoo!, Inc. (NON) 85,499,050
- ----------------------------------------------------------------------------------------------------
505,045,907
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.3%)
....................................................................................................
372,400 Estee Lauder Cos. Class A 18,782,925
....................................................................................................
680 KAO Corp. (Japan) 19,399
....................................................................................................
28,773 L'OREAL (France) 23,055,201
- ----------------------------------------------------------------------------------------------------
41,857,525
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
....................................................................................................
381,300 America Online, Inc. (NON) 28,764,319
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (14.7%)
....................................................................................................
261,600 Applied Materials, Inc. (NON) 33,141,450
....................................................................................................
267,744 ASM Lithography Holding N.V.
(Netherlands) 29,709,356
....................................................................................................
476,000 General Electric Co. 73,661,000
....................................................................................................
619,700 Intel Corp. 51,009,056
....................................................................................................
41,300 Keyence Corp (Japan) 16,773,831
....................................................................................................
161,900 Linear Technology Corp. 11,585,969
....................................................................................................
183,000 Murata Manufacturing Co. Ltd. (Japan) 42,982,971
....................................................................................................
68,900 Rohm Co. Ltd. (Japan) 28,320,611
....................................................................................................
1,347,000 Sharp Corp. (Japan) 34,472,548
....................................................................................................
211,200 Solectron Corp. (NON) 20,090,400
....................................................................................................
102,600 Sony Corp. (Japan) 30,424,545
....................................................................................................
189,168 STMicroelectronics (France) 29,078,300
....................................................................................................
263,000 Teradyne, Inc. (NON) 17,358,000
....................................................................................................
259,100 Texas Instruments, Inc. 25,100,313
....................................................................................................
116,600 Tokyo Electron Ltd. (Japan) 15,975,729
- ----------------------------------------------------------------------------------------------------
459,684,079
- ----------------------------------------------------------------------------------------------------
Entertainment (0.7%)
....................................................................................................
344,300 Viacom, Inc. Class B (NON) 20,808,631
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.9%)
....................................................................................................
172,600 Itoen, Ltd. (Japan) 24,138,325
....................................................................................................
79,425 LVMH (Louis Vuitton Moet Hennessy)
(France) 35,532,219
- ----------------------------------------------------------------------------------------------------
59,670,544
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (12.0%)
....................................................................................................
202,000 Aegon N.V. (Netherlands) (NON) 19,488,031
....................................................................................................
140,507 Axa S.A. (France) 19,562,846
....................................................................................................
40 Aiful Corp. (Japan) 4,893
....................................................................................................
285,500 American Express Co. 47,464,375
....................................................................................................
285,750 American International Group, Inc. 30,896,719
....................................................................................................
477,060 Banca Popolare di Brescia SpA (Italy) (REL) 42,161,179
....................................................................................................
773,600 Banco Comercial Portugues, S.A.
(Portugal) 4,288,111
....................................................................................................
747,850 Citigroup, Inc. 41,552,416
....................................................................................................
174,900 Fannie Mae 10,920,319
....................................................................................................
4,918 Julius Baer Holdings AG (Switzerland) 14,859,033
....................................................................................................
69,761 Marschollek, Lautenschlaeger und
Partner AG (Germany) 21,053,870
....................................................................................................
1,530,304 Mediolanum SpA (Italy) 20,013,316
....................................................................................................
2,958,000 Nikko Securities Co. Ltd. (Japan) 37,430,945
....................................................................................................
1,169,989 Prudential Corp. PLC (United Kingdom) 23,058,003
....................................................................................................
606,800 Schwab (Charles) Corp. 23,285,950
....................................................................................................
601,300 Skandia Forsakrings AB (Sweden) 18,168,726
- ----------------------------------------------------------------------------------------------------
374,208,732
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.4%)
....................................................................................................
276,000 Takeda Chemical Industries (Japan) 13,640,634
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.3%)
....................................................................................................
634,000 Amgen, Inc. (NON) 38,079,625
....................................................................................................
748,200 Bristol-Myers Squibb Co. 48,025,088
....................................................................................................
302,000 Genentech, Inc. (NON) 40,619,000
....................................................................................................
385,600 Johnson & Johnson 35,909,000
....................................................................................................
501,422 Sanofi-Synthelabo SA (France) 20,853,158
....................................................................................................
377,800 Schering-Plough Corp. 15,938,438
....................................................................................................
1,372,500 Smithkline Beecham PLC ADR
(United Kingdom) 17,515,378
....................................................................................................
137,750 Warner-Lambert Co. 11,286,891
- ----------------------------------------------------------------------------------------------------
228,226,578
- ----------------------------------------------------------------------------------------------------
Retail (7.6%)
....................................................................................................
97,662 Carrefour Supermarche SA (France) 17,989,204
....................................................................................................
79,764 Castorama Dubois (France) 24,233,260
....................................................................................................
453,539 Dixons Group PLC (United Kingdom) 10,909,112
....................................................................................................
636,212 Hennes & Mauritz AB Class B, (Sweden) 21,318,020
....................................................................................................
604,800 Home Depot, Inc. (The) 41,466,600
....................................................................................................
71,600 Ryohin Keikaku Co. Ltd. (Japan) 14,371,854
....................................................................................................
137,000 Seven-Eleven Japan Co., Ltd. (Japan) (NON) 21,720,493
....................................................................................................
59,700 Shimamura Co., Ltd. (Japan) 9,465,062
....................................................................................................
878,900 Wal-Mart Stores, Inc. 60,753,963
....................................................................................................
456,700 Walgreen Co. 13,358,475
- ----------------------------------------------------------------------------------------------------
235,586,043
- ----------------------------------------------------------------------------------------------------
Telecommunications (22.4%)
....................................................................................................
21,051 British Telecommunications PLC ADR
(United Kingdom) 514,508
....................................................................................................
5,527,200 China Telecom Ltd. (Hong Kong) 34,558,333
....................................................................................................
1,099,023 Colt Telecom Group PLC
(United Kingdom) 56,261,214
....................................................................................................
14,000 Hikari Tsushin, Inc. (Japan) 28,087,688
....................................................................................................
959,131 KPNQwest N.V. (Netherlands) 63,778,950
....................................................................................................
440,700 Lucent Technologies, Inc. 32,969,869
....................................................................................................
142,000 Matsushita Communication
Industrial Co., Ltd. (Japan) 37,522,020
....................................................................................................
391,062 Nortel Networks Corp. (Canada) 39,408,825
....................................................................................................
1,649 NTT Mobile Communications (Japan) 63,423,077
....................................................................................................
736,017 Orange PLC ADR (United Kingdom) 24,849,303
....................................................................................................
484,284 Oy Nokia AB Class A (Finland) 87,694,147
....................................................................................................
647,200 QUALCOMM, Inc. (NON) 113,985,807
....................................................................................................
447,092 Sonera Group OYJ (Finland) 30,607,158
....................................................................................................
4 Telesp Participacoes S.A. (Brazil) 91
....................................................................................................
3,140,836 Telewest Communications PLC
(United Kingdom) 16,755,916
....................................................................................................
13,642,655 Vodafone Group PLC (United Kingdom) 67,602,624
- ----------------------------------------------------------------------------------------------------
698,019,530
- ----------------------------------------------------------------------------------------------------
Transportation (0.8%)
....................................................................................................
684,500 Bombardier, Inc. (Canada) 14,022,957
....................................................................................................
55,100 SMC Corp. 12,192,316
- ----------------------------------------------------------------------------------------------------
26,215,273
- ----------------------------------------------------------------------------------------------------
Utilities (1.6%)
....................................................................................................
856,712 AT&T Corp. (NON) 48,618,406
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,976,766,443) (b) $3,113,695,346
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 1.7%
....................................................................................................
Finland 3.8
....................................................................................................
France 7.7
....................................................................................................
Italy 2.6
....................................................................................................
Japan 16.2
....................................................................................................
Netherlands 4.1
....................................................................................................
United Kingdom 10.7
....................................................................................................
United States 49.4
....................................................................................................
Other 3.8
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Growth and Income Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (98.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (2.4%)
....................................................................................................
3,302,100 Boeing Co. $137,243,531
....................................................................................................
2,334,100 Lockheed Martin Corp. 51,058,438
....................................................................................................
675,000 Raytheon Co. Class A 16,748,438
....................................................................................................
932,100 Raytheon Co. Class B 24,758,906
- ----------------------------------------------------------------------------------------------------
229,809,313
- ----------------------------------------------------------------------------------------------------
Automotive (2.0%)
....................................................................................................
1,719,300 Ford Motor Co. 91,875,094
....................................................................................................
1,392,000 General Motors Corp. 101,181,000
- ----------------------------------------------------------------------------------------------------
193,056,094
- ----------------------------------------------------------------------------------------------------
Banks (7.3%)
....................................................................................................
2,779,027 Bank of America Corp. 139,472,418
....................................................................................................
1,026,300 Bank of New York Company, Inc. 41,052,000
....................................................................................................
2,469,289 Bank One Corp. 79,171,579
....................................................................................................
490,000 Comerica, Inc. 22,876,875
....................................................................................................
1,643,000 First Union Corp. 53,910,938
....................................................................................................
3,099,735 Firstar Corp. 65,481,902
....................................................................................................
2,581,772 FleetBoston Financial Corp. 89,877,938
....................................................................................................
420,002 Huntington Bancshares, Inc. 10,027,548
....................................................................................................
630,200 SunTrust Banks, Inc. 43,365,638
....................................................................................................
2,316,700 U.S. Bancorp 55,166,419
....................................................................................................
2,790,600 Wells Fargo Co. 112,844,888
- ----------------------------------------------------------------------------------------------------
713,248,143
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.7%)
....................................................................................................
980,670 Cooper Industries, Inc. 39,655,843
....................................................................................................
190,862 Deere (John) & Co. 8,278,639
....................................................................................................
984,715 Minnesota Mining & Manufacturing Co. 96,378,981
....................................................................................................
1,003,500 Owens-Illinois, Inc. (NON) 25,150,219
- ----------------------------------------------------------------------------------------------------
169,463,682
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.2%)
....................................................................................................
425,000 Comcast Corp. Class A 21,489,063
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.8%)
....................................................................................................
1,402,800 Hewlett-Packard Co. 159,831,525
....................................................................................................
610,000 Xerox Corp. 13,839,375
- ----------------------------------------------------------------------------------------------------
173,670,900
- ----------------------------------------------------------------------------------------------------
Chemicals (3.1%)
....................................................................................................
250,000 Air Products & Chemicals, Inc. 8,390,625
....................................................................................................
500,000 Avery Dennison Corp. 36,437,500
....................................................................................................
640,089 CK Witco Corp. 8,561,190
....................................................................................................
701,500 Dow Chemical Co. 93,737,938
....................................................................................................
1,348,692 du Pont (E.I.) de Nemours & Co., Ltd. 88,845,086
....................................................................................................
478,000 Eastman Chemical Co. 22,794,625
....................................................................................................
699,986 PPG Industries, Inc. 43,792,874
- ----------------------------------------------------------------------------------------------------
302,559,838
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.7%)
....................................................................................................
662,000 Compaq Computer Corp. 17,915,375
....................................................................................................
1,856,016 IBM Corp. 200,449,728
....................................................................................................
64,200 Lexmark International Group, Inc.
Class A (NON) 5,810,100
....................................................................................................
650,000 NCR Corp. (NON) 24,618,750
....................................................................................................
350,000 Seagate Technology, Inc. (NON) 16,296,875
- ----------------------------------------------------------------------------------------------------
265,090,828
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.9%)
....................................................................................................
895,000 Computer Associates International, Inc. (NON) 62,594,063
....................................................................................................
1,850,100 Electronic Data Systems Corp. (NON) 123,841,069
- ----------------------------------------------------------------------------------------------------
186,435,132
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.7%)
....................................................................................................
818,800 Honeywell International Inc. 47,234,525
....................................................................................................
752,600 Tyco International Ltd. 29,257,325
....................................................................................................
1,417,000 United Technologies Corp. 92,105,000
- ----------------------------------------------------------------------------------------------------
168,596,850
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
....................................................................................................
1,102,400 Newell Rubbermaid Inc. 31,969,600
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.7%)
....................................................................................................
1,833,301 Kimberly-Clark Corp. 119,622,890
....................................................................................................
1,869,037 Philip Morris Cos., Inc. 43,338,295
- ----------------------------------------------------------------------------------------------------
162,961,185
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
1,675,000 Service Corp. International 11,620,313
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.5%)
....................................................................................................
1,594,900 Emerson Electric Co. 91,507,388
....................................................................................................
389,700 Illinois Tool Works, Inc. (NON) 26,329,106
....................................................................................................
1,143,600 Motorola, Inc. 168,395,100
....................................................................................................
1,121,700 Rockwell International Corp. 53,701,388
- ----------------------------------------------------------------------------------------------------
339,932,982
- ----------------------------------------------------------------------------------------------------
Entertainment (2.0%)
....................................................................................................
2,851,600 Disney (Walt) Productions, Inc. 83,409,300
....................................................................................................
1,173,500 Seagram Co., Ltd. 52,734,156
....................................................................................................
968,972 Viacom, Inc. Class B (NON) 58,562,245
- ----------------------------------------------------------------------------------------------------
194,705,701
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.6%)
....................................................................................................
3,548,113 Waste Management, Inc. (NON) 60,983,192
- ----------------------------------------------------------------------------------------------------
Food and Beverages (5.0%)
....................................................................................................
923,688 Anheuser-Busch Cos., Inc. 65,466,387
....................................................................................................
670,000 ConAgra, Inc. 15,116,875
....................................................................................................
1,812,630 Heinz (H.J.) Co. 72,165,332
....................................................................................................
1,698,600 Kellogg Co. 52,338,113
....................................................................................................
2,165,000 Nabisco Group Holdings Corp. 23,003,125
....................................................................................................
531,000 Nabisco Holdings Corp. Class A 16,792,875
....................................................................................................
2,219,000 PepsiCo, Inc. 78,219,750
....................................................................................................
894,000 Quaker Oats Co. (The) 58,668,750
....................................................................................................
103,900 Ralston-Ralston Purina Group 2,896,213
....................................................................................................
3,820,962 Sara Lee Corp. 84,299,974
....................................................................................................
500,000 SYSCO Corp. 19,781,250
- ----------------------------------------------------------------------------------------------------
488,748,644
- ----------------------------------------------------------------------------------------------------
Health Care (0.6%)
....................................................................................................
2,560,000 Tenet Healthcare Corp. (NON) 60,160,000
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (14.3%)
....................................................................................................
455,000 Aetna Inc. 25,394,688
....................................................................................................
2,022,300 Allstate Corp. 48,535,200
....................................................................................................
65,000 American Express Co. 10,806,250
....................................................................................................
1,491,887 American General Corp. 113,196,926
....................................................................................................
263,436 AmSouth Bancorporation 5,087,608
....................................................................................................
1,748,035 AON Corp. 69,921,400
....................................................................................................
827,700 Associates First Capital Corp. 22,710,019
....................................................................................................
485,000 Charter One Financial, Inc. 9,275,625
....................................................................................................
696,800 Chase Manhattan Corp. 54,132,650
....................................................................................................
1,354,742 CIGNA Corp. 109,141,402
....................................................................................................
4,425,350 Citigroup, Inc. 245,883,509
....................................................................................................
1,599,109 Fannie Mae 99,844,368
....................................................................................................
824,200 Hartford Financial Services Group 39,046,475
....................................................................................................
616,600 Household International, Inc. 22,968,350
....................................................................................................
360,200 Lehman Brothers Holding, Inc. 30,504,438
....................................................................................................
1,090,000 Lincoln National Corp. 43,600,000
....................................................................................................
275,000 MBNA Corp. 7,493,750
....................................................................................................
931,100 Mellon Financial Corp. 31,715,594
....................................................................................................
1,110,700 Merrill Lynch & Co., Inc. 92,743,450
....................................................................................................
192,039 Morgan (J.P.) & Co., Inc. 24,316,938
....................................................................................................
62,300 Morgan Stanley, Dean Witter,
Discover and Co. 8,893,325
....................................................................................................
1,819,900 National City Corp. 43,108,881
....................................................................................................
415,000 Paine Webber Group Inc. 16,107,188
....................................................................................................
1,402,300 PNC Bank Corp. 62,402,350
....................................................................................................
505,200 St. Paul Cos., Inc. 17,018,925
....................................................................................................
245,000 Summit Bancorp 7,503,125
....................................................................................................
501,400 Synovus Financial Corp. 9,965,325
....................................................................................................
1,096,500 The Chubb Corp. 61,746,656
....................................................................................................
2,093,200 Washington Mutual, Inc. 54,423,200
- ----------------------------------------------------------------------------------------------------
1,387,487,61
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.1%)
....................................................................................................
3,163,800 Abbott Laboratories (NON) 114,885,488
....................................................................................................
1,364,838 Baxter International, Inc. (NON) 85,728,887
- ----------------------------------------------------------------------------------------------------
200,614,375
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.9%)
....................................................................................................
693,500 Alcoa Inc. 57,560,500
....................................................................................................
900,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 16,706,250
....................................................................................................
610,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 12,886,250
- ----------------------------------------------------------------------------------------------------
87,153,000
- ----------------------------------------------------------------------------------------------------
Oil and Gas (11.5%)
....................................................................................................
423,978 Atlantic Richfield Co. 36,674,097
....................................................................................................
769,992 BP Amoco PLC ADR (United Kingdom) 45,670,151
....................................................................................................
440,000 Burlington Resources Inc. 14,547,500
....................................................................................................
749,600 Chevron, Inc. 64,934,100
....................................................................................................
1,262,300 Conoco, Inc. Class A (NON) 31,241,925
....................................................................................................
1,838,477 Conoco, Inc. Class B 45,732,115
....................................................................................................
1,497,900 El Paso Energy Corp. 58,137,244
....................................................................................................
4,347,787 Exxon Mobil Corp. 350,268,590
....................................................................................................
1,439,600 Halliburton Co. 57,943,900
....................................................................................................
1,125,000 Occidental Petroleum Corp. 24,328,125
....................................................................................................
2,740,000 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 165,598,750
....................................................................................................
956,800 Schlumberger Ltd. 53,820,000
....................................................................................................
1,180,300 Texaco, Inc. 64,105,030
....................................................................................................
1,000,000 Tosco Corp. 27,187,500
....................................................................................................
185,236 Transocean Sedco Forex Inc. 6,240,154
....................................................................................................
2,298,100 Williams Cos., Inc. 70,235,681
- ----------------------------------------------------------------------------------------------------
1,116,664,86
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.3%)
....................................................................................................
250,000 Champion International Corp. 15,484,375
....................................................................................................
1,229,200 International Paper Co. 69,372,975
....................................................................................................
205,000 Temple Inland, Inc. 13,517,188
....................................................................................................
1,808,276 Weyerhaeuser Co. 129,856,820
- ----------------------------------------------------------------------------------------------------
228,231,358
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (6.7%)
....................................................................................................
3,100,238 American Home Products Corp. 122,265,636
....................................................................................................
2,116,694 Bristol-Myers Squibb Co. 135,865,296
....................................................................................................
2,556,766 Merck & Co., Inc. 171,463,120
....................................................................................................
2,822,100 Monsanto Co. 100,537,313
....................................................................................................
2,630,787 Pharmacia & Upjohn, Inc. 118,385,415
- ----------------------------------------------------------------------------------------------------
648,516,780
- ----------------------------------------------------------------------------------------------------
Photography (0.9%)
....................................................................................................
1,258,283 Eastman Kodak Co. 83,361,249
- ----------------------------------------------------------------------------------------------------
Publishing (1.5%)
....................................................................................................
899,000 McGraw-Hill, Inc. 55,400,875
....................................................................................................
895,000 Times Mirror Co. Class A 59,965,000
....................................................................................................
504,500 Tribune Co. 27,779,031
- ----------------------------------------------------------------------------------------------------
143,144,906
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trusts) (0.6%)
....................................................................................................
700,000 Equity Residential Properties Trust 29,881,250
....................................................................................................
1,025,000 Starwood Hotels & Resorts
Worldwide, Inc. 24,087,500
- ----------------------------------------------------------------------------------------------------
53,968,750
- ----------------------------------------------------------------------------------------------------
Retail (2.8%)
....................................................................................................
465,000 Albertsons, Inc. 14,996,250
....................................................................................................
111,100 CVS Corp. 4,437,056
....................................................................................................
315,000 Dayton Hudson Corp. 23,132,813
....................................................................................................
1,751,800 Federated Department Stores, Inc. (NON) 88,575,388
....................................................................................................
4,656,447 K mart Corp. (NON) 46,855,498
....................................................................................................
215,000 Lowe's Cos., Inc. 12,846,250
....................................................................................................
787,500 May Department Stores Co. 25,396,875
....................................................................................................
4,124,300 Rite Aid Corp. 46,140,606
....................................................................................................
332,900 Sears, Roebuck & Co. 10,132,644
....................................................................................................
257,800 TJX Cos., Inc. (The) 5,268,788
- ----------------------------------------------------------------------------------------------------
277,782,168
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.6%)
....................................................................................................
265,000 ALLTEL Corp. 21,912,188
....................................................................................................
1,823,900 GTE Corp. 128,698,944
....................................................................................................
272,600 MediaOne Group Inc. 20,939,088
....................................................................................................
5,479,132 SBC Communications, Inc. (SEG) 267,107,685
....................................................................................................
1,546,018 Sprint Corp. 104,066,337
- ----------------------------------------------------------------------------------------------------
542,724,242
- ----------------------------------------------------------------------------------------------------
Transportation (1.7%)
....................................................................................................
3,316,500 Burlington Northern Santa Fe Corp. 80,425,125
....................................................................................................
190,900 CSX Corp. 5,989,488
....................................................................................................
564,800 Delta Air Lines, Inc. 28,134,100
....................................................................................................
332,500 UAL Corp. 25,789,531
....................................................................................................
550,000 Union Pacific Corp. 23,993,750
- ----------------------------------------------------------------------------------------------------
164,331,994
- ----------------------------------------------------------------------------------------------------
Utilities (9.2%)
....................................................................................................
3,414,816 AT&T Co. 173,301,912
....................................................................................................
2,490,100 Bell Atlantic Corp. 153,296,781
....................................................................................................
2,618,400 BellSouth Corp. 122,573,850
....................................................................................................
725,000 Carolina Power & Light Co. 22,067,188
....................................................................................................
1,635,000 Consolidated Edison, Inc. 56,407,500
....................................................................................................
912,800 Dominion Resources, Inc. 35,827,400
....................................................................................................
1,932,100 Duke Energy Corp. 96,846,513
....................................................................................................
985,300 Edison International 25,802,544
....................................................................................................
1,915,000 Entergy Corp. 49,311,250
....................................................................................................
715,000 Pacific Gas & Electric Co. 14,657,500
....................................................................................................
665,000 Public Service Enterprise Group, Inc. 23,150,313
....................................................................................................
859,700 Reliant Energy, Inc. 19,665,638
....................................................................................................
1,300,000 Sempra Energy 22,587,500
....................................................................................................
525,000 Southern Co. 12,337,500
....................................................................................................
1,950,800 Texas Utilities Co. 69,375,325
- ----------------------------------------------------------------------------------------------------
897,208,714
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $8,577,175,309) $9,605,691,473
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) (a) (cost $22,331,746)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
410,000 K mart Financing I $3.875 cum. cv. pfd. $17,578,750
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$50,000,000 Merrill Lynch & Co., Inc., effective
yield of 5.85%, January 20, 2000 $49,852,222
....................................................................................................
56,061,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg Inc. due
January 3. 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $56,073,847 for an effective
yield of 2.75% 56,061,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $105,913,222) $105,913,222
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $8,705,420,277) (b) $9,729,183,445
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500 Index
(Long) $40,073,400 $39,100,266 Mar-00 $973,134
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Health Sciences Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (95.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Biotechnology (23.5%)
....................................................................................................
7,500 Affymetrix, Inc. (NON) $1,272,656
....................................................................................................
33,900 Alkermes, Inc. (NON) 1,665,338
....................................................................................................
10,800 Alexion Pharmaceuticals, Inc. (NON) 325,350
....................................................................................................
123,600 Amgen Inc. (NON) 7,423,725
....................................................................................................
5,000 Avigen, Inc. (NON) 155,000
....................................................................................................
27,300 Biogen, Inc. (NON) 2,306,850
....................................................................................................
1,300 Caliper Technologies Corp. (NON) 86,775
....................................................................................................
8,100 Celera Genomics (NON) 1,206,900
....................................................................................................
19,900 Cell Genesys, Inc. (NON) 254,969
....................................................................................................
23,900 COR Therapeutics Inc (NON) 642,313
....................................................................................................
42,800 Genentech, Inc. (NON) 5,756,600
....................................................................................................
43,000 Guilford Pharmaceuticals, Inc. (NON) 731,000
....................................................................................................
70,100 IDEXX Laboratories, Inc. (NON) 1,130,363
....................................................................................................
61,100 Immunex Corp. (NON) 6,690,450
....................................................................................................
43,800 Inhale Therapeutic Systems (NON) 1,864,238
....................................................................................................
22,400 Invitrogen Corp. (NON) 1,344,000
....................................................................................................
4,400 Maxygen, Inc. (NON) 312,400
....................................................................................................
35,200 MedImmune, Inc. (NON) 5,838,800
....................................................................................................
19,300 Millennium Pharmaceuticals, Inc. (NON) 2,354,600
....................................................................................................
43,900 PE Corp.-PE Biosystems Group 5,281,719
....................................................................................................
6,700 Progenics Pharmaceuticals, Inc. (NON) 327,463
....................................................................................................
9,500 QIAGEN N.V. (Netherlands) (NON) 717,250
....................................................................................................
49,800 QLT PhotoTherapeutics Inc. (Canada) (NON) 2,925,750
....................................................................................................
31,400 Sepracor, Inc. (NON) 3,114,488
....................................................................................................
31,700 Transkaryotic Therapies, Inc. (Malaysia) (NON) 1,220,450
....................................................................................................
47,240 Trimeris, Inc. (NON) 1,116,045
....................................................................................................
1,500 Tularik Inc. (NON) 48,563
- ----------------------------------------------------------------------------------------------------
56,114,055
- ----------------------------------------------------------------------------------------------------
Medical Services (9.3%)
....................................................................................................
47,900 Cardinal Health, Inc. 2,293,213
....................................................................................................
32,500 CIGNA Corp. 2,618,281
....................................................................................................
100,500 Columbia/HCA Healthcare Corp. 2,945,906
....................................................................................................
28,900 Express Scripts, Inc. Class A (NON) 1,849,600
....................................................................................................
90,500 Health Management Assoc., Inc. (NON) 1,210,438
....................................................................................................
29,900 IMS Health Inc. 812,906
....................................................................................................
56,600 Lincare Holdings, Inc. (NON) 1,963,313
....................................................................................................
1,300 MedicaLogic, Inc. (NON) 27,300
....................................................................................................
20,437 Medical Manager Corp. (NON) 1,721,817
....................................................................................................
66,400 Medquist, Inc. (NON) 1,713,950
....................................................................................................
47,900 Province Healthcare Co. (NON) 910,100
....................................................................................................
22,700 Trigon Healthcare, Inc. (NON) 669,650
....................................................................................................
40,200 Renal Care Group, Inc. (NON) 939,675
....................................................................................................
1,600 Symyx Technologies (NON) 48,000
....................................................................................................
23,100 United Healthcare Corp. 1,227,188
....................................................................................................
21,100 Wellpoint Health Networks, Inc. (NON) 1,391,281
- ----------------------------------------------------------------------------------------------------
22,342,618
- ----------------------------------------------------------------------------------------------------
Medical Technology (12.7%)
....................................................................................................
4,100 Agilent Technologies, Inc. (NON) 316,981
....................................................................................................
9,100 ArthroCare Corp. (NON) 555,100
....................................................................................................
51,800 Bausch & Lomb, Inc. 3,545,063
....................................................................................................
72,700 Baxter International, Inc. 4,566,469
....................................................................................................
19,600 Cerus Corp. (NON) 519,400
....................................................................................................
34,300 Mallinckrodt Inc. 1,091,169
....................................................................................................
104,658 Medtronic, Inc. 3,813,476
....................................................................................................
37,300 Mentor Corp. 962,806
....................................................................................................
24,300 Minimed, Inc. (NON) 1,779,975
....................................................................................................
29,200 Molecular Devices Corp. (NON) 1,518,400
....................................................................................................
1,500 ResMed Inc. (NON) 62,625
....................................................................................................
17,900 SonoSite, Inc. (NON) 566,088
....................................................................................................
91,400 Sybron International Corp. (NON) 2,256,438
....................................................................................................
7,600 Techne Corp. (NON) 418,475
....................................................................................................
34,000 Ventana Medical Systems, Inc. (NON) 845,750
....................................................................................................
46,500 VISX, Inc. (NON) 2,406,375
....................................................................................................
62,900 Waters Corp. (NON) 3,333,700
....................................................................................................
46,430 Wesley Jessen VisionCare, Inc. (NON) 1,758,536
- ----------------------------------------------------------------------------------------------------
30,316,826
- ----------------------------------------------------------------------------------------------------
Other (1.5%)
....................................................................................................
75,900 CVS Corp. 3,031,256
....................................................................................................
15,600 On Assignment, Inc. (NON) 466,050
- ----------------------------------------------------------------------------------------------------
3,497,306
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (48.6%)
....................................................................................................
46,500 Abbott Laboratories 1,688,531
....................................................................................................
96,500 Allergan, Inc. 4,800,875
....................................................................................................
55,800 Alpharma, Inc. Class A 1,715,850
....................................................................................................
1,171 Ares-Serono Group Class B
(Switzerland) 2,500,879
....................................................................................................
53,500 AstraZeneca Group PLC
(United Kingdom) 2,233,625
....................................................................................................
30,132 Aventis S.A. (France) 1,742,986
....................................................................................................
32,400 Biovail Corp. International (Canada) (NON) 3,037,500
....................................................................................................
210,400 Bristol-Myers Squibb Co. (SEG) 13,505,050
....................................................................................................
7,500 DUSA Pharmaceuticals, Inc. (NON) 213,750
....................................................................................................
132,600 Elan Corp. PLC ADR (Ireland) (NON) 3,911,700
....................................................................................................
18,600 IDEC Pharmaceuticals Corp. (NON) 1,827,450
....................................................................................................
23,100 IVAX Corp. (NON) 594,825
....................................................................................................
138,190 Johnson & Johnson 12,868,944
....................................................................................................
45,600 Lilly (Eli) & Co. 3,032,400
....................................................................................................
39,150 Medicis Pharmaceutical Corp., Class A (NON) 1,666,322
....................................................................................................
113,500 Merck & Co., Inc. 7,611,594
....................................................................................................
113,300 Pfizer, Inc. 3,675,169
....................................................................................................
146,200 Pharmacia & Upjohn, Inc. 6,579,000
....................................................................................................
387 Roche Holdings AG (Switzerland) 4,594,410
....................................................................................................
56,200 Sanofi-Synthelabo SA (France) 2,337,248
....................................................................................................
184,700 Schering-Plough Corp. 7,792,031
....................................................................................................
50,400 Shire Pharmaceuticals Group PLC ADR
(United Kingdom) (NON) 1,467,900
....................................................................................................
68,300 Smithkline Beecham PLC ADR
(United Kingdom) 4,401,081
....................................................................................................
94,000 Takeda Chemical Industries (Japan) 4,645,723
....................................................................................................
178,100 Warner-Lambert Co. 14,593,069
....................................................................................................
89,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 3,109,506
- ----------------------------------------------------------------------------------------------------
116,147,418
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $197,149,802) $228,418,223
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.4%) (a) (cost $10,614,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$10,614,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $10,616,432 for an effective
yield of 2.75% $10,614,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $207,763,802) (b) $239,032,223
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500 Index
(Long) $5,565,750 $5,404,728 Mar-00 $161,022
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
Putnam VT High Yield Fund
The fund's portfolio
December 31, 1999
<TABLE>
Putnam VT High Yield Fund
The fund's portfolio
December 31, 1999
<CAPTION>
CORPORATE BONDS AND NOTES (83.7%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.2%)
....................................................................................................
$1,565,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $1,635,425
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.1%)
....................................................................................................
920,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 809,600
....................................................................................................
1,220,000 Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 1,073,600
....................................................................................................
2,020,000 Aviation Sales Co. company guaranty
8 1/8s, 2008 1,727,100
....................................................................................................
1,710,000 BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 1,598,850
....................................................................................................
1,500,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 1,293,750
....................................................................................................
2,000,000 Burke Industries, Inc. company
guaranty 10s, 2007 820,000
....................................................................................................
2,520,000 L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 2,595,600
....................................................................................................
690,000 L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 626,175
- ----------------------------------------------------------------------------------------------------
10,544,675
- ----------------------------------------------------------------------------------------------------
Agriculture (0.3%)
....................................................................................................
3,236,520 Premium Standard Farms, Inc. sr. sec.
notes 11s, 2003 (PIK) 2,953,325
- ----------------------------------------------------------------------------------------------------
Airlines (1.1%)
....................................................................................................
2,420,000 Airbus Industries 144A 12.266s, 2020 2,494,754
....................................................................................................
1,580,000 Calair LLC 144A company guaranty
8 1/8s, 2008 1,459,525
....................................................................................................
1,400,000 Canadian Airlines Corp. sr. notes
12 1/4s, 2006 (Canada) 840,000
....................................................................................................
2,710,000 Canadian Airlines Corp. secd. notes
10s, 2005 (Canada) 2,140,900
....................................................................................................
1,400,000 Continental Airlines, Inc. sr. notes
9 1/2s, 2001 1,414,000
....................................................................................................
2,600,000 Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 1,690,000
....................................................................................................
1,750,000 Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 730,625
- ----------------------------------------------------------------------------------------------------
10,769,804
- ----------------------------------------------------------------------------------------------------
Apparel (0.6%)
....................................................................................................
2,290,000 Fruit of the Loom company guaranty
8 7/8s, 2006 (In default) (NON) 91,600
....................................................................................................
1,035,000 GFSI, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(11 3/8s, 9/15/04), 2009 (STP) 310,500
....................................................................................................
3,017,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 3,062,255
....................................................................................................
1,040,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 12s, 2008 998,400
....................................................................................................
1,750,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 1,592,500
- ----------------------------------------------------------------------------------------------------
6,055,255
- ----------------------------------------------------------------------------------------------------
Automotive (1.5%)
....................................................................................................
1,810,000 Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 1,701,400
....................................................................................................
3,740,000 Federal Mogul Corp. notes 7 1/2s, 2009 3,314,949
....................................................................................................
520,000 Lear Corp. sub. notes 9 1/2s, 2006 521,300
....................................................................................................
3,930,000 Navistar International Corp. sr. notes
Ser. B, 8s, 2008 3,733,500
....................................................................................................
4,370,000 Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 4,107,800
....................................................................................................
1,260,000 Transportation Manufacturing
Operations Inc. company guaranty
11 1/4s, 2009 1,288,350
- ----------------------------------------------------------------------------------------------------
14,667,299
- ----------------------------------------------------------------------------------------------------
Automotive Parts (0.6%)
....................................................................................................
821,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 823,053
....................................................................................................
1,890,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 1,894,725
....................................................................................................
910,000 Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 875,875
....................................................................................................
1,830,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 1,770,525
....................................................................................................
345,000 San Luis Corp. S.A. notes 8 7/8s,
2008 (Mexico) 306,188
- ----------------------------------------------------------------------------------------------------
5,670,366
- ----------------------------------------------------------------------------------------------------
Banks (1.8%)
....................................................................................................
3,750,000 Bank United Corp. sub. notes 8 7/8s, 2007 3,450,000
....................................................................................................
1,885,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 1,771,900
....................................................................................................
3,532,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 3,373,060
....................................................................................................
790,000 CSBI Capital Trust I 144A company
guaranty 11 3/4s, 2027 845,300
....................................................................................................
190,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 181,629
....................................................................................................
280,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 261,173
....................................................................................................
650,000 Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 403,000
....................................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,009,800
....................................................................................................
1,000,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 925,970
....................................................................................................
1,330,000 Provident Capital Trust company
guaranty 8.6s, 2026 1,209,954
....................................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 527,339
....................................................................................................
1,340,000 Sovereign Bancorp Inc. sr. notes
10 1/2s, 2006 1,366,800
....................................................................................................
1,695,000 Sovereign Capital Trust company
guaranty 9s, 2027 1,229,536
....................................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 734,135
- ----------------------------------------------------------------------------------------------------
17,289,596
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.6%)
....................................................................................................
740,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 686,350
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 944,870
....................................................................................................
520,000 Owens-Illinois, Inc. deb. 7.8s, 2018 445,942
....................................................................................................
2,050,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 1,871,568
....................................................................................................
2,720,000 Roller Bearing Co. company guaranty
Ser. B, 9 5/8s, 2007 2,475,200
- ----------------------------------------------------------------------------------------------------
6,423,930
- ----------------------------------------------------------------------------------------------------
Broadcasting (5.4%)
....................................................................................................
1,750,000 Ackerly Group, Inc. sr. sub. notes
Ser. B, 9s, 2009 1,697,500
....................................................................................................
4,500,000 Allbritton Communications Co. sr. sub.
deb. Ser. B, 9 3/4s, 2007 4,500,000
....................................................................................................
350,000 Allbritton Communications Co. sr. sub.
notes Ser. B, 8 7/8s, 2008 332,500
....................................................................................................
1,558,300 AMFM Operating, Inc. deb.
12 5/8s, 2006 (PIK) 1,760,879
....................................................................................................
1,400,216 Australis Media, Ltd. sr. sec. disc. notes
zero %, 2000 (In default) (Australia) (NON) 215,633
....................................................................................................
3,770,000 Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 3,383,575
....................................................................................................
610,000 Bresnan Communications, Inc. sr. notes
Ser. B, 8s, 2009 609,238
....................................................................................................
5,690,000 Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 5,085,438
....................................................................................................
1,460,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,485,550
....................................................................................................
780,000 Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 312,000
....................................................................................................
1,401,820 Citadel Broadcasting, Inc. sr. sub. notes
10 1/4s, 2007 1,471,911
....................................................................................................
770,000 Citadel Broadcasting, Inc. company
guaranty 9 1/4s, 2008 770,000
....................................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 6,492,300
....................................................................................................
4,670,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 4,681,675
....................................................................................................
2,710,000 Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 2,493,200
....................................................................................................
1,040,000 Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 993,200
....................................................................................................
1,385,000 Grupo Televisa S.A. de C.V. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) (STP) 1,263,813
....................................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,341,563
....................................................................................................
610,000 Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 620,675
....................................................................................................
4,932,000 PHI Holdings, Inc. sr. sub. notes
zero %, 2001 4,179,870
....................................................................................................
1,815,000 Radio One Inc. company guaranty
Ser. B, stepped-coupon zero %
(12s, 5/15/00), 2004 (STP) 1,937,513
....................................................................................................
1,150,000 RBS Participacoes S.A. 144A company
guaranty 11s, 2007 (Brazil) 971,750
....................................................................................................
2,640,000 Sinclair Broadcast Group, Inc. company
guaranty 9s, 2007 2,481,600
....................................................................................................
1,130,000 Spanish Broadcasting Systems sr. sub
notes 9 5/8s, 2009 1,135,650
....................................................................................................
1,385,000 TV Azteca S.A. de C.V. sr. notes 11s,
2002 (Mexico) 1,243,038
....................................................................................................
1,150,000 TV Azteca S.A. de C.V. sr. notes 10 1/2s,
2007 (Mexico) 997,625
....................................................................................................
500,000 TV Azteca S.A. de C.V. sr. notes Ser. A,
10 1/8s, 2004 (Mexico) 445,000
- ----------------------------------------------------------------------------------------------------
52,902,696
- ----------------------------------------------------------------------------------------------------
Building and Construction (1.4%)
....................................................................................................
740,000 Atrium Companies Inc. company
guaranty Ser. B, 10 1/2s, 2009 723,350
....................................................................................................
1,035,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 662,400
....................................................................................................
3,580,000 D.R. Horton, Inc. company guaranty
8s, 2009 3,275,700
....................................................................................................
320,000 GS Superhighway Holdings sr. notes
10 1/4s, 2007 (China) 208,000
....................................................................................................
4,100,000 GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 2,152,500
....................................................................................................
940,000 Jackson Products, Inc. company
guaranty Ser. B, 9 1/2s, 2005 869,500
....................................................................................................
1,410,000 NCI Building Systems Inc. sr. sub.
notes Ser. B, 9 1/4s, 2009 1,346,550
....................................................................................................
2,462,312 Terex Corp. bank term loan Ser. B,
FRN 8.436s, 2005 2,450,000
....................................................................................................
1,770,000 Toll Corp. company guaranty 8 1/8s, 2009 1,641,675
- ----------------------------------------------------------------------------------------------------
13,329,675
- ----------------------------------------------------------------------------------------------------
Building Products (0.7%)
....................................................................................................
214,000 American Standard, Inc. company
guaranty 7 5/8s, 2010 198,485
....................................................................................................
2,882,000 American Standard, Inc. company
guaranty 7 3/8s, 2005 2,723,490
....................................................................................................
2,120,000 Building Materials Corp. company
guaranty 8s, 2008 1,918,600
....................................................................................................
2,170,000 Decora Industries, Inc. sr. sec.
notes Ser. B, 11s, 2005 1,736,000
- ----------------------------------------------------------------------------------------------------
6,576,575
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.7%)
....................................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 3,525,000
....................................................................................................
1,098,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 1,183,095
....................................................................................................
2,050,000 U.S. Office Products Co. company
guaranty 9 3/4s, 2008 1,045,500
....................................................................................................
1,983,053 U.S. Office Products Co. bank term loan
Ser. B, FRN 8.97s, 2006 1,566,612
- ----------------------------------------------------------------------------------------------------
7,320,207
- ----------------------------------------------------------------------------------------------------
Cable Television (3.7%)
....................................................................................................
4,225,000 Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 (STP) 3,802,500
....................................................................................................
1,955,000 Adelphia Communications Corp.
sr. notes Ser. B, 9 7/8s, 2007 1,984,325
....................................................................................................
2,090,000 Adelphia Communications Corp.
sr. notes Ser. B, 8 3/8s, 2008 1,943,700
....................................................................................................
1,200,000 Adelphia Communications Corp.
sr. notes 7 7/8s, 2009 1,080,000
....................................................................................................
1,788,000 Century Communications Corp.
sr. notes 8 7/8s, 2007 1,720,950
....................................................................................................
260,000 Century Communications Corp.
sr. notes 8 3/4s, 2007 247,650
....................................................................................................
670,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2023 700,150
....................................................................................................
2,510,000 CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 2,648,050
....................................................................................................
710,000 CSC Holdings, Inc. deb. 7 7/8s, 2018 672,548
....................................................................................................
3,360,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 3,175,200
....................................................................................................
3,520,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 2,807,200
....................................................................................................
430,000 Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 365,500
....................................................................................................
1,400,000 Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 1,204,000
....................................................................................................
1,660,000 Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 1,639,250
....................................................................................................
1,000,000 Multicanal SA notes Ser. E, zero %,
2000 (Argentina) 916,900
....................................................................................................
655,000 RCN Corp. sr. disc. notes
stepped-coupon zero %
(11 1/8s, 10/15/02), 2007 (STP) 463,413
....................................................................................................
330,000 Rogers Cablesystems Ltd. notes 11s,
2015 (Canada) 373,725
....................................................................................................
140,000 Rogers Cablesystems Ltd. company
guaranty 10s, 2007 (Canada) 148,750
....................................................................................................
1,710,000 Rogers Cablesystems Ltd. sr. notes
Ser. B, 10s, 2005 (Canada) 1,829,700
....................................................................................................
1,930,000 Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (In default) (Argentina) (NON) 1,003,600
....................................................................................................
430,000 TeleWest Communications PLC 144A
sr. notes 11 1/4s, 2008 (United Kingdom) 467,625
....................................................................................................
130,000 TeleWest Communications PLC deb.
9 5/8s, 2006 (United Kingdom) 132,275
....................................................................................................
2,330,000 TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon zero %,
(9 1/4, 4/15/04), 2009 (United Kingdom) (STP) 1,502,850
....................................................................................................
7,420,000 United Pan-Europe N.V. 144A
snr. notes stepped-coupon zero %,
(12 1/2s, 8/1/04), 2009 (STP) 4,266,500
....................................................................................................
1,000,000 United Pan-Europe N.V. 144A
snr. notes 11 1/4s, 2009 1,027,500
- ----------------------------------------------------------------------------------------------------
36,123,861
- ----------------------------------------------------------------------------------------------------
Cellular Communications (4.3%)
....................................................................................................
2,000,000 Airgate PCS, Inc. sr. sub. notes
stepped-coupon zero %
(13 1/2s, 10/1/04), 2009 (STP) 1,110,000
....................................................................................................
3,730,000 Celcaribe S.A. sr. notes stepped-
coupon zero % (13 1/2s, 3/15/04),
2004 (Colombia) (STP) 3,133,200
....................................................................................................
270,000 Cellnet Data Systems, Inc. notes
15s, 2000 270,000
....................................................................................................
270,000 Cellnet Data Systems, Inc. notes
15s, 2000 270,000
....................................................................................................
8,177,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 1,042,568
....................................................................................................
1,840,000 Conecel Holdings 144A notes Ser. A,
16 1/2s, 2000 (In default)
(United Kingdom) (NON) 184,000
....................................................................................................
4,290,000 Dobson Communications Corp. sr. notes
11 3/4s, 2007 4,836,975
....................................................................................................
6,920,000 McCaw International Ltd sr. disc.
notes stepped-coupon zero %
(13s, 4/15/02), 2007 (STP) 4,774,800
....................................................................................................
8,690,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,169,250
....................................................................................................
1,290,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 761,100
....................................................................................................
3,980,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 4,457,600
....................................................................................................
250,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 10/31/02), 2007 (STP) 178,125
....................................................................................................
7,640,000 NEXTEL Communications, Inc. 144A
sr. notes 9 3/8s, 2009 7,506,300
....................................................................................................
1,260,000 NEXTEL Partners Inc. sr. disc. notes
stepped-coupon zero % (14s, 2/1/04),
2009 (STP) 825,300
....................................................................................................
2,770,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 2,804,625
....................................................................................................
5,140,000 US Unwired Inc. sr. disc. notes
stepped-coupon zero %,
(13 3/8s, 11/1/04), 2009 (STP) 3,006,900
- ----------------------------------------------------------------------------------------------------
42,330,743
- ----------------------------------------------------------------------------------------------------
Chemicals (3.2%)
....................................................................................................
1,510,000 Geo Specialty Chemicals, Inc. sr. sub.
notes 10 1/8s, 2008 1,396,750
....................................................................................................
640,000 Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 601,600
....................................................................................................
1,450,000 Huntsman Corp. 144A sr. sub. notes
FRN 9.188s, 2007 1,421,000
....................................................................................................
5,050,000 Huntsman ICI Chemicals Inc. 144A
sr. sub. notes 10 1/8s, 2009 5,201,500
....................................................................................................
4,180,000 Lyondell Petrochemical Co. sr. sub. notes
10 7/8s, 2009 4,305,400
....................................................................................................
6,350,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 6,508,750
....................................................................................................
2,000,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 2,045,000
....................................................................................................
1,500,000 PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) 1,151,250
....................................................................................................
660,000 Pioneer Americas Acquisition 144A sr.
notes 9 1/4s, 2007 521,400
....................................................................................................
975,000 Pioneer Americas Acquisition bank term
loan, FRN 7.86s, 2006 750,750
....................................................................................................
2,756,796 Polytama International notes 11 1/4s,
2007 (Indonesia) 496,223
....................................................................................................
2,750,000 Royster-Clark Inc. 144A 1st mtge
10 1/4s, 2009 2,502,500
....................................................................................................
1,900,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 494,000
....................................................................................................
900,000 Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 927,000
....................................................................................................
2,360,000 Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 1,652,000
....................................................................................................
1,670,000 UCAR Global Enterprises sr. sub. notes
Ser. B, 12s, 2005 1,732,625
- ----------------------------------------------------------------------------------------------------
31,707,748
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (1.3%)
....................................................................................................
660,000 Concentric Network Corp. sr. notes
12 3/4s, 2007 693,000
....................................................................................................
1,590,000 Cybernet Internet Services Intl., Inc.
144A sr. notes 14s, 2009 1,383,300
....................................................................................................
2,590,000 Interact Systems, Inc. 144A sr. disc. notes
14s, 2003 466,200
....................................................................................................
4,090,000 PSINet, Inc. sr. notes 11s, 2009 4,212,700
....................................................................................................
3,675,000 PSINet, Inc. 144A sr. notes 10 1/2s, 2006 3,730,125
....................................................................................................
1,480,000 Unisys Corp. sr. notes Ser. B, 12s, 2003 1,576,200
....................................................................................................
1,150,000 Verio Inc. sr. notes 10 3/8s, 2005 1,161,500
- ----------------------------------------------------------------------------------------------------
13,223,025
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.5%)
....................................................................................................
3,065,000 Axia, Inc. company guaranty 10 3/4s, 2008 2,812,138
....................................................................................................
3,450,000 Cathay International Ltd. 144A sr. notes
13s, 2008 (China) 1,725,000
- ----------------------------------------------------------------------------------------------------
4,537,138
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
....................................................................................................
1,930,000 Albecca Inc. company guaranty
10 3/4s, 2008 1,307,575
....................................................................................................
2,363,000 Iron Age Corp. company guaranty
9 7/8s, 2008 1,772,250
....................................................................................................
1,400,000 Sealy Mattress Co. company guaranty
stepped-coupon Ser. B, zero %
(10 7/8s, 12/15/02), 2007 (STP) 987,000
- ----------------------------------------------------------------------------------------------------
4,066,825
- ----------------------------------------------------------------------------------------------------
Consumer Non-Durable Goods (0.5%)
....................................................................................................
5,570,000 Samsonite Corp. sr. sub. notes
10 3/4s, 2008 4,706,650
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.4%)
....................................................................................................
1,470,000 French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 1,425,900
....................................................................................................
1,200,000 Revlon Consumer Products sr. notes
9s, 2006 882,000
....................................................................................................
3,000,000 Revlon Consumer Products sr. sub.
notes 8 5/8s, 2008 1,470,000
- ----------------------------------------------------------------------------------------------------
3,777,900
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.1%)
....................................................................................................
3,325,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 2,360,750
....................................................................................................
2,610,000 Applied Power Inc. sr. sub. notes
8 3/4s, 2009 2,551,275
....................................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,431,000
....................................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,539,000
....................................................................................................
250,000 Calpine Corp. sr. notes 7 7/8s, 2008 238,750
....................................................................................................
1,800,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,674,180
....................................................................................................
2,260,000 CMS Energy Corp. sr. notes Ser. B,
6 3/4s, 2004 2,158,707
....................................................................................................
2,480,000 Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 2,913,008
....................................................................................................
7,775,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 8,395,834
....................................................................................................
325,000 North Atlantic Energy Corp. 1st mtge.
Ser. A, 9.05s, 2002 329,388
....................................................................................................
425,846 Northeast Utilities System notes
Ser. A, 8.58s, 2006 429,010
....................................................................................................
5,700,000 Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 3,420,000
....................................................................................................
3,290,000 York Power Funding 144A company
guaranty 12s, 2007 (Cayman Islands) 3,388,700
- ----------------------------------------------------------------------------------------------------
30,829,602
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.3%)
....................................................................................................
670,000 Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 703,500
....................................................................................................
1,340,000 DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 1,333,300
....................................................................................................
375,000 HCC Industries, Inc. company guaranty
10 3/4s, 2007 217,500
....................................................................................................
430,000 Metromedia Fiber Network, Inc. sr. notes
10s, 2009 439,675
....................................................................................................
3,880,000 Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 3,967,300
....................................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 781,550
....................................................................................................
3,225,000 Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 3,192,750
....................................................................................................
2,690,000 Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 1,371,900
....................................................................................................
920,000 Viasystems, Inc. sr. sub notes 9 3/4s, 2007 469,200
- ----------------------------------------------------------------------------------------------------
12,476,675
- ----------------------------------------------------------------------------------------------------
Entertainment (1.6%)
....................................................................................................
4,040,000 ITT Corp. notes 6 3/4s, 2005 3,574,309
....................................................................................................
200,000 Premier Parks, Inc.144A sr. disc.
notes stepped-coupon zero %,
(10s, 4/1/03), 2008 (STP) 137,000
....................................................................................................
1,410,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,417,050
....................................................................................................
1,500,000 Premier Parks, Inc. bank term loan
Ser. B, FRN 8.66s, 2005 1,509,375
....................................................................................................
1,370,000 Regal Cinemas, Inc. sr. sub. notes
9 1/2s, 2008 1,041,200
....................................................................................................
2,780,000 SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 2,613,200
....................................................................................................
1,690,000 SFX Entertainment Inc. company
guaranty 9 1/8s, 2008 1,601,275
....................................................................................................
900,000 Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 369,000
....................................................................................................
2,450,000 Six Flags Corp. sr. notes 8 7/8s, 2006 2,394,875
....................................................................................................
3,510,000 United Artists Theatre sr. sub. notes
9 3/4s, 2008 596,700
- ----------------------------------------------------------------------------------------------------
15,253,984
- ----------------------------------------------------------------------------------------------------
Environmental Control (1.5%)
....................................................................................................
8,040,000 Allied Waste Industries, Inc. 144A
sr. sub. notes 10s, 2009 7,175,700
....................................................................................................
2,215,000 Allied Waste Industries, Inc. bank
term loan Ser. C, FRN 8.563s, 2007 2,204,213
....................................................................................................
1,815,000 Allied Waste Industries, Inc. bank
term loan Ser. B, FRN 8.313s, 2006 1,790,951
....................................................................................................
1,860,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 1,636,800
....................................................................................................
2,140,000 Waste Management, Inc. 144A sr. notes
6 7/8s, 2009 1,803,164
- ----------------------------------------------------------------------------------------------------
14,610,828
- ----------------------------------------------------------------------------------------------------
Financial Services (3.2%)
....................................................................................................
4,000,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 2,560,000
....................................................................................................
1,550,000 Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 1,069,500
....................................................................................................
1,250,000 Advanta Corp. med. term notes Ser. B,
7s, 2001 1,171,875
....................................................................................................
1,090,000 Advanta Corp. med. term notes Ser. D,
6.92s, 2002 993,993
....................................................................................................
1,030,000 AMRESCO, Inc. sr. sub. notes
Ser. 98-A, 9 7/8s, 2005 659,200
....................................................................................................
1,490,000 Capital One Financial Corp. notes
7 1/8s, 2008 1,359,342
....................................................................................................
965,000 Cellco Finance Corp. NV sr. sub.
notes 15s, 2005 (Netherlands) 1,042,200
....................................................................................................
1,165,000 Colonial Capital II 144A company
guaranty 8.92s, 2027 1,036,351
....................................................................................................
2,485,000 Conseco Financial Corp. sr. sub. notes
10 1/4s, 2002 2,577,119
....................................................................................................
2,680,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 241,200
....................................................................................................
1,810,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 162,900
....................................................................................................
2,180,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 239,800
....................................................................................................
3,730,000 Delta Financial Corp. sr. notes 9 1/2s, 2004 2,387,200
....................................................................................................
2,230,000 Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 1,739,400
....................................................................................................
1,655,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 1,282,625
....................................................................................................
1,880,000 Nationwide Credit Inc. sr. notes
Ser. A, 10 1/4s, 2008 1,109,200
....................................................................................................
2,960,000 RBF Finance Co. company guaranty
11 3/8s, 2009 3,182,000
....................................................................................................
2,360,000 RBF Finance Co. company guaranty
11s, 2006 2,519,300
....................................................................................................
3,590,000 Resource America Inc. 144A sr. notes
12s, 2004 2,943,800
....................................................................................................
1,350,000 Superior Financial 144A sr. notes
8.65s, 2003 1,304,438
....................................................................................................
2,060,000 Turkcell NV 144A sr. notes 12 3/4s,
2005 (Netherlands) 2,126,950
- ----------------------------------------------------------------------------------------------------
31,708,393
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.0%)
....................................................................................................
2,165,000 Ameriserve Food Co. company guaranty
10 1/8s, 2007 736,100
....................................................................................................
800,000 Ameriserve Food Distribution Inc.
144A sec. notes 12s, 2006 656,000
....................................................................................................
3,725,000 Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 3,771,563
....................................................................................................
2,230,000 Doane Pet Care Co. sr. sub. notes
9 3/4s, 2007 2,185,400
....................................................................................................
1,625,000 Eagle Family Foods company guaranty
Ser. B, 8 3/4s, 2008 1,235,000
....................................................................................................
816,226 Imperial Holly bank term loan Ser. A,
7.656s, 2003 800,921
....................................................................................................
1,600,000 RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 1,072,000
....................................................................................................
1,940,000 RAB Holdings, Inc. sr. notes 13s, 2008 931,200
....................................................................................................
6,580,000 Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 3/4s, 2009 6,366,150
....................................................................................................
1,730,000 Vlassic Foods Intl. Inc. sr. sub notes
Ser. B, 10 1/4s, 2009 1,647,825
- ----------------------------------------------------------------------------------------------------
19,402,159
- ----------------------------------------------------------------------------------------------------
Gaming (3.9%)
....................................................................................................
1,135,638 Ameristar Casinos Inc. company
guaranty Ser. B, 8s, 2004 999,361
....................................................................................................
1,980,000 Argosy Gaming Co. company guaranty
10 3/4s, 2009 2,079,000
....................................................................................................
2,650,000 Autotote Corp. company guaranty
Ser. B, 10 7/8s, 2004 2,716,250
....................................................................................................
2,260,000 Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 2,237,400
....................................................................................................
2,736,000 Circus Circus Enterprises, Inc. sr. sub.
notes 9 1/4s, 2005 2,770,200
....................................................................................................
510,000 Circus Circus Enterprises, Inc. deb.
7s, 2036 446,031
....................................................................................................
1,110,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 982,472
....................................................................................................
3,700,000 Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 1,988,750
....................................................................................................
3,560,000 Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 3,684,600
....................................................................................................
1,380,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 1,366,200
....................................................................................................
330,000 Horseshoe Gaming Holdings company
guaranty 8 5/8s, 2009 317,625
....................................................................................................
2,500,000 Isle of Capri Black Hawk LLC 144A
1st mortgage Ser. B, 13s, 2004 2,725,000
....................................................................................................
4,730,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 4,670,875
....................................................................................................
245,000 Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 238,875
....................................................................................................
1,980,000 Park Place Entertainment sr. notes
8 1/2s, 2006 1,959,250
....................................................................................................
1,170,000 Riviera Black Hawk 144A 1st mtge.
13s, 2005 1,251,900
....................................................................................................
2,560,000 Trump A.C. 1st mtge. 11 1/4s, 2006 2,073,600
....................................................................................................
4,230,000 Trump Castle Funding 144A sub. notes
10 1/4s, 2003 4,282,875
....................................................................................................
1,815,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 1,501,913
- ----------------------------------------------------------------------------------------------------
38,292,177
- ----------------------------------------------------------------------------------------------------
Health Care (1.9%)
....................................................................................................
670,000 Columbia Healthcare Corp. deb.
8.36s, 2024 618,913
....................................................................................................
1,800,000 Columbia/HCA Healthcare Corp. notes
7s, 2007 1,606,500
....................................................................................................
890,600 Columbia/HCA Healthcare Corp. notes
6.91s, 2005 814,899
....................................................................................................
370,000 Columbia/HCA Healthcare Corp. med.
term notes 6.63s, 2045 349,750
....................................................................................................
560,000 Conmed Corp. company guaranty
9s, 2008 523,600
....................................................................................................
2,730,000 Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 1,603,875
....................................................................................................
650,000 HEALTHSOUTH Corp. sr. notes 7s, 2008 534,404
....................................................................................................
1,980,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 (In default) (NON) 163,350
....................................................................................................
1,190,000 Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 (In default) (NON) 98,175
....................................................................................................
870,738 Magellan Health bank term loan
Ser. C, FRN 9.25s, 2005 809,786
....................................................................................................
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) 30,450
....................................................................................................
1,360,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 1,309,000
....................................................................................................
5,470,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 1,258,100
....................................................................................................
3,070,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,780,600
....................................................................................................
1,130,000 Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 361,600
....................................................................................................
4,335,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 216,750
....................................................................................................
2,200,000 Sun Healthcare Group, Inc. 144A
sr. sub. notes 9 3/8s, 2008 (In default) (NON) 110,000
....................................................................................................
921,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 891,068
....................................................................................................
1,250,000 Tenet Healthcare Corp. sr. notes
8 5/8s, 2003 1,234,375
....................................................................................................
2,681,000 Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 2,493,330
....................................................................................................
1,560,000 Tenet Healthcare Corp. sr. notes 8s, 2005 1,505,400
- ----------------------------------------------------------------------------------------------------
18,313,925
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.6%)
....................................................................................................
1,630,000 Lifepoint Hospital Holdings company
guaranty Ser. B, 10 3/4s, 2009 1,678,900
....................................................................................................
4,330,000 Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 4,481,550
- ----------------------------------------------------------------------------------------------------
6,160,450
- ----------------------------------------------------------------------------------------------------
Insurance (0.1%)
....................................................................................................
1,055,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 949,500
- ----------------------------------------------------------------------------------------------------
Lodging (1.0%)
....................................................................................................
1,560,000 Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 1,123,200
....................................................................................................
4,860,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 4,325,400
....................................................................................................
620,000 Host Marriott L.P. sr. notes Ser. E,
8 3/8s, 2006 582,800
....................................................................................................
2,000,000 Starwood Hotels bank term loan, FRN
9.211s, 2003 2,000,000
....................................................................................................
1,500,000 Strategic Hotel Funding bank term loan,
FRN 9.346s, 2004 1,501,875
- ----------------------------------------------------------------------------------------------------
9,533,275
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.6%)
....................................................................................................
3,110,000 Blount Inc. 144A sr. sub. notes 13s, 2009 3,281,050
....................................................................................................
997,500 Blount, Inc. bank term loan Ser. B, FRN
9.51s, 2006 999,994
....................................................................................................
1,880,000 Insilco Holding Co. sr. disc. notes stepped-
coupon zero % (14s, 8/15/03), 2008 (STP) 902,400
....................................................................................................
900,000 Kappa Beheer BV. 144A company
guaranty 10 5/8s, 2009 (New Zealand) 945,000
- ----------------------------------------------------------------------------------------------------
6,128,444
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.6%)
....................................................................................................
2,885,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 2,495,525
....................................................................................................
1,990,000 Dade International, Inc. sr. sub.
notes Ser. B, 11 1/8s, 2006 1,950,200
....................................................................................................
1,275,000 Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 943,500
....................................................................................................
1,850,000 Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 185,000
....................................................................................................
1,800,000 Mediq, Inc. company guaranty 11s, 2008 720,000
- ----------------------------------------------------------------------------------------------------
6,294,225
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.0%)
....................................................................................................
2,416,000 Anker Coal Group, Inc. 144A sec. notes
14 1/4s, 2007 (PIK) 1,208,000
....................................................................................................
3,930,000 Better Minerals & Aggregates Co. 144A
sr. sub. notes 13s, 2009 3,939,825
....................................................................................................
1,270,000 Continental Global Group sr. notes
Ser. B, 11s, 2007 660,400
....................................................................................................
2,350,000 Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 1,175,000
....................................................................................................
2,080,000 Weirton Steel Co. sr. notes 11 3/8s, 2004 2,007,200
....................................................................................................
1,320,000 WHX Corp. sr. notes 10 1/2s, 2005 1,237,500
- ----------------------------------------------------------------------------------------------------
10,227,925
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (0.5%)
....................................................................................................
370,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2011 329,300
....................................................................................................
835,000 AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 736,888
....................................................................................................
1,695,000 Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 1,474,650
....................................................................................................
7,007,000 Diva Systems Corp. sr. disc. notes,
Ser. B, stepped-coupon zero %
(12 5/8s, 3/1/03), 2008 (STP) 2,557,555
- ----------------------------------------------------------------------------------------------------
5,098,393
- ----------------------------------------------------------------------------------------------------
Networking (0.3%)
....................................................................................................
530,000 Exodus Communications, Inc. sr. notes
11 1/4s, 2008 549,875
....................................................................................................
2,690,000 Exodus Communications, Inc. 144A
sr. notes 10 3/4s, 2009 2,737,075
- ----------------------------------------------------------------------------------------------------
3,286,950
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.1%)
....................................................................................................
1,740,000 Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 1,631,250
....................................................................................................
810,000 Coda Energy Inc. company guaranty
Ser. B, 10 1/2s, 2006 834,300
....................................................................................................
1,510,000 Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 1,451,261
....................................................................................................
1,650,000 Gulf Canada Resources, Ltd. sr. notes
8.35s, 2006 (Canada) 1,623,188
....................................................................................................
1,630,000 HS Resources, Inc. sr. sub. notes
Ser. B, 9 1/4s, 2006 1,597,400
....................................................................................................
870,000 Leviathan Gas Corp. company guaranty
Ser. B, 10 3/8s, 2009 904,800
....................................................................................................
1,785,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 1,771,613
....................................................................................................
3,337,000 Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 3,220,205
....................................................................................................
1,500,000 Parker Drilling Corp. company
guaranty Ser. D, 9 3/4s, 2006 1,451,250
....................................................................................................
1,000,000 Port Arthur Finance Corp. 144A
sec. notes 12 1/2s, 2009 1,010,000
....................................................................................................
1,980,000 R & B Falcon Corp. sr. notes 12 1/4s, 2006 2,187,900
....................................................................................................
1,270,000 RAM Energy Inc. sr. notes 11 1/2s, 2008 555,625
....................................................................................................
1,240,000 Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 496,000
....................................................................................................
2,280,000 Stone Energy Corp. company guaranty
8 3/4s, 2007 2,251,500
....................................................................................................
1,410,000 Triton Energy Ltd. sr. notes 9 1/4s, 2005 1,427,625
....................................................................................................
4,775,000 Triton Energy Ltd. sr. notes 8 3/4s, 2002 4,810,813
....................................................................................................
3,540,000 Vintage Petroleum sr. sub. notes
9 3/4s, 2009 3,628,500
- ----------------------------------------------------------------------------------------------------
30,853,230
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.7%)
....................................................................................................
2,245,000 AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 2,160,813
....................................................................................................
995,000 Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 885,550
....................................................................................................
383,335 Jefferson Smurfit bank term loan
Ser. B, FRN 8.625s, 2006 383,335
....................................................................................................
1,750,000 Packaging Corp. company guaranty
9 5/8s, 2009 1,793,750
....................................................................................................
1,255,413 Packaging Corp. bank term loan
Ser. C, FRN 9.438s, 2008 1,201,179
....................................................................................................
590,000 Radnor Holdings Inc. sr. notes 10s, 2003 590,000
- ----------------------------------------------------------------------------------------------------
7,014,627
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (2.8%)
....................................................................................................
3,315,000 APP Finance II Mauritius Ltd. bonds
stepped-coupon zero % (16s, 2/15/04),
2049 (Indonesia) (STP) 2,121,600
....................................................................................................
190,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 180,430
....................................................................................................
1,920,000 Doman Industries Ltd. company
guaranty 12s, 2004 (Canada) 1,999,200
....................................................................................................
1,600,000 Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 1,568,000
....................................................................................................
2,710,000 Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 2,005,400
....................................................................................................
2,460,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 2,539,950
....................................................................................................
3,480,000 Pindo Deli Finance Mauritius Ltd.
company guaranty 10 3/4s,
2007 (Indonesia) 2,540,400
....................................................................................................
4,305,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 4,003,650
....................................................................................................
870,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 817,800
....................................................................................................
1,095,000 Riverwood International Corp. company
guaranty 10 7/8s, 2008 1,073,100
....................................................................................................
3,360,000 Riverwood International Corp. company
guaranty 10 1/4s, 2006 3,410,400
....................................................................................................
1,150,000 Stone Container Corp. sr. notes
12.58s, 2016 1,224,750
....................................................................................................
3,930,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 3,930,000
- ----------------------------------------------------------------------------------------------------
27,414,680
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.7%)
....................................................................................................
860,000 Biovail Corp. International sr. notes
10 7/8s, 2005 903,000
....................................................................................................
3,300,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 3,159,750
....................................................................................................
2,000,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 1,910,000
....................................................................................................
570,000 ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 544,350
- ----------------------------------------------------------------------------------------------------
6,517,100
- ----------------------------------------------------------------------------------------------------
Publishing (0.8%)
....................................................................................................
2,295,000 Affinity Group Holdings sr. notes
11s, 2007 2,111,400
....................................................................................................
1,982,942 Alabama River News bank term loan,
FRN 7.688s, 2002 1,487,206
....................................................................................................
2,775,000 Perry-Judd company guaranty
10 5/8s, 2007 2,442,000
....................................................................................................
560,733 Von Hoffman Press, Inc. 144A sr. sub.
notes 13 1/2s, 2009 510,267
....................................................................................................
1,505,000 Von Hoffman Press, Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,474,900
- ----------------------------------------------------------------------------------------------------
8,025,773
- ----------------------------------------------------------------------------------------------------
Railroads (0.3%)
....................................................................................................
600,000 MRS Logistica, S.A. bonds Ser. B,
10 5/8s, 2005 (Brazil) 486,000
....................................................................................................
2,545,000 TFM S.A. de C.V. company guaranty
stepped-coupon zero %,
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 1,628,800
....................................................................................................
1,250,000 TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 1,178,125
- ----------------------------------------------------------------------------------------------------
3,292,925
- ----------------------------------------------------------------------------------------------------
Restaurants (--%)
....................................................................................................
1,000,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 600,000
- ----------------------------------------------------------------------------------------------------
Retail (1.1%)
....................................................................................................
1,400,000 Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 1,190,000
....................................................................................................
4,000,000 K mart Corp. pass-thru certificates
Ser. 95K4, 9.35s, 2020 3,925,000
....................................................................................................
303,000 Kasper A.S.L. Ltd. sr. notes 12 3/4s, 2004 248,460
....................................................................................................
2,035,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 2,050,263
....................................................................................................
3,365,000 NBTY Inc. 144A sr. sub. notes 8 5/8s, 2007 3,129,450
....................................................................................................
600,000 North Atlantic Trading Co. company
guaranty Ser. B, 11s, 2004 546,000
- ----------------------------------------------------------------------------------------------------
11,089,173
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.2%)
....................................................................................................
1,510,000 Golden Sky Systems company guaranty
Ser. B, 12 3/8s, 2006 1,600,600
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.8%)
....................................................................................................
3,200,000 Amkor Technologies, Inc. 144A sr. notes
9 1/4s, 2006 3,136,000
....................................................................................................
3,040,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 3,100,800
....................................................................................................
1,420,000 Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 1,306,400
- ----------------------------------------------------------------------------------------------------
7,543,200
- ----------------------------------------------------------------------------------------------------
Shipping (0.2%)
....................................................................................................
1,590,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 1,617,825
....................................................................................................
915,000 Transportacion Maritima Mexicana S.A.
de C.V. notes 9 1/4s, 2003 754,875
- ----------------------------------------------------------------------------------------------------
2,372,700
- ----------------------------------------------------------------------------------------------------
Steel (1.4%)
....................................................................................................
3,120,000 AK Steel Corp. sr. notes 9 1/8s, 2006 3,166,800
....................................................................................................
1,940,000 AK Steel Corp. company guaranty
7 7/8s, 2009 1,828,450
....................................................................................................
1,000,000 Armco, Inc. sr. notes 9s, 2007 1,010,000
....................................................................................................
900,000 Armco, Inc. sr. notes 8 7/8s, 2008 909,000
....................................................................................................
2,580,000 LTV Corp. sr. notes 11 3/4s, 2009 2,709,000
....................................................................................................
1,650,000 National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 1,691,250
....................................................................................................
2,400,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 2,466,000
....................................................................................................
30,000 Wheeling-Pittsburgh Steel Corp. sr. notes
9 1/4s, 2007 28,200
- ----------------------------------------------------------------------------------------------------
13,808,700
- ----------------------------------------------------------------------------------------------------
Telecommunications (12.9%)
....................................................................................................
3,260,000 Alaska Communications Systems Corp.
company guaranty 9 3/8s, 2009 3,154,050
....................................................................................................
3,855,000 Barak I.T.C. sr. disc. notes
stepped-coupon Ser. B, zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 2,100,975
....................................................................................................
1,680,000 Bestel S.A.de C.V. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 5/15/03), 2005 (Mexico) (STP) 1,058,400
....................................................................................................
1,890,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 1,908,900
....................................................................................................
740,000 CapRock Communications Corp. sr. notes
Ser. B, 12s, 2008 765,900
....................................................................................................
1,050,000 CapRock Communications Corp. sr. notes
11 1/2s, 2009 1,076,250
....................................................................................................
2,510,000 Carrier1 Intl. S.A. sr. notes Ser. B,
13 1/4s, 2009 (Luxembourg) 2,635,500
....................................................................................................
9,760,000 Charter Communications Holdings LLC
sr. disc. notes stepped-coupon zero %
(9.92s, 4/1/04), 2011 (STP) 5,978,000
....................................................................................................
3,100,000 Charter Communications Holdings LLC
sr. notes 8 5/8s, 2009 2,886,875
....................................................................................................
8,805,000 Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 7,748,400
....................................................................................................
4,690,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 2,919,525
....................................................................................................
3,080,000 Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 3,180,100
....................................................................................................
2,970,000 DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero %
(12 1/2s, 03/01/03), 2008 (STP) 1,069,200
....................................................................................................
1,330,000 Econophone, Inc. company guaranty
13 1/2s, 2007 1,409,800
....................................................................................................
5,260,000 Firstworld Communication Corp.
sr. disc. notes stepped-coupon zero %
(13, 4/15/03), 2008 (STP) 3,156,000
....................................................................................................
8,040,000 Focal Communications Corp. sr. disc.
notes, stepped-coupon Ser. B, zero %
(12 1/8s, 02/15/03), 2008 (STP) 4,984,800
....................................................................................................
4,720,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 4,708,200
....................................................................................................
660,000 Globe Telecom 144A sr. notes 13s,
2009 (Philippines) 712,800
....................................................................................................
5,936,000 GST USA, Inc. company guaranty
stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 4,377,800
....................................................................................................
1,560,000 GST USA, Inc. sr. disc. notes
stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 756,600
....................................................................................................
510,000 Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 521,475
....................................................................................................
2,895,000 Hyperion Telecommunications Corp., Inc.
sr. notes Ser. B, 12 1/4s, 2004 3,097,650
....................................................................................................
1,000,000 Hyperion Telecommunications Inc.
sr. sub. notes 12s, 2007 1,055,000
....................................................................................................
9,050,000 ICG Communications, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 4,751,250
....................................................................................................
1,905,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (Canada) (STP) 1,647,825
....................................................................................................
3,700,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 1,868,500
....................................................................................................
240,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero %
(12s, 2/1/01), 2006 (STP) 210,000
....................................................................................................
2,865,000 Intermedia Communications, Inc.
sr. disc. notes Ser. B, stepped-coupon
zero % (11 1/4s, 7/15/02), 2007 (STP) 2,105,775
....................................................................................................
2,640,000 Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 2,435,400
....................................................................................................
4,460,000 IPC Information Systems Inc. sr. disc.
notes zero % (10 7/8s,), 2008 (STP) 3,389,600
....................................................................................................
7,234,000 KMC Telecom Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 3,978,700
....................................................................................................
5,440,000 Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 3,644,800
....................................................................................................
2,950,000 Logix Communications Enterprises
sr. notes 12 1/4s, 2008 2,212,500
....................................................................................................
4,290,000 Microcell Telecommunications
sr. disc. notes stepped-coupon Ser. B,
zero % (14s, 12/1/01), 2006 (Canada) (STP) 3,775,200
....................................................................................................
430,000 Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 279,500
....................................................................................................
755,000 Netia Holdings B.V. 144A company
guaranty Ser. B 10 1/4s, 2007 (Poland) 641,750
....................................................................................................
2,240,000 NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 2,374,400
....................................................................................................
2,020,000 NTL Communications Corp. sr. notes
Ser. B, 11 1/2s, 2008 2,181,600
....................................................................................................
2,670,000 NTL, Inc. sr. notes, stepped-coupon
Ser. B, zero % (9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 1,862,325
....................................................................................................
2,000,000 Omnipoint Midwest Holdings bank term
loan, FRN 9.471s, 2006 1,940,000
....................................................................................................
970,000 Onepoint Communications, Inc. company
guaranty Ser. B, 14 1/2s, 2008 630,500
....................................................................................................
2,100,000 Pathnet, Inc. sr. notes 12 1/4s, 2008 1,344,000
....................................................................................................
3,130,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (9.47s, 10/15/02), 2007 (STP) 2,539,400
....................................................................................................
1,590,000 Rhythms Netconnections, Inc. sr. disc.
notes stepped-coupon Ser. B,
zero % (13 1/2s, 5/15/03), 2008 (STP) 858,600
....................................................................................................
810,000 Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 810,000
....................................................................................................
1,790,000 Startec Global Communications Corp.
sr. notes 12s, 2008 1,467,800
....................................................................................................
1,260,000 Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 1,134,000
....................................................................................................
1,330,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 63,175
....................................................................................................
4,160,000 Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 4,264,000
....................................................................................................
5,200,000 21st Century Telecom Group, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/4s, 2/15/03), 2008 (STP) 3,484,000
....................................................................................................
1,770,000 Versatel Telecom B.V. sr. notes 13 1/4s,
2008 (Netherlands) 1,885,050
....................................................................................................
720,000 Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 766,800
....................................................................................................
2,950,000 WinStar Communications, Inc. sr. sub.
notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 4,189,000
....................................................................................................
2,680,000 World Access, Inc. sr. notes Ser. B,
13 1/4s, 2008 2,418,700
- ----------------------------------------------------------------------------------------------------
126,416,350
- ----------------------------------------------------------------------------------------------------
Telephone Services (3.4%)
....................................................................................................
5,230,000 BTI Telecom Corp. sr. notes 10 1/2s, 2007 4,811,600
....................................................................................................
3,820,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(10.8s, 5/15/04), 2009 (Canada) (STP) 1,824,050
....................................................................................................
3,810,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(9.27s, 8/15/02), 2007 (Canada) (STP) 2,247,900
....................................................................................................
1,240,000 Call-Net Enterprises, Inc. sr. disc.
notes stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 607,600
....................................................................................................
1,670,000 Call-Net Enterprises Inc. sr. notes 8s,
2008 (Canada) 1,269,200
....................................................................................................
3,625,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 3,371,250
....................................................................................................
215,000 Long Distance International, Inc. sr. notes
12 1/4s, 2008 107,500
....................................................................................................
350,000 NEXTLINK Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 6/1/04), 2009 (STP) 215,250
....................................................................................................
390,000 NEXTLINK Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 12/1/04), 2009 (STP) 227,175
....................................................................................................
2,580,000 NEXTLINK Communications, Inc. 144A
sr. notes 10 1/2s, 2009 2,631,600
....................................................................................................
2,045,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 (Bermuda) 2,075,675
....................................................................................................
1,480,000 RSL Communications PLC company
guaranty 10 1/2s, 2008 (United Kingdom) 1,406,000
....................................................................................................
570,000 RSL Communications PLC company
guaranty 9 1/8s, 2008 (United Kingdom) 510,150
....................................................................................................
1,470,000 Tele1 Europe B.V. 144A sr. notes 13s,
2009 (Netherlands) 1,543,500
....................................................................................................
2,190,000 Transtel S.A. pass-through certificates
12 1/2s, 2007 1,204,500
....................................................................................................
6,910,000 Viatel, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 4/15/03), 2008 (STP) 4,318,750
....................................................................................................
2,298,000 Viatel, Inc. 144A sr. notes 11 1/2s, 2009 2,286,510
....................................................................................................
2,500,000 Worldwide Fiber, Inc. 144A sr. notes
12s, 2009 (Canada) 2,581,250
- ----------------------------------------------------------------------------------------------------
33,239,460
- ----------------------------------------------------------------------------------------------------
Textiles (0.4%)
....................................................................................................
1,260,000 Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 1,222,200
....................................................................................................
1,190,000 Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 1,142,400
....................................................................................................
320,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 288,000
....................................................................................................
1,000,000 Westpoint Stevens, Inc. sr. notes
7 7/8s, 2005 910,000
- ----------------------------------------------------------------------------------------------------
3,562,600
- ----------------------------------------------------------------------------------------------------
Transportation (0.1%)
....................................................................................................
1,170,000 Kitty Hawk, Inc. company guaranty
9.95s, 2004 1,149,525
- ----------------------------------------------------------------------------------------------------
Trucking (0.1%)
....................................................................................................
750,000 Johnstown America Industries, Inc.
sr. sub. notes 11 3/4s, 2005 763,125
- ----------------------------------------------------------------------------------------------------
Wireless Communications (1.2%)
....................................................................................................
290,000 Clearnet Communications, Inc.
sr. disc. notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 284,200
....................................................................................................
1,990,000 Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 1,393,000
....................................................................................................
1,425,000 Neuvo Grupo Iusacell S.A. 144A
sr. notes 14 1/4s, 2006 (Mexico) 1,482,000
....................................................................................................
1,300,000 Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 182,000
....................................................................................................
3,830,000 Telecorp PCS Inc. company guaranty
stepped-coupon zero %
(11 5/8s, 4/15/04), 2009 (STP) 2,412,900
....................................................................................................
1,730,000 VoiceStream Wire Corp. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 11/15/04), 2009 (STP) 1,046,650
....................................................................................................
4,900,000 VoiceStream Wire Corp. 144A sr. notes
10 3/8s, 2009 5,047,000
- ----------------------------------------------------------------------------------------------------
11,847,750
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $924,356,372) $822,291,141
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (7.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
Banks (1.0%)
....................................................................................................
230,000 California Federal Bancorp, Inc.
Ser. A, $2.281 pfd. $5,347,500
....................................................................................................
56,820 Chevy Chase Pfd. Capital Corp.
Ser. A, $5.188 pfd. 3,068,280
....................................................................................................
20,000 Chevy Chase Savings Bank $3.25 pfd. 600,000
....................................................................................................
1,010 First Republic 144A 10.50% pfd. 974,650
- ----------------------------------------------------------------------------------------------------
9,990,430
- ----------------------------------------------------------------------------------------------------
Broadcasting (1.5%)
....................................................................................................
30,812 Capstar Broadcasting 144A
$12.00 pfd. (PIK) 3,605,004
....................................................................................................
15,992 Citadel Broadcasting Inc. 144A
Ser. B, $13.25 cum. pfd. (PIK) 1,787,106
....................................................................................................
3,952 Granite Broadcasting 144A
12.75% cum. pfd. (PIK) 4,031,040
....................................................................................................
442 Paxson Communications
13.25% cum. pfd. (PIK) 4,519,450
- ----------------------------------------------------------------------------------------------------
13,942,600
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.2%)
....................................................................................................
64,595 Brand Scaffold Services, Inc. 144A
$3.625 cum. pfd. 1,808,660
- ----------------------------------------------------------------------------------------------------
Cable Television (0.8%)
....................................................................................................
691 CSC Holdings, Inc. Ser. H,
$11.75 cum. pfd. (PIK) 76,010
....................................................................................................
68,365 CSC Holdings, Inc. Ser. M,
$11.125 cum. pfd. (PIK) 7,554,333
- ----------------------------------------------------------------------------------------------------
7,630,343
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.6%)
....................................................................................................
4,881 Dobson Communications 13.00% pfd. (PIK) 5,320,290
....................................................................................................
310 NEXTEL Communications, Inc. Ser. E,
11.125% pfd. (PIK) 310,000
- ----------------------------------------------------------------------------------------------------
5,630,290
- ----------------------------------------------------------------------------------------------------
Computer Services (0.1%)
....................................................................................................
1,421 Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 1,406,790
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
24,391 Public Service Co. of New Hampshire
Ser. A, $2.650 cum. pfd. 615,873
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (0.5%)
....................................................................................................
122,819 CGA Group Ltd. 144A Ser. A,
$13.75 pfd. (PIK) 3,316,113
....................................................................................................
12,500 Sinclair Capital 144A $11.625 cum. pfd. 1,268,750
- ----------------------------------------------------------------------------------------------------
4,584,863
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.5%)
....................................................................................................
2,405 Fresenius Medical Capital Trust I company
guaranty Ser. D, 9.00% pfd. (Germany) 2,356,900
....................................................................................................
2,830 Fresenius Medical Capital Trust II company
guaranty, 7.875% pfd. (Germany) 2,554,075
- ----------------------------------------------------------------------------------------------------
4,910,975
- ----------------------------------------------------------------------------------------------------
Motion Picture Distribution (--%)
....................................................................................................
91,670 Diva Systems Corp. Ser. C, $6.00 pfd. 412,515
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.2%)
....................................................................................................
1,944 R&B Falcon Corp. 13.875% cum. pfd. (PIK) 2,050,920
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.1%)
....................................................................................................
9,628 Packaging Corp. of America $12.375 pfd. (PIK) 1,054,266
- ----------------------------------------------------------------------------------------------------
Restaurants (0.1%)
....................................................................................................
35,170 AmeriKing, Inc. $3.25 cum. pfd. (PIK) 633,060
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.6%)
....................................................................................................
1,557 ICG Holdings, Inc. 144A 14.25% pfd. (PIK) 1,409,085
....................................................................................................
3,965 ICG Holdings, Inc. 14.00% cum. pfd. (PIK) 3,509,025
....................................................................................................
5,249 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 5,144,020
....................................................................................................
2,331 IXC Communications, Inc. Ser. B.,
12.50% cum. pfd. (PIK) 2,564,100
....................................................................................................
251 21st Century Telecom Group
13.75% cum. pfd. (PIK) 213,350
....................................................................................................
2,990 WinStar Communications, Inc. 144A
Ser. C, 14.25% cum. pfd. 2,945,150
- ----------------------------------------------------------------------------------------------------
15,784,730
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.2%)
....................................................................................................
44,961 NEXTLINK Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 2,472,855
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $71,905,165) $72,929,170
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$5,150,000 Cybernet Internet Service 144A cv. sr.
disc. notes stepped-coupon zero %,
(13s, 8/15/04), 2009 (STP) $2,832,500
....................................................................................................
652,000 GST Telecommunications, Inc. 144A cv. sr.
disc. notes stepped-coupon zero %,
(13 7/8s, 12/15/00), 2005 (STP) 586,800
....................................................................................................
1,030,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 1,130,425
....................................................................................................
3,000,000 Micron Technology, Inc cv. notes
6 1/2s, 2005 2,332,500
....................................................................................................
590,000 Parker Drilling Co. cv. sub. notes
5 1/2s, 2004 410,050
....................................................................................................
4,070,000 Total Renal Care Holdings, Inc. 144A
cv. 7s, 2009 2,543,740
....................................................................................................
2,700,000 Waste Management, Inc. cv. sub. notes
4s, 2002 2,362,500
- ----------------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $12,550,182) $12,198,515
- ----------------------------------------------------------------------------------------------------
COMMON STOCKS (1.0%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
28,694 Adelphia Business Solutions, Inc. $1,377,317
....................................................................................................
750 AmeriKing, Inc. (NON) 7,500
....................................................................................................
25,600 AMFM, Inc. 2,003,200
....................................................................................................
4,275 Axia Holding Inc. 144A (PIK) 55,575
....................................................................................................
209,363 Celcaribe (NON) 78,511
....................................................................................................
606,498 Celcaribe S.A. 144A (Colombia) (NON) 909,747
....................................................................................................
16,000 French Fragrances Inc. (NON) 103,000
....................................................................................................
14,191 Intermedia Communications, Inc. 550,788
....................................................................................................
2,696 MGC Communications, Inc. 136,822
....................................................................................................
592 Mothers Work, Inc. (NON) 6,882
....................................................................................................
1,500 Paging Do Brazil Holdings Co., LLC
144A Class B, (Brazil) 15
....................................................................................................
665 Premium Holdings (L.P.) 144A (NON) 6,647
....................................................................................................
157,853 PSF Holdings LLC Class A (NON) 1,578,530
....................................................................................................
34,750 Spanish Broadcasting System, Inc. Class B 1,042,500
....................................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 300
....................................................................................................
28,954 Viatel, Inc. (NON) 1,552,658
....................................................................................................
4,305 World Access, Inc. 82,871
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $9,933,910) $9,492,863
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.9%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
11,670 Chesapeake Energy Corp.
$3.50 cum. cv. pfd. $293,209
....................................................................................................
54,170 Global Telesystems Group 144A
$3.625 cum. cv. pfd. 3,074,142
....................................................................................................
11,600 LTV Corp. (The) 144A $4.125 cv. pfd. 712,675
....................................................................................................
111 Paxson Communications 144A
9.75% cv. pfd. (PIK) 1,184,925
....................................................................................................
11,060 PSINet, Inc. Ser. C, $3.375 cum. cv. pfd. 645,628
....................................................................................................
45,100 Verio, Inc. 144A $3.375 cv. pfd. 2,488,956
....................................................................................................
3,522 XCL Ltd 144A Ser. A,
9.50% cv. cum. pfd. (PIK) 3,522
- ----------------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $8,075,014) $8,403,057
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$415,000 Amresco Commercial Mortgage Funding I
Ser. 97-C1, Class G, 7s, 2029 $325,256
....................................................................................................
2,900,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class C, 7s, 2012 1,965,656
....................................................................................................
875,000 CS First Boston Mortgage Securities
Corp. Ser. 99-C1, Class F, 7.922s, 2009 796,797
....................................................................................................
Fannie Mae
....................................................................................................
74,297 Ser. 241, Class 2, Interest Only (IO),
8.5s, 2023 22,266
....................................................................................................
460,651 Ser. G93-9, IO, 8s, 2023 137,603
....................................................................................................
620,301 Ser. 252, Class 2, IO, 7.5s, 2023 194,038
....................................................................................................
1,626,076 Ser. 218, Class 2, IO, 7.5s, 2023 502,051
....................................................................................................
320,507 Ser. 215, Class 2, IO, 7s, 2023 97,104
....................................................................................................
271,000 Ser. 97-23, Class SJ, IO, 5.64s, 2023 51,913
....................................................................................................
Freddie Mac
....................................................................................................
675,000 Ser. 2033, Class SL, IO, 9.16s, 2021 191,109
....................................................................................................
770,000 Ser. 1849, Class DA, IO, 8.933s, 2022 233,406
....................................................................................................
286,000 Ser. 2032, Class SK, IO, 8.62s, 2024 107,786
....................................................................................................
70,000 Ser. 2183, Class SG, 4.275s, 2014 53,550
....................................................................................................
1,300,000 General Growth Properties-Ala Moana
Ser. 99-C1, Class F, 9s, 2004 1,300,000
....................................................................................................
988,160 Government National Mortgage
Association Ser. 99-27, Class SB,
4.781s, 2026 700,976
....................................................................................................
900,000 GS Mortgage Securities Corp. II
Ser. 99-FL2A, Class G, 8.549s, 2013 838,969
....................................................................................................
1,989,543 Merrill Lynch Mortgage Investors, Inc.
Ser. 96-C2, IO, 1.6s, 2028 136,781
....................................................................................................
17,922,630 Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class X, IO, 0.856s, 2009 667,198
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $8,580,147) $8,322,459
- ----------------------------------------------------------------------------------------------------
WARRANTS (0.8%) (a) (NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
10 American Mobile
Satellite Corp. 4/1/08 $400
....................................................................................................
1,680 Bestel S.A. (Mexico) 5/15/05 84,000
....................................................................................................
1,600 Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 88,000
....................................................................................................
2,510 Carrier1 International 2/19/09 52,710
....................................................................................................
8,867 Cellnet Data Systems, Inc. 10/1/07 84,237
....................................................................................................
122,500 CGA Group Ltd. 144A 2/11/07 1,225
....................................................................................................
2,175 Club Regina, Inc. 144A 12/1/04 2,175
....................................................................................................
24,840 Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 2,484
....................................................................................................
1,590 Cybernet Internet 144A 7/1/09 127,200
....................................................................................................
4,700 Destia Communications 144A 7/15/07 662,700
....................................................................................................
21,021 Diva Systems Corp. 3/1/08 168,168
....................................................................................................
2,145 Diva Systems Corp. 5/15/06 396,825
....................................................................................................
11,100 DTI Holdings Inc. 3/1/08 111
....................................................................................................
30 E. Spire Communications, Inc. 11/1/05 900
....................................................................................................
1,560 Epic Resorts 6/15/05 16
....................................................................................................
1,345 Esat Holdings, Inc. (Ireland) 2/1/07 94,150
....................................................................................................
5,960 Firstworld Communication 4/15/08 715,200
....................................................................................................
1,890 Globalstar Telecommunications 2/15/04 113,400
....................................................................................................
24,750 ICG Communications 10/15/05 439,313
....................................................................................................
1,880 Insilco Holding Co. 8/15/08 19
....................................................................................................
2,590 Interact Systems, Inc. 8/1/03 26
....................................................................................................
1,360 International Wireless
Communications Holdings
144A 8/15/01 1
....................................................................................................
1,500 Iridium World Com 144A 7/15/05 15
....................................................................................................
6,794 KMC Telecom Holdings, Inc. 4/15/08 23,779
....................................................................................................
6,100 Knology Holdings 10/22/07 13,725
....................................................................................................
215 Long Distance
International, Inc. 144A 4/13/08 430
....................................................................................................
6,920 McCaw International Ltd. 4/15/07 31,140
....................................................................................................
1,850 Mediq Inc. 144A 6/1/09 19
....................................................................................................
765 Metronet Communications
144A 8/15/07 68,850
....................................................................................................
30,612 Network Plus Corp. 12/31/00 2,271,717
....................................................................................................
970 Onepoint Communications, Inc. 6/1/08 9,700
....................................................................................................
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 53,475
....................................................................................................
2,100 Pathnet, Inc. 144A 4/15/08 21,000
....................................................................................................
3,200 Paxson Communications
Corp. 144A 6/30/03 9,600
....................................................................................................
14,880 Powertel, Inc. 2/1/06 66,960
....................................................................................................
1,810 R & B Falcon Corp. 144A 5/1/09 452,500
....................................................................................................
1,790 Startec Global
Communications Corp. 5/15/08 26,850
....................................................................................................
960 Sterling Chemicals Holdings 8/15/08 15,360
....................................................................................................
1,470 Tele1 Europe BV 144A (PIK) 5/15/09 176,400
....................................................................................................
1,330 Telehub Communications Corp. 7/31/05 3,325
....................................................................................................
200 21st Century Telecom
Group 144A 2/15/10 4,000
....................................................................................................
6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 208,500
....................................................................................................
19,720 USN Communications Inc. 8/15/04 197
....................................................................................................
2,490 Versatel Telecom B.V.
144A (Netherlands) 5/15/08 996,000
....................................................................................................
1,950 WAM!NET, Inc. 3/1/05 44,363
....................................................................................................
1,650 Wireless One, Inc. 10/19/00 2
....................................................................................................
305 Wright Medical
Technology, Inc. 144A 6/30/03 3
- ----------------------------------------------------------------------------------------------------
Total Warrants
(cost $4,535,641) $7,613,815
- ----------------------------------------------------------------------------------------------------
UNITS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
3,260 Equinix, Inc. P/P 144A units 13s, 2007 $3,374,100
....................................................................................................
2,180 Peninsula Gaming Llc 144A units
12 1/4s, 2006 2,147,300
....................................................................................................
2,695 XCL Ltd. units sr. sec. notes 13 1/2s,
2004 (In default) (NON) 269,500
....................................................................................................
13,850 XCL Ltd. 144A units cum. pfd. zero % (PIK) 13,850
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $9,389,220) $5,804,750
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (--%) (a) (cost $375,966)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$510,000 Green Tree Financial Corp. Ser. 97-1,
Class B2, 7.76s, 2028 $365,845
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.9%) (a) (cost $18,601,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$18,601,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg, Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $18,605,263 for an effective
yield of 2.75%. $18,601,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,068,302,617) (b) $966,022,615
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Income Fund
The fund's portfolio
December 31, 1999
<CAPTION>
CORPORATE BONDS AND NOTES (57.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (0.2%)
....................................................................................................
$450,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $470,250
....................................................................................................
400,000 Lamar Media Corp. company guaranty
8 5/8s, 2007 392,000
....................................................................................................
1,000,000 Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 1,031,250
- ----------------------------------------------------------------------------------------------------
1,893,500
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (2.1%)
....................................................................................................
1,000,000 Argo-Tech Corp. company guaranty
8 5/8s, 2007 880,000
....................................................................................................
600,000 BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 517,500
....................................................................................................
5,025,000 Boeing Co. deb. 6 5/8s, 2038 4,257,934
....................................................................................................
3,920,000 Litton Industries Inc. 144A notes 8s, 2009 3,837,915
....................................................................................................
6,240,000 Lockheed Martin Corp. bonds
8 1/2s, 2029 6,245,616
....................................................................................................
5,175,000 Lockheed Martin Corp. company
guaranty 7.45s, 2004 5,097,116
- ----------------------------------------------------------------------------------------------------
20,836,081
- ----------------------------------------------------------------------------------------------------
Airlines (2.6%)
....................................................................................................
6,780,000 Airbus Industries 144A 8.027s, 2020 6,792,204
....................................................................................................
3,880,000 Atlas Air, Inc. pass-through certificates
Ser. 991A, 7.2s, 2019 3,526,804
....................................................................................................
5,580,000 Continental Airlines, Inc. pass-through
certificates Ser. 98-2, 6.32s, 2008 5,063,125
....................................................................................................
3,920,000 Delta Air Lines, Inc. 144A deb. 8.3s, 2029 3,802,400
....................................................................................................
6,129,817 Northwest Airlines Corp. pass-through
certificate Ser. 1999-1A, 6.81s, 2020 5,525,233
- ----------------------------------------------------------------------------------------------------
24,709,766
- ----------------------------------------------------------------------------------------------------
Apparel (--%)
....................................................................................................
500,000 William Carter Holdings Co. sr. sub.
notes Ser. A, 10 3/8s, 2006 455,000
- ----------------------------------------------------------------------------------------------------
Automotive (2.1%)
....................................................................................................
10,685,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 9,895,379
....................................................................................................
2,870,000 Delphi Automotive Systems Corp.
deb. 7 1/8s, 2029 2,522,099
....................................................................................................
680,000 Federal Mogul Corp. notes 7 3/8s, 2006 620,731
....................................................................................................
4,150,000 Ford Motor Co. bonds 6 5/8s, 2028 3,600,208
....................................................................................................
1,920,000 Ford Motor Co. deb. 7.4s, 2046 1,802,304
....................................................................................................
1,000,000 Hayes Wheels International, Inc. 144A
sr. sub. notes 9 1/8s, 2007 967,500
....................................................................................................
1,000,000 Lear Corp. sub. notes 9 1/2s, 2006 1,002,500
....................................................................................................
1,000,000 Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 380,000
- ----------------------------------------------------------------------------------------------------
20,790,721
- ----------------------------------------------------------------------------------------------------
Banks (5.0%)
....................................................................................................
11,500,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 10,240,031
....................................................................................................
3,510,000 Bayer Hypo-Vereinsbank 144a bonds
8.741s, 2031 3,454,296
....................................................................................................
3,250,000 Dresdner Funding Trust I 144A notes
8.151s, 2031(Denmark) 3,044,730
....................................................................................................
4,495,000 First Union Capital II company
guaranty Ser. A, 7.95s, 2029 4,287,421
....................................................................................................
3,790,000 Firstar Capital Trust I company
guaranty Ser. B, 8.32s, 2026 3,624,188
....................................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 3,971,814
....................................................................................................
5,930,000 Provident Companies, Inc. bonds
7.405s, 2038 4,999,405
....................................................................................................
1,000,000 Riggs Capital Trust 144A company
guaranty 8 7/8s, 2027 891,550
....................................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,345,380
....................................................................................................
2,800,000 Sovereign Bancorp Inc. sr. notes
10 1/2s, 2006 2,856,000
....................................................................................................
3,915,000 Sovereign Bancorp, Inc. sr. notes
6 5/8s, 2001 3,777,623
- ----------------------------------------------------------------------------------------------------
48,492,438
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
....................................................................................................
1,855,000 American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 1,720,513
....................................................................................................
500,000 Ball Corp. company guaranty 8 1/4s, 2008 483,750
....................................................................................................
1,000,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 944,870
- ----------------------------------------------------------------------------------------------------
3,149,133
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.8%)
....................................................................................................
500,000 Allbritton Communications Co.
sr. sub. notes Ser. B, 8 7/8s, 2008 475,000
....................................................................................................
1,150,000 Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 1,170,125
....................................................................................................
800,000 Chancellor Media Corp. sr. sub. notes
9 3/8s, 2004 826,000
....................................................................................................
410,000 Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 391,550
....................................................................................................
1,050,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,068,827
....................................................................................................
1,000,000 Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 925,000
....................................................................................................
620,000 Spanish Broadcasting Systems sr. sub notes
9 5/8s, 2009 623,100
....................................................................................................
1,130,000 TCI Communications Inc deb.
8 3/4s, 2015 1,232,796
....................................................................................................
1,000,000 Young Broadcasting Inc. company
guaranty Ser. B, 8 3/4s, 2007 957,500
- ----------------------------------------------------------------------------------------------------
7,669,898
- ----------------------------------------------------------------------------------------------------
Building and Construction (0.1%)
....................................................................................................
1,260,000 D.R. Horton, Inc. company guaranty
8s, 2009 1,152,900
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (0.6%)
....................................................................................................
4,179,535 Federal Express Corp. pass-through
certificates Ser. 1998-1A, 6.72s, 2022 3,776,963
....................................................................................................
1,000,000 Iron Mountain, Inc. company guaranty
8 3/4s, 2009 960,000
....................................................................................................
1,000,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 1,067,500
- ----------------------------------------------------------------------------------------------------
5,804,463
- ----------------------------------------------------------------------------------------------------
Cable Television (0.5%)
....................................................................................................
1,000,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 1,015,000
....................................................................................................
60,000 Century Communications Corp. sr. notes
8 7/8s, 2007 57,750
....................................................................................................
180,000 Century Communications Corp. sr. notes
8 3/4s, 2007 171,450
....................................................................................................
1,000,000 CSC Holdings, Inc. sr. notes 7 7/8s, 2007 981,680
....................................................................................................
500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 471,480
....................................................................................................
1,000,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 797,500
....................................................................................................
1,000,000 TeleWest Communications PLC
deb. 9 5/8s, 2006 (United Kingdom) 1,017,500
- ----------------------------------------------------------------------------------------------------
4,512,360
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.1%)
....................................................................................................
750,000 Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 759,375
- ----------------------------------------------------------------------------------------------------
Chemicals (1.0%)
....................................................................................................
660,000 Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 674,850
....................................................................................................
2,800,000 Lyondell Petrochemical Co. sec. notes
Ser. B, 9 7/8s, 2007 2,870,000
....................................................................................................
3,100,000 Nova Chemicals Corp. deb. 7s, 2026
(Canada) 2,997,576
....................................................................................................
750,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 592,500
....................................................................................................
2,550,000 Rohm & Haas Co. deb. 7.85s, 2029 2,557,472
- ----------------------------------------------------------------------------------------------------
9,692,398
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (0.2%)
....................................................................................................
690,000 PSINet, Inc. sr. notes 11s, 2009 710,700
....................................................................................................
1,000,000 Unisys Corp. sr. notes 7 7/8s, 2008 967,500
- ----------------------------------------------------------------------------------------------------
1,678,200
- ----------------------------------------------------------------------------------------------------
Computers (0.6%)
....................................................................................................
6,520,000 IBM Corp. deb. 7 1/8s, 2096 5,958,563
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.7%)
....................................................................................................
3,411,000 Allied Corp. notes 6 1/8s, 2005 3,189,694
....................................................................................................
3,575,000 TRW, Inc. deb. 7 3/4s, 2029 3,406,725
....................................................................................................
10,100,000 Tyco International Ltd. company
guaranty 6 3/8s, 2005 9,461,478
- ----------------------------------------------------------------------------------------------------
16,057,897
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.5%)
....................................................................................................
740,000 Hertz Corp. notes 6 1/4s, 2009 670,610
....................................................................................................
3,875,000 Hertz Corp. sr. notes 6 1/2s, 2006 3,667,843
- ----------------------------------------------------------------------------------------------------
4,338,453
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.2%)
....................................................................................................
1,000,000 French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 945,000
....................................................................................................
1,000,000 Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 490,000
- ----------------------------------------------------------------------------------------------------
1,435,000
- ----------------------------------------------------------------------------------------------------
Electric Utilities (2.1%)
....................................................................................................
3,895,000 Aes Eastern Energy 144A pass-through
certificates 9s, 2017 3,648,992
....................................................................................................
3,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 3,461,918
....................................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,400,652
....................................................................................................
800,000 Calpine Corp. sr. notes 7 3/4s, 2009 745,280
....................................................................................................
1,140,000 Cleveland Electric Illuminating Co.
1st mtge 6.86s, 2008 1,039,874
....................................................................................................
965,211 Midland Funding Corp. I deb. Ser. C-94,
10.33s, 2002 993,202
....................................................................................................
1,295,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 1,293,226
....................................................................................................
748,958 Northeast Utilities System notes
Ser. A, 8.58s, 2006 754,523
....................................................................................................
2,790,000 Southern Energy 144A sr. notes
7.9s, 2009 2,718,492
....................................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,049,320
- ----------------------------------------------------------------------------------------------------
20,105,479
- ----------------------------------------------------------------------------------------------------
Electronics (0.1%)
....................................................................................................
500,000 Flextronics International Ltd.
sr. sub. notes Ser. B, 8 3/4s, 2007 487,500
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.5%)
....................................................................................................
5,000,000 KN Capital Trust III company guaranty
7.63s, 2028 4,231,000
....................................................................................................
350,000 York Power Funding 144A notes 12s,
2007 (Cayman Islands) 360,500
- ----------------------------------------------------------------------------------------------------
4,591,500
- ----------------------------------------------------------------------------------------------------
Entertainment (0.3%)
....................................................................................................
960,000 ITT Corp. notes 6 3/4s, 2005 849,341
....................................................................................................
2,355,000 Walt Disney Co. med. term notes
5.62s, 2008 2,081,349
- ----------------------------------------------------------------------------------------------------
2,930,690
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.1%)
....................................................................................................
930,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 818,400
....................................................................................................
280,000 Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 251,300
....................................................................................................
190,000 Waste Management, Inc. 144A sr. notes
6 7/8s, 2009 160,094
- ----------------------------------------------------------------------------------------------------
1,229,794
- ----------------------------------------------------------------------------------------------------
Financial Services (15.5%)
....................................................................................................
5,485,000 AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 5,346,668
....................................................................................................
5,145,000 American General Institute 144A
company guaranty 8 1/8s, 2046 5,132,909
....................................................................................................
1,350,000 Associates Corp. deb. 6.95s, 2018 1,246,226
....................................................................................................
3,860,000 Bear Stearns & Co., Inc. sr. unsecd. notes
7 5/8s, 2009 3,784,452
....................................................................................................
3,420,000 Bombardier Capital, Inc. 144A notes
7.3s, 2002 3,406,320
....................................................................................................
6,680,000 Capital One Financial Corp. notes
7 1/4s, 2006 6,293,265
....................................................................................................
6,270,000 Citicorp sub. notes 6 3/8s, 2008 5,796,051
....................................................................................................
30,000 Contifinancial Corp. sr. notes 8 3/8s, 2003 2,700
....................................................................................................
290,000 Contifinancial Corp. sr. notes 8 1/8s, 2008 26,100
....................................................................................................
440,000 Contifinancial Corp. sr. notes 7 1/2s, 2002 48,400
....................................................................................................
1,195,000 Countrywide Home Loan Corp.
company guaranty 6.935s, 2007 1,144,726
....................................................................................................
10,450,000 Countrywide Home Loan Corp. company
guaranty med term notes 6 1/4s, 2009 9,431,857
....................................................................................................
3,840,000 Finova Capital Corp. med-term notes
6.11s, 2003 3,694,426
....................................................................................................
1,900,000 Finova Capital Corp. notes 7 1/4s, 2004 1,873,229
....................................................................................................
1,250,000 Finova Capital Corp. notes 6 1/4s, 2002 1,212,588
....................................................................................................
4,040,000 Ford Motor Credit Corp. notes
7 3/8s, 2009 3,988,490
....................................................................................................
2,485,000 Ford Motor Credit Corp. sr. notes
5.8s, 2009 2,202,356
....................................................................................................
375,000 Fremont General Corp. sr. notes
Ser. B, 7.7s, 2004 324,608
....................................................................................................
3,410,000 GATX Capital Corp. notes 7 3/4s, 2006 3,367,170
....................................................................................................
3,905,000 Goldman Sachs Group, Inc. (The) notes
Ser. B, 7.35s, 2009 3,812,100
....................................................................................................
5,000,000 Heller Financial Inc. 144A notes
7 3/8s, 2009 4,857,350
....................................................................................................
4,140,000 Household Finance Corp. notes
6 1/2s, 2008 3,834,095
....................................................................................................
8,050,000 Household Finance Corp. sr. unsub.
5 7/8s, 2009 7,121,111
....................................................................................................
7,000,000 Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 6,776,280
....................................................................................................
4,080,000 Lehman Bros Holdings, Inc. notes
6 1/4s, 2003 3,944,626
....................................................................................................
2,785,000 Liberty Mutual Insurance 144A notes
7.697s, 2097 2,330,182
....................................................................................................
2,740,000 Merey Sweeney L.P. 144A sr. notes
8.85s, 2019 2,693,420
....................................................................................................
2,620,000 Newcourt Credit Group Inc. company
guaranty Ser. A, 7 1/8s, 2003 2,612,219
....................................................................................................
2,600,000 Newcourt Credit Group Inc.
6 7/8s, 2005 2,537,158
....................................................................................................
2,105,000 Norwest Corp. med. term sr. notes
Ser. J, 6 3/4s, 2027 1,824,361
....................................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,389,003
....................................................................................................
3,870,000 Principal Financial Group 144a notes
7.95s, 2004 3,893,220
....................................................................................................
560,000 RBF Finance Co. company guaranty
11s, 2006 597,800
....................................................................................................
2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,626,245
....................................................................................................
6,280,000 Sears Roebuck Acceptance Corp.
notes 6 1/2s, 2028 4,964,905
....................................................................................................
1,560,000 Sprint Capital Corp. company guaranty
6.9s, 2019 1,418,789
....................................................................................................
7,000,000 Sprint Capital Corp. company guaranty
6 1/8s, 2008 6,346,760
....................................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 1,951,637
....................................................................................................
9,875,000 Sun Life Canada Capital Trust 144A
8.526s, 2049 9,211,795
....................................................................................................
6,005,000 Tig Capital Trust I 144A bonds
8.597s, 2027 5,384,503
....................................................................................................
1,955,000 Transamerica Capital III bonds
7 5/8s, 2037 1,783,547
....................................................................................................
4,980,000 US West Capital Funding, Inc.
company guaranty 6 1/4s, 2005 4,712,972
....................................................................................................
2,905,000 Zurich Capital Trust I 144A
company guaranty 8.376s, 2037 2,849,398
- ----------------------------------------------------------------------------------------------------
147,796,017
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.0%)
....................................................................................................
480,000 Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 486,000
....................................................................................................
340,000 Doane Pet Care sr. sub. notes
9 3/4s, 2007 333,200
....................................................................................................
4,100,000 McDonald's Corp. notes 6s, 2002 4,028,619
....................................................................................................
5,530,000 Pepsi Bottling Group Inc. sr. notes
Ser. B, 7s, 2029 5,003,102
....................................................................................................
180,000 Vlassic Foods Intl. Inc. sr. sub notes
Ser. B, 10 1/4s, 2009 171,450
- ----------------------------------------------------------------------------------------------------
10,022,371
- ----------------------------------------------------------------------------------------------------
Gaming (0.7%)
....................................................................................................
180,000 Argosy Gaming Co. company guaranty
10 3/4s, 2009 189,000
....................................................................................................
1,000,000 Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 885,110
....................................................................................................
800,000 Harrahs Entertainment, Inc. company
guaranty 7 7/8s, 2005 770,000
....................................................................................................
1,000,000 Hollywood Park Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 995,000
....................................................................................................
2,800,000 International Game Technology 144A
sr. notes 8 3/8s, 2009 2,709,000
....................................................................................................
1,050,000 Mohegan Tribal Gaming, Auth. sr. sub.
notes 8 3/4s, 2009 1,036,875
....................................................................................................
440,000 Park Place Entertainment sr. notes
8 1/2s, 2006 435,389
- ----------------------------------------------------------------------------------------------------
7,020,374
- ----------------------------------------------------------------------------------------------------
Health Care (0.4%)
....................................................................................................
100,000 Columbia/HCA Healthcare Corp.
notes 7 1/4s, 2008 90,000
....................................................................................................
260,000 Integrated Health Services, Inc.
sr. sub. notes Ser. A, 9 1/4s, 2008
(In default) (NON) 21,450
....................................................................................................
420,000 MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 404,250
....................................................................................................
640,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 147,200
....................................................................................................
1,000,000 Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 960,000
....................................................................................................
340,000 Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (In default) (NON) 17,000
....................................................................................................
1,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 1,379,950
....................................................................................................
790,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 764,325
- ----------------------------------------------------------------------------------------------------
3,784,175
- ----------------------------------------------------------------------------------------------------
Insurance (3.9%)
....................................................................................................
3,355,000 AFLAC Inc. sr. notes 6 1/2s, 2009 3,078,749
....................................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s, 2011 8,826,400
....................................................................................................
4,295,000 Conseco Financing Trust II company
guaranty 8.7s, 2026 3,833,631
....................................................................................................
2,585,000 Conseco Inc. notes 8 1/2s, 2002 2,620,389
....................................................................................................
1,000,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 898,760
....................................................................................................
250,000 GS Escrow Corp. sr. notes 6 3/4s, 2001 240,525
....................................................................................................
6,030,000 Hartford Life, Inc. deb. 7.65s, 2027 (ITT) 5,865,441
....................................................................................................
2,970,000 Hartford Life, Inc. notes 7.1s, 2007 (ITT) 2,888,355
....................................................................................................
2,325,000 Presidential Life Corp. sr. notes
7 7/8s, 2009 2,150,625
....................................................................................................
3,475,000 Prudential Insurance Co. 144A
6 7/8s, 2003 3,425,586
....................................................................................................
2,070,000 Safeco Capital Trust I company guaranty
8.072s, 2037 1,835,697
....................................................................................................
1,450,000 TIG Holdings, Inc. notes 8 1/8s, 2005 1,345,919
- ----------------------------------------------------------------------------------------------------
37,010,077
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
3,800,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 3,382,000
....................................................................................................
1,250,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,271,875
- ----------------------------------------------------------------------------------------------------
4,653,875
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
1,000,000 ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 865,000
- ----------------------------------------------------------------------------------------------------
Metals and Mining (--%)
....................................................................................................
180,000 WHX Corp. sr. notes 10 1/2s, 2005 168,750
- ----------------------------------------------------------------------------------------------------
Networking (--%)
....................................................................................................
60,000 Exodus Communications, Inc. sr. notes
11 1/4s, 2008 62,250
- ----------------------------------------------------------------------------------------------------
Office Equipment (0.5%)
....................................................................................................
5,555,000 Newell Co. notes 6.35s, 2008 5,143,819
- ----------------------------------------------------------------------------------------------------
Oil and Gas (3.7%)
....................................................................................................
2,220,000 Alliance Pipeline L.P. 144A sr. notes
7.77s, 2015 (Canada) 2,151,025
....................................................................................................
4,780,000 Amerada Hess Corp. bonds 7 7/8s, 2029 4,661,934
....................................................................................................
1,295,000 El Paso Energy Corp. sr. notes
6 3/4s, 2009 1,209,012
....................................................................................................
500,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 512,500
....................................................................................................
1,213,000 Imperial Oil Ltd. deb. 8 3/4s,
2019 (Canada) 1,260,416
....................................................................................................
2,395,000 Maritime & NE Pipeline 144A secured
7.7s, 2019 2,303,990
....................................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s,
2025 (Norway) 9,099,000
....................................................................................................
4,015,000 Norsk Hydro ASA notes 6.36s,
2009 (Norway) 3,669,389
....................................................................................................
3,040,000 Petro Geo-Services sr. notes 7 1/8s,
2028 (Norway) 2,675,474
....................................................................................................
1,000,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 995,000
....................................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,286,400
....................................................................................................
1,290,000 Yosemite Sec Trust I 144A bonds
8 1/4s, 2004 1,271,837
- ----------------------------------------------------------------------------------------------------
35,095,977
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (1.1%)
....................................................................................................
4,145,000 Abitibi-Consolidated Inc. deb.
8 1/2s, 2029 3,995,739
....................................................................................................
710,000 Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 674,237
....................................................................................................
1,000,000 Consumers International 144A sr. notes
10 1/4s, 2005 780,000
....................................................................................................
2,600,000 Georgia Pacific Corp. bonds 7 3/4s, 2029 2,477,644
....................................................................................................
180,000 Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 185,850
....................................................................................................
1,000,000 Republic Group, Inc. sr. sub. notes
9 1/2s, 2008 940,000
....................................................................................................
1,010,000 Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 1,010,000
- ----------------------------------------------------------------------------------------------------
10,063,470
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (0.3%)
....................................................................................................
1,000,000 ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 957,500
....................................................................................................
2,210,000 Monsanto Co. 144A deb. 6.6s, 2028 1,948,270
- ----------------------------------------------------------------------------------------------------
2,905,770
- ----------------------------------------------------------------------------------------------------
Publishing (0.9%)
....................................................................................................
1,000,000 Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 940,000
....................................................................................................
850,000 Hollinger International Publishing,
Inc. company guaranty 9 1/4s, 2007 837,250
....................................................................................................
7,000,000 News America Holdings, Inc. deb.
7 3/4s, 2045 6,362,580
- ----------------------------------------------------------------------------------------------------
8,139,830
- ----------------------------------------------------------------------------------------------------
Railroads (0.5%)
....................................................................................................
4,530,000 CSX Corp. deb. 7.95s, 2027 4,481,438
- ----------------------------------------------------------------------------------------------------
Real Estate (1.1%)
....................................................................................................
3,000,000 Avalon Properties, Inc. notes 6 7/8s,
2007 (R) 2,784,270
....................................................................................................
5,000,000 EOP Operating L.P. notes 6.8s, 2009 4,577,550
....................................................................................................
2,280,000 Omega Healthcare Investors, Inc.
notes 6.95s, 2002 2,076,761
....................................................................................................
1,000,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 990,850
- ----------------------------------------------------------------------------------------------------
10,429,431
- ----------------------------------------------------------------------------------------------------
Restaurants (0.3%)
....................................................................................................
2,630,000 Tricon Global Restaurants, Inc. sr. notes
7.45s, 2005 2,502,077
- ----------------------------------------------------------------------------------------------------
Retail (0.4%)
....................................................................................................
600,000 K mart Corp. med. term notes
7.76s, 2002 584,868
....................................................................................................
400,000 K mart Corp. med. term notes
7.74s, 2002 389,852
....................................................................................................
2,700,000 Saks, Inc. company guaranty 8 1/4s, 2008 2,626,830
- ----------------------------------------------------------------------------------------------------
3,601,550
- ----------------------------------------------------------------------------------------------------
Semiconductors (0.2%)
....................................................................................................
340,000 Amkor Technologies, Inc. 144A sr. notes
9 1/4s, 2006 333,200
....................................................................................................
1,440,000 Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 1,468,800
- ----------------------------------------------------------------------------------------------------
1,802,000
- ----------------------------------------------------------------------------------------------------
Shipping (--%)
....................................................................................................
30,000 Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 30,525
- ----------------------------------------------------------------------------------------------------
Steel (0.2%)
....................................................................................................
1,330,000 AK Steel Corp. company guaranty
7 7/8s, 2009 1,253,525
....................................................................................................
190,000 California Steel Industries sr. notes
Ser. B, 8 1/2s, 2009 181,925
- ----------------------------------------------------------------------------------------------------
1,435,450
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.1%)
....................................................................................................
1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,230,000
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.0%)
....................................................................................................
140,000 Birch Telecommunications, Inc. sr. notes
14s, 2008 141,400
....................................................................................................
245,000 Covad Communications Group, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13 1/2s, 03/15/03), 2008 (STP) 152,513
....................................................................................................
2,800,000 Global Crossing Holdings Ltd. 144A
sr. notes 9 1/2s, 2009 2,772,000
....................................................................................................
1,300,000 Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008 1,296,750
....................................................................................................
1,710,000 ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s,
5/1/03), 2008 (STP) 863,550
....................................................................................................
210,000 Intermedia Communications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (11 1/4s, 7/15/02), 2007 (STP) 154,350
....................................................................................................
550,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 495,000
....................................................................................................
570,000 NEXTEL Communications, Inc. sr. notes
12s, 2008 638,400
....................................................................................................
1,820,000 NEXTEL Communications, Inc. 144A
sr. notes 9 3/8s, 2009 1,788,150
....................................................................................................
820,000 Nextlink Communications 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 12/1/04), 2009 (STP) 477,650
....................................................................................................
425,000 Qwest Communications International,
Inc. sr. disc. notes stepped-coupon
zero % (8.29s, 2/1/03), 2008 (STP) 333,413
....................................................................................................
310,000 NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 317,750
....................................................................................................
120,000 Telehub Communications Corp. company
guaranty stepped-coupon zero %
(13 7/8s, 7/31/02), 2005 (STP) 5,700
- ----------------------------------------------------------------------------------------------------
9,436,626
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.4%)
....................................................................................................
390,000 Call-Net Enterprises Inc. sr. disc.
notes stepped-coupon zero %
(10.8s, 5/15/04), 2009 (Canada) (STP) 186,225
....................................................................................................
160,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (9.27s, 8/15/02),
2007 (Canada) (STP) 94,400
....................................................................................................
600,000 Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 294,000
....................................................................................................
370,000 Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 344,100
....................................................................................................
1,000,000 McLeodUSA, Inc. sr. notes 8 1/8s, 2009 932,500
....................................................................................................
1,935,000 U S West, Inc. notes 5 5/8s, 2008 1,692,854
- ----------------------------------------------------------------------------------------------------
3,544,079
- ----------------------------------------------------------------------------------------------------
Tobacco (1.1%)
....................................................................................................
5,000,000 Imperial Tobacco Global company
guaranty 7 1/8s, 2009 4,494,600
....................................................................................................
2,115,000 Philip Morris Cos., Inc. notes 7 1/2s, 2004 2,070,966
....................................................................................................
2,705,000 Philip Morris Cos., Inc. notes 7 1/4s, 2003 2,652,712
....................................................................................................
1,750,000 Philip Morris Cos., Inc. notes 7 1/8s, 2004 1,685,198
- ----------------------------------------------------------------------------------------------------
10,903,476
- ----------------------------------------------------------------------------------------------------
Utilities (1.5%)
....................................................................................................
2,605,000 CILCORP, Inc. sr. notes 8.7s, 2009 2,626,257
....................................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,155,250
....................................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 7,586,708
....................................................................................................
1,000,000 Public Service Co. of New Mexico
sr. notes Ser. B, 7 1/2s, 2018 929,620
- ----------------------------------------------------------------------------------------------------
14,297,835
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.1%)
....................................................................................................
80,000 Clearnet Communications, Inc.
sr. disc. notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 78,400
....................................................................................................
440,000 VoiceStream Wireless Corp. 144A
sr. notes 10 3/8s, 2009 453,200
- ----------------------------------------------------------------------------------------------------
531,600
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $583,652,090) $545,688,951
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (23.4%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Government Agency Mortgage Obligations (19.3%)
....................................................................................................
$7,434,833 Federal Home Loan Mortgage
Corporation 5 1/2s, with due dates
from March 1, 2011 to April 1, 2011 $6,898,113
....................................................................................................
2,100,000 Federal National Mortgage Association
7s, TBA, January 15, 2029 2,030,448
....................................................................................................
Federal National Mortgage Association
pass-through certificates
....................................................................................................
1,514,216 8s, with due dates from
September 1, 2029 to
November 1, 2029 1,526,512
....................................................................................................
12,467,511 7s, with due dates from April 1, 2009
to December 1, 2029 12,155,203
....................................................................................................
3,093,000 6 5/8s, September 15, 2009 3,004,076
....................................................................................................
62,399,711 6 1/2s, with due dates from April 1, 2024
to November 1, 2029 60,676,166
....................................................................................................
6,185,242 6s, with due dates from June 1, 2014
to December 1, 2014 5,868,248
....................................................................................................
122,419 5 1/2s, August 15, 2014 113,544
....................................................................................................
9,619,000 5 1/8s, February 13, 2004 9,043,399
....................................................................................................
Government National Mortgage
Association pass-through certificates
....................................................................................................
4,098,467 8 1/2s, with due dates from
October 15, 2017 to
November 15, 2017 4,229,370
....................................................................................................
33,315,491 8s, with due dates
to December 15, 2027 33,648,651
....................................................................................................
34,828,031 7s, with due dates from March 15, 2023
to June 15, 2029 33,656,611
....................................................................................................
11,496,606 6 1/2s, with due dates from
September 15, 2024 to June 15, 2029 10,788,760
- ----------------------------------------------------------------------------------------------------
183,639,101
- ----------------------------------------------------------------------------------------------------
U.S. Treasury Obligations (4.0%)
....................................................................................................
2,455,000 U.S. Treasury Bonds 6 1/8s,
August 15, 2029 2,340,302
....................................................................................................
U.S. Treasury Notes
....................................................................................................
6,165,000 5 7/8s, November 15, 2004 6,044,598
....................................................................................................
6,800,000 5 7/8s, November 30, 2001 6,756,412
....................................................................................................
22,425,000 5 7/8s, October 31, 2001 22,284,844
....................................................................................................
2,510,000 U.S. Treasury Interest Strip zero %,
February 15, 2019 685,607
- ----------------------------------------------------------------------------------------------------
38,111,763
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $226,048,321) $221,750,864
- ----------------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (9.3%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,735,353 Chase Manhattan Bank-First Union
National Ser. 99-1, Class A1, 7.134s, 2007 $3,702,669
....................................................................................................
6,025,000 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A3, 6.57s, 2007 5,705,863
....................................................................................................
4,900,000 Commercial Mortgage Asset Trust
Ser. 99-C1, Class A4, 6.975s, 2013 4,560,828
....................................................................................................
1,520,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 1,269,913
....................................................................................................
CS First Boston Mortgage Securities Corp.
....................................................................................................
741,623 Ser. 99-C1, Class A1, 6.91s, 2008 $729,803
....................................................................................................
1,990,000 Ser. 99-C1, Class E, 7.92s, 2009 1,931,544
....................................................................................................
695,000 Ser. 99-C1, Class F, 7.92s, 2009 632,884
....................................................................................................
DLJ Commercial Mortgage Corp.
....................................................................................................
1,685,344 Ser. 99-CG3, Class A1A, 7.12s, 2008 1,673,757
....................................................................................................
875,000 Ser. 99-CG3, Class A1B, 7.34s, 2009 862,148
....................................................................................................
1,711,064 Ser. 98-cg1, Class A1a, 6.11s, 2007 1,636,633
....................................................................................................
Fannie Mae
....................................................................................................
883,530 Ser. 176, Class 2 (Interest Only),
IO,8s, 2022 273,342
....................................................................................................
2,464,310 Ser. 217, Class 2, IO, 8s, 2023 755,850
....................................................................................................
4,477,612 Ser. 252, Class 2, 10, 7 1/2s, 2023 1,400,653
....................................................................................................
85,789 Ser. 302, Class 2, 6s, 2029 28,337
....................................................................................................
2,234,619 Ser. 304, Class 2, 6s, 2028 652,928
....................................................................................................
1,950,000 FHLMC pass-through securities
Ser. T-20, Class A6, 7.49s, 2029 1,949,391
....................................................................................................
1,649,872 Freddie Mac Ser. 2182, Class Sa,
5.1675s, 2025 1,371,972
....................................................................................................
39,513,714 First Union-Lehman Brothers
Commercial Mortgage Co. Ser. 98-C2,
Class IO, 0.506s, 2028 1,433,916
....................................................................................................
2,400,000 GE Capital Mortgage Services, Inc.
Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,264,016
....................................................................................................
2,683,000 General Growth Properties-Ivanhoe
Ser. 99-C1, Class F, 8.29s, 2004 2,683,000
....................................................................................................
General Growth Properties-Homart
....................................................................................................
605,000 Ser. 99-C1, Class F, 8.042s, 2003 605,000
....................................................................................................
530,000 Ser. 99-C1, Class G, 8.25s, 2003 530,000
....................................................................................................
GS Mortgage Securities Corp. II
....................................................................................................
1,225,000 Ser. 97-GL, Class A2B, 6.86s, 2030 1,208,348
....................................................................................................
833,093 Ser. 98-GLII, Class A1, 6.312s, 2031 806,278
....................................................................................................
1,700,000 Ser. 98-GLII, Class A2, 6.562s, 2031 1,588,969
....................................................................................................
1,310,000 Ser. 98-GLII, Class D, 7.191s, 2031 1,169,175
....................................................................................................
LB Commercial Conduit Mortgage Trust
....................................................................................................
1,749,000 Ser. 99-C1, Class A2, 6.78s, 2009 1,663,395
....................................................................................................
1,015,741 Ser. 99-C2, Class A1, 7.105s, 2008 1,007,528
....................................................................................................
1,385,000 Ser. 99-C2, Class B, 7.425s, 2009 1,349,131
....................................................................................................
Merrill Lynch Mortgage Investors, Inc.
....................................................................................................
1,395,000 Ser. 96-C2, Class E, 6.96s, 2028 1,167,877
....................................................................................................
1,944,152 Ser. 98-C2, Class A1, 6.22s, 2030 1,881,575
....................................................................................................
3,142,000 Ser. 98-C2, Class D, 6.956s, 2030 2,849,892
....................................................................................................
22,464,983 Ser. 98-C2, Class IO, 1.58s, 2030 1,590,100
....................................................................................................
Morgan Stanley Capital I
....................................................................................................
647,968 Ser. 99-CAM1, Class A2, 6.76s, 2008 633,287
....................................................................................................
1,835,000 Ser. 98-XL1, Class A3, 6.48s, 2030 1,725,187
....................................................................................................
111,493 Ser. 98-WF1, Class A1, 6 1/4s, 2007 107,817
....................................................................................................
1,450,000 Ser. 96-WF1, Class A2, 7.218s, 2006 1,449,773
....................................................................................................
945,745 Ser. 98-HF1, Class A1, 6.19s, 2007 912,348
....................................................................................................
5,160,000 Ser. 99-CAM1, Class A3, 6.92s, 2008 5,019,713
....................................................................................................
10,000,000 Ser. WF2, Class B, 6.63s, 2008 9,392,188
....................................................................................................
Mortgage Capital Funding, Inc.
....................................................................................................
833,046 Ser. 97-MC2, Class A1, 6.53s, 2007 810,658
....................................................................................................
11,489,033 Ser. 97-MC2, Class X, IO, 1.58s, 2012 777,305
....................................................................................................
2,001,444 Ser. 98-MC1, Class A1, 6.417s, 2007 1,937,648
....................................................................................................
2,575,000 Residential Asset Securitization Trust
Ser. 98-A12, Class A14, 8s, 2028 2,598,336
....................................................................................................
536,000 Structured Asset Security Corp.
Ser. 97-LLI, Class A, 6.84s, 2006 527,625
....................................................................................................
10,290,944 TIAA Retail Commercial Mortgage Trust
Ser. 99-1, Class A, 7.17s, 2008 10,143,012
- ----------------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $92,066,817) $88,971,612
- ----------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (5.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A, 6.8s, 2003 $25,007,750
....................................................................................................
1,420,000 Associates Manufactured Housing pass-
through Ser. 97-2, Class M, 7.025s, 2028 1,254,038
....................................................................................................
15,900,000 First USA Credit Card Master Trust
Ser. 98-5, Class A, 6.561s, 2006 15,870,188
....................................................................................................
645,000 Green Tree Financial Corp. Ser. 97-2,
Class B1, 7.56s, 2028 510,457
....................................................................................................
4,494,886 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 4,473,805
....................................................................................................
525,000 Green Tree Financial Corp. Ser. 97-1,
Class B2, 7.76s, 2028 376,605
....................................................................................................
1,730,454 Green Tree Recreational Equipment &
Cons. Ser. 98-A, Class A1C, 6.18s, 2019 1,699,225
....................................................................................................
2,990,000 Standard Credit Card Master Trust
Ser. 94-2, Class A, 7 1/4s, 2006 2,992,093
- ----------------------------------------------------------------------------------------------------
52,184,161
- ----------------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $51,770,662) $52,184,161
- ----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.6%) (a)
(cost $6,525,008)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,675,000 Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) $5,925,264
- ----------------------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.3%) (a) (cost $3,572,177)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,575,000 Mashantucket Pequot Tribe 144A bonds
Ser. A, FSA, 6.57s, 2013 $3,153,865
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
2,240 Centaur Funding 144A 9.08% pfd.
(Cayman Islands) $2,258,704
....................................................................................................
1,000 Fresenius Medical Capital Trust II
company guaranty, 7.875% pfd.
(Germany) 902,500
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $3,279,872) $3,161,204
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) (a) (cost $475,548)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
490,000 United Pan-Europe N.V. 144A
10 7/8s, 2009 $497,350
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a)(NON)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
140 Birch Telecommunications,
Inc. 144A 6/15/08 $7,700
....................................................................................................
120 Telehub Communications
Corp. 7/31/05 300
- ----------------------------------------------------------------------------------------------------
Total Warrants (cost $6,700) $8,000
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.8%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$20,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.73%, January 31, 2000 $19,899,167
....................................................................................................
16,663,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg Inc. Securities due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $16,666,819 for an effective
yield of 2.75% 16,663,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $36,562,167) $36,562,167
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $1,003,959,362) (b) $957,903,438
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date (Depreciation)
....................................................................................................
U.S Treasury
Bond (Short) $5,729,062 $5,909,152 Mar-00 $(180,090)
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT International Growth Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Australia (1.5%)
....................................................................................................
309,550 Cable & Wireless Optus Ltd. (NON) $1,034,388
....................................................................................................
227,016 News Corp. Ltd. ADR 8,683,362
- ----------------------------------------------------------------------------------------------------
9,717,750
- ----------------------------------------------------------------------------------------------------
Brazil (1.7%)
....................................................................................................
123,586 Companhia Energetica de Minas
Gerais ADR 2,718,892
....................................................................................................
44,340 Tele Centro Sul Participacoes S.A. 4,023,855
....................................................................................................
112,619 Telesp Celular Participacoes S.A. ADR 4,772,230
....................................................................................................
2 Telesp Participacoes S.A. (NON) 38
- ----------------------------------------------------------------------------------------------------
11,515,015
- ----------------------------------------------------------------------------------------------------
Canada (2.7%)
....................................................................................................
82,343 Abitibi-Consolidated Inc. (NON) 961,512
....................................................................................................
18 Bank of Nova Scotia 386
....................................................................................................
160,161 BCE, Inc. (NON) 14,513,311
....................................................................................................
24,490 Nortel Networks Corp. (NON) 2,467,952
- ----------------------------------------------------------------------------------------------------
17,943,161
- ----------------------------------------------------------------------------------------------------
Finland (3.9%)
....................................................................................................
5,800 Helsingin Puhelin Oyj
(Helsinki Telephone Corp.) Class E 482,538
....................................................................................................
10,165 HPY Holding Oyj (NON) 380,918
....................................................................................................
128,806 Oy Nokia AB Class A 23,324,190
....................................................................................................
101,401 Stora Enso Oyj Class R 1,765,783
....................................................................................................
21,000 Stora Enso Oyj Class A 371,818
- ----------------------------------------------------------------------------------------------------
26,325,247
- ----------------------------------------------------------------------------------------------------
France (13.3%)
....................................................................................................
2,150 Alcatel Alsthom CGE S.A. 493,141
....................................................................................................
148,539 Aventis S.A. 8,592,238
....................................................................................................
40,459 Axa S.A. 5,633,123
....................................................................................................
27,899 Banque Nationale de Paris 2,570,882
....................................................................................................
13,825 Bouygues S.A. 8,775,916
....................................................................................................
49,317 France Telecom S.A. 6,514,174
....................................................................................................
7,778 Groupe Danone 1,830,972
....................................................................................................
9,132 Havas Advertising S.A. 3,886,013
....................................................................................................
42,144 Lafarge Coppee 4,901,077
....................................................................................................
7,423 Publicis S.A. 2,800,327
....................................................................................................
126,621 Sanofi-Synthelabo S.A. (NON) 5,265,919
....................................................................................................
9,892 Societe Generale 2,298,762
....................................................................................................
23,423 STMicroelectronics N.V. ADR 3,547,121
....................................................................................................
12,349 Television Francaise I 6,460,009
....................................................................................................
143,204 Total S.A. Class B 19,088,377
....................................................................................................
70,160 Vivendi 6,327,583
- ----------------------------------------------------------------------------------------------------
88,985,634
- ----------------------------------------------------------------------------------------------------
Germany (4.0%)
....................................................................................................
188,454 Bayerische Motoren Werke (BMW) AG 5,744,417
....................................................................................................
7 Celanese AG (NON) 127
....................................................................................................
74,498 Mannesmann AG 17,949,325
....................................................................................................
5,170 SAP AG Vorzug 3,110,210
....................................................................................................
65 SAP AG 31,976
- ----------------------------------------------------------------------------------------------------
26,836,055
- ----------------------------------------------------------------------------------------------------
Hong Kong (3.4%)
....................................................................................................
390,000 Cheung Kong Infrastructure Holdings (NON) 4,954,651
....................................................................................................
2,599,000 China Telecom Ltd. (NON) 16,250,019
....................................................................................................
92,000 Hutchison Whampoa, Ltd. (NON) 1,337,450
- ----------------------------------------------------------------------------------------------------
22,542,120
- ----------------------------------------------------------------------------------------------------
Ireland (1.5%)
....................................................................................................
288,443 CRH PLC 6,209,716
....................................................................................................
94,999 Elan Corp. PLC ADR (NON) 2,728,256
....................................................................................................
251,900 Jefferson Smurfit Group PLC 754,835
- ----------------------------------------------------------------------------------------------------
9,692,807
- ----------------------------------------------------------------------------------------------------
Italy (3.7%)
....................................................................................................
28,100 Banca Popolare di Brescia SPA 2,483,397
....................................................................................................
458,616 Mediaset SPA 7,123,517
....................................................................................................
1,323,701 Telecom Italia Mobile SPA 14,767,923
- ----------------------------------------------------------------------------------------------------
24,374,837
- ----------------------------------------------------------------------------------------------------
Japan (22.0%)
....................................................................................................
32,800 Advantest Corp. 8,667,058
....................................................................................................
15,000 Asatsu Inc. 1,012,918
....................................................................................................
14,700 Benesse Corp. 3,539,049
....................................................................................................
719 DDI Corp. 9,851,243
....................................................................................................
82,000 Eisai Co. Ltd. (NON) 1,576,923
....................................................................................................
3,000 Fancl Corp. 804,463
....................................................................................................
1,200 Fancl Corp. 144A 321,785
....................................................................................................
381,000 Fuji Bank Ltd. (The) (NON) 3,702,613
....................................................................................................
9,500 Fuji Machine Manufacturing Co., Ltd. 766,099
....................................................................................................
83,000 Fujitsu Ltd. (NON) 3,785,281
....................................................................................................
64,000 Ito-Yokado Co., Ltd. (NON) 6,952,437
....................................................................................................
13,976 KDD Corp. 1,936,780
....................................................................................................
23,000 Kojima Co Ltd. 900,372
....................................................................................................
69,100 Kyocera Corp. (NON) 17,920,826
....................................................................................................
900 Mitsumi Electric Company, Ltd. 28,186
....................................................................................................
272,000 NEC Corp. (NON) 6,481,895
....................................................................................................
1,407,000 Nikko Securities Co. Ltd. 17,804,375
....................................................................................................
467 Nippon Telegraph and Telephone Corp. 7,998,141
....................................................................................................
7,360 Nippon Television Network Corp. 8,643,570
....................................................................................................
38,900 Promise Co., Ltd. 1,979,644
....................................................................................................
186,000 Sharp Corp. 4,760,129
....................................................................................................
302,000 Shiseido Co., Ltd. (NON) 4,403,797
....................................................................................................
86,200 Sony Corp. 25,561,362
....................................................................................................
4,000 Tokyo Broadcasting System 135,447
....................................................................................................
800,000 Toshiba Corp. 6,106,870
....................................................................................................
42,000 Yamanouchi Pharmaceutical Co., Ltd. 1,467,410
- ----------------------------------------------------------------------------------------------------
147,108,673
- ----------------------------------------------------------------------------------------------------
Luxembourg (0.6%)
....................................................................................................
111 NTT Mobile Communications 4,269,231
- ----------------------------------------------------------------------------------------------------
Mexico (2.4%)
....................................................................................................
227,890 Carso Global Telecom (NON) 2,143,997
....................................................................................................
171,500 Grupo Financiero Bancomer, S.A.
de C.V. (NON) 688,901
....................................................................................................
71,691 Grupo Televisa S.A. GDR (NON) 4,892,911
....................................................................................................
73,131 Telefonos de Mexico S.A. ADR Class L 8,227,238
- ----------------------------------------------------------------------------------------------------
15,953,047
- ----------------------------------------------------------------------------------------------------
Netherlands (6.1%)
....................................................................................................
119,293 Akzo-Nobel N.V. (NON) 5,976,436
....................................................................................................
28,669 ASM Lithography Holding N.V. (NON) 3,181,164
....................................................................................................
73,781 Gucci Group N.V. 8,447,925
....................................................................................................
183,514 Internationale Nederlanden Groep (NON) 11,065,828
....................................................................................................
76,192 Philips Electronics N.V. 10,347,636
....................................................................................................
13,020 United Pan-Europe NV (NON) 1,663,461
- ----------------------------------------------------------------------------------------------------
40,682,450
- ----------------------------------------------------------------------------------------------------
Singapore (1.1%)
....................................................................................................
186,366 DBS Group Holdings Ltd. 3,057,567
....................................................................................................
293,345 Oversea-Chinese Banking Corp. Ltd. 2,697,223
....................................................................................................
156,288 United Overseas Bank Ltd. 1,380,669
- ----------------------------------------------------------------------------------------------------
7,135,459
- ----------------------------------------------------------------------------------------------------
South Korea (2.3%)
....................................................................................................
104,344 Korea Electric Power Corp. 3,236,043
....................................................................................................
40,562 Korea Telecom Corp. 3,032,010
....................................................................................................
24,000 Pohang Iron & Steel Company, Ltd. ADR 840,000
....................................................................................................
34,124 Samsung Electronics Co. 7,997,343
- ----------------------------------------------------------------------------------------------------
15,105,396
- ----------------------------------------------------------------------------------------------------
Spain (0.9%)
....................................................................................................
241,006 Telfonica S.A. (NON) 6,012,810
- ----------------------------------------------------------------------------------------------------
Sweden (4.1%)
....................................................................................................
528,050 Investor AB 7,450,003
....................................................................................................
40,121 Sandvik AB Class A 1,257,098
....................................................................................................
51,789 Sandvik AB Class B 1,650,087
....................................................................................................
95,379 Svenska Handelsbanken 1,199,877
....................................................................................................
242,400 Telefonaktiebolaget LM Ericsson Class B 15,589,066
- ----------------------------------------------------------------------------------------------------
27,146,131
- ----------------------------------------------------------------------------------------------------
Switzerland (5.4%)
....................................................................................................
2,529 Ares-Serono Group Class B 5,401,131
....................................................................................................
4,018 Cie Finance Richemont 9,590,704
....................................................................................................
9,553 Clariant AG 4,554,477
....................................................................................................
17,306 Credit Suisse Group 3,440,546
....................................................................................................
4,480 Fantastic Corp. (NON) 847,293
....................................................................................................
1,641 Julius Baer Holdings AG 4,958,046
....................................................................................................
5,152 Publicitas Holding S.A. 5,096,985
....................................................................................................
150 Swatch Group AG (The) 34,956
....................................................................................................
1,740 Swatch Group AG Class B (The) 2,004,497
- ----------------------------------------------------------------------------------------------------
35,928,635
- ----------------------------------------------------------------------------------------------------
Taiwan (0.8%)
....................................................................................................
214,000 Hon Hai Precision Industry (NON) 1,595,794
....................................................................................................
888,000 Winbond Electronics Corp. (NON) 2,108,222
....................................................................................................
80,200 Winbond Electric Corp. 144A GDR (NON) 1,824,550
- ----------------------------------------------------------------------------------------------------
5,528,566
- ----------------------------------------------------------------------------------------------------
United Kingdom (15.2%)
....................................................................................................
785,111 Aegis Group PLC 2,853,604
....................................................................................................
171,439 Barclays PLC 4,935,116
....................................................................................................
14,700 British Petroleum Co. PLC 147,821
....................................................................................................
493,147 British Telecommunications PLC ADR 12,053,007
....................................................................................................
52,700 Cable & Wireless Communications 757,671
....................................................................................................
488,900 Cable & Wireless PLC 8,284,677
....................................................................................................
629,600 Carlton Communications PLC 6,132,847
....................................................................................................
339,749 Diageo PLC 2,733,176
....................................................................................................
583,180 EMI Group PLC 5,723,069
....................................................................................................
802,120 Granada Group PLC 8,130,798
....................................................................................................
200 HSBC Holdings PLC 2,805
....................................................................................................
179,438 Orange PLC ADR (NON) 6,058,161
....................................................................................................
497,918 Scottish Power PLC 3,772,339
....................................................................................................
494,701 Securicor Group PLC (NON) 1,284,618
....................................................................................................
2,487,361 Shell Transportation & Trading (NON) 20,673,037
....................................................................................................
1,024,981 Siebe PLC 5,579,892
....................................................................................................
292,948 Smiths Industries PLC (NON) 4,377,361
....................................................................................................
1,334,853 Tesco PLC (NON) 4,059,275
....................................................................................................
264,886 WPP Group PLC 4,197,685
- ----------------------------------------------------------------------------------------------------
101,756,959
- ----------------------------------------------------------------------------------------------------
United States (0.1%)
....................................................................................................
7,800 NTL Inc. 973,050
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $441,567,447) $645,533,033
- ----------------------------------------------------------------------------------------------------
UNITS (0.6%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
9,000 Pohang Iron & Steel Company, Ltd.
Structured Warrants expiration 4/17/00
(Issued by Lehman Brothers Finance S.A.)
(South Korea) $ 993,330
....................................................................................................
51,900 Tokyo Broadcasting System, Inc.
Structured Notes (issued by UBS, AG)
3.15s, 2000 (Japan) 1,793,420
....................................................................................................
35,300 Tokyo Broadcasting System, Inc. Call
Warrants (Issued by Lehman Brothers
Finance S.A.) expiration 11/17/00 (Japan) 1,192,787
- ----------------------------------------------------------------------------------------------------
Total Units
(cost $3,248,318) $3,979,537
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.4%) (a) (cost $16,267,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$16,267,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $16,270,728 for an effective
yield of 2.75% $16,267,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $461,082,765) (b) $665,779,570
- ----------------------------------------------------------------------------------------------------
The fund had the following industry group concentrations greater than 10% at
December 31, 1999 (as a percentage of market value):
Telecommunications 24.9%
Electronics and Electrical Equipment 16.3
Insurance and Finance 11.6
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT International Growth and Income Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (97.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.9%)
....................................................................................................
377,148 British Aerospace PLC (United Kingdom) $2,497,904
....................................................................................................
357,000 Rolls-Royce PLC (United Kingdom) 1,234,133
- ----------------------------------------------------------------------------------------------------
3,732,037
- ----------------------------------------------------------------------------------------------------
Automobiles (5.8%)
....................................................................................................
857,000 Fuji Heavy Industries (Japan) 5,871,012
....................................................................................................
201,000 Honda Motor Co., Ltd. (Japan) 7,475,044
....................................................................................................
96,100 Hyundai Motor Co Ltd. (South Korea) 1,524,053
....................................................................................................
74,480 Hyundai Motor Co. Ltd. GDR 144A
(South Korea) 800,660
....................................................................................................
23,000 Hyundai Motor Co. Ltd. GDR
(South Korea) 247,250
....................................................................................................
2,021,000 PT Astra International Inc. (Indonesia) (NON) 1,086,559
....................................................................................................
79,341 Valeo S.A. (France) 6,113,986
- ----------------------------------------------------------------------------------------------------
23,118,564
- ----------------------------------------------------------------------------------------------------
Banks (9.3%)
....................................................................................................
386,841 Australia & New Zealand Banking
Group Ltd. (Australia) (NON) 2,814,143
....................................................................................................
280,565 Bank of Nova Scotia (Canada) 6,019,169
....................................................................................................
34,963 Banque Nationale de Paris (France) 3,221,826
....................................................................................................
43,205 Barclays PLC (United Kingdom) 1,243,718
....................................................................................................
301,291 HSBC Holdings PLC (United Kingdom) 4,224,974
....................................................................................................
401,944 Istituto Bancario San Paolo
di Torino (Italy) 5,454,758
....................................................................................................
714 Julius Baer Holdings AG (Switzerland) 2,157,249
....................................................................................................
252,876 National Bank of Canada (Canada) 3,232,368
....................................................................................................
166,950 Overseas Chinese Banking
Corp. Ltd. (Singapore) 1,535,057
....................................................................................................
8,410 Societe Generale (France) 1,954,366
....................................................................................................
32,717 Unidanmark AS (Denmark) 2,300,836
....................................................................................................
11,123 United Bank of Switzerland (UBS)
AG (Switzerland) 3,004,328
- ----------------------------------------------------------------------------------------------------
37,162,792
- ----------------------------------------------------------------------------------------------------
Broadcasting (0.3%)
....................................................................................................
136,700 Carlton Communications PLC
(United Kingdom) 1,331,576
- ----------------------------------------------------------------------------------------------------
Building Products (1.9%)
....................................................................................................
196,413 Blue Circle Industries PLC
(United Kingdom) (NON) 1,141,435
....................................................................................................
102,629 CRH PLC (Ireland) 2,209,438
....................................................................................................
1,359,800 Pioneer International Ltd. (Australia) 4,097,533
- ----------------------------------------------------------------------------------------------------
7,448,406
- ----------------------------------------------------------------------------------------------------
Business Equipment (1.8%)
....................................................................................................
125,000 Canon, Inc. (Japan) (NON) 4,966,725
....................................................................................................
111,000 Ricoh Co., Ltd. (Japan) (NON) 2,092,249
- ----------------------------------------------------------------------------------------------------
7,058,974
- ----------------------------------------------------------------------------------------------------
Business Services (0.7%)
....................................................................................................
174,000 Dai Nippon Printing Co., Ltd. (Japan) (NON) 2,775,690
- ----------------------------------------------------------------------------------------------------
Cellular Communications (2.4%)
....................................................................................................
492,137 Telecom Italia Mobile SPA (Italy) (NON) 5,490,546
....................................................................................................
97,301 Telesp Celular Participacoes S.A.
ADR (Brazil) 4,123,130
- ----------------------------------------------------------------------------------------------------
9,613,676
- ----------------------------------------------------------------------------------------------------
Chemicals (6.0%)
....................................................................................................
189,159 Akzo-Nobel N.V. (Netherlands) (NON) 9,476,639
....................................................................................................
71,357 Bayer AG (Germany) 3,373,902
....................................................................................................
93,200 BOC Group PLC (NON) 2,002,385
....................................................................................................
7,300 Clariant AG (Switzerland) 144A (NON) 3,480,339
....................................................................................................
1,602 Clariant AG (Switzerland) (NON) 763,768
....................................................................................................
96,300 Rhodia SA (France) (NON) 2,173,938
....................................................................................................
731,000 Teijin Ltd. (Japan) (NON) 2,697,074
- ----------------------------------------------------------------------------------------------------
23,968,045
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.2%)
....................................................................................................
133,376 Canadian Pacific, Ltd. (Canada) 2,861,414
....................................................................................................
769,833 Cookson Group PLC
(United Kingdom) (NON) 3,108,971
....................................................................................................
798,350 Tomkins PLC (United Kingdom) (NON) 2,579,309
- ----------------------------------------------------------------------------------------------------
8,549,694
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.5%)
....................................................................................................
136,000 Shiseido Co., Ltd. (Japan) (NON) 1,983,167
- ----------------------------------------------------------------------------------------------------
Electric Utilities (6.8%)
....................................................................................................
232,900 Chubu Electric Power, Inc. (Japan) (NON) 3,795,053
....................................................................................................
919,049 Hong Kong Electric Holdings Ltd.
(Hong Kong) (NON) 2,873,137
....................................................................................................
542,192 Scottish and Southern Energy PLC
(United Kingdom) (NON) 4,328,923
....................................................................................................
919,563 Scottish Power PLC (United Kingdom) (NON) 6,966,817
....................................................................................................
2,736,000 Shandong International Power
Development Co. Ltd. (China) 387,186
....................................................................................................
175,568 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 8,521,983
- ----------------------------------------------------------------------------------------------------
26,873,099
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.9%)
....................................................................................................
87,000 Matsushita Electric Industrial Co. (Japan) 2,409,571
....................................................................................................
36,335 Philips Electronics N.V. (Netherlands) 4,934,656
....................................................................................................
59,606 Schneider SA (France) (NON) 4,674,165
....................................................................................................
1,338,334 Siebe PLC (United Kingdom) 7,285,754
....................................................................................................
9,200 Sony Corp. (Japan) 2,728,127
....................................................................................................
24,000 TDK Corp. (Japan) (NON) 3,314,152
....................................................................................................
776,000 Toshiba Corp. (Japan) (NON) 5,923,664
- ----------------------------------------------------------------------------------------------------
31,270,089
- ----------------------------------------------------------------------------------------------------
Energy-Related (2.2%)
....................................................................................................
270,860 Iberdrola S.A. (Spain) (NON) 3,749,396
....................................................................................................
101,900 Iberdrola II (Spain) (NON) 1,410,557
....................................................................................................
214,400 Kansai Electric Power Inc. (Japan) (NON) 3,736,997
- ----------------------------------------------------------------------------------------------------
8,896,950
- ----------------------------------------------------------------------------------------------------
Financial Services (7.6%)
....................................................................................................
19,500 Aiful Corp. (Japan) (NON) 2,385,496
....................................................................................................
759,860 AMP Ltd. (Australia) (NON) 8,395,613
....................................................................................................
135,381 DBS Group Holdings Ltd. (Singapore) 2,221,095
....................................................................................................
164,100 Investor AB (Sweden) 2,315,208
....................................................................................................
156,206 Manulife Financial Corp. (Canada) 1,991,295
....................................................................................................
495,000 Nikko Securities Co. Ltd. (Japan) 6,263,799
....................................................................................................
121,000 Nomura Securities Co. Ltd. (Japan) (NON) 2,184,821
....................................................................................................
90,600 Promise Co., Ltd. (Japan) 4,610,687
- ----------------------------------------------------------------------------------------------------
30,368,014
- ----------------------------------------------------------------------------------------------------
Food and Beverages (6.0%)
....................................................................................................
530,886 Bass PLC (United Kingdom) 6,607,756
....................................................................................................
997,232 Diageo PLC (United Kingdom) 8,022,424
....................................................................................................
1,023,967 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) (NON) 4,578,626
....................................................................................................
429,000 Kirin Brewery Co. Ltd. (Japan) (NON) 4,513,359
- ----------------------------------------------------------------------------------------------------
23,722,165
- ----------------------------------------------------------------------------------------------------
Insurance (6.4%)
....................................................................................................
50,028 AGF (Assurances Generales
de France) (France) 2,707,655
....................................................................................................
577,496 Allied Zurich AG (United Kingdom) 6,805,411
....................................................................................................
52,149 Axa S.A. (France) 7,260,726
....................................................................................................
122,193 Internationale Nederlanden
Groep (Netherlands) 7,368,194
....................................................................................................
30,599 Scor (France) 1,348,278
- ----------------------------------------------------------------------------------------------------
25,490,264
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.7%)
....................................................................................................
660,690 British Petroleum Co. PLC
(United Kingdom) 6,643,809
....................................................................................................
1,296,519 Ente Nazionale Idrocarburi (ENI)
SPA (Italy) 7,121,468
....................................................................................................
67,193 Total S.A. Class B (France) 8,956,491
- ----------------------------------------------------------------------------------------------------
22,721,768
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (3.5%)
....................................................................................................
402,587 Abitibi-Consolidated Inc. (Canada) 4,700,974
....................................................................................................
1,388,100 Jefferson Smurfit Group PLC (Ireland) 4,159,535
....................................................................................................
206,000 Sappi Ltd. (South Africa) 2,039,039
....................................................................................................
106,276 Svenska Cellulosa AB (SCA)
Class B (Sweden) 3,148,733
- ----------------------------------------------------------------------------------------------------
14,048,281
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.3%)
....................................................................................................
159,935 Aventis S.A. (France) 9,251,468
....................................................................................................
130,000 Eisai Co. Ltd. (Japan) (NON) 2,500,000
....................................................................................................
50,849 Pharmacia & Upjohn, Inc. (Sweden) 2,307,650
....................................................................................................
136,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 4,751,615
....................................................................................................
58,229 Zeneca Group PLC (United Kingdom) 2,415,541
- ----------------------------------------------------------------------------------------------------
21,226,274
- ----------------------------------------------------------------------------------------------------
Railroads (0.8%)
....................................................................................................
119,715 Canadian National Railway Co. (Canada) 3,159,755
- ----------------------------------------------------------------------------------------------------
Real Estate (1.2%)
....................................................................................................
154,000 Canary Wharf 144A PLC
(United Kingdom) 957,771
....................................................................................................
199,100 Canary Wharf Finance PLC
(United Kingdom) 1,238,261
....................................................................................................
391,000 Henderson Land Development Co. Ltd.
(Hong Kong) 2,510,086
- ----------------------------------------------------------------------------------------------------
4,706,118
- ----------------------------------------------------------------------------------------------------
Retail (1.5%)
....................................................................................................
371,380 Coles Myer Ltd. (Australia) (NON) 1,918,305
....................................................................................................
1,353,401 Tesco PLC (United Kingdom) (NON) 4,115,678
- ----------------------------------------------------------------------------------------------------
6,033,983
- ----------------------------------------------------------------------------------------------------
Steel (1.1%)
....................................................................................................
51,844 Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 1,814,540
....................................................................................................
107,477 SKF AB Class B (Sweden) 2,615,689
- ----------------------------------------------------------------------------------------------------
4,430,229
- ----------------------------------------------------------------------------------------------------
Telecommunications (0.6%)
....................................................................................................
105,334 Hellenic Telecommunication
Organization S.A. (Greece) 2,504,281
- ----------------------------------------------------------------------------------------------------
Telephone Services (8.8%)
....................................................................................................
151,025 British Telecommunications PLC ADR
(United Kingdom) (NON) 3,691,202
....................................................................................................
111,093 BCE, Inc. (Canada) 10,066,931
....................................................................................................
500,849 Cable & Wireless PLC (United Kingdom) 8,487,160
....................................................................................................
138,200 Carso Global Telecom (Mexico) 1,300,190
....................................................................................................
262,100 Mahanager Telephone GDR 144A
(India) (NON) 2,981,389
....................................................................................................
151 Nippon Telegraph and
Telephone Corp. (Japan) 2,586,127
....................................................................................................
521,847 Portugal Telecom S.A. (Portugal) (NON) 5,717,011
- ----------------------------------------------------------------------------------------------------
34,830,010
- ----------------------------------------------------------------------------------------------------
Tobacco (0.5%)
....................................................................................................
325,060 BAT Industries PLC (United Kingdom) (NON) 1,847,046
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $345,544,886) $388,870,947
- ----------------------------------------------------------------------------------------------------
UNITS (0.1%) (a) (cost $819,911)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
21,300 Ito-yokado Co., Ltd./Seven-
Eleven Japan Co., Stub Warrants
expiration 2/29/00 (issued
by Salomon Smith Barney
Holdings Inc.) (Japan) $285,434
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$250,000 US Treasury Bill effective yield of
5.18%, March 9, 2000 (SEG) $247,554
....................................................................................................
8,271,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with SBC Warburg Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $8,272,895 for an effective
yield of 2.75% 8,271,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $8,518,554) $8,518,554
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $354,883,351) (b) $397,674,935
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Delivery Unrealized
Market Value Face Value Date Depreciation
....................................................................................................
Japanese Yen $4,493,718 $4,499,357 3/9/00 $(5,639)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
Topix Future
(JPY)(Long) $4,691,329 $4,446,624 Mar-00 $244,705
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1999 (as percentage of market value)
- ----------------------------------------------------------------------------------------------------
Australia 4.3%
....................................................................................................
Brazil 1.0
....................................................................................................
Canada 8.1
....................................................................................................
France 12.0
....................................................................................................
Germany 3.0
....................................................................................................
Hong Kong 1.4
....................................................................................................
Ireland 1.6
....................................................................................................
Italy 4.5
....................................................................................................
Japan 20.0
....................................................................................................
Mexico 1.5
....................................................................................................
Netherlands 5.5
....................................................................................................
Portugal 1.4
....................................................................................................
South Korea 1.1
....................................................................................................
Spain 1.3
....................................................................................................
Sweden 2.6
....................................................................................................
Switzerland 2.4
....................................................................................................
United Kingdom 21.8
....................................................................................................
United States 2.7
....................................................................................................
Other 3.8
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT International New Opportunities Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.3%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.6%)
....................................................................................................
8,007 Havas Advertising SA (France) $3,407,283
....................................................................................................
155,658 WPP Group PLC (United Kingdom) 2,466,724
- ----------------------------------------------------------------------------------------------------
5,874,007
- ----------------------------------------------------------------------------------------------------
Apparel (2.6%)
....................................................................................................
1,136,670 Esprit Holdings Ltd. 1,228,358
....................................................................................................
10,000 Fast Retailing Co., Ltd. (Japan) 4,071,247
....................................................................................................
122,662 Hennes & Mauritz AB Class B (Sweden) 4,110,125
- ----------------------------------------------------------------------------------------------------
9,409,730
- ----------------------------------------------------------------------------------------------------
Banks (4.4%)
....................................................................................................
94,800 ABSA Group Ltd. (South Africa) 425,963
....................................................................................................
99,811 Banca Popolare di Brescia SpA (Italy) (REL) 8,821,007
....................................................................................................
154,891 Banco Comercial Portugues,
S.A. (Portugal) 858,570
....................................................................................................
8,000 Commercial Bank Of Greece,
S.A. (Greece) 617,806
....................................................................................................
550,700 Grupo Financiero Bancomer, S.A.
de C.V. (Mexico) 2,212,114
....................................................................................................
558 Julius Baer Holdings AG (Switzerland) 1,685,917
....................................................................................................
504,800 Thai Farmers Bank Public Co. (Thailand) 848,743
....................................................................................................
19,945 Yapi ve Kredi Bankasi A.S. GDR
(Turkey) (NON) 588,378
- ----------------------------------------------------------------------------------------------------
16,058,498
- ----------------------------------------------------------------------------------------------------
Brewing (0.5%)
....................................................................................................
222,000 Fomento Economico Mexicano, S.A.
de C.V. (Mexico) 992,664
....................................................................................................
2,150 Fomento Economico Mexicano, S.A.
de C.V. ADR (Mexico) 95,675
....................................................................................................
59,900 South African Breweries, Ltd.
(South Africa) 610,458
- ----------------------------------------------------------------------------------------------------
1,698,797
- ----------------------------------------------------------------------------------------------------
Broadcasting (4.8%)
....................................................................................................
54,973 EM TV & Merchandising AG (Germany) 3,539,382
....................................................................................................
34,800 Grupo Televisa S.A. de C.V.
GDR (Mexico) (NON) 2,375,100
....................................................................................................
121,479 Mediaset SpA (Italy) 1,886,890
....................................................................................................
18,373 Television Francaise I (TF1) (France) 9,611,284
- ----------------------------------------------------------------------------------------------------
17,412,656
- ----------------------------------------------------------------------------------------------------
Building Products (0.4%)
....................................................................................................
32,180 Cemex S.A. de C.V. ADR (Mexico) 897,018
....................................................................................................
19,200 Pohang Iron & Steel Company, Ltd.
ADR (South Korea) 672,000
- ----------------------------------------------------------------------------------------------------
1,569,018
- ----------------------------------------------------------------------------------------------------
Business Services (2.2%)
....................................................................................................
1,008,563 Aegis Group PLC (United Kingdom) 3,665,774
....................................................................................................
246,500 Aegis Group PLC 144A
(United Kingdom) 895,941
....................................................................................................
3,282 Altran Technologies SA (France) 1,981,015
....................................................................................................
34,090 Randstad Holding N.V. (Netherlands) 1,639,279
- ----------------------------------------------------------------------------------------------------
8,182,009
- ----------------------------------------------------------------------------------------------------
Cable Television (0.4%)
....................................................................................................
256,642 TeleWest Communications PLC
(United Kingdom) (NON) 1,369,149
- ----------------------------------------------------------------------------------------------------
Cellular Communications (4.8%)
....................................................................................................
697,000 China Telecom Ltd. (Hong Kong) (NON) 4,357,931
....................................................................................................
301 NTT Mobile Communications
(Luxembourg) 11,576,923
....................................................................................................
41,097 SK Telecom Co., Ltd. ADR (South Korea) 1,577,097
- ----------------------------------------------------------------------------------------------------
17,511,951
- ----------------------------------------------------------------------------------------------------
Chemicals (0.2%)
....................................................................................................
305,000 Nan Ya Plastic Corp. (Taiwan) 670,650
- ----------------------------------------------------------------------------------------------------
Computer Services (6.5%)
....................................................................................................
183,477 Capita Group PLC (United Kingdom) 3,334,373
....................................................................................................
10,500 Fujitsu Support and Services Inc.
144A (Japan) 5,148,268
....................................................................................................
164,884 Logica PLC (United Kingdom) 4,253,667
....................................................................................................
186,721 Misys PLC (United Kingdom) 2,910,721
....................................................................................................
7,760 Obic Co., Ltd. (Japan) 5,498,375
....................................................................................................
3 Yahoo Japan Corp. (Japan) 2,683,500
- ----------------------------------------------------------------------------------------------------
23,828,904
- ----------------------------------------------------------------------------------------------------
Computer Software (6.2%)
....................................................................................................
30 Fuji Soft AB, Inc. (Japan) 2,349
....................................................................................................
17,000 Konami Co., Ltd. (Japan) 3,036,308
....................................................................................................
13,200 Oracle Corp. (Japan) 6,136,230
....................................................................................................
80,501 SEMA Group PLC (United Kingdom) 1,448,660
....................................................................................................
10,900 Softbank Corp. (Japan) 10,432,766
....................................................................................................
7,000 Trend Micro Inc. (Japan) (NON) 1,767,469
- ----------------------------------------------------------------------------------------------------
22,823,782
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
....................................................................................................
6,050 Avex, Inc. (Japan) 1,509,836
....................................................................................................
9,500 Hindustan Lever Ltd. (India) (NON) 491,492
- ----------------------------------------------------------------------------------------------------
2,001,328
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.9%)
....................................................................................................
559,863 Gruppo Editoriale L'Espresso (Italy) 6,421,859
....................................................................................................
9,191 LVMH (France) 4,111,761
- ----------------------------------------------------------------------------------------------------
10,533,620
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.9%)
....................................................................................................
25,226 TPI Paginas Amarillas (Spain) (NON) 1,224,457
....................................................................................................
42,500 TPI Paginas Amarillas 144A (Spain) (NON) 2,062,929
- ----------------------------------------------------------------------------------------------------
3,287,386
- ----------------------------------------------------------------------------------------------------
Cosmetics (0.7%)
....................................................................................................
9,710 Fancl Corp. (Japan) 2,603,778
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.2%)
....................................................................................................
19,900 Korea Electric Power Corp. (South Korea) 617,163
- ----------------------------------------------------------------------------------------------------
Electronic Components (4.6%)
....................................................................................................
144,517 ARM Holdings PLC (United Kingdom) (NON) 9,751,322
....................................................................................................
43,360 ASM Lithography Holding N.V.
(Netherlands) (NON) 4,811,304
....................................................................................................
21,400 Ritek Corp. 144A GDR (Taiwan) (NON) 240,750
....................................................................................................
818,000 Winbond Electronics Corp. (Taiwan) (NON) 1,942,033
....................................................................................................
8,900 Winbond Electronics Corp. 144A
GDR (Taiwan) (NON) 202,475
- ----------------------------------------------------------------------------------------------------
16,947,884
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (8.1%)
....................................................................................................
9,000 Keyence Corp (Japan) 3,655,314
....................................................................................................
25,312 Medion AG (Germany) 2,266,285
....................................................................................................
29,000 Murata Manufacturing Co. Ltd. (Japan) 6,811,509
....................................................................................................
8,150 Samsung Electronics Co. (South Korea) 1,910,044
....................................................................................................
295,700 Sharp Corp. (Japan) 7,567,582
....................................................................................................
18,700 Sony Corp. (Japan) 5,545,214
....................................................................................................
146,000 Venture Manufacturing Ltd. (Singapore) 1,675,841
- ----------------------------------------------------------------------------------------------------
29,431,789
- ----------------------------------------------------------------------------------------------------
Entertainment (0.2%)
....................................................................................................
168,800 Corporacion Interamericana de
Entretenimiento S.A. (Mexico) (NON) 675,378
- ----------------------------------------------------------------------------------------------------
Food and Beverages (1.0%)
....................................................................................................
9,100 C TWO-NETWORK Co., Ltd. (Japan) 2,057,252
....................................................................................................
6,600 Cheil Jedang Corp. (South Korea) 761,762
....................................................................................................
38,800 Coca-Cola Femsa S.A. ADR (Mexico) 681,425
- ----------------------------------------------------------------------------------------------------
3,500,439
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (6.4%)
....................................................................................................
36,288 Aegon N.V. (Netherlands) 3,500,899
....................................................................................................
323,524 Mediolanum SPA (Italy) 4,231,047
....................................................................................................
426,000 Nikko Securities Co. Ltd. (Japan) 5,390,664
....................................................................................................
417,600 Old Mutual PLC 144A (United Kingdom) 1,136,686
....................................................................................................
221,331 Prudential Corp. PLC (United Kingdom) 4,361,965
....................................................................................................
157,667 Skandia Forsakrings AB (Sweden) 4,764,026
- ----------------------------------------------------------------------------------------------------
23,385,287
- ----------------------------------------------------------------------------------------------------
Machinery (0.5%)
....................................................................................................
42,300 THK Co., Ltd. (Japan) 1,709,718
- ----------------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
....................................................................................................
84,800 Sasol Ltd. (South Africa) 697,175
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (2.1%)
....................................................................................................
68,390 Sanofi-Synthelabo SA (France) (NON) 2,844,206
....................................................................................................
322,861 Smithkline Beecham PLC ADR
(United Kingdom) 4,120,242
....................................................................................................
15,000 Takeda Chemical Industries (Japan) 741,339
- ----------------------------------------------------------------------------------------------------
7,705,787
- ----------------------------------------------------------------------------------------------------
Publishing (1.3%)
....................................................................................................
96,404 Class Editori (Italy) 1,677,796
....................................................................................................
36,887 EMAP PLC (United Kingdom) 762,717
....................................................................................................
228,367 Trinity PLC (United Kingdom) 2,438,456
- ----------------------------------------------------------------------------------------------------
4,878,969
- ----------------------------------------------------------------------------------------------------
Restaurants (0.7%)
....................................................................................................
217,050 Autogrill SpA (Italy) 2,729,404
- ----------------------------------------------------------------------------------------------------
Retail (3.6%)
....................................................................................................
1,099,700 Migros Turk T.A.S. (Turkey) 710,007
....................................................................................................
19,200 Ryohin Keikaku Co. Ltd. (Japan) 3,853,905
....................................................................................................
24,000 Seven-Eleven Japan Co., Ltd. (Japan) 3,805,050
....................................................................................................
13,100 Shimamura Co., Ltd. (Japan) 2,076,923
....................................................................................................
21,100 Tsuruha Co., Ltd. (Japan) 2,787,728
- ----------------------------------------------------------------------------------------------------
13,233,613
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.5%)
....................................................................................................
14,100 Gilat Satellite Networks Ltd. (Israel) 1,674,375
- ----------------------------------------------------------------------------------------------------
Semiconductors (5.0%)
....................................................................................................
20,100 Ase Test Limited (Taiwan) 489,938
....................................................................................................
87,200 Chartered Semiconductor
Manufacturing (Singapore) (NON) 476,875
....................................................................................................
10,600 Rohm Co. Ltd. (Japan) 4,357,017
....................................................................................................
30,895 STMicroelectronics (France) 4,749,081
....................................................................................................
451,990 Taiwan Semiconductor
Manufacturing Co. (Taiwan) 2,405,428
....................................................................................................
41,000 Tokyo Electron Ltd. (Japan) 5,617,538
- ----------------------------------------------------------------------------------------------------
18,095,877
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (--%)
....................................................................................................
40 Tomy Co. Ltd. (Japan) 2,689
- ----------------------------------------------------------------------------------------------------
Telecommunications (15.8%)
....................................................................................................
107,600 Carso Global Telecom (Mexico) 1,012,304
....................................................................................................
181,613 Colt Telecom Group PLC
(United Kingdom) (NON) 9,297,137
....................................................................................................
2,900 Hikari Tsushin, Inc. (Japan) 5,818,164
....................................................................................................
142,208 KPNQwest N.V. (Netherlands) (NON) 9,456,348
....................................................................................................
14,000 Matsushita Communication
Industrial Co., Ltd. (Japan) 3,699,354
....................................................................................................
58,220 Nortel Networks Corp. (Canada) (NON) 5,867,054
....................................................................................................
147,300 Orange PLC ADR (United Kingdom) (NON) 4,973,122
....................................................................................................
67,995 Oy Nokia AB Class A (Finland) 12,312,535
....................................................................................................
77,597 Sonera Group OYJ (Finland) 5,312,159
- ----------------------------------------------------------------------------------------------------
57,748,177
- ----------------------------------------------------------------------------------------------------
Telephone Services (5.2%)
....................................................................................................
3,085 Dacom Corp. (South Korea) 1,590,066
....................................................................................................
46,500 Hellenic Telecommunication
Organization SA ADR (Greece) 555,094
....................................................................................................
4,500 Korea Telecom Corp. (South Korea) 709,692
....................................................................................................
16,200 Korea Telecom Corp. ADR (South Korea) 1,210,950
....................................................................................................
14,900 Partner Communications Company Ltd. (NON) 385,538
....................................................................................................
26,950 Tele Centro Sul Participacoes
S.A. (Brazil) 2,445,713
....................................................................................................
18,650 Telefonos de Mexico S.A. ADR
Class L (Mexico) 2,098,125
....................................................................................................
1,977,068 Vodafone Group PLC (United Kingdom) 9,796,845
- ----------------------------------------------------------------------------------------------------
18,792,023
- ----------------------------------------------------------------------------------------------------
Textiles (0.3%)
....................................................................................................
425,430 Far Eastern Textile Ltd. (Taiwan) 1,016,802
- ----------------------------------------------------------------------------------------------------
Transportation (1.0%)
....................................................................................................
171,076 Bombardier, Inc. (Canada) (NON) 3,504,735
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $198,072,425) $351,182,547
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.8%) (a) (cost $2,229,248)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
9,796 Marschollek, Lautenschlaeger und
Partner AG DEM $3.05 pfd. (Germany) $2,956,433
- ----------------------------------------------------------------------------------------------------
UNITS (0.3%) (a) (cost $750,500)
- ----------------------------------------------------------------------------------------------------
Number of Units Value
....................................................................................................
3,050 Infosys Technologies Ltd. structured note
(issued by Goldman Sachs & Co.)
zero %, 2000 (India) $1,060,813
- ----------------------------------------------------------------------------------------------------
WARRANTS (--%) (a)(NON) (cost $3,519)
- ----------------------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
....................................................................................................
2,011 Cemex SA 12/13/02 $8,294
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) (a) (cost $11,138,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$11,138,000 Interest in $578,946,000 joint repurchase
agreement dated December 31, 1999
with Morgan (J.P.) & Co., Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $11,140,320 for an effective
yield of 2.50% $11,138,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $212,193,692) (b) $366,346,087
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Japanese Yen $11,634,740 $10,832,797 2/25/00 $(801,943)
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1999;
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Canada 2.6%
....................................................................................................
Finland 4.8
....................................................................................................
France 7.3
....................................................................................................
Germany 2.4
....................................................................................................
Hong Kong 1.2
....................................................................................................
Italy 7.0
....................................................................................................
Japan 29.6
....................................................................................................
Luxembourg 3.2
....................................................................................................
Mexico 3.0
....................................................................................................
Netherlands 5.3
....................................................................................................
South Korea 2.5
....................................................................................................
Sweden 2.4
....................................................................................................
Taiwan 1.9
....................................................................................................
United Kingdom 18.3
....................................................................................................
United States 3.5
....................................................................................................
Other 5.0
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Investors Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.8%)
....................................................................................................
214,300 Interpublic Group Cos. Inc. $12,362,431
....................................................................................................
45,900 Omnicom Group, Inc. 4,590,000
- ----------------------------------------------------------------------------------------------------
16,952,431
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (--%)
....................................................................................................
1 Honeywell International Inc. 29
- ----------------------------------------------------------------------------------------------------
Banks (3.5%)
....................................................................................................
23,400 Comerica, Inc. 1,092,488
....................................................................................................
120,700 Fifth Third Bancorp 8,856,363
....................................................................................................
159,200 First Security Corp. 4,064,575
....................................................................................................
411,400 Firstar Corp. 8,690,825
....................................................................................................
46,600 Northern Trust Corp. 2,469,800
....................................................................................................
141,600 Wells Fargo Co. 5,725,950
....................................................................................................
53,200 Zions Bancorp 3,148,775
- ----------------------------------------------------------------------------------------------------
34,048,776
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.3%)
....................................................................................................
166,000 CBS Corp. 10,613,625
....................................................................................................
149,900 Clear Channel Communications, Inc. 13,378,575
....................................................................................................
162,200 Comcast Corp. Class A 8,201,238
- ----------------------------------------------------------------------------------------------------
32,193,438
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.9%)
....................................................................................................
22,400 Avery Dennison Corp. 1,632,400
....................................................................................................
121,600 BMC Software, Inc. 9,720,400
....................................................................................................
229,400 Cisco Systems, Inc. 24,574,475
....................................................................................................
108,400 EMC Corp. 11,842,700
- ----------------------------------------------------------------------------------------------------
47,769,975
- ----------------------------------------------------------------------------------------------------
Chemicals (0.7%)
....................................................................................................
125,200 Praxair, Inc. 6,299,125
- ----------------------------------------------------------------------------------------------------
Computer Equipment (2.1%)
....................................................................................................
36,400 Lexmark International Group, Inc.
Class A 3,294,200
....................................................................................................
212,000 Sun Microsystems, Inc. 16,416,750
- ----------------------------------------------------------------------------------------------------
19,710,950
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (10.9%)
....................................................................................................
79,900 Apple Computer, Inc. 8,214,719
....................................................................................................
41,200 Comverse Technology, Inc. 5,963,700
....................................................................................................
194,500 Dell Computer Corp. 9,919,500
....................................................................................................
67,200 Electronic Data Systems Corp. 4,498,200
....................................................................................................
398,800 Microsoft Corp. (SEG) 46,559,900
....................................................................................................
127,600 Oracle Corp. 14,299,175
....................................................................................................
34,850 VERITAS Software Corp. 4,987,906
....................................................................................................
25,389 Yahoo! Inc. 10,985,503
- ----------------------------------------------------------------------------------------------------
105,428,603
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.7%)
....................................................................................................
40,200 Corning Inc. 5,183,288
....................................................................................................
555,300 Tyco International Ltd. 21,587,288
....................................................................................................
130,900 United Technologies Corp. 8,508,500
- ----------------------------------------------------------------------------------------------------
35,279,076
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (2.5%)
....................................................................................................
144,700 Colgate-Palmolive Co. 9,405,500
....................................................................................................
163,300 Estee Lauder Cos. Class A 8,236,444
....................................................................................................
95,300 Kimberly-Clark Corp. 6,218,325
- ----------------------------------------------------------------------------------------------------
23,860,269
- ----------------------------------------------------------------------------------------------------
Consumer Services (2.3%)
....................................................................................................
39,400 Amazon.com, Inc. 2,999,325
....................................................................................................
257,000 America Online, Inc. 19,387,438
- ----------------------------------------------------------------------------------------------------
22,386,763
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (12.7%)
....................................................................................................
75,700 Applied Materials, Inc. 9,590,244
....................................................................................................
259,100 General Electric Co. 40,095,725
....................................................................................................
137,900 Intel Corp. 11,350,894
....................................................................................................
174,300 Motorola, Inc. 25,665,675
....................................................................................................
42,900 Rockwell International Corp. 2,053,838
....................................................................................................
118,900 Solectron Corp. 11,310,363
....................................................................................................
173,200 Tandy Corp. 8,519,275
....................................................................................................
85,400 Texas Instruments, Inc. 8,273,125
....................................................................................................
140,400 Xilinx, Inc. 6,383,813
- ----------------------------------------------------------------------------------------------------
123,242,952
- ----------------------------------------------------------------------------------------------------
Entertainment (3.4%)
....................................................................................................
58,200 Carnival Corp. Class A 2,782,688
....................................................................................................
171,600 Time Warner, Inc. 12,430,275
....................................................................................................
283,700 Viacom, Inc. Class B 17,146,119
- ----------------------------------------------------------------------------------------------------
32,359,082
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.9%)
....................................................................................................
67,600 Anheuser-Busch Cos., Inc. 4,791,150
....................................................................................................
107,400 SYSCO Corp. 4,249,013
- ----------------------------------------------------------------------------------------------------
9,040,163
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (7.4%)
....................................................................................................
71,300 American Express Co. 11,853,625
....................................................................................................
89,100 American General Corp. 6,760,463
....................................................................................................
165,225 American International Group, Inc. 17,864,953
....................................................................................................
96,900 Capital One Financial Corp. 4,669,369
....................................................................................................
379,600 Citigroup, Inc. 21,091,525
....................................................................................................
55,200 Lincoln National Corp. 2,208,000
....................................................................................................
80,700 Providian Financial Corp. 7,348,744
- ----------------------------------------------------------------------------------------------------
71,796,679
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
....................................................................................................
49,000 Bausch & Lomb, Inc. 3,353,438
- ----------------------------------------------------------------------------------------------------
Oil and Gas (4.8%)
....................................................................................................
97,900 Burlington Resources Inc. 3,236,819
....................................................................................................
317,900 Conoco, Inc. 7,868,025
....................................................................................................
280,800 Enron Corp. 12,460,500
....................................................................................................
171,700 Exxon Mobil Corp. 13,832,581
....................................................................................................
143,500 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 8,672,781
- ----------------------------------------------------------------------------------------------------
46,070,706
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.3%)
....................................................................................................
60,400 Sealed Air Corp. 3,129,475
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
....................................................................................................
59,900 Weyerhaeuser Co. 4,301,569
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (8.1%)
....................................................................................................
67,600 Allergan, Inc. 3,363,100
....................................................................................................
169,900 Amgen Inc. 10,204,619
....................................................................................................
48,700 Biogen, Inc. 4,115,150
....................................................................................................
146,000 Bristol-Myers Squibb Co. 9,371,375
....................................................................................................
27,200 Genentech, Inc. 3,658,400
....................................................................................................
40,100 Immunex Corp. 4,390,950
....................................................................................................
148,700 Johnson & Johnson 13,847,688
....................................................................................................
345,500 Schering-Plough Corp. 14,575,781
....................................................................................................
183,300 Warner-Lambert Co. 15,019,144
- ----------------------------------------------------------------------------------------------------
78,546,207
- ----------------------------------------------------------------------------------------------------
Retail (7.9%)
....................................................................................................
22,000 Costco Wholesale Corp. 2,007,500
....................................................................................................
127,000 CVS Corp. 5,072,063
....................................................................................................
132,100 Dayton Hudson Corp. 9,701,094
....................................................................................................
398,250 Home Depot, Inc. (The) 27,305,016
....................................................................................................
378,200 TJX Cos., Inc. (The) 7,729,463
....................................................................................................
363,600 Wal-Mart Stores, Inc. 25,133,850
- ----------------------------------------------------------------------------------------------------
76,948,986
- ----------------------------------------------------------------------------------------------------
Telecommunications (8.1%)
....................................................................................................
116,200 ALLTEL Corp. 9,608,288
....................................................................................................
60,600 JDS Uniphase Corp. 9,775,538
....................................................................................................
251,500 Lucent Technologies, Inc. 18,815,344
....................................................................................................
96,000 MCI WorldCom, Inc. 5,094,000
....................................................................................................
88,400 NEXTEL Communications, Inc. Class A 9,116,250
....................................................................................................
30,000 Omnipoint Corp. 3,618,750
....................................................................................................
95,900 QUALCOMM, Inc. 16,890,388
....................................................................................................
27,800 Tellabs, Inc. 1,784,413
....................................................................................................
27,100 VoiceStream Wireless Corp. 3,856,669
- ----------------------------------------------------------------------------------------------------
78,559,640
- ----------------------------------------------------------------------------------------------------
Telephone Services (4.0%)
....................................................................................................
214,200 SBC Communications, Inc. 10,442,250
....................................................................................................
306,100 Sprint Corp. 20,604,285
....................................................................................................
75,000 Sprint PCS 7,687,500
- ----------------------------------------------------------------------------------------------------
38,734,035
- ----------------------------------------------------------------------------------------------------
Utilities (2.2%)
....................................................................................................
384,300 AT&T Corp. 21,809,025
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $705,892,049) $931,821,392
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (1.6%) (a) (cost $6,745,014)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
83,900 Nokia Corp. ADR (Finland) $15,941,000
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.1%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$25,000,000 Interest in $520,132,000 joint repurchase
agreement dated 12/31/99 with Morgan
Stanley & Co. Inc. due 1/3/00 with
respect to various U.S. Treasury
obligations -- maturity value of
$25,005,146 for an effective
yield of 2.47% $25,000,000
....................................................................................................
24,014,000 Interest in $578,946,000 joint repurchase
agreement dated 12/31/99 with
J. P. Morgan, NY due 1/3/00 with
respect to various U.S. Treasury
obligations -- maturity value of
$24,019,003 for an effective
yield of 2.50% 24,014,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $49,014,000) $49,014,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $761,651,063) (b) $996,776,392
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500 Index
(Short) $8,905,200 $8,613,820 Mar-00 $291,380
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Money Market Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMERCIAL PAPER (84.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
....................................................................................................
<S> <C> <C> <C> <C>
Domestic (59.9%) (a)
- ----------------------------------------------------------------------------------------------------
$5,000,000 Aegon Funding Corp. 5.98s 2/14/00 $4,962,625
....................................................................................................
4,000,000 Aegon Funding Corp. 5.91s 3/7/00 3,956,003
....................................................................................................
23,000,000 Aegon Funding Corp. 5.76s 3/29/00 22,672,727
....................................................................................................
7,000,000 American General
Finance Corp. 6.4s 2/1/00 6,960,178
....................................................................................................
6,600,000 Asset Securitization
Cooperative Corp. 6.25s 1/19/00 6,578,229
....................................................................................................
5,300,000 Asset Securitization
Cooperative Corp. 5.95s 1/27/00 5,276,349
....................................................................................................
5,000,000 Asset Securitization
Cooperative Corp. 5.93s 1/28/00 4,976,939
....................................................................................................
3,760,000 Associates First Capital
Corp. 4.05s 1/3/00 3,758,731
....................................................................................................
5,000,000 Bank of America FSB 5.82s 3/7/00 4,945,842
....................................................................................................
5,000,000 Chevron Transport Corp. 5.7s 2/24/00 4,956,458
....................................................................................................
30,000,000 CIT Group 4.75s 1/3/00 29,988,125
....................................................................................................
4,000,000 COFCO Capital Corp.
(Bank of America NT &
SA (LOC)) 6.05s 3/14/00 3,950,256
....................................................................................................
7,000,000 Corporate Receivables
Corp. 6s 2/25/00 6,934,667
....................................................................................................
10,000,000 Corporate Receivables
Corp. 5.9s 1/21/00 9,965,583
....................................................................................................
7,000,000 Corporate Receivables
Corp. 5.88s 1/27/00 6,969,130
....................................................................................................
6,000,000 CXC Inc. 6.9s 1/13/00 5,984,833
....................................................................................................
5,000,000 CXC Inc. 6s 3/9/00 4,942,500
....................................................................................................
10,000,000 CXC Inc. 5.95s 2/29/00 9,900,833
....................................................................................................
5,000,000 CXC Inc. 5.9s 2/3/00 4,972,139
....................................................................................................
6,173,000 Delaware Funding Corp. 6.1s 1/26/00 6,145,805
....................................................................................................
10,000,000 Delaware Funding Corp. 5.91s 2/18/00 9,919,558
....................................................................................................
4,000,000 Delaware Funding Corp. 5.8s 2/25/00 3,963,911
....................................................................................................
7,000,000 Eureka Securitization Inc. 5.8s 2/22/00 7,000,000
....................................................................................................
12,000,000 Falcon Asset
Securitization Corp. 6.6s 1/7/00 11,984,357
....................................................................................................
6,600,000 Falcon Asset
Securitization Corp. 6.37s 1/14/00 6,583,650
....................................................................................................
6,000,000 Fleet Financial Group 5.75s 2/25/00 5,946,333
....................................................................................................
4,500,000 Formosa Plastics Corp. (Bank of
America NT & SA (LOC)) 6s 3/17/00 4,442,250
....................................................................................................
5,000,000 Formosa Plastics Corp. (Bank of
America NT & SA (LOC)) 5.95s 3/23/00 4,931,410
....................................................................................................
15,500,000 Formosa Plastics Corp. (Bank of
America NT & SA (LOC)) 5.93s 3/23/00 15,288,085
....................................................................................................
10,000,000 General Electric
Capital Corp. 5.97s 2/8/00 9,935,325
....................................................................................................
17,000,000 General Electic
Capital Corp. 5.94s 2/15/00 16,870,970
....................................................................................................
10,000,000 Goldman Sachs 6.4s 1/28/00 9,950,222
....................................................................................................
7,000,000 Goldman Sachs 5.99s 2/23/00 6,937,105
....................................................................................................
8,000,000 Goldman Sachs 5.98s 2/24/00 7,926,911
....................................................................................................
5,000,000 IBM Credt Corporation 6.25s 1/19/00 4,983,507
....................................................................................................
10,000,000 Lehman Brothers Holdings 6.15s 3/20/00 9,863,333
....................................................................................................
7,300,000 Lehman Brothers Holdings 6.1s 2/28/00 7,227,020
....................................................................................................
10,000,000 Merrill Lynch & Co., Inc. 6.07s 3/3/00 9,893,775
....................................................................................................
7,000,000 Merrill Lynch & Co., Inc. 5.88s 2/11/00 6,951,980
....................................................................................................
10,000,000 Merrill Lynch & Co., Inc. 5.85s 1/20/00 9,967,500
....................................................................................................
7,000,000 Merrill Lynch & Co., Inc. 5.6s 1/31/00 6,966,244
....................................................................................................
10,000,000 Metlife Funding 6.08s 2/29/00 9,898,667
....................................................................................................
10,000,000 Metlife Funding 5.86s 1/25/00 9,959,306
....................................................................................................
6,700,000 Morgan Stanley Dean
Witter & Co. 6.1s 1/12/00 6,686,377
....................................................................................................
6,000,000 Morgan Stanley Dean
Witter & Co. 6.01s 2/7/00 5,961,937
....................................................................................................
5,000,000 Morgan Stanley Dean
Witter & Co. 5.43s 2/4/00 4,973,604
....................................................................................................
12,968,000 Park Avenue Receivables
Corp. 6s 1/18/00 12,929,096
....................................................................................................
7,000,000 Park Avenue Receivables
Corp. 5.97s 1/24/00 6,972,140
....................................................................................................
3,039,000 Park Avenue Receivables
Corp. 5.91s 2/11/00 3,018,046
....................................................................................................
5,000,000 PNC Funding Corp. 6.13s 1/24/00 4,979,567
....................................................................................................
8,000,000 PNC Funding Corp. 5.9s 2/17/00 7,937,067
....................................................................................................
10,000,000 Preferred Receivables
Funding Corp. 5.95s 2/1/00 9,947,111
....................................................................................................
12,540,000 Preferred Receivables
Funding Corp. 5.87s 1/31/00 12,475,968
....................................................................................................
7,500,000 Sheffield Receivables Corp. 6.1s 1/26/00 7,466,958
....................................................................................................
4,000,000 Sheffield Receivables Corp. 6s 3/10/00 3,953,333
....................................................................................................
3,000,000 Sheffield Receivables Corp. 5.94s 2/2/00 2,982,263
....................................................................................................
5,000,000 Sheffield Receivables Corp. 5.93s 2/4/00 4,971,125
....................................................................................................
4,500,000 Sigma Finance Inc. 5.91s 2/3/00 4,474,883
....................................................................................................
7,000,000 Sigma Finance Inc. 5.82s 5/31/00 6,827,987
....................................................................................................
8,000,000 Sigma Finance Inc. 5.569s 4/28/00 8,000,000
....................................................................................................
6,000,000 USAA Capital Corp. 6.25s 2/2/00 5,965,625
....................................................................................................
7,000,000 Wal-Mart Stores Inc. 6.55s 1/5/00 6,993,632
....................................................................................................
10,000,000 Windmill Funding Corp. 6.33s 1/4/00 9,992,967
....................................................................................................
10,000,000 Windmill Funding Corp. 6.2s 1/20/00 9,965,556
....................................................................................................
8,000,000 Windmill Funding Corp. 6.02s 1/6/00 7,991,973
....................................................................................................
6,000,000 Windmill Funding Corp. 5.86s 1/14/00 5,986,327
- ----------------------------------------------------------------------------------------------------
517,642,913
- ----------------------------------------------------------------------------------------------------
Foreign (24.7%) (a)
- ----------------------------------------------------------------------------------------------------
8,000,000 Abbey National North
America Corp. 6.22s
(United Kingdom) 1/5/00 7,993,089
....................................................................................................
5,000,000 Banca Serfin, (Barclays (LOC))
S.A. 6.07s (United Kingdom) 6/9/00 4,864,268
....................................................................................................
4,500,000 Banco Bradesco S.A. (Barclays
(LOC)) 5.98s (United Kingdom) 9/28/00 4,296,680
....................................................................................................
9,200,000 Bank of Nova Scotia
6.2s (Canada) 1/11/00 9,182,571
....................................................................................................
8,000,000 CBA Delaware Finance
5.97s (Australia) 2/2/00 7,956,220
....................................................................................................
7,000,000 CBA Delaware Finance
5.94s (Australia) 3/13/00 6,915,685
....................................................................................................
7,000,000 Corporation Andina de
Fomenio (Barclays (LOC))
6.45s (United Kingdom) 1/13/00 6,983,696
....................................................................................................
7,000,000 Credit Suisse First Boston 5.8s
(Switzerland) 2/10/00 6,953,761
....................................................................................................
5,000,000 Credit Suisse First Boston 5.7s
(Switzerland) 2/9/00 4,968,333
....................................................................................................
6,000,000 Credit Suisse First Boston Intl.
Guernsey 5.82s (Switzerland) 2/14/00 5,956,350
....................................................................................................
3,000,000 Credit Suisse First Boston Intl.
Guernsey 5.8s (Switzerland) 3/2/00 2,970,033
....................................................................................................
10,000,000 Credit Suisse First Boston Intl.
Guernsey 5.79s (Switzerland) 3/6/00 9,893,850
....................................................................................................
8,400,000 DaimlerChrysler NA Holding
Corp. 6.45s (Germany) 2/4/00 8,347,325
....................................................................................................
5,300,000 DaimlerChrysler NA Holding
Corp. 5.9s (Germany) 2/23/00 5,253,095
....................................................................................................
10,000,000 Den Danske Corp. Inc.
6.2s (Denmark) 1/10/00 9,982,778
....................................................................................................
4,500,000 Den Danske Corp. Inc.
5.86s (Denmark) 2/17/00 4,464,840
....................................................................................................
6,000,000 ED & F Man Finance Inc.
(Rabobank New York (LOC))
6.25s (Netherlands) 2/18/00 5,948,958
....................................................................................................
5,000,000 ED & F Man Finance Inc.
(Rabobank New York (LOC))
6.1s (Netherlands) 3/14/00 4,937,306
....................................................................................................
6,000,000 National Australia Funding
5.945s (Australia) 2/7/00 5,962,348
....................................................................................................
11,163,000 Nordbanken NA Inc.
6.03s (Sweden) 2/7/00 11,093,398
....................................................................................................
10,000,000 Petrobras International
Finance Co. (Barclays (LOC))
6.8s (United Kingdom) 1/12/00 9,977,333
....................................................................................................
7,000,000 Svenska Handelsbanken
6s (Sweden) 2/3/00 6,960,333
....................................................................................................
6,000,000 Svenska Handelsbanken
5.92s (Sweden) 3/2/00 5,938,827
....................................................................................................
9,000,000 Trans Gas De Sur S.A.
(Dresdner Bank AG (LOC))
6s (Germany) 3/28/00 8,868,000
....................................................................................................
10,000,000 Trans Gas De Sur S.A.
(Dresdner Baank AG (LOC))
5.99s (Germany) 3/27/00 9,855,242
....................................................................................................
25,000,000 UBS DE 3.5s (Switzerland) 1/3/00 24,989,583
....................................................................................................
8,000,000 Unibanco-Uniao de Bancos
Brasileiros, S.A. (Barclays (LOC))
5.95s (United Kingdom) 4/19/00 7,854,311
....................................................................................................
4,000,000 Unibanco-Grand Cayman
(WestDeutscke Landesbank
(LOC)) 5.4s (Germany) 7/13/00 3,883,000
- ----------------------------------------------------------------------------------------------------
213,251,213
- ----------------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $730,894,126) $730,894,126
- ----------------------------------------------------------------------------------------------------
CERTIFICATE OF DEPOSIT (9.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,000,000 ABN AMRO Bank N. V.
5.7s (Netherlands) 7/10/00 $5,998,455
....................................................................................................
6,000,000 Bank of Nova Scotia
5.57s (Canada) 6/12/00 5,999,208
....................................................................................................
5,000,000 Bayerische Hypo- und
Vereinsbank AG
5.15s (Germany) 4/20/00 4,999,267
....................................................................................................
9,500,000 Bayerische Landesbank
Girozentrale 5.115s (Germany) 3/21/00 9,492,871
....................................................................................................
5,000,000 Canadian Imperial Bank Of
Commerce 5.12s (Canada) 2/23/00 4,999,644
....................................................................................................
6,000,000 Chase Manhattan Corp. 5.61s 2/15/00 6,000,000
....................................................................................................
5,000,000 Commerzbank AG
5.65s (Germany) 6/26/00 4,999,042
....................................................................................................
5,000,000 Commerzbank AG
5.265s (Germany) 5/18/00 4,999,084
....................................................................................................
6,000,000 Commerzbank AG
5.22s (Germany) 5/12/00 5,998,948
....................................................................................................
5,000,000 Commerzbank AG
5.09s (Germany) 2/16/00 4,999,814
....................................................................................................
4,000,000 Deutsche Bank 5.36s (Germany) 5/22/00 3,999,227
....................................................................................................
5,000,000 Deutsche Bank 5.07s (Germany) 1/13/00 4,999,948
....................................................................................................
5,000,000 Deutsche Bank 5.06s (Germany) 2/8/00 4,999,794
....................................................................................................
5,000,000 Rabobank Nederland
5.29s (Netherlands) 5/19/00 4,998,985
....................................................................................................
5,000,000 UBS AG 5.48s (Switzerland) 6/2/00 4,999,190
- ----------------------------------------------------------------------------------------------------
Total Certificate of Deposit
(cost $82,483,477) $82,483,477
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (4.6%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,000,000 Abbey National Treasury Service
bank guaranteed 4.955s
(United Kingdom) 5/1/00 $5,996,100
....................................................................................................
7,000,000 Bank One Corp. sr. notes Ser. B,
FRN, 6.115s 10/5/00 6,997,391
....................................................................................................
6,000,000 Bank One Corp. sr. notes Ser. B,
FRN, 5.488s 11/17/00 5,998,938
....................................................................................................
6,000,000 Goldman Sachs Group Inc.
notes Ser. B, 6s 8/7/00 6,000,000
....................................................................................................
5,000,000 National Rural Utilities
notes Ser. C, 5.476s 6/26/00 5,000,000
....................................................................................................
5,000,000 Wal-Mart Stores, Inc. notes 5.85s 6/1/00 4,996,409
....................................................................................................
5,000,000 Wells Fargo & Co. notes
Ser. J, 5.31s 3/31/00 4,998,080
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $39,986,918) $39,986,918
- ----------------------------------------------------------------------------------------------------
U. S. GOVERNMENT & AGENCY OBLIGATIONS (0.7%) (a)
(cost $5,943,700)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$6,000,000 Federal Farm Credit Bank 5.63s
2/29/00 $5,943,700
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $859,308,221) (b) $859,308,221
- ----------------------------------------------------------------------------------------------------
Diversification by Country
- ----------------------------------------------------------------------------------------------------
Distribution of investments by country of issue at
December 31, 1999: (as percentage of Market Value)
- ----------------------------------------------------------------------------------------------------
Australia 2.4%
....................................................................................................
Canada 2.3
....................................................................................................
Denmark 1.7
....................................................................................................
Germany 10.0
....................................................................................................
Netherlands 2.5
....................................................................................................
Sweden 2.8
....................................................................................................
Switzerland 7.1
....................................................................................................
United Kingdom 5.6
....................................................................................................
United States 65.6
- ----------------------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT New Opportunities Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (97.2%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising and Marketing Services (1.1%)
....................................................................................................
152,680 DoubleClick, Inc. (NON) $38,637,583
....................................................................................................
49,600 Engage Technologies, Inc. (NON) 2,976,000
....................................................................................................
493,830 Lamar Advertising Co. (NON) 29,907,579
- ----------------------------------------------------------------------------------------------------
71,521,162
- ----------------------------------------------------------------------------------------------------
Airlines (0.2%)
....................................................................................................
263,420 Ryanair Holdings, PLC ADR (Ireland) (NON) 14,521,028
- ----------------------------------------------------------------------------------------------------
Banking (1.5%)
....................................................................................................
817,800 Citigroup, Inc. 45,439,013
....................................................................................................
144,900 Firstar Corp. 3,061,013
....................................................................................................
659,400 National Commerce Bancorporation 14,960,138
....................................................................................................
525,720 TCF Financial Corp. 13,077,285
....................................................................................................
366,900 Zions Bancorp 21,715,894
- ----------------------------------------------------------------------------------------------------
98,253,343
- ----------------------------------------------------------------------------------------------------
Biotechnology (2.2%)
....................................................................................................
856,400 Amgen Inc. (NON) 51,437,525
....................................................................................................
115,500 Biogen, Inc. 9,759,750
....................................................................................................
157,100 Biovail Corp. International (Canada) (NON) 14,728,125
....................................................................................................
160,700 Genentech, Inc. (NON) 21,614,150
....................................................................................................
196,600 QLT PhotoTherapeutics Inc. (Canada) (NON) 11,550,250
....................................................................................................
233,060 Sepracor, Inc. (NON) 23,116,639
....................................................................................................
216,400 Transkaryotic Therapies, Inc. (Malaysia) (NON) 8,331,400
- ----------------------------------------------------------------------------------------------------
140,537,839
- ----------------------------------------------------------------------------------------------------
Broadcasting (9.2%)
....................................................................................................
980,180 AMFM, Inc. (NON) 76,699,085
....................................................................................................
1,710,460 CBS Corp. (NON) 109,362,536
....................................................................................................
178,010 Citadel Communications Corp. (NON) 11,548,399
....................................................................................................
1,888,100 Clear Channel Communications, Inc. (NON) (SEG) 168,512,925
....................................................................................................
237,200 Echostar Communications Corp.
Class A (NON) 23,127,000
....................................................................................................
278,380 Entercom Communications Corp. (NON) 18,373,080
....................................................................................................
179,790 Hispanic Broadcasting Corp. (NON) 16,580,009
....................................................................................................
2,982,532 Infinity Broadcating Corp. Class A (NON) 107,930,377
....................................................................................................
399,400 Univision Communications Inc. Class A (NON) 40,813,688
....................................................................................................
325,810 WestWood One, Inc. (NON) 24,761,560
- ----------------------------------------------------------------------------------------------------
597,708,659
- ----------------------------------------------------------------------------------------------------
Cable Television (3.8%)
....................................................................................................
337,428 Adelphia Communications Corp.
Class A (NON) 22,143,713
....................................................................................................
2,978,890 AT&T Corp. - Liberty Media Group
Class A (NON) 169,052,008
....................................................................................................
764,900 Comcast Corp. Class A 38,675,256
....................................................................................................
302,520 USA Networks, Inc. (NON) 16,714,230
- ----------------------------------------------------------------------------------------------------
246,585,207
- ----------------------------------------------------------------------------------------------------
Capital Equipment (2.7%)
....................................................................................................
482,700 Applied Materials, Inc. (NON) 61,152,056
....................................................................................................
326,420 ASM Lithography Holding N.V.
(Netherlands) (NON) 37,130,275
....................................................................................................
379,660 KLA Tencor Corp. (NON) 42,284,633
....................................................................................................
560,900 Teradyne, Inc. (NON) 37,019,400
- ----------------------------------------------------------------------------------------------------
177,586,364
- ----------------------------------------------------------------------------------------------------
Communications Equipment (9.3%)
....................................................................................................
396,350 ADC Telecommunications Inc. (NON) 28,760,147
....................................................................................................
386,900 Advanced Fibre Communications (NON) 17,289,594
....................................................................................................
49,784 Brocade Communications Systems (NON) 8,811,768
....................................................................................................
174,600 CIENA Corp. (NON) 10,039,500
....................................................................................................
784,800 Cisco Systems, Inc. (NON) 84,071,700
....................................................................................................
391,300 Comverse Technology, Inc. (NON) 56,640,675
....................................................................................................
92,400 Extreme Networks, Inc. (NON) 7,715,400
....................................................................................................
54,600 Juniper Networks, Inc. (NON) 18,564,000
....................................................................................................
729,500 Lucent Technologies, Inc. 54,575,719
....................................................................................................
590,500 Nokia Corp. ADR (Finland) 112,195,000
....................................................................................................
1,008,192 QUALCOMM, Inc. (NON) 177,567,816
....................................................................................................
119,961 Reback Networks, Inc. (NON) 21,293,078
....................................................................................................
100,700 Tellabs, Inc. (NON) 6,463,681
- ----------------------------------------------------------------------------------------------------
603,988,078
- ----------------------------------------------------------------------------------------------------
Computers (3.5%)
....................................................................................................
505,100 Dell Computer Corp. (NON) 25,760,100
....................................................................................................
602,100 EMC Corp. (NON) 65,779,425
....................................................................................................
293,380 Network Appliance, Inc. (NON) 24,368,876
....................................................................................................
1,393,000 Sun Microsystems, Inc. (NON) 107,870,438
....................................................................................................
7,900 VA Linux Systems, Inc. (NON) 1,632,338
- ----------------------------------------------------------------------------------------------------
225,411,177
- ----------------------------------------------------------------------------------------------------
Conglomerates (3.1%)
....................................................................................................
917,700 General Electric Co. 142,014,075
....................................................................................................
1,558,800 Tyco International Ltd. 60,598,350
- ----------------------------------------------------------------------------------------------------
202,612,425
- ----------------------------------------------------------------------------------------------------
Consumer Finance (0.2%)
....................................................................................................
414,260 Finova Group, Inc. 14,706,230
....................................................................................................
51,190 NextCard, Inc. (NON) 1,478,111
- ----------------------------------------------------------------------------------------------------
16,184,341
- ----------------------------------------------------------------------------------------------------
Consumer Goods (0.8%)
....................................................................................................
322,400 Colgate-Palmolive Co. 20,956,000
....................................................................................................
575,800 Estee Lauder Cos. Class A 29,041,913
- ----------------------------------------------------------------------------------------------------
49,997,913
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.4%)
....................................................................................................
37,400 Chemdex Corp. (NON) 4,151,400
....................................................................................................
7,900 Freemarkets, Inc. (NON) 2,696,369
....................................................................................................
120,600 Stamps.com Inc. (NON) 5,019,975
....................................................................................................
104,520 TMP Worldwide Inc. (NON) 14,841,840
- ----------------------------------------------------------------------------------------------------
26,709,584
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.5%)
....................................................................................................
495,600 Calpine Corp. (NON) 31,718,400
- ----------------------------------------------------------------------------------------------------
Electronics (14.4%)
....................................................................................................
259,000 Altera Corp. (NON) 12,836,688
....................................................................................................
623,500 Analog Devices, Inc. (NON) 57,985,500
....................................................................................................
209,280 Applied Micro Circuits Corp. (NON) 26,630,880
....................................................................................................
72,000 Broadcom Corp. (NON) 19,611,000
....................................................................................................
1,272,960 Celestica Inc. (Canada) (NON) 70,649,280
....................................................................................................
451,330 E-Tek Dynamics, Inc. (NON) 60,760,301
....................................................................................................
753,600 Flextronics International Ltd. (NON) 34,665,600
....................................................................................................
446,000 Intel Corp. 36,711,375
....................................................................................................
424,170 Jabil Circuit, Inc. (NON) 30,964,410
....................................................................................................
873,380 JDS Uniphase Corp. (NON) 140,887,111
....................................................................................................
704,230 Linear Technology Corp. 50,396,459
....................................................................................................
1,219,180 Maxim Integrated Products Inc. (NON) 57,530,056
....................................................................................................
232,480 Micrel, Inc. (NON) 13,236,830
....................................................................................................
493,600 Motorola, Inc. 72,682,600
....................................................................................................
231,440 PMC-Sierra, Inc. (NON) 37,102,725
....................................................................................................
12,806 QLogic Corp. (NON) 2,047,359
....................................................................................................
126,800 RF Micro Devices, Inc. (NON) 8,677,875
....................................................................................................
268,500 Sanmina Corp. (NON) 26,816,438
....................................................................................................
55,500 Sawtek Inc. (NON) 3,694,219
....................................................................................................
174,400 SDL, Inc. (NON) 38,019,200
....................................................................................................
434,370 Solectron Corp. (NON) 41,319,446
....................................................................................................
538,300 Texas Instruments, Inc. 52,147,805
....................................................................................................
215,500 Vitesse Semiconductor Corp. (NON) 11,300,281
....................................................................................................
659,500 Xilinx, Inc. (NON) 29,986,641
- ----------------------------------------------------------------------------------------------------
936,660,079
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
327,200 International Speedway Corp. Class A 16,482,700
....................................................................................................
444,700 SFX Entertainment, Inc. Class A (NON) 16,092,581
- ----------------------------------------------------------------------------------------------------
32,575,281
- ----------------------------------------------------------------------------------------------------
Financial (0.7%)
....................................................................................................
745,940 Intuit, Inc. (NON) 44,709,779
- ----------------------------------------------------------------------------------------------------
Gaming & Lottery (0.3%)
....................................................................................................
802,500 Harrah's Entertainment, Inc. (NON) 21,216,094
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.5%)
....................................................................................................
636,100 IMS Health Inc. 17,293,969
....................................................................................................
433,250 Lincare Holdings, Inc. (NON) 15,028,359
- ----------------------------------------------------------------------------------------------------
32,322,328
- ----------------------------------------------------------------------------------------------------
Insurance (0.5%)
....................................................................................................
316,800 American International Group, Inc. 34,254,000
- ----------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (0.3%)
....................................................................................................
519,600 Schwab (Charles) Corp. 19,939,650
- ----------------------------------------------------------------------------------------------------
Lodging/Tourism (0.4%)
....................................................................................................
881,500 Extended Stay America, Inc. (NON) 6,721,438
....................................................................................................
289,630 Four Seasons Hotels, Inc. (Canada) 15,422,798
- ----------------------------------------------------------------------------------------------------
22,144,236
- ----------------------------------------------------------------------------------------------------
Media (3.0%)
....................................................................................................
19,800 About.com, Inc. (NON) 1,777,050
....................................................................................................
778,000 America Online, Inc. (NON) 58,690,375
....................................................................................................
83,000 CNET, Inc. (NON) 4,710,250
....................................................................................................
299,600 Lycos, Inc. (NON) 23,836,925
....................................................................................................
17,700 OpenTV Corp. (NON) 1,420,425
....................................................................................................
700,800 Time Warner, Inc. 50,764,200
....................................................................................................
77,400 TV Guide, Inc. (NON) 3,328,200
....................................................................................................
829,500 Viacom, Inc. Class B (NON) 50,132,906
....................................................................................................
7,200 Yahoo! Inc. (NON) 3,115,350
- ----------------------------------------------------------------------------------------------------
197,775,681
- ----------------------------------------------------------------------------------------------------
Medical Technology (0.9%)
....................................................................................................
99,700 PE Corp.-PE Biosystems Group 11,995,156
....................................................................................................
1,027,040 Sybron International Corp. (NON) 25,355,050
....................................................................................................
389,200 Waters Corp. (NON) 20,627,600
- ----------------------------------------------------------------------------------------------------
57,977,806
- ----------------------------------------------------------------------------------------------------
Natural Gas Utilities (0.3%)
....................................................................................................
529,600 Williams Cos., Inc. 16,185,900
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (2.0%)
....................................................................................................
512,600 Elan Corp. PLC ADR (Ireland) (NON) 15,121,700
....................................................................................................
43,100 IDEXX Laboratories, Inc. (NON) 694,988
....................................................................................................
157,950 Medicis Pharmaceutical Corp. Class A (NON) 6,722,747
....................................................................................................
1,181,400 Schering-Plough Corp. 49,840,313
....................................................................................................
701,100 Warner-Lambert Co. 57,446,381
- ----------------------------------------------------------------------------------------------------
129,826,129
- ----------------------------------------------------------------------------------------------------
Restaurants (0.2%)
....................................................................................................
1,978,710 J.D. Wetherspoon PLC (United Kingdom) 13,872,411
- ----------------------------------------------------------------------------------------------------
Retail (4.9%)
....................................................................................................
139,000 Amazon.com, Inc. (NON) 10,581,375
....................................................................................................
50,400 Ames Department Stores, Inc. (NON) 1,452,150
....................................................................................................
1,352,830 Bed Bath & Beyond, Inc. (NON) 47,010,843
....................................................................................................
146,000 Costco Wholesale Corp. (NON) 13,322,500
....................................................................................................
207,900 Dayton Hudson Corp. 15,267,656
....................................................................................................
477,200 Dollar Tree Stores, Inc. (NON) 23,114,375
....................................................................................................
1,068,750 Home Depot, Inc. (The) 73,276,172
....................................................................................................
530,900 Kohls Corp. (NON) 38,324,344
....................................................................................................
55,200 Linens 'N Things, Inc. (NON) 1,635,300
....................................................................................................
455,100 TJX Cos., Inc. (The) 9,301,106
....................................................................................................
976,200 Wal-Mart Stores, Inc. 67,479,825
....................................................................................................
244,900 Whole Foods Market, Inc. (NON) 11,357,238
....................................................................................................
157,000 Williams-Sonoma, Inc. (NON) 7,222,000
- ----------------------------------------------------------------------------------------------------
319,344,884
- ----------------------------------------------------------------------------------------------------
Schools (0.1%)
....................................................................................................
49,900 CBT Group PLC ADR (Ireland) (NON) 1,671,650
....................................................................................................
47,700 ITT Educational Services, Inc. (NON) 736,369
- ----------------------------------------------------------------------------------------------------
2,408,019
- ----------------------------------------------------------------------------------------------------
Software (11.2%)
....................................................................................................
57,990 Agile Software Corp. (NON) 12,597,421
....................................................................................................
567,780 Amdocs Ltd. (NON) 19,588,410
....................................................................................................
35,533 Brio Technology, Inc. (NON) 1,492,386
....................................................................................................
237,580 BroadVision, Inc. (NON) 40,403,440
....................................................................................................
32,460 Check Point Software Technologies
Ltd. (Israel) (NON) 6,451,425
....................................................................................................
13,000 E.piphany, Inc. (NON) 2,900,625
....................................................................................................
427,390 Electronic Arts, Inc. (NON) 35,900,760
....................................................................................................
177,450 I2 Technologies, Inc. (NON) 34,602,750
....................................................................................................
39,700 Informatica Corp. (NON) 4,223,088
....................................................................................................
138,460 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 6,403,775
....................................................................................................
280,800 Macromedia, Inc. (NON) 20,533,500
....................................................................................................
21,900 Micromuse, Inc. (NON) 3,723,000
....................................................................................................
1,183,000 Microsoft Corp. (NON) 138,115,250
....................................................................................................
1,330,500 Misys PLC (United Kingdom) 20,740,646
....................................................................................................
660,600 Oracle Corp. (NON) 74,028,488
....................................................................................................
1,662,110 Parametric Technology Corp. (NON) 44,980,852
....................................................................................................
78,800 Phone.com, Inc. (NON) 9,135,875
....................................................................................................
230,000 Portal Software, Inc. (NON) 23,661,250
....................................................................................................
440,300 Rational Software Corp. (NON) 21,629,738
....................................................................................................
77,853 Silknet Software, Inc. (NON) 12,904,135
....................................................................................................
105,500 Software.com, Inc. (NON) 10,128,000
....................................................................................................
557,540 Synopsys, Inc. (NON) 37,215,795
....................................................................................................
749,975 VERITAS Software Corp. (NON) 107,340,172
....................................................................................................
233,600 Vignette Corp. (NON) 38,076,800
- ----------------------------------------------------------------------------------------------------
726,777,581
- ----------------------------------------------------------------------------------------------------
Technology Services (6.5%)
....................................................................................................
385,170 Affiliated Computer Services, Inc.
Class A (NON) 17,717,820
....................................................................................................
185,200 CMG Information Services, Inc. (NON) 51,277,250
....................................................................................................
406,700 Exodus Communications, Inc. (NON) 36,120,044
....................................................................................................
216,300 InfoSpace.com, Inc. (NON) 46,288,200
....................................................................................................
14,500 Intertrust Technologies Corp. (NON) 1,705,563
....................................................................................................
82,520 RealNetworks, Inc. (NON) 9,928,188
....................................................................................................
421,800 Sapient Corp. (NON) 59,447,438
....................................................................................................
819,500 USWeb Corp. (NON) 36,416,531
....................................................................................................
462,720 Verio Inc. (NON) 21,371,880
....................................................................................................
567,240 VeriSign, Inc. (NON) 108,307,388
....................................................................................................
58,900 Viant Corp. (NON) 5,831,100
....................................................................................................
430,640 Whittman-Hart, Inc. (NON) 23,093,070
....................................................................................................
159,560 Ziff-Davis, Inc. (NON) 3,350,760
- ----------------------------------------------------------------------------------------------------
420,855,232
- ----------------------------------------------------------------------------------------------------
Telecommunications (11.3%)
....................................................................................................
436,100 Allegiance Telecom, Inc. (NON) 40,230,225
....................................................................................................
759,720 American Tower Corp. Class A (NON) 23,218,943
....................................................................................................
52,900 CoreComm Ltd. (NON) 3,140,938
....................................................................................................
500,900 Covad Communications Group 144A (NON) 28,019,094
....................................................................................................
276,600 Focal Communications Corp. (NON) 6,672,975
....................................................................................................
968,485 Global Crossing Ltd. (NON) 48,424,250
....................................................................................................
1,051,700 Global TeleSystems Group, Inc. (NON) 36,415,113
....................................................................................................
66,600 Intermedia Communications, Inc. (NON) 2,584,913
....................................................................................................
123,900 Level 3 Communications, Inc. (NON) 10,144,313
....................................................................................................
710,100 MCI WorldCom, Inc. (NON) 37,679,681
....................................................................................................
1,345,500 McLeod, Inc. Class A (NON) 79,216,313
....................................................................................................
1,702,027 Metromedia Fiber Network, Inc. Class A (NON) 81,590,919
....................................................................................................
314,100 NEXTEL Communications, Inc. Class A (NON) 32,391,563
....................................................................................................
1,325,924 NEXTLINK Communications, Inc.
Class A (NON) 110,134,562
....................................................................................................
220,800 NorthPoint Communications
Group, Inc. (NON) 5,299,200
....................................................................................................
322,700 NTL Inc. (NON) 40,256,825
....................................................................................................
237,600 Pinnacle Holdings Inc. (NON) 10,068,300
....................................................................................................
43,500 PSINet, Inc. (NON) 2,686,125
....................................................................................................
59,500 Spectrasite Holdings, Inc. (NON) 647,063
....................................................................................................
749,900 Sprint Corp. 50,477,644
....................................................................................................
601,300 Sprint PCS (NON) 61,633,250
....................................................................................................
328,200 WinStar Communications. Inc. (NON) 24,697,050
- ----------------------------------------------------------------------------------------------------
735,629,259
- ----------------------------------------------------------------------------------------------------
Transaction Processing (0.7%)
....................................................................................................
199,800 CheckFree Holdings Corp. (NON) 20,879,100
....................................................................................................
939,745 Concord EFS, Inc. (NON) 24,198,434
- ----------------------------------------------------------------------------------------------------
45,077,534
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,080,658,527) $6,312,887,403
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.2%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$50,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.73%, January 31, 2000 $49,761,250
....................................................................................................
90,687,000 Interest in $200,000,000 joint repurchase
agreement dated December 31, 1999
with Credit Suisse First Boston due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $90,707,027 for an effective
yield of 2.65% 90,687,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $140,448,250) $140,448,250
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $3,221,106,777) (b) $6,453,335,653
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500
Index (Long) $73,838,950 $73,258,515 Mar-00 $580,435
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT New Value Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (97.4%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace/Defense (3.0%)
....................................................................................................
131,500 Boeing Co. $5,465,469
....................................................................................................
87,700 Raytheon Co. Class A 2,176,056
- ----------------------------------------------------------------------------------------------------
7,641,525
- ----------------------------------------------------------------------------------------------------
Airlines (1.5%)
....................................................................................................
49,000 UAL Corp. 3,800,563
- ----------------------------------------------------------------------------------------------------
Automotive (2.3%)
....................................................................................................
43,500 General Motors Corp. 3,161,906
....................................................................................................
87,700 Lear Corp. (NON) 2,806,400
- ----------------------------------------------------------------------------------------------------
5,968,306
- ----------------------------------------------------------------------------------------------------
Banking (7.8%)
....................................................................................................
149,000 Bank of America Corp. 7,477,938
....................................................................................................
166,000 Charter One Financial, Inc. 3,174,750
....................................................................................................
6,300 M & T Bank Corp. 2,609,775
....................................................................................................
105,200 National City Corp. 2,491,925
....................................................................................................
52,600 PNC Bank Corp. 2,340,700
....................................................................................................
78,900 Washington Mutual, Inc. 2,051,400
- ----------------------------------------------------------------------------------------------------
20,146,488
- ----------------------------------------------------------------------------------------------------
Beverage (1.5%)
....................................................................................................
236,700 Pepsi Bottling Group, Inc. (The) 3,920,344
- ----------------------------------------------------------------------------------------------------
Chemicals (5.1%)
....................................................................................................
42,200 Avery Dennison Corp. 3,075,325
....................................................................................................
29,800 Dow Chemical Co. 3,982,025
....................................................................................................
157,800 Engelhard Corp. 2,978,475
....................................................................................................
87,700 Monsanto Co. 3,124,313
- ----------------------------------------------------------------------------------------------------
13,160,138
- ----------------------------------------------------------------------------------------------------
Commercial and Consumer Services (0.6%)
....................................................................................................
218,500 Service Corp. International 1,515,844
- ----------------------------------------------------------------------------------------------------
Computers (5.5%)
....................................................................................................
42,100 Hewlett-Packard Co. 4,796,769
....................................................................................................
35,300 IBM Corp. 3,812,400
....................................................................................................
78,900 NCR Corp. 2,988,338
....................................................................................................
175,300 Quantum Corp. (NON) 2,651,413
- ----------------------------------------------------------------------------------------------------
14,248,920
- ----------------------------------------------------------------------------------------------------
Consumer Goods (1.3%)
....................................................................................................
52,600 Kimberly-Clark Corp. 3,432,150
- ----------------------------------------------------------------------------------------------------
Electric Utilities (3.8%)
....................................................................................................
228,000 DPL, Inc. 3,947,250
....................................................................................................
122,700 Entergy Corp. 3,159,525
....................................................................................................
122,700 Potomac Electric Power Co. 2,814,431
- ----------------------------------------------------------------------------------------------------
9,921,206
- ----------------------------------------------------------------------------------------------------
Electrical Equipment (1.5%)
....................................................................................................
80,500 Rockwell International Corp. 3,853,938
- ----------------------------------------------------------------------------------------------------
Energy (2.1%)
....................................................................................................
87,700 Schlumberger Ltd. 4,933,125
....................................................................................................
16,978 Transocean Sedco Forex Inc. 571,946
- ----------------------------------------------------------------------------------------------------
5,505,071
- ----------------------------------------------------------------------------------------------------
Financial (4.5%)
....................................................................................................
70,000 Associates First Capital Corp. 1,920,625
....................................................................................................
140,300 Citigroup, Inc. 7,795,419
....................................................................................................
52,500 Household International, Inc. 1,955,625
- ----------------------------------------------------------------------------------------------------
11,671,669
- ----------------------------------------------------------------------------------------------------
Food (2.1%)
....................................................................................................
87,700 Nabisco Holdings Corp. Class A 2,773,513
....................................................................................................
119,500 Sara Lee Corp. 2,636,469
- ----------------------------------------------------------------------------------------------------
5,409,982
- ----------------------------------------------------------------------------------------------------
Health Care Services (2.8%)
....................................................................................................
49,100 CIGNA Corp. 3,955,619
....................................................................................................
140,300 Tenet Healthcare Corp. (NON) 3,297,050
- ----------------------------------------------------------------------------------------------------
7,252,669
- ----------------------------------------------------------------------------------------------------
Insurance (3.9%)
....................................................................................................
54,100 American General Corp. 4,104,838
....................................................................................................
175,300 Travelers Property Casualty Corp. 6,004,025
- ----------------------------------------------------------------------------------------------------
10,108,863
- ----------------------------------------------------------------------------------------------------
Investment Banking/Brokerage (2.1%)
....................................................................................................
29,900 Lehman Brothers Holding, Inc. 2,532,156
....................................................................................................
35,100 Merrill Lynch & Co., Inc. 2,930,850
- ----------------------------------------------------------------------------------------------------
5,463,006
- ----------------------------------------------------------------------------------------------------
Lodging/Tourism (1.1%)
....................................................................................................
122,700 Starwood Hotels & Resorts
Worldwide, Inc. 2,883,450
- ----------------------------------------------------------------------------------------------------
Manufacturing (1.2%)
....................................................................................................
78,900 Cooper Industries, Inc. 3,190,519
- ----------------------------------------------------------------------------------------------------
Media (1.2%)
....................................................................................................
70,100 Seagram Co., Ltd. 3,150,119
- ----------------------------------------------------------------------------------------------------
Metals (1.0%)
....................................................................................................
31,600 Alcoa Inc. 2,622,800
- ----------------------------------------------------------------------------------------------------
Natural Gas Utilities (3.1%)
....................................................................................................
44,600 El Paso Energy Corp. 1,731,038
....................................................................................................
184,100 Sempra Energy 3,198,738
....................................................................................................
96,400 Williams Cos., Inc. 2,946,225
- ----------------------------------------------------------------------------------------------------
7,876,001
- ----------------------------------------------------------------------------------------------------
Oil & Gas (9.9%)
....................................................................................................
11,900 Atlantic Richfield Co. 1,029,350
....................................................................................................
28,100 BP Amoco PLC ADR (United Kingdom) 1,666,681
....................................................................................................
140,300 Conoco, Inc. 3,472,425
....................................................................................................
114,000 Exxon Mobil Corp. 9,184,125
....................................................................................................
87,700 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 5,300,369
....................................................................................................
43,800 Texaco, Inc. 2,378,888
....................................................................................................
210,400 Union Pacific Resources Group Inc. 2,682,600
- ----------------------------------------------------------------------------------------------------
25,714,438
- ----------------------------------------------------------------------------------------------------
Paper & Forest Products (4.0%)
....................................................................................................
131,500 Boise Cascade Corp. 5,325,750
....................................................................................................
70,100 Owens-Illinois, Inc. (NON) 1,756,881
....................................................................................................
136,400 Smurfit-Stone Container Corp. (NON) 3,341,800
- ----------------------------------------------------------------------------------------------------
10,424,431
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (3.4%)
....................................................................................................
70,100 Abbott Laboratories 2,545,506
....................................................................................................
78,900 American Home Products Corp. 3,111,619
....................................................................................................
71,900 Pharmacia & Upjohn, Inc. 3,235,500
- ----------------------------------------------------------------------------------------------------
8,892,625
- ----------------------------------------------------------------------------------------------------
Photography/Imaging (1.1%)
....................................................................................................
43,800 Eastman Kodak Co. 2,901,750
- ----------------------------------------------------------------------------------------------------
Publishing (2.1%)
....................................................................................................
78,900 Times Mirror Co. Class A 5,286,300
- ----------------------------------------------------------------------------------------------------
Railroads (1.8%)
....................................................................................................
105,200 Union Pacific Corp. 4,589,350
- ----------------------------------------------------------------------------------------------------
Real Estate (1.4%)
....................................................................................................
82,400 Equity Residential Properties Trust (R) 3,517,450
- ----------------------------------------------------------------------------------------------------
Regional Bells (6.0%)
....................................................................................................
110,500 GTE Corp. 7,797,155
....................................................................................................
157,800 SBC Communications, Inc. 7,692,750
- ----------------------------------------------------------------------------------------------------
15,489,905
- ----------------------------------------------------------------------------------------------------
Retail (2.2%)
....................................................................................................
56,100 Federated Department Stores, Inc. (NON) 2,836,555
....................................................................................................
280,600 K mart Corp. 2,823,537
- ----------------------------------------------------------------------------------------------------
5,660,092
- ----------------------------------------------------------------------------------------------------
Software (1.0%)
....................................................................................................
35,200 Computer Associates International, Inc. 2,461,800
- ----------------------------------------------------------------------------------------------------
Technology Services (1.5%)
....................................................................................................
57,900 Electronic Data Systems Corp. 3,875,680
- ----------------------------------------------------------------------------------------------------
Telephone (1.4%)
....................................................................................................
43,800 ALLTEL Corp. 3,621,712
- ----------------------------------------------------------------------------------------------------
Waste Management (2.6%)
....................................................................................................
324,400 Republic Services, Inc. (NON) 4,663,250
....................................................................................................
122,700 Waste Management, Inc. 2,108,905
- ----------------------------------------------------------------------------------------------------
6,772,155
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $255,034,074) $251,951,259
- ----------------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.8%) (a) (cost $5,517,240)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$7,000,000 Rite Aid Corp. cv. sub. notes
5 1/4s, 2002 (NON) $4,742,500
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.1%) (a) (cost $7,976,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$7,976,000 Interest in $624,736,000 joint repurchase
agreement dated December 31,1999
with Warburg Securities, due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $7,977,828 for an effective
yield of 2.75% $7,976,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $268,527,314) (b) $264,669,759
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT OTC & Emerging Growth Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.0%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.7%)
....................................................................................................
8,000 Getty Images, Inc. (Canada) (NON) $391,000
....................................................................................................
30,800 Lamar Advertising Co. (NON) 1,865,325
....................................................................................................
12,000 TMP Worldwide, Inc. (NON) 1,704,000
- ----------------------------------------------------------------------------------------------------
3,960,325
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.2%)
....................................................................................................
9,700 Invitrogen Corp. (NON) 582,000
- ----------------------------------------------------------------------------------------------------
Broadcasting (3.1%)
....................................................................................................
21,400 Citadel Communications Corp. (NON) 1,388,325
....................................................................................................
17,900 Cumulus Media, Inc. Class A (NON) 908,425
....................................................................................................
37,300 Entercom Communications Corp. (NON) 2,461,800
....................................................................................................
9,700 Pegasus Communications Corp. (NON) 948,175
....................................................................................................
15,500 Radio One, Inc. (NON) 1,426,000
- ----------------------------------------------------------------------------------------------------
7,132,725
- ----------------------------------------------------------------------------------------------------
Business Services (1.8%)
....................................................................................................
36,700 About.com, Inc. (NON) 3,293,825
....................................................................................................
5,000 Jupiter Communications, Inc. (NON) 151,250
....................................................................................................
6,000 Macrovision Corp. (NON) 444,000
....................................................................................................
3,700 NCO Group, Inc. (NON) 111,463
....................................................................................................
6,000 RoweCom, Inc. (NON) 272,250
- ----------------------------------------------------------------------------------------------------
4,272,788
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.8%)
....................................................................................................
28,300 Sawtek, Inc. (NON) 1,883,719
- ----------------------------------------------------------------------------------------------------
Computer Services (24.4%)
....................................................................................................
36,600 Ariba, Inc. (NON) 6,491,925
....................................................................................................
2,000 Aware, Inc. (NON) 72,750
....................................................................................................
16,200 BackWeb Technologies, Ltd. (Israel) (NON) 682,425
....................................................................................................
8,000 Breakaway Solutions, Inc. (NON) 584,000
....................................................................................................
12,200 Brocade Communications Systems (NON) 2,159,400
....................................................................................................
70,900 CNET, Inc. (NON) 4,023,575
....................................................................................................
3,300 Comverse Technology, Inc. (NON) 477,675
....................................................................................................
42,800 Covad Communications Group 144A (NON) 2,394,125
....................................................................................................
25,600 DoubleClick, Inc. (NON) 6,478,400
....................................................................................................
5,800 EarthWeb, Inc. (NON) 291,813
....................................................................................................
2,250 Freemarkets, Inc. (NON) 767,953
....................................................................................................
4,200 GoTo.com, Inc. (NON) 246,750
....................................................................................................
26,423 InfoSpace.com, Inc. (NON) 5,654,522
....................................................................................................
19,000 InterVU, Inc. (NON) 1,995,000
....................................................................................................
1,300 McAfee.com Corp. (NON) 58,500
....................................................................................................
46,300 Multex.com, Inc. (NON) 1,742,038
....................................................................................................
17,400 MyPoints.com, Inc. (NON) 1,287,600
....................................................................................................
25,700 Predictive Systems, Inc. (NON) 1,683,350
....................................................................................................
14,100 Scient Corp. (NON) 1,218,769
....................................................................................................
11,900 StarMedia Network, Inc. (NON) 476,744
....................................................................................................
49,980 USWeb Corp. (NON) 2,220,986
....................................................................................................
56,580 Verio, Inc. (NON) 2,613,289
....................................................................................................
26,900 VeriSign, Inc. (NON) 5,136,219
....................................................................................................
35,000 VerticalNet, Inc. (NON) 5,740,000
....................................................................................................
12,200 Viant Corp. (NON) 1,207,800
....................................................................................................
15,977 Whittman-Hart, Inc. (NON) 856,767
- ----------------------------------------------------------------------------------------------------
56,562,375
- ----------------------------------------------------------------------------------------------------
Computer Software (30.2%)
....................................................................................................
11,700 Agile Software Corp. 2,541,642
....................................................................................................
5,400 Allaire Corp. 790,088
....................................................................................................
12,000 Be Free, Inc. (NON) 862,500
....................................................................................................
25,800 Brio Technology, Inc. (NON) 1,083,600
....................................................................................................
32,500 Business Objects S.A. (France) (NON) 4,342,813
....................................................................................................
18,800 C-Bridge Internet Solutions, Inc. (NON) 914,150
....................................................................................................
34,800 CBT Group PLC ADR (Ireland) (NON) 1,165,800
....................................................................................................
8,300 Digex, Inc. (NON) 570,625
....................................................................................................
1,300 Digimarc Corp. (NON) 65,000
....................................................................................................
11,200 E.piphany, Inc. (NON) 2,499,000
....................................................................................................
35,100 Electronic Arts, Inc. (NON) 2,948,400
....................................................................................................
23,400 Engage Technologies, Inc. (NON) 1,404,000
....................................................................................................
33,900 Informatica Corp. (NON) 3,606,113
....................................................................................................
1,800 Intertrust Technologies Corp. (NON) 211,725
....................................................................................................
12,600 Interwoven, Inc. (NON) 1,532,475
....................................................................................................
10,900 Intuit, Inc. (NON) 653,319
....................................................................................................
6,200 ISS Group, Inc. (NON) 440,975
....................................................................................................
6,800 Kana Communications, Inc. (NON) 1,394,000
....................................................................................................
22,037 Keynote Systems, Inc. (NON) 1,625,229
....................................................................................................
90,700 Lycos, Inc. (NON) 7,216,319
....................................................................................................
28,900 Macromedia, Inc. (NON) 2,113,313
....................................................................................................
6,300 Mediaplex, Inc. (NON) 395,325
....................................................................................................
11,500 Metasolv Software, Inc. (NON) 940,125
....................................................................................................
7,400 Micromuse, Inc. (NON) 1,258,000
....................................................................................................
17,200 Netcentives, Inc. (NON) 1,071,775
....................................................................................................
10,500 Netegrity, Inc. (NON) 597,844
....................................................................................................
1,100 OnDisplay, Inc. (NON) 99,963
....................................................................................................
9,500 Packeteer, Inc. (NON) 674,500
....................................................................................................
7,000 Parametric Technology Corp. (NON) 189,438
....................................................................................................
32,200 Phone.com, Inc. (NON) 3,733,188
....................................................................................................
5,400 Pivotal Corp. (Canada) (NON) 228,150
....................................................................................................
21,300 Portal Software, Inc. (NON) 2,191,238
....................................................................................................
18,550 Proxicom, Inc. (NON) 2,305,997
....................................................................................................
15,600 Quest Software, Inc. (NON) 1,591,200
....................................................................................................
19,100 Razorfish, Inc. (NON) 1,816,888
....................................................................................................
20,100 RealNetworks, Inc. (NON) 2,418,281
....................................................................................................
24,400 Silknet Software, Inc. (NON) 4,044,300
....................................................................................................
13,800 SilverStream Software, Inc. (NON) 1,642,200
....................................................................................................
16,200 Software.com, Inc. (NON) 1,555,200
....................................................................................................
6,300 TSI International Software, Ltd. (NON) 356,738
....................................................................................................
500 VA Linux Systems, Inc. (NON) 103,313
....................................................................................................
19,600 Vignette Corp. (NON) 3,194,800
....................................................................................................
6,000 Vitria Technology, Inc. (NON) 1,404,000
- ----------------------------------------------------------------------------------------------------
69,793,549
- ----------------------------------------------------------------------------------------------------
Consumer Services (2.6%)
....................................................................................................
18,800 Ask Jeeves, Inc. (NON) 2,123,225
....................................................................................................
34,300 HomeStore.com, Inc. (NON) 2,546,775
....................................................................................................
11,700 MarketWatch.com, Inc. (NON) 427,050
....................................................................................................
8,100 SportsLine USA, Inc. (NON) 406,013
....................................................................................................
13,700 Stamps.com, Inc. (NON) 570,263
- ----------------------------------------------------------------------------------------------------
6,073,326
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.5%)
....................................................................................................
18,600 Calpine Corp. (NON) 1,190,400
....................................................................................................
69,500 Independent Energy Holdings PLC
(United Kingdom) (NON) 2,315,219
- ----------------------------------------------------------------------------------------------------
3,505,619
- ----------------------------------------------------------------------------------------------------
Electronic Components (7.7%)
....................................................................................................
18,800 Applied Micro Circuits Corp. (NON) 2,392,300
....................................................................................................
15,800 Celestica, Inc. (Canada) (NON) 876,900
....................................................................................................
26,400 Flextronics International, Ltd. (NON) 1,214,400
....................................................................................................
13,200 Jabil Circuit, Inc. (NON) 963,600
....................................................................................................
212,000 Metromedia Fiber Network, Inc.
Class A (NON) (SEG) 10,162,750
....................................................................................................
7,300 Micrel, Inc. (NON) 415,644
....................................................................................................
19,100 Power Integrations, Inc. (NON) 915,606
....................................................................................................
4,400 TriQuint Semiconductor, Inc. (NON) 489,500
....................................................................................................
5,700 Zoran Corp. (NON) 317,775
- ----------------------------------------------------------------------------------------------------
17,748,475
- ----------------------------------------------------------------------------------------------------
Financial Services (0.4%)
....................................................................................................
18,300 Knight/Trimark Group, Inc. (NON) 841,800
- ----------------------------------------------------------------------------------------------------
Health Care (0.2%)
....................................................................................................
10,700 Allscripts, Inc. (NON) 470,800
- ----------------------------------------------------------------------------------------------------
Lodging (0.5%)
....................................................................................................
19,700 Four Seasons Hotels, Inc. (Canada) 1,049,025
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
....................................................................................................
11,400 ChromaVision Medical Systems, Inc. (NON) 173,850
- ----------------------------------------------------------------------------------------------------
Networking (3.8%)
....................................................................................................
7,930 CIENA Corp. (NON) 455,975
....................................................................................................
16,180 Exodus Communications, Inc. (NON) 1,436,986
....................................................................................................
21,000 Extreme Networks, Inc. (NON) 1,753,500
....................................................................................................
29,500 Reback Networks Inc. (NON) 5,236,250
- ----------------------------------------------------------------------------------------------------
8,882,711
- ----------------------------------------------------------------------------------------------------
Networking Equipment (3.1%)
....................................................................................................
500 Crossroads Systems, Inc. (NON) 42,250
....................................................................................................
27,700 E-Tek Dynamics, Inc. (NON) 3,729,113
....................................................................................................
30,000 Emulex Corp. (NON) 3,375,000
- ----------------------------------------------------------------------------------------------------
7,146,363
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.3%)
....................................................................................................
12,100 QLT PhotoTherapeutics, Inc. (Canada) (NON) 710,875
....................................................................................................
400 Tularik, Inc. (NON) 12,950
- ----------------------------------------------------------------------------------------------------
723,825
- ----------------------------------------------------------------------------------------------------
Retail (1.7%)
....................................................................................................
26,200 Chemdex Corp. (NON) 2,908,200
....................................................................................................
11,844 Tuesday Morning Corp. (NON) 218,374
....................................................................................................
15,370 Williams-Sonoma, Inc. (NON) 707,020
- ----------------------------------------------------------------------------------------------------
3,833,594
- ----------------------------------------------------------------------------------------------------
Semiconductors (3.1%)
....................................................................................................
15,100 Alpha Industries, Inc. 865,419
....................................................................................................
13,700 QLogic Corp. (NON) 2,190,288
....................................................................................................
15,200 SDL, Inc. (NON) 3,313,600
....................................................................................................
10,300 Silicon Image, Inc. (NON) 721,644
- ----------------------------------------------------------------------------------------------------
7,090,951
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.4%)
....................................................................................................
13,600 Advanced Fibre Communications 607,750
....................................................................................................
700 Aether Systems, Inc. 50,138
....................................................................................................
15,700 Allegiance Telecom, Inc. 1,448,325
....................................................................................................
6,200 Efficient Networks, Inc. (NON) 421,600
....................................................................................................
10,500 GlobeSpan, Inc. (NON) 683,813
....................................................................................................
2,100 Wireless Facilities, Inc. (NON) 91,613
- ----------------------------------------------------------------------------------------------------
3,303,239
- ----------------------------------------------------------------------------------------------------
Telephone Services (6.8%)
....................................................................................................
23,900 CoreComm, Ltd. (NON) 1,419,063
....................................................................................................
20,700 Focal Communications Corp. (NON) 499,388
....................................................................................................
88,100 McLeod, Inc. Class A (NON) 5,186,888
....................................................................................................
103,100 NEXTLINK Communications, Inc.
Class A (NON) (SEG) 8,563,729
- ----------------------------------------------------------------------------------------------------
15,669,068
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.6%)
....................................................................................................
34,800 Pinnacle Holdings, Inc. (NON) 1,474,650
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $133,370,343) $222,174,777
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$10,985,000 Interest in $520,132,000 joint repurchase
agreement dated December 31, 1999
with Morgan Stanley & Co. Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $10,987,261 for an effective
yield of 2.47% $10,985,000
....................................................................................................
11,000,000 Interest in $578,946,000 joint repurchase
agreement dated December 31, 1999
with Morgan (J.P.) & Co., Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $11,002,292 for an effective
yield of 2.50% 11,000,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $21,985,000) $21,985,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $155,355,343) (b) $244,159,777
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500
Index (Long) $371,050 $371,032 Mar-00 $18
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
Putnam VT Research Fund
The fund's portfolio
December 31, 1999
<TABLE>
Putnam VT Research Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (98.0%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.7%)
....................................................................................................
11,000 Omnicom Group, Inc. $1,100,000
....................................................................................................
22,700 Young & Rubicam, Inc. 1,606,025
- ----------------------------------------------------------------------------------------------------
2,706,025
- ----------------------------------------------------------------------------------------------------
Aerospace and Defense (1.5%)
....................................................................................................
58,400 Boeing Co. 2,427,250
- ----------------------------------------------------------------------------------------------------
Banks (6.6%)
....................................................................................................
77,026 Bank of America Corp. 3,865,742
....................................................................................................
57,745 Charter One Financial, Inc. 1,104,373
....................................................................................................
22,000 Comerica, Inc. 1,027,125
....................................................................................................
43,301 Firstar Corp. (NON) 914,734
....................................................................................................
2,500 M & T Bank Corp. 1,035,625
....................................................................................................
43,700 Zions Bancorp 2,586,494
- ----------------------------------------------------------------------------------------------------
10,534,093
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.9%)
....................................................................................................
14,300 AMFM, Inc. (NON) 1,118,975
....................................................................................................
18,500 CBS Corp. (NON) 1,182,844
....................................................................................................
11,800 Clear Channel Communications, Inc. (NON) 1,053,150
....................................................................................................
25,300 Comcast Corp. Class A (NON) 1,279,231
- ----------------------------------------------------------------------------------------------------
4,634,200
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.8%)
....................................................................................................
13,900 Lexmark International Group, Inc.
Class A (NON) 1,257,950
- ----------------------------------------------------------------------------------------------------
Computer Services (3.0%)
....................................................................................................
38,300 America Online, Inc. (NON) 2,889,256
....................................................................................................
700 CheckFree Holdings Corp. 73,150
....................................................................................................
28,600 Electronic Data Systems Corp. 1,914,413
- ----------------------------------------------------------------------------------------------------
4,876,819
- ----------------------------------------------------------------------------------------------------
Computer Software (6.7%)
....................................................................................................
29,100 Computer Associates International, Inc. 2,035,181
....................................................................................................
52,700 Microsoft Corp. (NON) 6,152,725
....................................................................................................
91,500 Parametric Technology Corp. (NON) 2,476,219
....................................................................................................
800 VERITAS Software Corp. 114,500
- ----------------------------------------------------------------------------------------------------
10,778,625
- ----------------------------------------------------------------------------------------------------
Computers (4.1%)
....................................................................................................
14,500 Apple Computer, Inc. 1,490,781
....................................................................................................
65,500 Dell Computer Corp. (NON) 3,340,500
....................................................................................................
23,900 Gateway, Inc. (NON) 1,722,294
- ----------------------------------------------------------------------------------------------------
6,553,575
- ----------------------------------------------------------------------------------------------------
Conglomerates (2.0%)
....................................................................................................
10,400 Corning, Inc. 1,340,950
....................................................................................................
46,000 Tyco International, Ltd. (NON) 1,788,250
- ----------------------------------------------------------------------------------------------------
3,129,200
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.7%)
....................................................................................................
41,400 Entergy Corp. 1,066,050
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (9.5%)
....................................................................................................
15,600 Applied Materials, Inc. (NON) 1,976,325
....................................................................................................
39,900 General Electric Co. 6,174,525
....................................................................................................
22,100 Hewlett-Packard Co. 2,518,019
....................................................................................................
18,500 LSI Logic Corp. (NON) 1,248,750
....................................................................................................
22,300 Motorola, Inc. 3,283,675
- ----------------------------------------------------------------------------------------------------
15,201,294
- ----------------------------------------------------------------------------------------------------
Entertainment (1.7%)
....................................................................................................
15,200 Time Warner, Inc. 1,101,050
....................................................................................................
26,600 Viacom, Inc. Class B (NON) 1,607,638
- ----------------------------------------------------------------------------------------------------
2,708,688
- ----------------------------------------------------------------------------------------------------
Financial Services (5.3%)
....................................................................................................
36,700 Capital One Financial Corp. (NON) 1,768,481
....................................................................................................
60,000 Citigroup, Inc. (NON) 3,333,750
....................................................................................................
35,400 Paine Webber Group, Inc. 1,373,963
....................................................................................................
21,500 Providian Financial Corp. 1,957,844
- ----------------------------------------------------------------------------------------------------
8,434,038
- ----------------------------------------------------------------------------------------------------
Food and Beverages (2.5%)
....................................................................................................
68,000 Coca-Cola Co. 3,961,000
- ----------------------------------------------------------------------------------------------------
Health Care (0.8%)
....................................................................................................
28,400 Cardinal Health, Inc. 1,359,650
- ----------------------------------------------------------------------------------------------------
Insurance (1.4%)
....................................................................................................
29,800 American General Corp. 2,261,075
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.6%)
....................................................................................................
40,400 Baxter International, Inc. 2,537,625
- ----------------------------------------------------------------------------------------------------
Office Equipment (1.2%)
....................................................................................................
26,700 Avery Dennison Corp. 1,945,763
- ----------------------------------------------------------------------------------------------------
Oil and Gas (6.7%)
....................................................................................................
52,100 Baker Hughes, Inc. 1,097,356
....................................................................................................
29,400 Burlington Resources, Inc. 972,038
....................................................................................................
76,200 Conoco, Inc. 1,885,950
....................................................................................................
56,500 El Paso Energy Corp. 2,192,906
....................................................................................................
33,546 Exxon Mobil Corp. 2,702,550
....................................................................................................
61,900 Williams Cos., Inc. 1,891,819
- ----------------------------------------------------------------------------------------------------
10,742,619
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (2.0%)
....................................................................................................
20,900 Sealed Air Corp. (NON) 1,082,881
....................................................................................................
88,900 Smurfit-Stone Container Corp. (NON) 2,178,050
- ----------------------------------------------------------------------------------------------------
3,260,931
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (12.0%)
....................................................................................................
18,400 Genentech, Inc. (NON) 2,474,800
....................................................................................................
16,700 Immunex Corp. (NON) 1,828,650
....................................................................................................
39,100 Johnson & Johnson 3,641,188
....................................................................................................
10,200 Medimmune, Inc. (NON) 1,691,925
....................................................................................................
22,100 PE Corp.-PE Biosystems Group (NON) 2,658,906
....................................................................................................
41,900 Pharmacia & Upjohn, Inc. 1,885,500
....................................................................................................
49,000 Schering-Plough Corp. 2,067,188
....................................................................................................
36,700 Warner-Lambert Co. 3,007,106
- ----------------------------------------------------------------------------------------------------
19,255,263
- ----------------------------------------------------------------------------------------------------
Railroads (0.7%)
....................................................................................................
45,100 Burlington Northern Santa Fe Corp. 1,093,675
- ----------------------------------------------------------------------------------------------------
Retail (6.5%)
....................................................................................................
49,700 CVS Corp. 1,984,894
....................................................................................................
35,800 Lowe's Cos., Inc. 2,139,050
....................................................................................................
91,300 Wal-Mart Stores, Inc. 6,311,113
- ----------------------------------------------------------------------------------------------------
10,435,057
- ----------------------------------------------------------------------------------------------------
Semiconductors (2.5%)
....................................................................................................
48,500 Intel Corp. (NON) 3,992,156
- ----------------------------------------------------------------------------------------------------
Telecommunications (5.6%)
....................................................................................................
20,300 ADC Telecommunications, Inc. (NON) 1,473,019
....................................................................................................
10,500 Nokia Corp. ADR (Finland) (NON) 1,995,000
....................................................................................................
25,700 Nortel Networks Corp. (Canada) (NON) 2,595,700
....................................................................................................
16,800 QUALCOMM, Inc. 2,958,900
- ----------------------------------------------------------------------------------------------------
9,022,619
- ----------------------------------------------------------------------------------------------------
Telephone Services (8.0%)
....................................................................................................
69,100 AT&T Corp. (NON) 3,921,425
....................................................................................................
65,100 Bell Atlantic Corp. 4,007,719
....................................................................................................
101,500 SBC Communications, Inc. 4,948,125
- ----------------------------------------------------------------------------------------------------
12,877,269
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $135,811,401) $157,052,509
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.8%) (a) (cost $2,884,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$2,884,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg, Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $2,884,661 for an effective
yield of 2.75% $2,884,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $138,695,401) (b) $159,936,509
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500
Index (Long) $742,100 $742,063 Mar-00 $37
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
Putnam VT Small Cap Fund
The fund's portfolio
December 31, 1999
<TABLE>
Putnam VT Small Cap Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.1%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (3.8%)
....................................................................................................
8,989 AAR Corp. $161,240
....................................................................................................
5,500 Aviall, Inc. (NON) 45,031
....................................................................................................
9,800 BE Aerospace, Inc. (NON) 82,688
....................................................................................................
5,113 Cordant Technologies Inc. 168,729
....................................................................................................
12,266 GenCorp. Inc. (NON) 121,127
....................................................................................................
3,700 Primex Technologies, Inc. 76,775
....................................................................................................
2,200 Triumph Group, Inc. (NON) 53,213
- ----------------------------------------------------------------------------------------------------
708,803
- ----------------------------------------------------------------------------------------------------
Agriculture (0.3%)
....................................................................................................
3,200 Delta & Pine Land Co. 55,600
- ----------------------------------------------------------------------------------------------------
Airlines (0.3%)
....................................................................................................
2,000 Midwest Express Holdings, Inc. (NON) 63,750
- ----------------------------------------------------------------------------------------------------
Automotive (2.1%)
....................................................................................................
1,882 Borg-Warner Automotive, Inc. 76,221
....................................................................................................
950 Coachmen Industries, Inc. 14,369
....................................................................................................
3,800 Midas, Inc. 83,125
....................................................................................................
4,100 Tower Automotive, Inc. (NON) 63,294
....................................................................................................
5,696 Wabash National Corp. 85,440
....................................................................................................
4,850 Wynn's International, Inc. 68,506
- ----------------------------------------------------------------------------------------------------
390,955
- ----------------------------------------------------------------------------------------------------
Banks (3.9%)
....................................................................................................
6,952 Bank United Corp. Class A 189,442
....................................................................................................
7,790 Centennial Bancorp (NON) 83,743
....................................................................................................
2,300 First Midwest Bancorp, Inc. (NON) 60,950
....................................................................................................
3,317 Hudson United Bancorp (NON) 84,791
....................................................................................................
2,950 Imperial Bancorp. (NON) 71,169
....................................................................................................
3,577 Provident Bankshares Corp. (NON) 61,927
....................................................................................................
2,600 Soutwest Bancorporation of Texas, Inc. (NON) 51,513
....................................................................................................
10,446 Sovereign Bancorp, Inc. 77,855
....................................................................................................
4,400 Sterling Bancshares, Inc. 49,225
- ----------------------------------------------------------------------------------------------------
730,615
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (7.3%)
....................................................................................................
2,440 Albany International Corp. (NON) 37,820
....................................................................................................
2,519 Applied Power Inc. 92,573
....................................................................................................
3,150 AptarGroup, Inc. 79,144
....................................................................................................
1,300 Asyst Technologies, Inc. (NON) 85,231
....................................................................................................
2,400 Carlisle Companies Inc. 86,400
....................................................................................................
14,356 DT Industries, Inc. (NON) 113,054
....................................................................................................
5,150 Gardner Denver Inc. (NON) 85,941
....................................................................................................
5,585 Gerber Scientific, Inc. 122,521
....................................................................................................
3,303 Gleason Corp. 76,795
....................................................................................................
4,850 JLK Direct Distribution, Inc. (NON) 50,016
....................................................................................................
2,500 Kaydon Corp. 67,031
....................................................................................................
4,900 Klockner Windsor India Ltd. (India) (NON) 40,425
....................................................................................................
3,000 Lincoln Electric Holdings, Inc. 61,875
....................................................................................................
6,300 Material Sciences Corp. (NON) 64,181
....................................................................................................
7,000 Milacron Inc. 107,625
....................................................................................................
2,500 Pentair, Inc. 96,250
....................................................................................................
1,250 Roper Industries, Inc. 47,266
....................................................................................................
2,750 Westinghouse Air Brake Co. 48,813
- ----------------------------------------------------------------------------------------------------
1,362,961
- ----------------------------------------------------------------------------------------------------
Biotechnology (0.9%)
....................................................................................................
5,000 BEI Technologies, Inc. 76,250
....................................................................................................
3,314 Mentor Corp. 85,543
- ----------------------------------------------------------------------------------------------------
161,793
- ----------------------------------------------------------------------------------------------------
Building and Construction (2.0%)
....................................................................................................
1,427 Ameron International Corp. 56,456
....................................................................................................
15,159 Apogee Enterprises, Inc. 76,742
....................................................................................................
9,069 Lennar Corp. 147,371
....................................................................................................
2,000 Texas Industries, Inc. 85,125
- ----------------------------------------------------------------------------------------------------
365,694
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (4.4%)
....................................................................................................
3,564 ABM Industries Inc. 72,617
....................................................................................................
6,550 Airgas, Inc. (NON) 62,225
....................................................................................................
6,108 Bowne & Co. 82,458
....................................................................................................
3,450 Cambridge Technology Partners, Inc. (NON) 90,563
....................................................................................................
4,100 Falcon Products, Inc. 35,363
....................................................................................................
2,150 HON INDUSTRIES, Inc. 47,166
....................................................................................................
3,200 National Data Corp. 108,600
....................................................................................................
6,133 Per-Se Technologies, Inc. (NON) 51,556
....................................................................................................
900 RemedyTemp, Inc. (NON) 17,100
....................................................................................................
3,455 Standard Register Co. (The) 66,941
....................................................................................................
2,900 United Stationers Inc. (NON) 82,831
....................................................................................................
16,957 X-Rite, Inc. 105,981
- ----------------------------------------------------------------------------------------------------
823,401
- ----------------------------------------------------------------------------------------------------
Chemicals (3.9%)
....................................................................................................
2,877 Cambrex Corp. 99,077
....................................................................................................
10,446 CK Witco Corp. 139,715
....................................................................................................
3,500 Ferro Corporation 77,000
....................................................................................................
15,914 Hanna (M.A.) Co. 174,059
....................................................................................................
10,800 Mississippi Chemical Corp. 66,825
....................................................................................................
21,866 Omnova Solutions Inc. 169,462
- ----------------------------------------------------------------------------------------------------
726,138
- ----------------------------------------------------------------------------------------------------
Computer Services and Software (6.9%)
....................................................................................................
5,524 Analysts International Corp. 69,050
....................................................................................................
3,100 Ciber, Inc. (NON) 85,250
....................................................................................................
6,198 Computer Task Group, Inc. 91,808
....................................................................................................
5,200 FileNET Corp. (NON) 132,600
....................................................................................................
1,400 Hyperion Solutions Corp. (NON) 60,900
....................................................................................................
5,000 JDA Software Group, Inc. (NON) 81,875
....................................................................................................
1,600 Keane, Inc. (NON) 50,800
....................................................................................................
7,950 Mentor Graphics Corp. (NON) 104,841
....................................................................................................
11,651 MTS Systems Corp. 90,295
....................................................................................................
4,600 Phoenix Technologies Ltd. (NON) 72,738
....................................................................................................
300 Policy Management Systems Corp. (NON) 7,669
....................................................................................................
1,800 Project Software & Development, Inc. (NON) 99,900
....................................................................................................
10,544 Telxon Corp. 168,704
....................................................................................................
10,032 Wallace Computer Services, Inc. 166,782
- ----------------------------------------------------------------------------------------------------
1,283,212
- ----------------------------------------------------------------------------------------------------
Conglomerates (0.8%)
....................................................................................................
3,050 Aaron Rents, Inc. 54,138
....................................................................................................
2,703 Lancaster Colony Corp. 89,537
- ----------------------------------------------------------------------------------------------------
143,675
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (0.9%)
....................................................................................................
1,650 Bassett Furniture Industries, Inc. 26,400
....................................................................................................
5,603 CLARCOR, Inc. 100,854
....................................................................................................
7,600 Racing Champions Corp. (NON) 33,725
- ----------------------------------------------------------------------------------------------------
160,979
- ----------------------------------------------------------------------------------------------------
Consumer Non Durables (1.4%)
....................................................................................................
3,650 Chattem, Inc. (NON) 69,350
....................................................................................................
1,977 True North Communications Inc. 88,347
....................................................................................................
2,700 Wesley Jessen VisionCare, Inc. (NON) 102,263
- ----------------------------------------------------------------------------------------------------
259,960
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.7%)
....................................................................................................
5,600 Helen of Troy Ltd. (NON) 40,600
....................................................................................................
5,150 Windmere-Durable Holdings, Inc. (NON) 87,550
- ----------------------------------------------------------------------------------------------------
128,150
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.8%)
....................................................................................................
2,600 ADVO, Inc. (NON) 61,750
....................................................................................................
6,250 Marcus Corp. (The) 83,984
- ----------------------------------------------------------------------------------------------------
145,734
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (12.1%)
....................................................................................................
1,200 Alliant Techsystems, Inc. (NON) 74,775
....................................................................................................
1,845 Avnet, Inc. 111,623
....................................................................................................
3,892 Belden Inc. 81,732
....................................................................................................
17,211 BMC Industries, Inc. 83,904
....................................................................................................
2,200 DuPont Photomasks, Inc. 106,150
....................................................................................................
2,450 Etec Systems, Inc. (NON) 109,944
....................................................................................................
23,964 General Cable Corp. 181,228
....................................................................................................
5,630 Genrad, Inc . (NON) 90,784
....................................................................................................
1,650 Hadco Corp. (NON) 84,150
....................................................................................................
23,044 IFR Systems, Inc. (NON) 231,880
....................................................................................................
3,950 International Rectifier Corp. (NON) 102,700
....................................................................................................
5,500 Intervoice-brite Inc. (NON) 127,875
....................................................................................................
1,000 KEMET Corp. (NON) 45,063
....................................................................................................
4,800 Kent Electronics Corp. (NON) 109,200
....................................................................................................
3,550 Littlelfuse, Inc. (NON) 86,143
....................................................................................................
4,950 Methode Electronics, Inc. 159,019
....................................................................................................
9,078 Pioneer-Standard Electronics, Inc. 131,064
....................................................................................................
10,100 Recoton Corp. (NON) 90,900
....................................................................................................
4,000 Regal-Beloit Corp. 82,500
....................................................................................................
1,961 Tektronix, Inc. 76,234
....................................................................................................
2,900 Vishay Intertechnology, Inc. (NON) 91,713
- ----------------------------------------------------------------------------------------------------
2,258,581
- ----------------------------------------------------------------------------------------------------
Entertainment (0.7%)
....................................................................................................
4,000 Dover Downs Entertainment, Inc. 75,000
....................................................................................................
2,700 Station Casinos, Inc. (NON) 60,581
- ----------------------------------------------------------------------------------------------------
135,581
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
6,550 Safety-Kleen Corp. (NON) 74,097
- ----------------------------------------------------------------------------------------------------
Food and Beverages (3.9%)
....................................................................................................
5,500 Earthgrains Co. (The) 88,688
....................................................................................................
10,500 International Multifoods Corp. 139,125
....................................................................................................
2,800 Michael Foods Inc. 68,950
....................................................................................................
2,400 Papa Johns International, Inc. (NON) 62,550
....................................................................................................
2,100 Robert Mandavi Corp. (The) (NON) 72,975
....................................................................................................
4,100 Ruddick Corp. 63,550
....................................................................................................
1,400 Smithfield Foods, Inc. (NON) 33,600
....................................................................................................
10,500 United Natural Foods Inc. (NON) 126,000
....................................................................................................
4,071 Universal Foods Corp. 82,947
- ----------------------------------------------------------------------------------------------------
738,385
- ----------------------------------------------------------------------------------------------------
Health Care (3.5%)
....................................................................................................
6,000 AmeriSource Health Corp. Class A (NON) 91,125
....................................................................................................
10,550 Conventry Health Care Inc. (NON) 71,213
....................................................................................................
3,300 Diagnostic Products Corp. 80,850
....................................................................................................
14,900 Matria Healthcare, Inc. (NON) 61,463
....................................................................................................
2,250 Orthodontic Centers of America, Inc. (NON) 26,859
....................................................................................................
7,600 Quorum Health Group, Inc. (NON) 70,775
....................................................................................................
3,900 Renal Care Group, Inc. (NON) 91,163
....................................................................................................
20,393 United Wisconsin Services 86,670
....................................................................................................
16,533 US Oncology, Inc. (NON) 81,632
- ----------------------------------------------------------------------------------------------------
661,750
- ----------------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.9%)
....................................................................................................
1,050 Shared Medical Systems Corp. 53,484
....................................................................................................
2,550 Trigon Healthcare, Inc. (NON) 75,225
....................................................................................................
1,100 Universal Health Services, Inc. (NON) 39,600
- ----------------------------------------------------------------------------------------------------
168,309
- ----------------------------------------------------------------------------------------------------
Insurance and Finance (6.3%)
....................................................................................................
3,190 AMCORE Financial, Inc. 76,560
....................................................................................................
2,618 Amerus Life Holdings, Inc. Class A 60,214
....................................................................................................
4,427 Berkley (W.R.) Corp. 92,414
....................................................................................................
2,000 City National Corp. 65,875
....................................................................................................
5,700 Commerce Group, Inc. 148,913
....................................................................................................
4,171 Commercial Federal Corp. 74,296
....................................................................................................
6,303 Ehhance Financial Services Group, Inc. 102,424
....................................................................................................
3,050 FBL Financial Group, Inc. 61,000
....................................................................................................
15,990 Fremont General Corp. 117,926
....................................................................................................
4,400 Horace Mann Educators Corp. 86,350
....................................................................................................
5,406 Peoples Heritage Financial Group, Inc. 81,428
....................................................................................................
3,800 Presidential Life Corp. 69,825
....................................................................................................
2,250 Waddell & Reed Financial, Inc. 61,031
....................................................................................................
3,350 Webster Financial Corp. 78,934
- ----------------------------------------------------------------------------------------------------
1,177,190
- ----------------------------------------------------------------------------------------------------
Manufacturing (0.4%)
....................................................................................................
2,500 Tennant Co. 81,875
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (4.9%)
....................................................................................................
2,569 Arrow International, Inc. 74,501
....................................................................................................
2,139 Beckman Coulter, Inc. 108,822
....................................................................................................
3,400 Haemonetics Corp. (NON) 80,963
....................................................................................................
4,564 Invacare Corp. 91,565
....................................................................................................
8,941 Meridian Diagnostics, Inc. 64,822
....................................................................................................
13,580 Omnicare, Inc. 162,960
....................................................................................................
19,301 Owens & Minor, Inc. 172,503
....................................................................................................
5,600 PSS World Medical, Inc. (NON) 52,850
....................................................................................................
1,400 Varian Medical Systems, Inc. (NON) 41,738
....................................................................................................
2,951 Vital Signs, Inc. 67,504
- ----------------------------------------------------------------------------------------------------
918,228
- ----------------------------------------------------------------------------------------------------
Metals and Mining (1.7%)
....................................................................................................
5,228 A. M. Castle & Co. 61,429
....................................................................................................
3,321 Carpenter Technology Corp. 91,120
....................................................................................................
3,450 Quanex Corp. 87,975
....................................................................................................
3,100 Reliance Steel & Aluminum Co. (NON) 72,656
- ----------------------------------------------------------------------------------------------------
313,180
- ----------------------------------------------------------------------------------------------------
Oil and Gas (5.0%)
....................................................................................................
4,600 Basin Exploratin, Inc. (NON) 81,075
....................................................................................................
2,550 Devon Energy Corp. 83,831
....................................................................................................
4,069 Helmerich & Payne, Inc. 88,755
....................................................................................................
4,600 National-Oilwell, Inc. (NON) 72,163
....................................................................................................
2,850 Newfield Exploration Co. (NON) 76,238
....................................................................................................
12,000 Newpark Resources, Inc. (NON) 73,500
....................................................................................................
3,800 Pride International, Inc. (NON) 55,575
....................................................................................................
23,800 Range Resources Corp. (NON) 75,863
....................................................................................................
3,896 St. Mary Land & Exploration Co. 96,426
....................................................................................................
4,311 Tidewater Inc. 155,196
....................................................................................................
4,400 Tuboscope Inc. (NON) 69,850
- ----------------------------------------------------------------------------------------------------
928,472
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.3%)
....................................................................................................
5,100 BWAY Corp. (NON) 31,238
....................................................................................................
3,300 Ivex Packaging Corp. (NON) 33,000
- ----------------------------------------------------------------------------------------------------
64,238
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.9%)
....................................................................................................
3,500 Caraustar Industries, Inc. 84,000
....................................................................................................
6,451 Wausau-Mosinee Paper Corp. 75,396
- ----------------------------------------------------------------------------------------------------
159,396
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals (0.6%)
....................................................................................................
7,450 Bindley Western Industries, Inc. (NON) 112,216
- ----------------------------------------------------------------------------------------------------
Photography (0.4%)
....................................................................................................
3,650 Polaroid Corp. 68,666
- ----------------------------------------------------------------------------------------------------
Publishing (0.5%)
....................................................................................................
1,950 McClatchy Co. (The) 84,338
- ----------------------------------------------------------------------------------------------------
Real Estate (0.4%)
....................................................................................................
3,387 LNR Property Corp. 67,317
- ----------------------------------------------------------------------------------------------------
Retail (7.0%)
....................................................................................................
12,362 Baker (J.), Inc. 74,172
....................................................................................................
10,857 CBRL Group, Inc. 105,347
....................................................................................................
8,000 Claire's Stores, Inc. 179,000
....................................................................................................
3,450 Coldwater Creek Inc. (NON) 70,725
....................................................................................................
6,800 Gymboree Corp. (The) (NON) 38,250
....................................................................................................
13,994 Heilig-Meyers Co. 38,484
....................................................................................................
15,900 J. Jill Group Inc. (NON) 65,588
....................................................................................................
2,000 Lands' End, Inc. (NON) 69,500
....................................................................................................
6,150 Luby's, Inc. 69,956
....................................................................................................
13,400 Maxim Group, Inc. (The) (NON) 72,025
....................................................................................................
6,500 MSC Industrial Direct Co., Inc. Class A (NON) 86,125
....................................................................................................
5,990 Petco Animal Supplies, Inc. (NON) 89,101
....................................................................................................
28,395 Pier 1 Imports, Inc. 181,018
....................................................................................................
4,350 Regis Corp. (NON) 82,106
....................................................................................................
8,733 Wolverine World Wide, Inc. 95,517
- ----------------------------------------------------------------------------------------------------
1,316,914
- ----------------------------------------------------------------------------------------------------
Specialty Consumer Products (0.4%)
....................................................................................................
3,755 Oneida Ltd. 81,671
- ----------------------------------------------------------------------------------------------------
Telecommunications (3.8%)
....................................................................................................
1,200 ADTRAN, Inc. (NON) 61,725
....................................................................................................
2,321 C&D Technologies, Inc. 98,643
....................................................................................................
5,838 Communications Systems, Inc. 75,894
....................................................................................................
1,500 CT Communications, Inc. 84,000
....................................................................................................
6,300 Davox Corp. (NON) 123,638
....................................................................................................
2,850 Inter-Tel, Inc. 71,250
....................................................................................................
5,150 Performance Technologies Inc. (NON) 89,481
....................................................................................................
7,100 Superior TeleCom Inc. (NON) 109,606
- ----------------------------------------------------------------------------------------------------
714,237
- ----------------------------------------------------------------------------------------------------
Textiles (0.2%)
....................................................................................................
6,000 Culp, Inc. 37,875
- ----------------------------------------------------------------------------------------------------
Transportation (1.0%)
....................................................................................................
3,987 Circle International Group, Inc. 88,711
....................................................................................................
2,100 GulfMark Offshore, Inc. (NON) 30,713
....................................................................................................
1,500 USFreightways Corp. 71,794
- ----------------------------------------------------------------------------------------------------
191,218
- ----------------------------------------------------------------------------------------------------
Utilities (0.4%)
....................................................................................................
4,900 AGL Resources, Inc. 83,300
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $17,523,754) $17,948,454
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.5%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$605,000 Interest in $578,946,000 joint repurchase
agreement dated December 31, 1999
with Morgan (J.P.) & Co. Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $605,126 for an effective
yield of 2.50% $605,000
....................................................................................................
605,000 Interest in $520,132,000 joint repurchase
agreement dated December 31, 1999
with Morgan Stanley & Co. Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $605,125 for an effective
yield of 2.47% 605,000
- ----------------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $1,210,000) $1,210,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $18,733,754) (b) $19,158,454
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Utilities Growth and Income Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (89.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Business Services (1.0%)
....................................................................................................
306,700 Convergys Corp. (NON) $9,431,025
- ----------------------------------------------------------------------------------------------------
Cable Television (0.5%)
....................................................................................................
67,300 Adelphia Communications Corp. (NON) 4,416,563
- ----------------------------------------------------------------------------------------------------
Cellular Communications (0.7%)
....................................................................................................
197,700 PT Indosat ADR (Indonesia) 4,275,263
....................................................................................................
7,100 Tele Celular Sul Participacoes S.A. (Brazil) 225,425
....................................................................................................
1,340 Tele Leste Celular Participacoes
S.A. (Brazil) 56,950
....................................................................................................
3,550 Tele Nordeste Celular Participacoes
S.A. ADR (Brazil) 179,275
....................................................................................................
1,340 Tele Norte Celular Participacoes S.A.
ADR (Brazil) 57,536
....................................................................................................
14,300 Tele Sudeste Celular Participacoes
S.A. ADR (Brazil) 555,019
....................................................................................................
3,550 Telemig Celular Participacoes S.A.
ADR (Brazil) 163,966
....................................................................................................
28,500 Telesp Celular Participacoes S.A. ADR
(Brazil) 1,207,688
- ----------------------------------------------------------------------------------------------------
6,721,122
- ----------------------------------------------------------------------------------------------------
Combined Utilities (1.0%)
....................................................................................................
143,300 CH Energy Group, Inc. 4,728,900
....................................................................................................
258,700 LG&E Energy Corp. 4,511,081
- ----------------------------------------------------------------------------------------------------
9,239,981
- ----------------------------------------------------------------------------------------------------
Electric Utilities (34.0%)
....................................................................................................
86,900 Ameren Corp. 2,845,975
....................................................................................................
100,000 Calpine Corp. (NON) 6,400,000
....................................................................................................
272,800 Carolina Power & Light Co. 8,303,350
....................................................................................................
57,100 Centrais Geradoras do Sul do Brasil
S.A. (Brazil) 57,923
....................................................................................................
14,350 Chilectra S.A. 144A ADR (Chile) 287,000
....................................................................................................
371,000 CiNergy Corp. 8,950,375
....................................................................................................
96,813 CMS Energy Corp. 3,019,355
....................................................................................................
71,088 Companhia Energetica de Minas Gerais
ADR (Brazil) 1,563,936
....................................................................................................
187,800 Companhia Paranaense de Energia-Copel
ADR (Brazil) 1,748,888
....................................................................................................
250,500 Conectiv, Inc. 4,211,531
....................................................................................................
174,300 Consolidated Edison, Inc. 6,013,350
....................................................................................................
263,400 Constellation Energy Group 7,638,600
....................................................................................................
386,600 Dominion Resources, Inc. 15,174,050
....................................................................................................
476,300 DPL, Inc. 8,245,944
....................................................................................................
141,300 DQE, Inc. 4,892,513
....................................................................................................
560,302 Duke Energy Corp. 28,085,138
....................................................................................................
472,800 Edison International 12,381,450
....................................................................................................
11,221 Eletropaulo Metropolitana S.A. (Brazil) 727,767
....................................................................................................
9,910 Empresa Bandeirante de Energia
S.A. (Brazil) (NON) 60,427
....................................................................................................
9,910 Empresa Paulista de Transmissao de
Energia Electrica S.A. (Brazil) 71,139
....................................................................................................
496,100 Entergy Corp. 12,774,575
....................................................................................................
157,400 Florida Progress Corp. 6,659,988
....................................................................................................
215,200 FPL Group, Inc. 9,213,250
....................................................................................................
285,800 GPU, Inc. 8,556,138
....................................................................................................
57,900 Hawaiian Electric Industries, Inc. 1,671,863
....................................................................................................
360,300 Iberdola S.A. (Spain) 4,987,474
....................................................................................................
149,200 IPALCO Enterprises, Inc. 2,545,725
....................................................................................................
360,300 Korea Electric Power Corp. (South Korea) 11,174,062
....................................................................................................
5,900 Light Participacoes S.A. (Brazil) 17,334
....................................................................................................
286,800 New Century Energies, Inc. 8,711,550
....................................................................................................
75,600 New England Electric Systems, Inc. 3,912,300
....................................................................................................
333,200 Northeast Utilities Co. 6,851,425
....................................................................................................
238,700 OGE Energy Corp. 4,535,300
....................................................................................................
232,000 PP&L Resources, Inc. 5,307,000
....................................................................................................
400,000 Pacific Gas & Electric Co. 8,200,000
....................................................................................................
170,900 Peco Energy Co. 5,938,775
....................................................................................................
152,200 Pinnacle West Capital Corp. 4,651,613
....................................................................................................
252,100 Potomac Electric Power Co. 5,782,544
....................................................................................................
161,880 Puget Sound Energy, Inc. 3,136,425
....................................................................................................
226,100 Scana Corp. 6,076,438
....................................................................................................
1,243,586 Scottish Power PLC (United Kingdom) 9,421,689
....................................................................................................
378,280 Sierra Pacific Resources 6,548,973
....................................................................................................
81,300 Southern Co. 1,910,550
....................................................................................................
261,800 Teco Energy, Inc. 4,859,663
....................................................................................................
527,900 Texas Utilities Co. 18,773,444
....................................................................................................
213,500 TNP Enterprises, Inc. 8,806,875
....................................................................................................
307,500 Unicom Corp. 10,301,250
....................................................................................................
203,500 Union Electrica Fenosa S.A. (Spain) 3,549,862
....................................................................................................
57,900 UniSource Energy Corp. 647,756
....................................................................................................
115,900 United Illuminating Co. 5,954,363
....................................................................................................
141,400 Utilicorp United, Inc. 2,748,463
....................................................................................................
40,000 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) (NON) 1,941,580
....................................................................................................
430,100 Wisconsin Energy Corp. 8,279,425
- ----------------------------------------------------------------------------------------------------
325,126,383
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.9%)
....................................................................................................
9,910 Empresa Metropolitana de Aguas
Energia S.A. (Brazil) 24,995
....................................................................................................
373,700 Energy East Corp. 7,777,631
....................................................................................................
4,750,000 Shandong International Power
Development Co. Ltd. (China) 672,199
- ----------------------------------------------------------------------------------------------------
8,474,825
- ----------------------------------------------------------------------------------------------------
Entertainment (0.5%)
....................................................................................................
61,800 Time Warner, Inc. 4,476,638
- ----------------------------------------------------------------------------------------------------
Environmental Control (0.4%)
....................................................................................................
412,600 Azurix Corp. (NON) 3,687,613
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (5.5%)
....................................................................................................
362,500 Coastal Corp. 12,846,094
....................................................................................................
307,800 Dynegy, Inc. 7,483,388
....................................................................................................
374,000 Enron Corp. 16,596,250
....................................................................................................
516,100 Williams Cos., Inc. 15,773,306
- ----------------------------------------------------------------------------------------------------
52,699,038
- ----------------------------------------------------------------------------------------------------
Gas Utilities (10.7%)
....................................................................................................
244,800 AGL Resources, Inc. 4,161,600
....................................................................................................
288,000 Atmos Energy Corp. 5,886,000
....................................................................................................
134,200 Cascade Natural Gas Corp. 2,163,975
....................................................................................................
172,700 Columbia Gas System, Inc. 10,923,275
....................................................................................................
89,100 Connecticut Energy Corp. 3,463,763
....................................................................................................
375,800 Energen Corp. 6,787,888
....................................................................................................
139,200 Equitable Resources, Inc. 4,645,800
....................................................................................................
58,366 Indiana Energy, Inc. 1,035,997
....................................................................................................
245,200 KeySpan Corp. 5,685,575
....................................................................................................
295,350 Kinder Morgan, Inc. 5,962,378
....................................................................................................
84,500 Laclede Gas Co. 1,827,313
....................................................................................................
204,900 National Fuel Gas Co. 9,527,850
....................................................................................................
43,700 New Jersey Resources Corp. 1,707,031
....................................................................................................
194,600 NICOR, Inc. 6,324,500
....................................................................................................
288,200 Northwest Natural Gas Co. 6,322,388
....................................................................................................
146,800 NUI Corp. 3,871,850
....................................................................................................
138,800 Peoples Energy Corp. 4,649,800
....................................................................................................
118,900 Piedmont Natural Gas Co., Inc. 3,596,725
....................................................................................................
40,500 Providence Energy Corp. 1,503,563
....................................................................................................
150,300 Questar Corp. 2,254,500
....................................................................................................
17,700 South Jersey Industries, Inc. 503,344
....................................................................................................
179,400 Transportadora de Gas del Sur
ADR (Argentina) 1,648,238
....................................................................................................
119,600 Washington Gas Light Co. 3,289,000
....................................................................................................
161,800 Westcoast Energy, Inc. 2,598,913
....................................................................................................
58,800 WICOR, Inc. 1,716,225
....................................................................................................
19,920 Yankee Energy System, Inc. 875,235
- ----------------------------------------------------------------------------------------------------
102,932,726
- ----------------------------------------------------------------------------------------------------
Natural Gas (1.7%)
....................................................................................................
104,150 MCN Corp. 2,473,563
....................................................................................................
200,100 ONEOK, Inc. 5,027,513
....................................................................................................
518,855 Sempra Energy 9,015,106
- ----------------------------------------------------------------------------------------------------
16,516,182
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.7%)
....................................................................................................
376,200 El Paso Energy Corp. 14,601,263
....................................................................................................
64,200 Southwest Gas Corp. 1,476,600
- ----------------------------------------------------------------------------------------------------
16,077,863
- ----------------------------------------------------------------------------------------------------
REITs (Real Estate Investment Trusts) (0.5%)
....................................................................................................
205,933 Equity Office Properties Trust 5,071,100
- ----------------------------------------------------------------------------------------------------
Satellite Services (0.3%)
....................................................................................................
215,500 Hellenic Telecommunication
Organization S.A. GDR (Greece) 2,572,531
- ----------------------------------------------------------------------------------------------------
Telecommunications (1.2%)
....................................................................................................
111,290 ALLTEL Corp. 9,202,292
....................................................................................................
44,900 Global Crossing Ltd. (NON) 2,245,000
....................................................................................................
10,144 Williams Communications Group, Inc. (NON) 293,542
- ----------------------------------------------------------------------------------------------------
11,740,834
- ----------------------------------------------------------------------------------------------------
Telephone Services (8.8%)
....................................................................................................
65,600 British Telecommunications PLC ADR
(United Kingdom) 15,612,800
....................................................................................................
156,700 Broadwing, Inc. (NON) 5,778,313
....................................................................................................
58,200 Philippine Long Distance Telephone Co.
ADR (Philippines) 1,505,925
....................................................................................................
138,132 PT Telekomunikasi Indonesia
ADR (Indonesia) 1,519,452
....................................................................................................
1,054,242 SBC Communications, Inc. 51,394,298
....................................................................................................
40,000 Sonera Group OYJ GDR (Finland) 2,738,332
....................................................................................................
23,733 Tele Centro Oeste Celular
Participacoes ADR (Brazil) 154,265
....................................................................................................
14,300 Tele Centro Sul Participacoes S.A.
ADR (Brazil) 1,297,725
....................................................................................................
186,400 Telefonica del Peru S.A. ADR (Peru) 2,493,100
....................................................................................................
71,400 Telesp Participacoes S.A. ADR (Brazil) 1,744,838
- ----------------------------------------------------------------------------------------------------
84,239,048
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (20.2%)
....................................................................................................
819,700 AT&T Corp. 41,599,775
....................................................................................................
552,856 Bell Atlantic Corp. 34,035,198
....................................................................................................
604,000 BellSouth Corp. 28,274,750
....................................................................................................
59,700 Cable & Wireless PLC ADR
(United Kingdom) 3,160,369
....................................................................................................
242,800 GTE Corp. 17,132,575
....................................................................................................
426,600 NiSource Inc. 7,625,475
....................................................................................................
261,500 Portugal Telecom S.A. ADR (Portugal) 2,843,813
....................................................................................................
531,100 Reliant Energy, Inc. 12,148,913
....................................................................................................
514,600 Sprint Corp. 34,639,013
....................................................................................................
71,400 Telebras Co. ADR (Brazil) 1,592
....................................................................................................
58,200 Telecom Argentina S.A. ADR (Argentina) 1,993,350
....................................................................................................
79,230 Telecom Corp. of New Zealand Ltd.
ADR (New Zealand) 3,050,355
....................................................................................................
11,900 Telefonica de Argentina S.A. ADR
(Argentina) 367,413
....................................................................................................
93,500 U S West, Inc. 6,732,000
- ----------------------------------------------------------------------------------------------------
193,604,591
- ----------------------------------------------------------------------------------------------------
Water Utilities (0.1%)
....................................................................................................
61,100 American Water Works, Inc. 1,298,375
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $684,050,100) $858,326,438
- ----------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.0%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
Combined Utilities (0.5%)
....................................................................................................
$2,000,000 CILCORP, Inc. sr. notes 8.7s, 2009 $2,016,320
....................................................................................................
2,000,000 PG&E Gas Transmission Northwest
sr. notes 7.1s, 2005 1,960,620
....................................................................................................
1,100,000 Public Service Electric & Gas Co.
1st mortgage 6 1/2s, 2000 1,100,011
- ----------------------------------------------------------------------------------------------------
5,076,951
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.2%)
....................................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,475,970
- ----------------------------------------------------------------------------------------------------
Electric Utilities (4.1%)
....................................................................................................
2,000,000 Arizona Public Service Co. notes
6 1/4s, 2005 1,876,920
....................................................................................................
800,000 Calpine Corp. sr. notes 7 3/4s, 2009 745,280
....................................................................................................
2,000,000 CiNergy Corp. deb. 6 1/8s, 2004 1,882,820
....................................................................................................
1,200,000 CMS Energy Corp. pass-through
certificates 7s, 2005 1,116,120
....................................................................................................
2,375,000 Connecticut Light & Power Co.
1st mtge. Ser. C, 7 3/4s, 2002 2,404,118
....................................................................................................
1,000,000 Connecticut Light & Power Co.
1st mtge. Ser. D, 7 7/8s, 2024 1,006,700
....................................................................................................
2,000,000 Consolidated Edison, Inc. deb. 6.45s, 2007 1,875,120
....................................................................................................
1,420,077 Duquesne Light Co. deb. 8.7s, 2016 1,486,111
....................................................................................................
3,000,000 Hydro Quebec local government
guaranty Ser. HY, 8.4s, 2022 (Canada) 3,182,670
....................................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 967,310
....................................................................................................
305,000 Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 329,354
....................................................................................................
3,000,000 Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 2,995,890
....................................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,534,590
....................................................................................................
1,133,000 Otter Tail Power Co. 1st mtge.
7 1/4s, 2002 1,141,101
....................................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 1,912,760
....................................................................................................
1,500,000 Sierra Pacific Power Co. med. term
notes Ser. C, 6.82s, 2006 1,450,965
....................................................................................................
2,750,000 Southern California Edison Co.
notes 6 1/2s, 2001 2,739,303
....................................................................................................
915,000 Southern Energy 144A sr. notes
7.9s, 2009 891,549
....................................................................................................
2,850,000 Teco Energy, Inc. notes 5.54s, 2001 2,778,750
....................................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 973,620
....................................................................................................
1,600,000 Texas Utilities Electric Capital
Trust V company guaranty 8.175s, 2037 1,500,064
....................................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,012,740
....................................................................................................
2,000,000 Western Resources, Inc. sr. notes
6 7/8s, 2004 1,871,980
- ----------------------------------------------------------------------------------------------------
38,675,835
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.2%)
....................................................................................................
2,000,000 Conectiv, Inc. notes Ser. A, 6.73s, 2006 1,937,660
- ----------------------------------------------------------------------------------------------------
Energy-Related (0.3%)
....................................................................................................
1,000,000 CalEnergy, Inc. sr. notes 7.63s, 2007 984,970
....................................................................................................
1,980,000 Edison Mission Energy 144A sr. notes
7.73s, 2009 1,958,774
....................................................................................................
380,000 KN Capital Trust III company guaranty
7.63s, 2028 321,556
- ----------------------------------------------------------------------------------------------------
3,265,300
- ----------------------------------------------------------------------------------------------------
Financial Services (0.6%)
....................................................................................................
671,702 Salton Sea Funding Corp. company
guaranty Ser. E, 8.3s, 2011 652,800
....................................................................................................
2,660,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 2,507,476
....................................................................................................
3,000,000 Sprint Capital Corp. company guaranty
6.9s, 2019 2,728,440
- ----------------------------------------------------------------------------------------------------
5,888,716
- ----------------------------------------------------------------------------------------------------
Oil and Gas (0.9%)
....................................................................................................
2,980,000 Coastal Corp. deb. 6 1/2s, 2008 2,749,050
....................................................................................................
1,500,000 Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 1,401,915
....................................................................................................
1,020,000 El Paso Energy Corp. sr. notes
6 3/4s, 2009 952,272
....................................................................................................
1,000,000 KN Energy, Inc. sr. notes 6.45s, 2003 972,070
....................................................................................................
1,250,000 Louis Dreyfus Natural Gas notes
6 7/8s, 2007 1,131,700
....................................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,503,795
- ----------------------------------------------------------------------------------------------------
8,710,802
- ----------------------------------------------------------------------------------------------------
Telephone Services (0.5%)
....................................................................................................
2,000,000 Century Telephone Enterprises, Inc.
deb. Ser. G, 6 7/8s, 2028 1,725,300
....................................................................................................
3,200,000 U S West, Inc. notes 5 5/8s, 2008 2,799,552
- ----------------------------------------------------------------------------------------------------
4,524,852
- ----------------------------------------------------------------------------------------------------
Telephone Utilities (0.4%)
....................................................................................................
2,650,000 Bell Atlantic Corp. deb. 7 7/8s, 2029 2,696,587
....................................................................................................
1,250,000 WorldCom, Inc. notes 7 3/4s, 2007 1,274,738
- ----------------------------------------------------------------------------------------------------
3,971,325
- ----------------------------------------------------------------------------------------------------
Utilities (0.3%)
....................................................................................................
1,000,000 Australian Gas & Light Co.144A
sr. notes 6 3/8s, 2003 (Australia) 953,910
....................................................................................................
2,000,000 Public Service Co. of New Mexico sr.
notes Ser. A, 7.1s, 2005 1,925,260
- ----------------------------------------------------------------------------------------------------
2,879,170
- ----------------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $80,671,452) $76,406,581
- ----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (0.9%) (a)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
U.S. Treasury Obligations (0.9%)
....................................................................................................
U.S. Treasury Bonds
....................................................................................................
$965,000 6 1/8s, November 15, 2027 $898,048
....................................................................................................
1,830,000 5 1/4s, November 15, 2028 1,507,463
....................................................................................................
U.S. Treasury Notes
....................................................................................................
810,000 6 1/4s, June 30, 2002 809,490
....................................................................................................
2,745,000 6s, August 15, 2004 2,702,096
....................................................................................................
2,887,000 5 1/2s, May 15, 2009 2,689,876
- ----------------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $8,959,423) $8,606,973
- ----------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.7%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.269 Adjustable Rate Preferred (CUS) $2,585,000
....................................................................................................
1,500 Centaur Funding Corp 144A $9.08 pfd.
(Cayman Islands) 1,512,505
....................................................................................................
55,000 Niagara Mohawk Power $3.45 pfd. 2,750,000
- ----------------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $7,000,000) $6,847,505
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.4%) (a) (cost $3,678,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$3,678,000 Interest in $624,736,000 joint repurchase
agreement dated December 31, 1999
with S.B.C. Warburg, Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $3,678,843 for an effective
yield of 2.75% $3,678,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $784,358,975) (b) $953,865,497
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Vista Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (96.5%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (7.0%)
....................................................................................................
34,100 DoubleClick, Inc. (NON) $8,629,431
....................................................................................................
110,700 Interpublic Group Cos., Inc. (NON) 6,386,006
....................................................................................................
72,300 Omnicom Group, Inc. 7,230,000
....................................................................................................
39,900 TMP Worldwide, Inc. (NON) 5,665,800
....................................................................................................
82,100 Valassis Communications, Inc. (NON) 3,468,725
....................................................................................................
134,200 Young & Rubicam, Inc. 9,494,650
- ----------------------------------------------------------------------------------------------------
40,874,612
- ----------------------------------------------------------------------------------------------------
Banks (1.6%)
....................................................................................................
107,900 Greenpoint Finanacial Corp. 2,569,369
....................................................................................................
6,127 M & T Bank Corp. 2,538,110
....................................................................................................
73,700 Zions Bancorp 4,362,119
- ----------------------------------------------------------------------------------------------------
9,469,598
- ----------------------------------------------------------------------------------------------------
Basic Industrial Products (1.1%)
....................................................................................................
90,100 Danaher Corp. 4,347,325
....................................................................................................
36,900 Waters Corp. (NON) 1,955,700
- ----------------------------------------------------------------------------------------------------
6,303,025
- ----------------------------------------------------------------------------------------------------
Broadcasting (2.7%)
....................................................................................................
41,100 Radio One, Inc. (NON) 3,781,200
....................................................................................................
175,000 Spanish Broadcasting System, Inc.
Class A (NON) 7,043,750
....................................................................................................
48,800 Univision Communications, Inc. Class A (NON) 4,986,750
- ----------------------------------------------------------------------------------------------------
15,811,700
- ----------------------------------------------------------------------------------------------------
Chemicals (2.1%)
....................................................................................................
118,057 Ecolab, Inc. 4,618,980
....................................................................................................
87,800 Praxair, Inc. 4,417,438
....................................................................................................
55,800 Sealed Air Corp. (NON) 2,891,138
- ----------------------------------------------------------------------------------------------------
11,927,556
- ----------------------------------------------------------------------------------------------------
Computer Equipment (3.4%)
....................................................................................................
83,100 Lexmark International Group, Inc.
Class A 7,520,550
....................................................................................................
191,500 Symbol Technologies, Inc. (NON) 12,172,219
- ----------------------------------------------------------------------------------------------------
19,692,769
- ----------------------------------------------------------------------------------------------------
Computer Services (11.2%)
....................................................................................................
18,100 CheckFree Holdings Corp. (NON) 1,891,450
....................................................................................................
46,500 CMG Information Services, Inc. (NON) 12,874,688
....................................................................................................
67,100 Computer Sciences Corp. (NON) 6,349,338
....................................................................................................
99,560 Comverse Technology, Inc. (NON) 14,411,310
....................................................................................................
174,100 Convergys Corp. (NON) 5,353,575
....................................................................................................
155,000 Fiserv, Inc. (NON) 5,938,438
....................................................................................................
78,000 IMS, Health Inc. (NON) 2,120,625
....................................................................................................
85,000 VeriSign, Inc. 16,229,688
- ----------------------------------------------------------------------------------------------------
65,169,112
- ----------------------------------------------------------------------------------------------------
Computer Software (12.9%)
....................................................................................................
96,700 BEA Systems, Inc. (NON) 6,762,956
....................................................................................................
32,300 I2 Technologies, Inc. (NON) 6,298,500
....................................................................................................
109,300 Intuit, Inc. (NON) 6,551,169
....................................................................................................
42,700 Legato Systems, Inc. (NON) 2,938,294
....................................................................................................
61,500 Macromedia, Inc. (NON) 4,497,188
....................................................................................................
45,500 Peregrine Systems, Inc. (NON) 3,830,531
....................................................................................................
23,500 Phone.com, Inc. (NON) 2,724,531
....................................................................................................
171,800 Rational Software Corp. (NON) 8,439,675
....................................................................................................
119,300 Siebel Systems, Inc. (NON) 10,021,200
....................................................................................................
157,149 VERITAS Software Corp. (NON) (SEG) 22,491,951
- ----------------------------------------------------------------------------------------------------
74,555,995
- ----------------------------------------------------------------------------------------------------
Computers (2.1%)
....................................................................................................
53,000 Apple Computer, Inc. (NON) 5,449,063
....................................................................................................
96,700 Gateway, Inc. 6,968,444
- ----------------------------------------------------------------------------------------------------
12,417,507
- ----------------------------------------------------------------------------------------------------
Consumer Durable Goods (1.2%)
....................................................................................................
189,100 Furniture Brands International, Inc. (NON) 4,160,200
....................................................................................................
48,100 Harley-Davidson, Inc. 3,081,406
- ----------------------------------------------------------------------------------------------------
7,241,606
- ----------------------------------------------------------------------------------------------------
Cosmetics (1.2%)
....................................................................................................
132,800 Estee Lauder Cos. Class A (NON) 6,698,100
- ----------------------------------------------------------------------------------------------------
Electric Utilities (1.8%)
....................................................................................................
130,800 Calpine Corp. (NON) 8,371,200
....................................................................................................
54,000 Florida Progress Corp. 2,284,875
- ----------------------------------------------------------------------------------------------------
10,656,075
- ----------------------------------------------------------------------------------------------------
Electronics (4.0%)
....................................................................................................
63,300 DII Group, Inc., (The) (NON) 4,492,322
....................................................................................................
150,600 Jabil Circuit, Inc. 10,993,800
....................................................................................................
34,800 Sanmina Corp. (NON) 3,475,650
....................................................................................................
48,300 SCI Systems, Inc. (NON) 3,969,656
- ----------------------------------------------------------------------------------------------------
22,931,428
- ----------------------------------------------------------------------------------------------------
Entertainment (1.3%)
....................................................................................................
246,100 Harrah's Entertainment, Inc. (NON) 6,506,269
....................................................................................................
53,800 World Wrestling Federation
Entertainment, Inc. (NON) 928,050
- ----------------------------------------------------------------------------------------------------
7,434,319
- ----------------------------------------------------------------------------------------------------
Financial Services (0.5%)
....................................................................................................
84,500 Finova Group, Inc. 2,999,750
- ----------------------------------------------------------------------------------------------------
Food and Beverages (0.8%)
....................................................................................................
275,500 U.S. Foodservice (NON) 4,614,625
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.2%)
....................................................................................................
92,200 PE Corp.-PE Biosystems Group (NON) 11,092,813
....................................................................................................
37,500 VISX, Inc. (NON) 1,940,625
- ----------------------------------------------------------------------------------------------------
13,033,438
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.8%)
....................................................................................................
124,800 Network Appliance, Inc. (NON) 10,366,200
- ----------------------------------------------------------------------------------------------------
Oil and Gas (1.9%)
....................................................................................................
66,200 Burlington Resources, Inc. 2,188,738
....................................................................................................
60,100 Cooper Cameron Corp. (NON) 2,941,144
....................................................................................................
53,000 Murphy Oil Corp. 3,040,875
....................................................................................................
57,300 Smith International, Inc. (NON) 2,847,094
- ----------------------------------------------------------------------------------------------------
11,017,851
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.6%)
....................................................................................................
89,200 Allergan, Inc. (NON) 4,437,700
....................................................................................................
105,200 IDEXX Laboratories, Inc. (NON) 1,696,350
....................................................................................................
95,000 Immunex Corp. (NON) 10,402,500
....................................................................................................
60,500 Medimmune, Inc. (NON) 10,035,438
- ----------------------------------------------------------------------------------------------------
26,571,988
- ----------------------------------------------------------------------------------------------------
Recreation (0.9%)
....................................................................................................
104,600 Royal Caribbean Cruises, Ltd. 5,158,088
- ----------------------------------------------------------------------------------------------------
Restaurants (0.6%)
....................................................................................................
188,200 Darden Restaurants, Inc. 3,411,125
- ----------------------------------------------------------------------------------------------------
Retail (8.0%)
....................................................................................................
132,800 Abercrombie & Fitch Co. Class A (NON) 3,544,100
....................................................................................................
98,100 Ann Taylor Stores Corp. (NON) 3,378,319
....................................................................................................
180,900 BJ's Wholesale Club, Inc. (NON) 6,602,850
....................................................................................................
171,800 Circuit City Stores, Inc. (NON) 7,741,738
....................................................................................................
231,400 Family Dollar Stores, Inc. 3,774,713
....................................................................................................
63,800 Kohls Corp. (NON) 4,605,563
....................................................................................................
173,600 Linens 'N Things, Inc. (NON) 5,142,900
....................................................................................................
130,500 Tandy Corp. (NON) 6,418,969
....................................................................................................
61,000 Tiffany & Co. (NON) 5,444,250
- ----------------------------------------------------------------------------------------------------
46,653,402
- ----------------------------------------------------------------------------------------------------
Semiconductors (11.9%)
....................................................................................................
98,500 Altera Corp. (NON) 4,881,906
....................................................................................................
135,200 Analog Devices, Inc. (NON) 12,573,600
....................................................................................................
67,100 Conexant Systems, Inc. (NON) 4,453,763
....................................................................................................
32,800 LAM Research Corp. (NON) 3,659,250
....................................................................................................
26,500 Linear Technology Corp. (NON) 1,896,406
....................................................................................................
90,600 LSI Logic Corp. (NON) 6,115,500
....................................................................................................
225,900 Maxim Integrated Products, Inc. (NON) 10,659,656
....................................................................................................
39,500 PMC - Sierra, Inc. (NON) 6,332,344
....................................................................................................
17,200 Sawtek, Inc. (NON) 1,144,875
....................................................................................................
103,200 Teradyne, Inc. (NON) 6,811,200
....................................................................................................
89,200 Vitesse Semiconductor Corp. 4,677,425
....................................................................................................
124,800 Xilinx, Inc. (NON) 5,674,500
- ----------------------------------------------------------------------------------------------------
68,880,425
- ----------------------------------------------------------------------------------------------------
Telecommunications Equipment (5.1%)
....................................................................................................
92,400 ADC Telecommunications, Inc. (NON) 6,704,775
....................................................................................................
22,600 CIENA Corp. (NON) 1,299,500
....................................................................................................
43,500 E-Tek Dynamics, Inc. (NON) 5,856,188
....................................................................................................
79,800 JDS Uniphase Corp. (NON) 12,872,738
....................................................................................................
7,463 Juniper Networks, Inc. (NON) 2,537,420
- ----------------------------------------------------------------------------------------------------
29,270,621
- ----------------------------------------------------------------------------------------------------
Telephone Services (3.6%)
....................................................................................................
68,500 Allegiance Telecom, Inc. (NON) 6,319,125
....................................................................................................
100,900 McLeod, Inc. Class A (NON) 5,940,488
....................................................................................................
45,500 NTL, Inc. (NON) 5,676,125
....................................................................................................
24,900 Telephone and Data Systems, Inc. 3,137,400
- ----------------------------------------------------------------------------------------------------
21,073,138
- ----------------------------------------------------------------------------------------------------
Textiles (0.1%)
....................................................................................................
19,400 Westpoint Stevens, Inc. 339,500
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
42,700 Omnipoint Corp. (NON) 5,150,677
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $358,872,219) $559,724,230
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.7%) (a) (cost $27,188,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$27,188,000 Interest in $520,132,000 joint repurchase
agreement dated December 31, 1999
with Morgan Stanley & Co., Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $27,193,596 for an effective
yield of 2.47% $27,188,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $386,060,219) (b) $586,912,230
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500 Index
(Long) $13,357,800 $13,101,807 Mar-00 $255,993
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
Putnam VT Voyager Fund
The fund's portfolio
December 31, 1999
<CAPTION>
COMMON STOCKS (98.8%) (a)
- ----------------------------------------------------------------------------------------------------
Number of Shares Value
....................................................................................................
<S> <C> <C> <C> <C>
Advertising (1.2%)
....................................................................................................
424,303 Lamar Advertising Co. (NON) $25,696,850
....................................................................................................
700,600 Omnicom Group, Inc. 70,060,000
....................................................................................................
122,000 TMP Worldwide Inc. (NON) 17,324,000
- ----------------------------------------------------------------------------------------------------
113,080,850
- ----------------------------------------------------------------------------------------------------
Airlines (0.1%)
....................................................................................................
160,000 Ryanair Holdings, PLC ADR (Ireland) (NON) 8,820,000
- ----------------------------------------------------------------------------------------------------
Apparel (0.4%)
....................................................................................................
690,850 Nike, Inc. 34,240,253
- ----------------------------------------------------------------------------------------------------
Banks (2.3%)
....................................................................................................
1,405,900 Fifth Third Bancorp 103,157,913
....................................................................................................
3,178,070 Firstar Corp. 67,136,729
....................................................................................................
236,400 Northern Trust Corp. 12,529,200
....................................................................................................
315,850 SunTrust Banks, Inc. 21,734,428
....................................................................................................
156,300 Zions Bancorp 9,251,006
- ----------------------------------------------------------------------------------------------------
213,809,276
- ----------------------------------------------------------------------------------------------------
Broadcasting (9.0%)
....................................................................................................
1,550,828 AMFM, Inc. (NON) 121,352,291
....................................................................................................
4,305,875 CBS Corp. (NON) 275,306,883
....................................................................................................
202,700 Citadel Communications Corp. (NON) 13,150,163
....................................................................................................
1,489,470 Clear Channel Communications, Inc. (NON) (SEG) 132,935,198
....................................................................................................
389,600 Echostar Communications Corp.
Class A (NON) 37,986,000
....................................................................................................
351,800 Entercom Communications Corp. (NON) 23,218,800
....................................................................................................
258,505 Hispanic Broadcasting Corp. (NON) 23,839,008
....................................................................................................
3,863,872 Infinity Broadcasting Corp. Class A (NON) 139,823,841
....................................................................................................
360,300 Univision Communications Inc. Class A (NON) 36,818,156
....................................................................................................
460,283 Westwood One, Inc. (NON) 34,981,508
- ----------------------------------------------------------------------------------------------------
839,411,848
- ----------------------------------------------------------------------------------------------------
Business Equipment and Services (1.4%)
....................................................................................................
2,065,000 Cendant Corp. (NON) 54,851,563
....................................................................................................
726,950 Cintas Corp. 38,619,219
....................................................................................................
596,400 Convergys Corp. (NON) 18,339,300
....................................................................................................
757,700 Serco Group PLC (United Kingdom) (NON) 23,610,740
- ----------------------------------------------------------------------------------------------------
135,420,822
- ----------------------------------------------------------------------------------------------------
Cable Television (1.0%)
....................................................................................................
433,300 Adelphia Communications Corp. 28,435,313
....................................................................................................
445,750 Comcast Corp. Class A 22,538,234
....................................................................................................
721,750 USA Networks, Inc. (NON) 39,876,688
- ----------------------------------------------------------------------------------------------------
90,850,235
- ----------------------------------------------------------------------------------------------------
Chemicals (0.3%)
....................................................................................................
214,000 du Pont (E.I.) de Nemours & Co., Ltd. 14,097,250
....................................................................................................
217,700 Praxair, Inc. 10,953,031
- ----------------------------------------------------------------------------------------------------
25,050,281
- ----------------------------------------------------------------------------------------------------
Computer Equipment (0.9%)
....................................................................................................
100,400 Lexmark International Group, Inc.
Class A (NON) 9,086,200
....................................................................................................
228,000 PMC-Sierra, Inc. (NON) 36,551,250
....................................................................................................
518,600 Sun Microsystems, Inc. (NON) 40,159,088
- ----------------------------------------------------------------------------------------------------
85,796,538
- ----------------------------------------------------------------------------------------------------
Computer Services (6.2%)
....................................................................................................
411,300 America Online, Inc. (NON) 31,027,444
....................................................................................................
34,000 Brocade Communications Systems (NON) 6,018,000
....................................................................................................
653,188 Capita Group PLC (United Kingdom) (NON) 11,870,549
....................................................................................................
163,800 CheckFree Holdings Corp. (NON) 17,117,100
....................................................................................................
292,850 CMG Information Services, Inc. (NON) 81,082,844
....................................................................................................
149,000 CNET, Inc. (NON) 8,455,750
....................................................................................................
321,400 Comverse Technology, Inc. (NON) 46,522,650
....................................................................................................
424,850 Covad Communications Group 144A (NON) 23,765,047
....................................................................................................
180,647 DoubleClick, Inc. (NON) 45,714,981
....................................................................................................
430,700 Electronic Data Systems Corp. 28,829,981
....................................................................................................
546,100 IMS Health Inc. (NON) 14,847,094
....................................................................................................
163,300 InfoSpace.com, Inc. (NON) 34,946,200
....................................................................................................
969,965 Misys PLC (United Kingdom) (NON) 15,120,406
....................................................................................................
140,600 RealNetworks, Inc. (NON) 16,915,938
....................................................................................................
176,000 USWeb Corp. (NON) 7,821,000
....................................................................................................
221,300 Verio Inc. (NON) 10,221,294
....................................................................................................
473,300 VeriSign, Inc. (NON) 90,370,719
....................................................................................................
33,900 Viant Corp. (NON) 3,356,100
....................................................................................................
344,300 Whittman-Hart, Inc. (NON) 18,463,088
....................................................................................................
148,950 Yahoo! Inc. (NON) 64,448,803
- ----------------------------------------------------------------------------------------------------
576,914,988
- ----------------------------------------------------------------------------------------------------
Computer Software (13.6%)
....................................................................................................
60,850 Agile Software Corp. (NON) 13,218,712
....................................................................................................
357,400 BMC Software, Inc. (NON) 28,569,663
....................................................................................................
258,000 BroadVision, Inc. (NON) 43,876,125
....................................................................................................
1,071,400 Computer Associates International, Inc. 74,931,038
....................................................................................................
739,277 Electronic Arts, Inc. (NON) 62,099,268
....................................................................................................
178,310 I2 Technologies, Inc. (NON) 34,770,450
....................................................................................................
988,954 Intuit, Inc. (NON) 59,275,430
....................................................................................................
512,802 Lycos, Inc. (NON) 40,799,809
....................................................................................................
118,000 Macromedia, Inc. (NON) 8,628,750
....................................................................................................
1,920,650 Microsoft Corp. (NON) (SEG) 224,235,888
....................................................................................................
4,800 OpenTV Corp. (NON) 385,200
....................................................................................................
1,858,500 Oracle Corp. (NON) 208,268,156
....................................................................................................
2,848,143 Parametric Technology Corp. (NON) 77,077,870
....................................................................................................
129,900 Phone.com, Inc. (NON) 15,060,281
....................................................................................................
228,500 Portal Software, Inc. (NON) 23,506,938
....................................................................................................
290,000 Rational Software Corp. (NON) 14,246,250
....................................................................................................
61,578 SAP AG (Germany) 30,292,312
....................................................................................................
300,000 Sapient Corp. (NON) 42,281,250
....................................................................................................
47,000 Silknet Software, Inc. (NON) 7,790,250
....................................................................................................
97,200 Softbank Corp. (Japan) 93,033,470
....................................................................................................
478,162 Synopsys, Inc. (NON) 31,917,314
....................................................................................................
7,400 VA Linux Systems, Inc. (NON) 1,529,025
....................................................................................................
679,300 VERITAS Software Corp. (NON) 97,224,813
....................................................................................................
212,000 Vignette Corp. (NON) 34,556,000
- ----------------------------------------------------------------------------------------------------
1,267,574,26
- ----------------------------------------------------------------------------------------------------
Computers (0.9%)
....................................................................................................
88,600 Apple Computer, Inc. (NON) 9,109,188
....................................................................................................
802,450 Dell Computer Corp. (NON) 40,924,950
....................................................................................................
448,200 Gateway, Inc. 32,298,413
- ----------------------------------------------------------------------------------------------------
82,332,551
- ----------------------------------------------------------------------------------------------------
Conglomerates (1.8%)
....................................................................................................
448,200 Corning Inc. 57,789,788
....................................................................................................
295,900 Minnesota Mining & Manufacturing Co. 28,961,213
....................................................................................................
2,152,900 Tyco International Ltd. 83,693,988
- ----------------------------------------------------------------------------------------------------
170,444,989
- ----------------------------------------------------------------------------------------------------
Consumer Products (0.2%)
....................................................................................................
329,600 Kimberly-Clark Corp. 21,506,400
- ----------------------------------------------------------------------------------------------------
Consumer Services (0.1%)
....................................................................................................
166,880 SportsLine USA, Inc. (NON) 8,364,860
....................................................................................................
88,600 Stamps.com Inc. (NON) 3,687,975
- ----------------------------------------------------------------------------------------------------
12,052,835
- ----------------------------------------------------------------------------------------------------
Cosmetics (--%)
....................................................................................................
53,702 ThermoLase Corp. (NON) 107,404
- ----------------------------------------------------------------------------------------------------
Electric Utilities (0.1%)
....................................................................................................
83,400 Calpine Corp. (NON) 5,337,600
- ----------------------------------------------------------------------------------------------------
Electronic Components (2.9%)
....................................................................................................
280,000 ASM Lithography Holding N.V.
(Netherlands) (NON) 31,850,000
....................................................................................................
73,300 Broadcom Corp. (NON) 19,965,088
....................................................................................................
1,338,800 Celestica Inc. (Canada) (NON) 74,303,400
....................................................................................................
1,596,324 Metromedia Fiber Network, Inc.
Class A (NON) 76,523,782
....................................................................................................
650,600 Rockwell International Corp. 31,147,475
....................................................................................................
334,766 Sanmina Corp. (NON) 33,434,754
- ----------------------------------------------------------------------------------------------------
267,224,499
- ----------------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (8.5%)
....................................................................................................
46,400 Agilent Technologies, Inc. (NON) 3,587,300
....................................................................................................
633,180 Applied Materials, Inc. (NON) 80,215,991
....................................................................................................
607,000 Flextronics International Ltd. (NON) 27,922,000
....................................................................................................
553,700 General Electric Co. 85,685,075
....................................................................................................
429,400 Jabil Circuit, Inc. (NON) 31,346,200
....................................................................................................
350,562 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 16,213,493
....................................................................................................
630,900 LSI Logic Corp. (NON) 42,585,750
....................................................................................................
1,495,050 Motorola, Inc. 220,146,113
....................................................................................................
304,740 Solectron Corp. (NON) 28,988,393
....................................................................................................
595,700 Sony Corp. (Japan) 176,646,213
....................................................................................................
784,400 Tandy Corp. (NON) 38,582,675
....................................................................................................
490,480 Teradyne, Inc. (NON) 32,371,680
....................................................................................................
466,200 Thermo Instrument Systems, Inc. (NON) 5,186,475
- ----------------------------------------------------------------------------------------------------
789,477,358
- ----------------------------------------------------------------------------------------------------
Entertainment (0.4%)
....................................................................................................
383,500 SFX Entertainment, Inc. Class A (NON) 13,877,906
....................................................................................................
382,100 Viacom, Inc. Class B (NON) 23,093,169
- ----------------------------------------------------------------------------------------------------
36,971,075
- ----------------------------------------------------------------------------------------------------
Financial Services (3.9%)
....................................................................................................
268,000 American Express Co. (NON) 44,555,000
....................................................................................................
389,750 Capital One Financial Corp. 18,781,078
....................................................................................................
1,698,650 Citigroup, Inc. 94,381,241
....................................................................................................
1,319,098 Concord EFS, Inc. (NON) 33,966,774
....................................................................................................
267,600 Fannie Mae 16,708,275
....................................................................................................
326,650 Federal Home Loan Mortgage Corp. 15,372,966
....................................................................................................
17,100 Goldman Sachs Group, Inc. (The) 1,610,606
....................................................................................................
290,800 Merrill Lynch & Co., Inc. 24,281,800
....................................................................................................
95,000 Morgan Stanley, Dean Witter,
Discover and Co. 13,561,250
....................................................................................................
301,100 Providian Financial Corp. 27,418,919
....................................................................................................
1,259,700 Schwab (Charles) Corp. 48,340,988
....................................................................................................
749,636 TCF Financial Corp. 18,647,196
- ----------------------------------------------------------------------------------------------------
357,626,093
- ----------------------------------------------------------------------------------------------------
Gaming (0.1%)
....................................................................................................
354,000 Harrah's Entertainment, Inc. 9,358,875
- ----------------------------------------------------------------------------------------------------
Gas Pipelines (0.3%)
....................................................................................................
799,500 Williams Cos., Inc. 24,434,719
- ----------------------------------------------------------------------------------------------------
Health Care Services (0.4%)
....................................................................................................
987,300 Columbia/HCA Healthcare Corp. 28,940,231
....................................................................................................
352,800 Lincare Holdings, Inc. (NON) 12,237,750
- ----------------------------------------------------------------------------------------------------
41,177,981
- ----------------------------------------------------------------------------------------------------
Insurance (1.1%)
....................................................................................................
517,750 AFLAC Inc. 24,431,328
....................................................................................................
274,400 American General Corp. 20,820,100
....................................................................................................
364,550 American International Group, Inc. 39,416,969
....................................................................................................
179,800 National Commerce Bancorporation 4,079,213
....................................................................................................
195,700 Progressive Corp. (The) 14,310,563
- ----------------------------------------------------------------------------------------------------
103,058,173
- ----------------------------------------------------------------------------------------------------
Lodging (0.1%)
....................................................................................................
713,038 Extended Stay America, Inc. (NON) 5,436,915
- ----------------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.1%)
....................................................................................................
162,835 LifeCore Biomedical, Inc. (NON) 3,439,889
....................................................................................................
1,294,630 Medtronic, Inc. 47,173,081
....................................................................................................
308,950 Stryker Corp. 21,510,644
....................................................................................................
771,988 Sybron International Corp. (NON) 19,058,454
....................................................................................................
388,300 Thermo Cardiosystems, Inc. (NON) 2,548,219
....................................................................................................
161,578 Waters Corp. (NON) 8,563,634
- ----------------------------------------------------------------------------------------------------
102,293,921
- ----------------------------------------------------------------------------------------------------
Networking (0.7%)
....................................................................................................
213,975 CIENA Corp. (NON) 12,303,563
....................................................................................................
194,800 Exodus Communications, Inc. (NON) 17,300,675
....................................................................................................
58,980 Extreme Networks, Inc. (NON) 4,924,830
....................................................................................................
50,543 Juniper Networks, Inc. (NON) 17,184,620
....................................................................................................
63,000 Reback Networks Inc. (NON) 11,182,500
- ----------------------------------------------------------------------------------------------------
62,896,188
- ----------------------------------------------------------------------------------------------------
Networking Equipment (1.9%)
....................................................................................................
787,200 ADC Telecommunications Inc. (NON) 57,121,200
....................................................................................................
349,700 Cisco Systems, Inc. (NON) 37,461,613
....................................................................................................
390,162 E-Tek Dynamics, Inc. (NON) 52,525,559
....................................................................................................
318,600 Network Appliance, Inc. (NON) 26,463,713
- ----------------------------------------------------------------------------------------------------
173,572,085
- ----------------------------------------------------------------------------------------------------
Oil and Gas (2.1%)
....................................................................................................
247,700 Chevron, Inc. 21,457,013
....................................................................................................
622,800 Conoco, Inc. 15,414,300
....................................................................................................
374,138 Exxon Mobil Corp. 30,141,493
....................................................................................................
650,000 Halliburton Co. 26,162,500
....................................................................................................
715,150 Nabors Industries, Inc. (NON) 22,124,953
....................................................................................................
917,850 Noble Drilling Corp. (NON) 30,059,588
....................................................................................................
387,500 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 23,419,531
....................................................................................................
199,900 Schlumberger Ltd. 11,244,375
....................................................................................................
38,701 Transocean Sedco Forex Inc. 1,303,728
....................................................................................................
434,300 Unocal Corp. 14,576,194
- ----------------------------------------------------------------------------------------------------
195,903,675
- ----------------------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
....................................................................................................
393,200 Sealed Air Corp. (NON) 20,372,675
- ----------------------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
....................................................................................................
170,600 Weyerhaeuser Co. 12,251,213
....................................................................................................
515,800 Willamette Industries, Inc. 23,952,463
- ----------------------------------------------------------------------------------------------------
36,203,676
- ----------------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.3%)
....................................................................................................
394,600 Amgen Inc. (NON) 23,700,663
....................................................................................................
97,800 Biovail Corp. International (Canada) (NON) 9,168,750
....................................................................................................
416,078 Elan Corp. PLC ADR (Ireland) (NON) 12,274,301
....................................................................................................
162,300 Genentech, Inc. (NON) 21,829,350
....................................................................................................
463,400 Johnson & Johnson (NON) 43,154,125
....................................................................................................
41,400 Medimmune, Inc. (NON) 6,867,225
....................................................................................................
1,138,300 Merck & Co., Inc. 76,337,244
....................................................................................................
822,400 Pfizer, Inc. 26,676,600
....................................................................................................
239,259 Pharmacia & Upjohn, Inc. 10,766,655
....................................................................................................
225,000 QLT PhotoTherapeutics Inc. (Canada) (NON) 13,218,750
....................................................................................................
246,740 Sepracor, Inc. (NON) 24,473,524
....................................................................................................
105,000 Transkaryotic Therapies, Inc. (Malaysia) (NON) 4,042,500
....................................................................................................
417,800 Warner-Lambert Co. 34,233,488
- ----------------------------------------------------------------------------------------------------
306,743,175
- ----------------------------------------------------------------------------------------------------
Publishing (0.1%)
....................................................................................................
24,300 Kadokawa Shoten Publishing Co., Ltd.
(Japan) 8,180,857
- ----------------------------------------------------------------------------------------------------
Recreation (--%)
....................................................................................................
100,400 International Speedway Corp. Class A 5,057,650
- ----------------------------------------------------------------------------------------------------
Restaurants (0.5%)
....................................................................................................
2,449,756 J.D. Wetherspoon PLC
(United Kingdom) (NON) 17,174,838
....................................................................................................
253,524 PizzaExpress PLC (United Kingdom) (NON) 2,999,900
....................................................................................................
1,201,320 Starbucks Corp. (NON) 29,132,010
- ----------------------------------------------------------------------------------------------------
49,306,748
- ----------------------------------------------------------------------------------------------------
Retail (5.8%)
....................................................................................................
200,600 Ames Department Stores, Inc. (NON) 5,779,788
....................................................................................................
658,124 Bed Bath & Beyond, Inc. (NON) 22,869,809
....................................................................................................
659,550 Costco Wholesale Corp. (NON) 60,183,938
....................................................................................................
989,857 Dollar Tree Stores, Inc. (NON) 47,946,198
....................................................................................................
1,776,450 Home Depot, Inc. (The) 121,797,853
....................................................................................................
1,122,068 Kohls Corp. (NON) 80,999,284
....................................................................................................
488,448 Michaels Stores, Inc. (NON) 13,920,768
....................................................................................................
224,000 Seven-Eleven Japan Co., Ltd. (Japan) (NON) 35,513,799
....................................................................................................
1,259,201 TJX Cos., Inc. (The) 25,734,920
....................................................................................................
963,250 Wal-Mart Stores, Inc. 66,584,656
....................................................................................................
1,400,750 Walgreen Co. 40,971,938
....................................................................................................
321,438 Williams-Sonoma, Inc. (NON) 14,786,148
....................................................................................................
164,000 Yankee Candle Company, Inc. (The) (NON) 2,675,250
- ----------------------------------------------------------------------------------------------------
539,764,349
- ----------------------------------------------------------------------------------------------------
Semiconductors (7.0%)
....................................................................................................
431,100 Altera Corp. (NON) 21,366,394
....................................................................................................
500,001 Analog Devices, Inc. (NON) 46,500,093
....................................................................................................
838,300 Intel Corp. 69,002,569
....................................................................................................
396,300 KLA Tencor Corp. (NON) 44,137,913
....................................................................................................
144,500 LAM Research Corp. (NON) 16,120,781
....................................................................................................
1,720,576 Linear Technology Corp. 123,128,720
....................................................................................................
2,789,808 Maxim Integrated Products Inc. (NON) 131,644,065
....................................................................................................
74,600 QLogic Corp. (NON) 11,926,675
....................................................................................................
139,600 Rohm Co. Ltd. (Japan) (NON) 57,381,092
....................................................................................................
211,360 SDL, Inc. (NON) 46,076,480
....................................................................................................
243,200 STMicroelectronics N.V. ADR (France) 36,829,600
....................................................................................................
170,000 Vitesse Semiconductor Corp. (NON) 8,914,375
....................................................................................................
808,000 Xilinx, Inc. (NON) 36,738,750
- ----------------------------------------------------------------------------------------------------
649,767,507
- ----------------------------------------------------------------------------------------------------
Supermarkets (0.4%)
....................................................................................................
182,750 Carrefour Supermarche SA (France) (NON) 33,662,294
- ----------------------------------------------------------------------------------------------------
Telecommunications (10.0%)
....................................................................................................
297,000 Advanced Fibre Communications (NON) 13,272,188
....................................................................................................
252,300 Allegiance Telecom, Inc. (NON) 23,274,675
....................................................................................................
310,500 ALLTEL Corp. 25,674,469
....................................................................................................
791,597 Global Crossing Ltd. (NON) 39,579,850
....................................................................................................
1,249,300 Global TeleSystems Group, Inc. (NON) 43,257,013
....................................................................................................
42,000 Hikari Tsushin, Inc. (Japan) (NON) 84,263,065
....................................................................................................
349,334 Intermedia Communications, Inc. (NON) 13,558,526
....................................................................................................
611,540 JDS Uniphase Corp. (NON) 98,649,046
....................................................................................................
525,900 Lucent Technologies, Inc. 39,343,894
....................................................................................................
1,529,300 MediaOne Group Inc. (NON) 117,469,356
....................................................................................................
100,300 Nokia Corp. ADR (Finland) 19,057,000
....................................................................................................
399,900 NTL Inc. (NON) 49,887,525
....................................................................................................
698,200 Oy Nokia AB Class A, (Finland) 126,430,056
....................................................................................................
711,844 QUALCOMM, Inc. (NON) 125,373,525
....................................................................................................
1,004,000 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) (NON) 64,568,573
....................................................................................................
306,900 Tellabs, Inc. (NON) 19,699,144
....................................................................................................
22,300 Williams Communications Group, Inc. (NON) 645,306
....................................................................................................
292,000 WinStar Communications. Inc. (NON) 21,973,000
- ----------------------------------------------------------------------------------------------------
925,976,211
- ----------------------------------------------------------------------------------------------------
Telephone Services (7.2%)
....................................................................................................
465,600 Amdocs Ltd. (NON) 16,063,200
....................................................................................................
6,668,821 AT&T Corp. (NON) (SEG) 378,455,497
....................................................................................................
477,600 Bell Atlantic Corp. (NON) 29,402,250
....................................................................................................
111,000 Focal Communications Corp. (NON) 2,677,875
....................................................................................................
156,550 Level 3 Communications, Inc. (NON) 12,817,531
....................................................................................................
1,049,400 McLeod, Inc. Class A (NON) 61,783,425
....................................................................................................
1,034,004 NEXTLINK Communications, Inc.
Class A (NON) 85,886,957
....................................................................................................
372,800 Sprint Corp. 25,094,100
....................................................................................................
564,900 Sprint PCS (NON) 57,902,250
- ----------------------------------------------------------------------------------------------------
670,083,085
- ----------------------------------------------------------------------------------------------------
Wireless Communications (0.9%)
....................................................................................................
1,223,600 American Tower Corp. Class A (NON) 37,396,275
....................................................................................................
100,300 Pinnacle Holdings Inc. (NON) 4,250,213
....................................................................................................
163,000 RF Micro Devices, Inc. (NON) 11,155,313
....................................................................................................
573,000 Vodafone AirTouch PLC
(United Kingdom) 28,363,500
- ----------------------------------------------------------------------------------------------------
81,165,301
- ----------------------------------------------------------------------------------------------------
Total Common Stocks
(cost $5,178,297,190) $9,178,466,217
- ----------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.0%) (a) (cost $90,809,000)
- ----------------------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................................
$90,809,000 Interest in $520,132,000 joint repurchase
agreement dated December 31, 1999
with Morgan Stanley & Co., Inc. due
January 3, 2000 with respect to various
U.S. Treasury obligations -- maturity
value of $90,827,692 for an effective
yield of 2.47% $90,809,000
- ----------------------------------------------------------------------------------------------------
Total Investments
(cost $5,269,106,190) (b) $9,269,275,217
- ----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
....................................................................................................
Japanese Yen $4,407,039 $4,204,112 2/3/00 $(202,927)
- ----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding at December 31, 1999
- ----------------------------------------------------------------------------------------------------
Aggregate Expiration Unrealized
Total Value Face Value Date Appreciation
....................................................................................................
S&P 500 Index
(Long) $11,502,550 $11,485,671 Mar-00 $16,879
- ----------------------------------------------------------------------------------------------------
See page 263 for Notes to the Portfolios.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Notes to the Portfolios
December 31, 1999
(a) Percentages indicated are based on net assets.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and
the date the fund will begin receiving interest or dividend income at this rate.
(POR) A portion of the income will be received in additional securities.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities by fund did
not exceed 1% of each fund's net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(REL) Banca Popolare di Brescia 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 Global Asset Allocation Fund, Putnam VT Growth and Income Fund,
Putnam Health Sciences Fund, Putnam VT Income Fund, Putnam VT International Growth and Income Fund, Putnam VT Investors
Fund, Putnam VT New Opportunities Fund, Putnam VT OTC & Emerging Growth Fund, and Putnam VT Vista Fund at December 31,
1999.
(CUS) This entity provides subcustodian services to the fund.
(ITT) ITT Hartford, through its subsidiaries, offers variable annuity products which invest in the funds.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR, ADS, or GDR after the name of a foreign holding stands for American Depositary Receipts, American Depositary Shares,
or Global Depositary Receipts, respectively, representing ownership of foreign securities on deposit with a custodian
bank.
TBA after the name of a security represents to be announced securities (Note 1).
FSA represents Financial Security Assistance.
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates shown at
December 31, 1999, which are subject to change based on the terms of the security.
(b) On December 31, 1999, the composition of unrealized appreciation and (depreciation) of investment securities based on the
aggregate cost of investments on a tax basis was as follows:
<S> <C> <C> <C> <C>
Federal Tax
Appreciation Depreciation Net Cost
------------ ------------ ------------ ------------
Putnam VT Asia Pacific Growth Fund $98,896,125 $3,522,016 $95,374,109 $164,276,123
Putnam VT Diversified Income Fund 13,249,004 54,176,050 (40,927,046) 678,672,353
Putnam VT The George Putnam Fund 15,368,906 21,557,685 (6,188,779) 322,185,529
Putnam VT Global Asset Allocation Fund 209,271,704 42,285,629 166,986,075 838,904,230
Putnam VT Global Growth Fund 1,136,379,962 17,674,832 1,118,705,130 1,994,990,216
Putnam VT Growth & Income Fund 1,794,567,072 825,985,738 968,581,334 8,760,602,111
Putnam VT Health Sciences Fund 39,547,815 10,372,540 29,175,275 209,856,948
Putnam VT High Yield Fund 28,333,061 133,145,814 (104,812,753) 1,070,835,368
Putnam VT Income Fund 2,003,988 48,357,951 (46,353,963) 1,004,257,401
Putnam VT International Growth Fund 199,483,330 6,629,569 192,853,761 472,925,809
Putnam VT International Growth and Income Fund 56,376,061 19,730,485 36,645,576 361,029,359
Putnam VT International New Opportunities Fund 153,434,465 1,220,588 152,213,877 214,132,210
Putnam VT Investors Fund 250,451,762 18,569,122 231,882,640 764,893,752
Putnam VT Money Market Fund -- -- -- 859,308,221
Putnam VT New Opportunities Fund 3,272,168,917 44,996,572 3,227,172,345 3,226,163,308
Putnam VT New Value Fund 23,484,541 28,194,890 (4,710,349) 269,380,108
Putnam VT OTC & Emerging Growth Fund 90,590,645 2,347,183 88,243,462 155,916,315
Putnam VT Research Fund 27,096,795 6,317,302 20,779,493 139,157,016
Putnam VT Small Cap Value Fund 1,871,638 1,579,119 292,519 18,865,935
Putnam VT Utilities Growth and Income Fund 228,689,425 59,149,412 169,540,013 784,325,484
Putnam VT Vista Fund 211,099,899 10,973,853 200,126,046 386,786,184
Putnam VT Voyager Fund 4,143,662,653 159,302,578 3,984,360,075 5,284,915,142
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL HIGHLIGHTS
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of assets and liabilities
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston Allocation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $257,879,232 $626,223,307 $306,625,750 $ 981,701,305
Repurchase agreements, at value (Note 1)...................... 1,771,000 11,522,000 9,371,000 24,189,000
Cash.......................................................... 2,856 246,263 652,025 1,320,356
Foreign currency, at value.................................... 1,813,782 134,336 -- 4,423,507
Dividends, interest, and other receivables.................... 28,577 12,194,505 2,061,894 5,023,666
Receivable for shares of the fund sold........................ 2,244,615 106,924 177,466 5,622
Receivable for securities sold................................ 395,835 1,713,572 703,132 4,500,180
Receivable for variation margin............................... -- -- -- --
Receivable for open forward currency contracts................ -- 2,855,506 -- 4,193,634
Receivable for closed forward currency contracts.............. -- 280,293 -- 846,338
Foreign tax reclaim........................................... -- -- -- 99,337
....................................................................................................................................
Total assets.................................................. 264,135,897 655,276,706 319,591,267 1,026,302,945
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for variation margin ................................. -- 24,000 -- 2,944,521
Payable for securities purchased.............................. 5,780,414 2,854,364 3,933,104 5,974,626
Payable for shares of the fund repurchased.................... 92 144,681 51 323,030
Payable for compensation of Manager (Note 2).................. 410,433 1,100,272 487,343 1,594,606
Payable for investor servicing and custodian fees (Note 2).... 74,816 60,955 39,760 141,879
Payable for compensation of Trustees (Note 2)................. 13,821 22,550 3,213 44,364
Payable for administrative services (Note 2).................. 1,821 2,730 1,688 2,627
Payable for distribution fees (Note 2)........................ 729 2,684 4,452 694
Payable for open forward currency contracts................... -- 3,760,336 -- 5,719,329
Payable for closed forward currency contracts................. -- 380,041 -- 1,846,300
Other accrued expenses........................................ 2,595 5,542 2,431 6,749
....................................................................................................................................
Total liabilities............................................. 6,284,721 8,358,155 4,472,042 18,598,725
....................................................................................................................................
Net assets.................................................... $257,851,176 $646,918,551 $315,119,225 $1,007,704,220
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $158,199,662 $684,326,978 $323,565,983 $ 738,723,837
Undistributed net investment income (loss) (Note 1)........... 976,693 50,219,668 9,057 14,838,015
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. (3,524,699) (47,789,240) (4,752,664) 95,012,631
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 102,199,520 (39,838,855) (3,703,151) 159,129,737
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $257,851,176 $646,918,551 $315,119,225 $1,007,704,220
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $250,985,506 $623,737,079 $276,553,147 $1,001,086,977
Number of shares outstanding.................................. 14,520,268 62,867,758 27,714,129 51,076,306
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 17.29 $ 9.92 $ 9.98 $ 19.60
Computation of net asset value Class IB
Net Assets.................................................... $ 6,865,670 $23,181,472 $ 38,566,078 $ 6,617,243
Number of shares outstanding.................................. 398,073 2,340,815 3,865,893 337,594
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 17.25 $ 9.90 $ 9.98 $ 19.60
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $157,460,534 $676,528,089 $319,699,901 $ 833,362,585
Cost of foreign currency (Note 1)............................. 1,808,448 134,641 -- 4,271,042
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth Health Sciences High Yield
Fund and Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $3,113,695,346 $9,673,122,445 $228,418,223 $ 947,421,615
Repurchase agreements, at value (Note 1)...................... -- 56,061,000 10,614,000 18,601,000
Cash.......................................................... -- 23,300 121,569 --
Foreign currency, at value.................................... 142,784 -- -- --
Dividends, interest, and other receivables.................... 579,410 16,908,596 16,690 19,253,985
Receivable for shares of the fund sold........................ 14,788 615,354 229,245 59,489
Receivable for securities sold................................ 17,873,299 38,410,704 838,498 1,281,056
Receivable for variation margin............................... -- 91,800 11,087 --
Receivable for open forward currency contracts................ -- -- -- --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... 322,658 -- 17,335 --
....................................................................................................................................
Total assets.................................................. 3,132,628,285 9,785,233,199 240,266,647 986,617,145
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. 6,481,882 -- -- 751,796
Payable for variation margin ................................. -- -- -- --
Payable for securities purchased.............................. 1,683,156 39,311,199 831,119 1,257,996
Payable for shares of the fund repurchased.................... 918,478 4,715,465 -- 636,092
Payable for compensation of Manager (Note 2).................. 4,059,343 11,441,294 389,591 1,608,747
Payable for investor servicing and custodian fees (Note 2).... 285,866 307,435 26,978 54,760
Payable for compensation of Trustees (Note 2)................. 73,271 203,855 2,802 48,586
Payable for administrative services (Note 2).................. 5,208 10,004 1,760 2,852
Payable for distribution fees (Note 2)........................ 3,076 18,697 2,273 2,085
Payable for open forward currency contracts................... -- -- -- --
Payable for closed forward currency contracts................. -- -- -- --
Other accrued expenses........................................ 136,281 36,050 2,112 18,017
....................................................................................................................................
Total liabilities............................................. 13,646,561 56,043,999 1,256,635 4,380,931
....................................................................................................................................
Net assets.................................................... $3,118,981,724 $9,729,189,200 $239,010,012 $ 982,236,214
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $1,490,279,154 $7,793,019,122 $229,639,602 $1,061,222,737
Undistributed net investment income (loss) (Note 1)........... 2,461,477 169,485,458 67,644 103,224,362
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 489,315,021 741,948,318 (22,130,130) (79,930,883)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 1,136,926,072 1,024,736,302 31,432,896 (102,280,002)
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $3,118,981,724 $9,729,189,200 $239,010,012 $ 982,236,214
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $3,090,072,616 $9,567,077,366 $218,847,580 $ 964,590,416
Number of shares outstanding.................................. 101,353,541 356,955,975 20,835,794 86,979,773
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 30.49 $ 26.80 $ 10.50 $ 11.09
Computation of net asset value Class IB
Net Assets.................................................... $ 28,909,108 $ 162,111,834 $ 20,162,432 $ 17,645,798
Number of shares outstanding.................................. 950,557 6,060,822 1,921,062 1,592,259
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 30.41 $ 26.75 $ 10.50 $ 11.08
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $1,976,766,443 $8,705,420,277 $207,763,802 $1,068,302,617
Cost of foreign currency (Note 1)............................. 134,400 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999 Putnam VT
Putnam VT International Putnam VT
Putnam VT International Growth and International New
Income Fund Growth Fund Income Fund Opportunities Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)..................$ 941,240,438 $649,512,570 $389,403,935 $355,208,087
Repurchase agreements, at value (Note 1)...................... 16,663,000 16,267,000 8,271,000 11,138,000
Cash.......................................................... 4,669,337 28,011 28,701 317,024
Foreign currency, at value.................................... -- 20,568 432 192,331
Dividends, interest, and other receivables.................... 13,608,390 683,361 789,834 127,791
Receivable for shares of the fund sold........................ 54,007 3,308,581 281,059 5,446,806
Receivable for securities sold................................ 1,281,319 3,905,868 2,912,002 2,560,699
Receivable for variation margin............................... -- -- 27,403 --
Receivable for open forward currency contracts................ -- -- -- --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... -- 206,907 338,563 48,059
....................................................................................................................................
Total assets.................................................. 977,516,491 673,932,866 402,052,929 375,038,797
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for variation margin ................................. 31,500 -- -- --
Payable for securities purchased.............................. 19,161,341 4,890,620 2,986,393 8,949,728
Payable for shares of the fund repurchased.................... 2,000,263 2,679 42,846 --
Payable for compensation of Manager (Note 2).................. 1,488,146 1,064,496 765,372 645,646
Payable for investor servicing and custodian fees (Note 2).... 866,077 141,108 80,481 90,324
Payable for compensation of Trustees (Note 2)................. 39,587 8,478 8,783 7,765
Payable for administrative services (Note 2).................. 4,585 1,923 1,892 1,831
Payable for distribution fees (Note 2)........................ 2,129 3,945 1,269 3,203
Payable for open forward currency contracts................... -- -- 5,639 801,943
Payable for closed forward currency contracts................. -- -- -- --
Other accrued expenses........................................ 6,629 3,611 3,964 2,757
....................................................................................................................................
Total liabilities............................................. 23,600,257 6,116,860 3,896,639 10,503,197
....................................................................................................................................
Net assets....................................................$ 953,916,234 $667,816,006 $398,156,290 $364,535,600
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................$ 956,829,114 $398,220,326 $302,651,494 $188,910,230
Undistributed net investment income (loss) (Note 1)........... 59,543,667 2,930,362 12,686,597 (9,810)
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. (16,220,533) 61,914,631 39,750,491 22,260,195
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... (46,236,014) 204,750,687 43,067,708 153,374,985
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding..........................................$ 953,916,234 $667,816,006 $398,156,290 $364,535,600
....................................................................................................................................
Computation of net asset value Class IA
Net Assets....................................................$ 935,800,190 $627,367,628 $387,503,994 $330,981,664
Number of shares outstanding.................................. 74,715,188 28,962,219 25,410,766 14,200,909
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)......................................$ 12.52 $ 21.66 $ 15.25 $ 23.31
Computation of net asset value Class IB
Net Assets....................................................$ 18,116,044 $ 40,448,378 $ 10,652,296 $ 33,553,936
Number of shares outstanding.................................. 1,447,850 1,870,117 699,678 1,441,566
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)......................................$ 12.51 $ 21.63 $ 15.22 $ 23.28
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)..$1,003,959,362 $461,082,765 $354,883,351 $212,193,692
Cost of foreign currency (Note 1)............................. -- 16,451 6,765 164,882
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Investors Money New Opportunities New Value
Fund Market Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $947,762,392 $859,308,221 $6,362,648,653 $256,693,759
Repurchase agreements, at value (Note 1)...................... 49,014,000 -- 90,687,000 7,976,000
Cash.......................................................... 271 25,330 983,692 13,805
Foreign currency, at value.................................... -- -- -- --
Dividends, interest, and other receivables.................... 347,597 3,568,931 883,042 512,341
Receivable for shares of the fund sold........................ 1,822,589 4,636,112 2,946,726 69,737
Receivable for securities sold................................ 2,158,652 -- 81,386,673 864,903
Receivable for variation margin............................... 20,400 -- 135,885 --
Receivable for open forward currency contracts................ -- -- -- --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... -- -- -- --
....................................................................................................................................
Total assets.................................................. 1,001,125,901 867,538,594 6,539,671,671 266,130,545
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- 5,727 --
Payable for variation margin ................................. -- -- -- --
Payable for securities purchased.............................. 30,786,415 -- 33,521,544 6,933,715
Payable for shares of the fund repurchased.................... 114,559 2,059,608 3,708,374 60,776
Payable for compensation of Manager (Note 2).................. 1,210,768 866,830 6,950,680 463,604
Payable for investor servicing and custodian fees (Note 2).... 47,538 51,444 158,681 27,492
Payable for compensation of Trustees (Note 2)................. 3,097 10,366 90,780 5,855
Payable for administrative services (Note 2).................. 2,638 2,495 8,441 1,708
Payable for distribution fees (Note 2)........................ 10,994 4,601 6,450 1,131
Payable for open forward currency contracts................... -- -- -- --
Payable for closed forward currency contracts................. -- -- -- --
Other accrued expenses........................................ 4,444 13,896 16,928 2,815
....................................................................................................................................
Total liabilities............................................. 32,180,453 3,009,240 44,467,605 7,497,096
....................................................................................................................................
Net assets.................................................... $968,945,448 $864,529,354 $6,495,204,066 $258,633,449
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $751,695,875 $864,529,354 $2,724,211,285 $246,294,832
Undistributed net investment income (loss) (Note 1)........... 211,892 -- -- 3,845,341
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. (18,379,028) -- 538,183,578 12,350,831
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 235,416,709 -- 3,232,809,203 (3,857,555)
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $968,945,448 $864,529,354 $6,495,204,066 $258,633,449
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $867,150,771 $823,013,332 $6,432,227,312 $249,092,093
Number of shares outstanding.................................. 57,204,051 823,013,332 147,728,649 21,005,967
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 15.16 $ 1.00 $ 43.54 $ 11.86
Computation of net asset value Class IB
Net Assets.................................................... $101,794,677 $ 41,516,022 $ 62,976,754 $ 9,541,356
Number of shares outstanding.................................. 6,727,905 41,516,022 1,449,864 805,472
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 15.13 $ 1.00 $ 43.44 $ 11.85
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $761,651,063 $859,308,221 $3,221,106,777 $268,527,314
Cost of foreign currency (Note 1)............................. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------------
December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
OTC & Emerging Research Small Cap Utilities Growth
Growth Fund Fund Value Fund and Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $222,174,777 $157,052,509 $17,948,454 $950,187,497
Repurchase agreements, at value (Note 1)...................... 21,985,000 2,884,000 1,210,000 3,678,000
Cash.......................................................... -- 1,293 11,299 --
Foreign currency, at value.................................... -- -- -- --
Dividends, interest, and other receivables.................... 2,208 86,845 11,420 3,708,162
Receivable for shares of the fund sold........................ 1,553,527 576,400 139,748 21,119
Receivable for securities sold................................ 585,523 1,404,970 49,736 8,178,707
Receivable for variation margin............................... 18 37 -- --
Receivable for open forward currency contracts................ -- -- -- --
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... -- -- -- --
....................................................................................................................................
Total assets.................................................. 246,301,053 162,006,054 19,370,657 965,773,485
....................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. 2,429 -- -- 5,775
Payable for variation margin ................................. -- -- -- --
Payable for securities purchased.............................. 14,579,758 1,427,055 639,556 6,512,030
Payable for shares of the fund repurchased.................... -- 137 -- 607,457
Payable for compensation of Manager (Note 2).................. 235,962 215,019 26,957 1,620,444
Payable for investor servicing and custodian fees (Note 2).... 39,597 33,265 20,451 47,825
Payable for compensation of Trustees (Note 2)................. 2,995 692 57 50,988
Payable for administrative services (Note 2).................. 1,155 1,627 10 2,842
Payable for distribution fees (Note 2)........................ 2,210 1,462 683 1,321
Payable for open forward currency contracts................... -- -- -- --
Payable for closed forward currency contracts................. -- -- -- --
Other accrued expenses........................................ 1,844 1,429 1,300 6,988
....................................................................................................................................
Total liabilities............................................. 14,865,950 1,680,686 689,014 8,855,670
....................................................................................................................................
Net assets.................................................... $231,435,103 $160,325,368 $18,681,643 $956,917,815
....................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $138,840,380 $138,121,132 $18,389,124 $704,564,630
Undistributed net investment income (loss) (Note 1)........... -- -- -- 30,117,051
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 3,790,271 963,091 (132,181) 52,717,049
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 88,804,452 21,241,145 424,700 169,519,085
....................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $231,435,103 $160,325,368 $18,681,643 $956,917,815
....................................................................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $207,003,080 $134,115,157 $12,297,525 $945,580,912
Number of shares outstanding.................................. 9,082,849 9,132,044 1,192,923 55,726,631
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 22.79 $ 14.69 $ 10.31 $ 16.97
Computation of net asset value Class IB
Net Assets.................................................... $ 24,432,023 $ 26,210,211 $ 6,384,118 $ 11,336,903
Number of shares outstanding.................................. 1,073,536 1,786,996 620,088 668,918
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 22.76 $ 14.67 $ 10.30 $ 16.95
....................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $155,355,343 $138,695,401 $18,733,754 $784,358,975
Cost of foreign currency (Note 1)............................. -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (Continued)
- ----------------------------------------------------------------------------------------------
December 31, 1999
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $559,724,230 $9,178,466,217
Repurchase agreements, at value (Note 1)...................... 27,188,000 90,809,000
Cash.......................................................... 1,274,217 --
Foreign currency, at value.................................... -- --
Dividends, interest, and other receivables.................... 96,604 2,420,149
Receivable for shares of the fund sold........................ 756,326 1,350,813
Receivable for securities sold................................ 2,041,190 43,061,553
Receivable for variation margin............................... 26,442 26,350
Receivable for open forward currency contracts................ -- --
Receivable for closed forward currency contracts.............. -- --
Foreign tax reclaim........................................... -- --
..............................................................................................
Total assets.................................................. 591,107,009 9,316,134,082
..............................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- 262,206
Payable for variation margin ................................. -- --
Payable for securities purchased.............................. 8,810,587 11,698,358
Payable for shares of the fund repurchased.................... 1,507,393 7,415,709
Payable for compensation of Manager (Note 2).................. 739,348 10,052,195
Payable for investor servicing and custodian fees (Note 2).... 38,417 296,455
Payable for compensation of Trustees (Note 2)................. 5,875 67,311
Payable for administrative services (Note 2).................. 1,739 9,197
Payable for distribution fees (Note 2)........................ 3,678 16,479
Payable for open forward currency contracts................... -- 202,927
Payable for closed forward currency contracts................. -- --
Other accrued expenses........................................ 3,275 27,158
..............................................................................................
Total liabilities............................................. 11,110,312 30,047,995
..............................................................................................
Net assets.................................................... $579,996,697 $9,286,086,087
..............................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $371,655,546 $4,091,985,639
Undistributed net investment income (loss) (Note 1)........... -- 2,868,109
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................. 7,233,147 1,191,249,369
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies.......................................... 201,108,004 3,999,982,970
..............................................................................................
Total--Representing net assets applicable to capital
shares outstanding.......................................... $579,996,697 $9,286,086,087
..............................................................................................
Computation of net asset value Class IA
Net Assets.................................................... $542,490,695 $9,130,196,816
Number of shares outstanding.................................. 26,235,102 137,816,490
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 20.68 $ 66.25
Computation of net asset value Class IB
Net Assets.................................................... $ 37,506,002 $ 155,889,271
Number of shares outstanding.................................. 1,816,003 2,357,878
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)...................................... $ 20.65 $ 66.11
..............................................................................................
Cost of investments, including repurchase agreement (Note 1).. $386,060,219 $5,269,106,190
Cost of foreign currency (Note 1)............................. -- --
- ----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified The George Putnam Global Asset
Growth Fund Income Fund Fund of Boston Allocation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 1,411,458 $ 2,004,876 $ 2,887,730 $ 8,053,307
Interest...................................................... 157,512 54,692,548 5,875,262 21,652,457
Less: foreign taxes withheld.................................. (120,330) (37,998) (974) (183,401)
....................................................................................................................................
Total investment income....................................... 1,448,640 56,659,426 8,762,018 29,522,363
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 1,137,746 4,451,958 1,472,017 6,440,908
Investor servicing and custodian fees (Note 2)................ 403,073 543,545 264,143 1,040,466
Compensation of Trustees (Note 2)............................. 16,495 22,792 12,474 23,685
Administrative services (Note 2).............................. 6,609 10,735 7,137 16,080
Distribution fees-Class IB.................................... 2,189 12,794 20,058 4,159
Reports to Shareholders....................................... 2,032 5,802 2,167 7,098
Auditing...................................................... 31,126 75,005 45,396 91,566
Legal......................................................... 5,092 8,117 5,713 10,093
Other......................................................... 1,982 7,857 74,964 11,806
Fees waived and reimbursed by Manager (Note 2)................ -- -- -- --
....................................................................................................................................
Total expenses................................................ 1,606,344 5,138,605 1,904,069 7,645,861
....................................................................................................................................
Expense reduction (Note 2).................................... (19,760) (19,286) (28,941) (88,169)
Net expenses.................................................. 1,586,584 5,119,319 1,875,128 7,557,692
....................................................................................................................................
Net investment income (loss).................................. (137,944) 51,540,107 6,886,890 21,964,671
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 34,765,413 (31,289,814) (4,436,171) 115,468,961
Net realized gain on futures contracts (Note 1)............... -- (1,640,800) 123,136 (22,275,085)
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... (349,022) 2,833,523 -- (2,419,825)
Net realized gain (loss) on swap contracts (Note 1)........... -- -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (9,434) (733,285) -- (2,166,948)
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ 90,291,717 (9,578,155) (8,628,292) 180,473
....................................................................................................................................
Net gain (loss) on investments................................ 124,698,674 (40,408,531) (12,941,327) 88,787,576
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $124,560,730 $11,131,576 $(6,054,437) $110,752,247
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Global Growth Growth and Health Sciences High Yield
Fund Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 13,611,139 $211,524,295 $ 1,375,138 $ 7,697,307
Interest...................................................... 925,635 9,404,032 504,403 103,454,833
Less: foreign taxes withheld.................................. (778,823) (112,117) (24,239) --
....................................................................................................................................
Total investment income....................................... 13,757,951 220,816,210 1,855,302 111,152,140
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 13,249,535 47,064,877 1,345,233 6,608,763
Investor servicing and custodian fees (Note 2)................ 2,187,283 3,648,340 192,602 532,663
Compensation of Trustees (Note 2)............................. 45,244 179,636 14,144 31,380
Administrative services (Note 2).............................. 21,487 39,787 7,447 14,877
Distribution fees-Class IB.................................... 11,075 80,349 10,568 11,078
Reports to Shareholders....................................... 63,127 43,540 2,276 8,519
Auditing...................................................... 94,113 35,266 28,249 88,820
Legal......................................................... 17,628 64,706 5,472 51,068
Other......................................................... 174,878 172,168 2,770 12,006
Fees waived and reimbursed by Manager (Note 2)................ -- -- -- --
....................................................................................................................................
Total expenses................................................ 15,864,370 51,328,669 1,608,761 7,359,174
....................................................................................................................................
Expense reduction (Note 2).................................... (211,658) (1,038,081) (13,676) (38,962)
Net expenses.................................................. 15,652,712 50,290,588 1,595,085 7,320,212
....................................................................................................................................
Net investment income (loss).................................. (1,894,761) 170,525,622 260,217 103,831,928
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 505,160,830 801,204,036 (17,718,908) (60,753,936)
Net realized gain on futures contracts (Note 1)............... -- 423,702 412,764 --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... (2,410,002) -- 1,179 105,809
Net realized gain (loss) on swap contracts (Note 1)........... -- -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... (10,201) -- (272) 6,742
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ 735,620,334 (813,641,826) 13,481,353 14,870,243
....................................................................................................................................
Net gain (loss) on investments................................ 1,238,360,961 (12,014,088) (3,823,884) (45,771,142)
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $1,236,466,200 $158,511,534 $(3,563,667) $58,060,786
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1999 Putnam VT Putnam VT
Putnam VT International International
Putnam VT International Growth and New Opportunities
Income Fund Growth Fund Income Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 162,865 $ 6,445,957 $ 8,813,155 $ 1,752,594
Interest...................................................... 67,776,424 542,125 504,370 278,777
Less: foreign taxes withheld.................................. -- (634,291) (779,881) (187,805)
....................................................................................................................................
Total investment income....................................... 67,939,289 6,353,791 8,537,644 1,843,566
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 6,048,200 3,317,297 2,773,645 1,927,272
Investor servicing and custodian fees (Note 2)................ 559,422 744,184 537,344 525,684
Compensation of Trustees (Note 2)............................. 25,013 19,140 19,164 17,108
Administrative services (Note 2).............................. 19,839 7,517 7,425 7,177
Distribution fees-Class IB.................................... 11,674 13,479 5,507 6,543
Reports to Shareholders....................................... 6,738 3,889 3,836 2,433
Auditing...................................................... 73,721 35,423 34,999 43,073
Legal......................................................... 10,291 6,693 6,368 5,268
Other......................................................... 12,152 109,838 4,327 2,274
Fees waived and reimbursed by Manager (Note 2)................ -- -- -- --
....................................................................................................................................
Total expenses................................................ 6,767,050 4,257,460 3,392,615 2,536,832
....................................................................................................................................
Expense reduction (Note 2).................................... (116,766) (11,756) (29,813) (16,723)
Net expenses.................................................. 6,650,284 4,245,704 3,362,802 2,520,109
....................................................................................................................................
Net investment income (loss).................................. 61,289,005 2,108,087 5,174,842 (676,543)
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... (13,422,018) 68,948,715 49,489,026 36,278,985
Net realized gain on futures contracts (Note 1)............... (709,872) -- 374,267 --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... (168,648) 46,678 121,598 87,551
Net realized gain (loss) on swap contracts (Note 1)........... -- -- -- 515,648
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... 89,603 3,823 85,890 (788,817)
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ (67,600,826) 161,558,551 22,265,453 128,153,795
....................................................................................................................................
Net gain (loss) on investments................................ (81,811,761) 230,557,767 72,336,234 164,247,162
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $(20,522,756) $232,665,854 $77,511,076 $163,570,619
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1999
Putnam VT Putnam VT Putnam VT Putnam VT
Investors Money New Opportunities New Value
Fund Market Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 3,122,422 $ -- $ 8,212,882 $ 5,386,427
Interest...................................................... 1,046,718 38,925,460 4,545,969 603,938
Less: foreign taxes withheld.................................. -- -- (38,243) (3,135)
....................................................................................................................................
Total investment income....................................... 4,169,140 38,925,460 12,720,608 5,987,230
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 3,490,704 3,048,110 22,883,384 1,909,355
Investor servicing and custodian fees (Note 2)................ 359,116 410,977 1,685,136 210,499
Compensation of Trustees (Note 2)............................. 13,918 13,721 64,896 13,822
Administrative services (Note 2).............................. 9,529 9,674 33,176 6,715
Distribution fees-Class IB.................................... 39,842 24,804 20,470 5,407
Reports to Shareholders....................................... 4,606 3,868 21,865 3,577
Auditing...................................................... 34,363 39,108 56,357 32,884
Legal......................................................... 7,616 42,821 21,299 5,895
Other......................................................... 7,546 63,713 53,007 9,844
Fees waived and reimbursed by Manager (Note 2)................ -- -- -- --
....................................................................................................................................
Total expenses................................................ 3,967,240 3,656,796 24,839,590 2,197,998
....................................................................................................................................
Expense reduction (Note 2).................................... (9,992) (422) (284,026) (42,909)
Net expenses.................................................. 3,957,248 3,656,374 24,555,564 2,155,089
....................................................................................................................................
Net investment income (loss).................................. 211,892 35,269,086 (11,834,956) 3,832,141
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... (11,522,514) -- 553,505,450 13,631,239
Net realized gain on futures contracts (Note 1)............... 1,981,939 -- 983,336 (133,531)
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... -- -- (673) --
Net realized gain (loss) on swap contracts (Note 1)........... -- -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... -- -- (108) --
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ 196,323,644 -- 2,069,369,805 (18,973,465)
....................................................................................................................................
Net gain (loss) on investments................................ 186,783,069 -- 2,623,857,810 (5,475,757)
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $186,994,961 $35,269,086 $2,612,022,854 $(1,643,616)
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1999 Putnam VT
Putnam VT Putnam VT Putnam VT Utilities
OTC & Emerging Research Small Cap Growth and
Growth Fund Fund Value Fund*** Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends..................................................... $ 2,098 $ 819,180 $ 71,634 $30,750,995
Interest...................................................... 233,743 111,748 19,267 6,792,017
Less: foreign taxes withheld.................................. -- (96) -- (96,641)
....................................................................................................................................
Total investment income....................................... 235,841 930,832 90,901 37,446,371
....................................................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 483,385 512,755 46,193 6,510,389
Investor servicing and custodian fees (Note 2)................ 202,513 197,380 34,352 519,553
Compensation of Trustees (Note 2)............................. 11,549 5,423 974 30,387
Administrative services (Note 2).............................. 5,602 5,484 351 14,783
Distribution fees-Class IB.................................... 6,159 8,390 2,159 7,515
Reports to Shareholders....................................... 965 540 279 10,111
Auditing...................................................... 27,760 29,392 26,164 39,580
Legal......................................................... 4,635 4,761 3,022 10,204
Other......................................................... 955 1,153 277 12,237
Fees waived and reimbursed by Manager (Note 2)................ (115,869) (86,363) -- --
....................................................................................................................................
Total expenses................................................ 627,654 678,915 113,771 7,154,759
....................................................................................................................................
Expense reduction (Note 2).................................... (3,539) (6,830) (838) (5,091)
Net expenses.................................................. 624,115 672,085 112,933 7,149,668
....................................................................................................................................
Net investment income (loss).................................. (388,274) 258,747 (22,032) 30,296,703
....................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 7,384,808 4,655,553 (64,508) 53,046,273
Net realized gain on futures contracts (Note 1)............... 73,171 29,399 -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... -- -- -- (21,027)
Net realized gain (loss) on swap contracts (Note 1)........... -- -- -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... -- -- -- (7,337)
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ 82,931,192 19,261,649 424,700 (89,544,319)
....................................................................................................................................
Net gain (loss) on investments................................ 90,389,171 23,946,601 360,192 (36,526,410)
....................................................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $90,000,897 $24,205,348 $338,160 $(6,229,707)
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------
Year ended December 31, 1999
Putnam VT Putnam VT
Vista Voyager
Fund Fund
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
Investment income:
Dividends..................................................... $ 1,171,798 $ 32,975,395
Interest...................................................... 544,151 8,313,558
Less: foreign taxes withheld.................................. -- (326,085)
................................................................................................
Total investment income....................................... 1,715,949 40,962,868
................................................................................................
Expenses:
Compensation of Manager (Note 2).............................. 2,459,639 34,843,021
Investor servicing and custodian fees (Note 2)................ 299,617 2,777,422
Compensation of Trustees (Note 2)............................. 14,317 91,170
Administrative services (Note 2).............................. 6,846 36,260
Distribution fees-Class IB.................................... 10,196 58,792
Reports to Shareholders....................................... 4,201 34,375
Auditing...................................................... 37,786 56,673
Legal......................................................... 6,493 43,124
Other......................................................... 553 196,965
Fees waived and reimbursed by Manager (Note 2)................ -- --
................................................................................................
Total expenses................................................ 2,839,648 38,137,802
................................................................................................
Expense reduction (Note 2).................................... (9,448) (565,721)
Net expenses.................................................. 2,830,200 37,572,081
................................................................................................
Net investment income (loss).................................. (1,114,251) 3,390,787
................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)....... 63,584,380 1,207,011,578
Net realized gain on futures contracts (Note 1)............... 57,498 9,317,699
Net realized gain (loss) on foreign currency transactions
(Note 1)..................................................... -- (338,802)
Net realized gain (loss) on swap contracts (Note 1)........... -- --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period.......... -- (201,538)
Net unrealized appreciation (depreciation) of investments
and futures during the period................................ 125,371,848 2,179,887,421
................................................................................................
Net gain (loss) on investments................................ 189,013,726 3,395,676,358
................................................................................................
Net increase (decrease) in net assets resulting
from operations.............................................. $187,899,475 $3,399,067,145
- ------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund
Year ended December 31 Year ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (137,944) $ 970,840 $ 51,540,107 $ 51,460,647
Net realized gain (loss) on investments and
foreign currency transactions...................... 34,416,391 (22,230,884) (30,097,091) (22,036,826)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 90,282,283 14,919,582 (10,311,440) (39,661,327)
Net increase (decrease) in net assets
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 124,560,730 (6,340,462) 11,131,576 (10,237,506)
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- (4,516,269) (46,355,564) (26,682,103)
Class IB.......................................... -- -- (248,526) --
From net realized gain on investments
Class IA.......................................... -- -- -- (11,333,017)
Class IB.......................................... -- -- -- --
From return of capital
Class IA.......................................... -- (127,308) -- --
Class IB.......................................... -- -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 42,512,429 (11,140,017) 11,374,604 111,121,414
....................................................................................................................................
Total increase (decrease) in net assets............. 167,073,159 (22,124,056) (24,097,910) 62,868,788
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 90,778,017 112,902,073 671,016,461 608,147,673
....................................................................................................................................
End of period....................................... $257,851,176 $90,778,017 $646,918,551 $671,016,461
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 976,693 $ (12,294) $ 50,219,668 $ 46,307,097
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
The George Putnam Fund of Boston Global Asset Allocation Fund
Year ended Period ended Year ended
December 31 December 31 December 31
1999 1998* 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 6,886,890 $ 874,769 $ 21,964,671 $ 25,355,658
Net realized gain (loss) on investments and
foreign currency transactions...................... (4,313,035) (15,776) 90,774,051 48,568,169
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. (8,628,292) 4,925,141 (1,986,475) 43,294,979
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... (6,054,437) 5,784,134 110,752,247 117,218,806
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... (6,104,192) (909,452) (19,758,177) (21,801,279)
Class IB.......................................... (773,218) (15,315) (37,116) --
From net realized gain on investments
Class IA.......................................... (358,545) -- (55,437,254) (93,644,097)
Class IB.......................................... (20,722) -- (105,805) --
From return of capital
Class IA.......................................... (331,172) -- -- --
Class IB.......................................... (41,950) -- -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 213,677,105 108,265,989 (49,382,307) 63,367,043
....................................................................................................................................
Total increase (decrease) in net assets............. 199,992,869 113,125,356 (13,968,412) 65,140,473
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 115,126,356 2,001,000 1,021,672,632 956,532,159
....................................................................................................................................
End of period....................................... $315,119,225 $115,126,356 $1,007,704,220 $1,021,672,632
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 9,057 $ (44,081) $ 14,838,015 $ 18,368,225
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Growth Fund Growth and Income Fund
Year Ended December 31 Year Ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (1,894,761) $ 4,613,368 $ 170,525,622 $ 145,687,310
Net realized gain (loss) on investments and
foreign currency transactions...................... 502,750,828 196,526,598 801,627,738 655,020,567
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 735,610,133 258,892,378 (813,641,826) 495,099,517
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 1,236,466,200 460,032,344 158,511,534 1,295,807,394
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... (8,217,030) (45,115,988) (140,251,765) (149,956,847)
Class IB.......................................... (8,486) -- (202,648) --
From net realized gain on investments
Class IA.......................................... (171,107,573) (225,579,941) (699,887,168) (978,918,294)
Class IB.......................................... (180,962) -- (1,021,247) --
Increase (decrease) from capital share
transactions (Note 4).............................. 74,112,123 187,077,579 456,071,173 1,451,702,995
....................................................................................................................................
Total increase (decrease) in net assets............. 1,131,064,272 376,413,994 (226,780,121) 1,618,635,248
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 1,987,917,452 1,611,503,458 9,955,969,321 8,337,334,073
....................................................................................................................................
End of period....................................... $3,118,981,724 $1,987,917,452 $9,729,189,200 $9,955,969,321
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 2,461,477 $ 7,163,966 $ 169,485,458 $ 139,548,823
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Health Sciences Fund High Yield Fund
Year ended Period ended Year ended
December 31 December 31 December 31
1999 1998* 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 260,217 $ 84,355 $ 103,831,928 $ 111,348,978
Net realized gain (loss) on investments and
foreign currency transactions...................... (17,304,965) (4,823,757) (60,648,127) (19,658,042)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 13,481,081 17,951,815 14,876,985 (155,030,509)
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... (3,563,667) 13,212,413 58,060,786 (63,339,573)
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... (186,582) (83,480) (109,086,026) (84,098,235)
Class IB.......................................... (7,170) (1,104) (431,138) --
From net realized gain on investments
Class IA.......................................... -- -- -- (13,196,473)
Class IB.......................................... -- -- -- --
From return of capital
Class IA.......................................... -- (32,926) -- --
Class IB.......................................... -- (435) -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 106,202,757 121,469,206 (1,038,661) 170,067,410
....................................................................................................................................
Total increase (decrease) in net assets............. 102,445,338 134,563,674 (52,495,039) 9,433,129
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 136,564,674 2,001,000 1,034,731,253 1,025,298,124
....................................................................................................................................
End of period....................................... $239,010,012 $136,564,674 $ 982,236,214 $1,034,731,253
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 67,644 $ -- $ 103,224,362 $ 110,935,694
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Income Fund International Growth Fund
Year ended December 31 Year ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 61,289,005 $ 53,300,076 $ 2,108,087 $ 2,009,754
Net realized gain (loss) on investments and
foreign currency transactions...................... (14,300,538) 17,116,323 68,995,393 (6,419,294)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. (67,511,223) (3,093,378) 161,562,374 38,588,932
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... (20,522,756) 67,323,021 232,665,854 34,179,392
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... (55,304,022) (42,868,771) -- (843,870)
Class IB.......................................... (243,387) -- -- (20,511)
From net realized gain on investments
Class IA.......................................... (15,808,532) (1,115,763) -- --
Class IB.......................................... (69,762) -- -- --
From return of capital
Class IA.......................................... -- -- -- (191,218)
Class IB.......................................... -- -- -- (4,648)
Increase (decrease) from capital share
transactions (Note 4) 43,415,753 189,570,369 116,313,958 134,832,557
....................................................................................................................................
Total increase (decrease) in net assets (48,532,706) 212,908,856 348,979,812 167,951,702
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 1,002,448,940 789,540,084 318,836,194 150,884,492
....................................................................................................................................
End of period $953,916,234 $1,002,448,940 $667,816,006 $318,836,194
....................................................................................................................................
Undistributed net investment income (loss), end
of period $ 59,543,667 $ 52,744,212 $ 2,930,362 $ (336,147)
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT International
International Growth and Income Fund New Opportunities Fund
Year ended December 31 Year ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 5,174,842 $ 5,088,773 $ (676,543) $ (441,590)
Net realized gain (loss) on investments and
foreign currency transactions...................... 49,984,891 4,694,683 36,882,184 (8,286,399)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 22,351,343 14,381,219 127,364,978 26,474,514
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 77,511,076 24,164,675 163,570,619 17,746,525
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- (2,590,484) (57,846) (235,886)
Class IB.......................................... -- (9,677) (10)
From net realized gain on investments
Class IA.......................................... -- (5,311,565) -- --
Class IB.......................................... -- (18,886) -- --
In excess of net realized gain on investments
Class IA.......................................... -- (4,427,665) -- --
Class IB.......................................... -- (15,743) -- --
From return of capital
Class IA.......................................... -- (1,529,177) -- --
Class IB.......................................... -- (5,628) -- --
Increase (decrease) from capital share
transactions (Note 4) 14,672,412 89,118,942 65,486,713 11,025,001
....................................................................................................................................
Total increase (decrease) in net assets 92,183,488 99,374,792 228,999,476 28,535,640
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 305,972,802 206,598,010 135,536,124 107,000,484
....................................................................................................................................
End of period $398,156,290 $305,972,802 $364,535,600 $135,536,124
....................................................................................................................................
Undistributed net investment income (loss), end
of period $ 12,686,597 $ (654,990) $ (9,810) $ (233,349)
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Investors Fund Putnam VT
Year ended Period ended Money Market Fund
December 31 December 31 Year ended December 31
1999 1998* 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ 211,892 $ 183,347 $ 35,269,086 $ 25,582,369
Net realized gain (loss) on investments and
foreign currency transactions...................... (9,540,575) (8,838,294) -- --
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 196,323,644 39,093,065 -- --
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 186,994,961 30,438,118 35,269,086 25,582,369
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- (181,901) (34,493,642) (25,507,476)
Class IB.......................................... -- (1,605) (775,444) (74,893)
From return of capital
Class IA.......................................... -- (110,129) -- --
Class IB.......................................... -- (972) -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 536,035,433 213,770,543 256,183,321 202,768,885
....................................................................................................................................
Total increase (decrease) in net assets............. 723,030,394 243,914,054 256,183,321 202,768,885
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 245,915,054 2,001,000 608,346,033 405,577,148
....................................................................................................................................
End of period....................................... $968,945,448 $245,915,054 $864,529,354 $608,346,033
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ 211,892 $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Opportunities Fund New Value Fund
Year ended December 31 Year ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (11,834,956) $ (4,679,495) $ 3,832,141 $ 3,116,783
Net realized gain (loss) on investments and
foreign currency transactions...................... 554,488,113 52,243,397 13,497,708 3,733,085
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 2,069,369,697 621,550,838 (18,973,465) 7,492,278
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 2,612,022,854 669,114,740 (1,643,616) 14,342,146
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- -- (20,345) (4,522,395)
Class IB.......................................... -- -- -- (3,988)
From net realized gain on investments
Class IA.......................................... (51,876,521) (40,377,073) (4,292,863) (4,472,218)
Class IB.......................................... (41,740) -- (14,678) (755)
Increase (decrease) from capital share
transactions (Note 4).............................. 347,516,049 368,601,899 8,437,167 55,434,143
....................................................................................................................................
Total increase (decrease) in net assets............. 2,907,620,642 997,339,566 2,465,665 60,776,933
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 3,587,583,424 2,590,243,858 256,167,784 195,390,851
....................................................................................................................................
End of period....................................... $6,495,204,066 $3,587,583,424 $258,633,449 $256,167,784
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ -- $ -- $ 3,845,341 $ 57,759
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
OTC & Emerging Growth Fund Research Fund
Year ended Period ended Year ended Period ended
December 31 December 31 December 31 December 31
1999 1998* 1999 1998**
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (388,274) $ (21,409) $ 258,747 $ 21,881
Net realized gain (loss) on investments and
foreign currency transactions...................... 7,457,979 (2,732,544) 4,684,952 273,279
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 82,931,192 5,873,260 19,261,649 1,979,496
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 90,000,897 3,119,307 24,205,348 2,274,656
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- -- (242,375) (21,723)
Class IB.......................................... -- -- (36,664) (158)
From net realized gain on investments
Class IA.......................................... (500,533) -- (3,394,940) (11,993)
Class IB.......................................... (50,324) -- (567,989) (105)
From return of capital
Class IA.......................................... -- (10,506) -- --
Class IB.......................................... -- (91) -- --
Increase (decrease) from capital share
transactions (Note 4).............................. 113,385,084 23,490,269 117,480,745 18,640,566
....................................................................................................................................
Total increase (decrease) in net assets............. 202,835,124 26,598,979 137,444,125 20,881,243
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 28,599,979 2,001,000 22,881,243 2,000,000
....................................................................................................................................
End of period....................................... $231,435,103 $28,599,979 $160,325,368 $22,881,243
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ -- $ -- $ -- $ --
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT
Small Cap Value Fund Putnam VT
Period ended Utilities Growth and Income Fund
December 31 Year ended December 31
1999*** 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (22,032) $ 30,296,703 $ 28,359,479
Net realized gain (loss) on investments and
foreign currency transactions...................... (64,508) 53,025,246 29,497,527
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 424,700 (89,551,656) 70,693,208
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations.......................... 338,160 (6,229,707) 128,550,214
....................................................................................................................................
Distributions to shareholders:
From net investment income
Class IA.......................................... -- (28,075,188) (25,052,399)
Class IB.......................................... -- (76,882) --
From net realized gain on investments
Class IA.......................................... -- (29,484,585) (43,178,545)
Class IB.......................................... -- (81,067) --
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).............................. 17,396,297 3,739,203 134,550,230
....................................................................................................................................
Total increase (decrease) in net assets............. 17,681,643 (60,208,226) 194,869,500
....................................................................................................................................
Net assets:
Beginning of period (Note 5) 1,000,000 1,017,126,041 822,256,541
....................................................................................................................................
End of period....................................... $18,681,643 $ 956,917,815 $1,017,126,041
....................................................................................................................................
Undistributed net investment income (loss), end
of period.......................................... $ -- $ 30,117,051 $ 28,000,418
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Vista Fund Voyager Fund
Year ended December 31 Year ended December 31
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................ $ (1,114,251) $ (275,761) $ 3,390,787 $ 6,782,667
Net realized gain (loss) on investments and
foreign currency transactions...................... 63,641,878 (10,989,282) 1,215,990,475 508,086,665
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies.................. 125,371,848 53,652,396 2,179,685,883 594,982,328
Net increase (decrease) in net assets
resulting from operations.......................... 187,899,475 42,387,353 3,399,067,145 1,109,851,660
Distributions to shareholders:
From net investment income
Class IA.......................................... -- -- (6,563,907) (11,793,024)
Class IB.......................................... -- -- (8,482) --
From net realized gain on investments
Class IA.......................................... (38,819,301) -- (526,374,820) (287,749,794)
Class IB.......................................... (2,334,899) -- (786,010) --
Increase (decrease) from capital share
transactions (Note 4).............................. 120,787,683 99,415,966 613,346,755 458,561,422
Total increase (decrease) in net assets............. 267,532,958 141,803,319 3,478,680,681 1,268,870,264
Net assets:
Beginning of period (Note 5) 312,463,739 170,660,420 5,807,405,406 4,538,535,142
End of period....................................... $579,996,697 $312,463,739 $9,286,086,087 $5,807,405,406
Undistributed net investment income (loss), end
of period.......................................... $ -- $ -- $ 2,868,109 $ 6,388,437
- ------------------------------------------------------------------------------------------------------------------------------------
* From April 30, 1998 (commencement of operations) to December 31, 1998.
** From September 30, 1998 (commencent of operations) to December 31, 1998.
*** From April 30, 1999 (commencement of operations) to December 31, 1999.
ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 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
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
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
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
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
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 Health Sciences Fund
December 31, 1999 $10.94 $ .01(a) $ (.44) $ (.43)
December 31, 1998***** 10.00 .01(a)(b) .94 .95
........................................................................................................
Putnam VT High Yield Fund
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>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.38) -- -- -- (.01)
December 31, 1997 (.22) -- -- -- --
December 31, 1996 (.15) -- -- -- --
December 31, 1995** -- -- -- -- --
........................................................................................................
Putnam VT Diversified Income Fund
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
December 31, 1999 $ (.23) $ -- $ (.02) $ -- $ (.01)
December 31, 1998***** (.09) -- -- -- --
........................................................................................................
Putnam VT Global Asset Allocation Fund
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
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
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 Health Sciences Fund
December 31, 1999 $ (.01) $ -- $ -- $ -- $ --
December 31, 1998***** (.01) -- -- -- --(e)
........................................................................................................
Putnam VT High Yield Fund
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>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 $ -- $17.29 107.56 $ 250,986
December 31, 1998 (.39) 8.33 (5.48) 90,667
December 31, 1997 (.22) 9.20 (14.66) 112,902
December 31, 1996 (.15) 11.01 9.10 130,548
December 31, 1995** -- 10.23 2.30* 25,045
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1999 $ (.74) $ 9.92 1.66 $ 623,737
December 31, 1998 (.69) 10.49 (1.37) 669,053
December 31, 1997 (.73) 11.31 7.38 608,148
December 31, 1996 (.67) 11.27 8.81 494,811
December 31, 1995 (.51) 11.03 19.13 303,721
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1999 $ (.26) $ 9.98 (0.36) $ 276,553
December 31, 1998***** (.09) 10.28 3.69* 113,202
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1999 $(1.44) $19.60 11.85 $ 1,001,087
December 31, 1998 (2.28) 18.94 13.47 1,020,354
December 31, 1997 (1.62) 18.76 19.67 956,532
December 31, 1996 (1.27) 17.25 15.62 747,734
December 31, 1995 (.25) 16.15 24.71 535,666
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1999 $(1.86) $30.49 65.00 $ 3,090,073
December 31, 1998 (3.12) 20.28 29.71 1,987,094
December 31, 1997 (.85) 18.34 14.33 1,611,503
December 31, 1996 (.82) 16.88 17.20 1,344,887
December 31, 1995 (.35) 15.18 15.67 831,593
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1999 $(2.45) $26.80 1.59 $ 9,567,077
December 31, 1998 (3.76) 28.77 15.42 9,948,386
December 31, 1997 (1.79) 28.32 24.15 8,337,334
December 31, 1996 (1.40) 24.56 21.92 5,679,100
December 31, 1995 (.81) 21.47 36.71 3,312,306
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 $ (.01) $10.50 (3.93) $ 218,848
December 31, 1998***** (.01) 10.94 9.51* 134,436
........................................................................................................
Putnam VT High Yield Fund
December 31, 1999 $(1.26) $11.09 5.92 $ 964,590
December 31, 1998 (1.25) 11.70 (5.86) 1,032,892
December 31, 1997 (1.05) 13.62 14.34 1,025,298
December 31, 1996 (.91) 12.96 12.81 769,918
December 31, 1995 (1.05) 12.37 18.32 498,467
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income (Loss)
to Average Net to Average Portfolio
Period ended Assets (%)(d) Net Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 1.13 (.09) 145.51
December 31, 1998 1.12 1.01 136.49
December 31, 1997 1.07 .70 102.92
December 31, 1996 1.23 .84 66.10
December 31, 1995** .81(b)* .72(b)* 67.72*
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1999 .78 7.86 117.02
December 31, 1998 .78 7.94 186.80
December 31, 1997 .80 7.43 282.56
December 31, 1996 .83 7.45 235.53
December 31, 1995 .85 7.85 297.17
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1999 .83 3.04 173.41
December 31, 1998***** .57(b)* 1.84(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1999 .77 2.22 149.82
December 31, 1998 .78 2.54 133.80
December 31, 1997 .77 3.01 181.05
December 31, 1996 .83 3.08 165.03
December 31, 1995 .84 3.31 150.88
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1999 .73 (.09) 154.88
December 31, 1998 .72 .26 164.56
December 31, 1997 .75 .77 158.37
December 31, 1996 .76 1.25 79.18
December 31, 1995 .75 1.49 82.53
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1999 .50 1.66 53.68
December 31, 1998 .50 1.59 63.62
December 31, 1997 .51 2.08 64.96
December 31, 1996 .54 2.90 39.57
December 31, 1995 .57 3.34 50.87
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 .83 .14 82.45
December 31, 1998***** .61(b)* .14(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
December 31, 1999 .72 10.18 52.96
December 31, 1998 .71 10.31 52.00
December 31, 1997 .72 9.26 84.61
December 31, 1996 .76 9.57 62.72
December 31, 1995 .79 9.42 69.78
- --------------------------------------------------------------------------------------------------------
See page 296 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
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
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
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
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
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
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
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
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
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
December 31, 1999 $11.93 $ .05(a)(b) $ 3.20 $ 3.25
December 31, 1998****** 10.00 .02(a)(b) 1.93 1.95
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* $10.00 $ (.02)(a) $ .37 $ .35
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Income Fund
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
December 31, 1999 $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.04) -- -- -- (.01)
December 31, 1997*** (.05) (.02) (.04) (.06) (.01)
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 $ -- $ -- $ -- $ -- $ --
December 31, 1998 (.11) -- (.22) (.19) (.06)
December 31, 1997*** (.08) (.05) (.28) -- --
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 $ (.01) $ -- $ -- $ -- $ --
December 31, 1998 (.02) -- -- -- --
December 31, 1997*** (.01) (.02) -- -- --
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 $ -- $ -- $ -- $ -- $ --
December 31, 1998***** (.01) -- -- -- (.01)
........................................................................................................
Putnam VT Money Market Fund
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
December 31, 1999 $ -- $ -- $ (.37) $ -- $ --
December 31, 1998 -- -- (.32) -- --
December 31, 1997 -- -- -- -- --
December 31, 1996 -- -- -- -- --
December 31, 1995 -- -- (.02) -- (.01)
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 $ --(e) $ -- $ (.21) $ -- $ --
December 31, 1998 (.23) -- (.23) -- --
December 31, 1997*** -- -- -- -- --
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 $ -- $ -- $ (.06) $ -- $ --
December 31, 1998* -- -- -- -- --(e)
........................................................................................................
Putnam VT Research Fund
December 31, 1999 $ (.03) $ -- $ (.46) $ -- $ --
December 31, 1998****** (.01) -- (.01) -- --
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* $ -- $ -- $ -- $ (.03) $(.01)
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Income Fund
December 31, 1999 $ (.94) $12.52 (2.07) $ 935,800
December 31, 1998 (.75) 13.73 8.25 1,000,161
December 31, 1997 (.85) 13.42 8.64 789,540
December 31, 1996 (.82) 13.21 2.42 778,924
December 31, 1995 (.85) 13.74 20.44 747,024
........................................................................................................
Putnam VT International Growth Fund
December 31, 1999 $ -- $21.66 60.21 $ 627,368
December 31, 1998 (.05) 13.52 18.69 317,602
December 31, 1997*** (.18) 11.43 16.13 150,884
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 $ -- $15.25 24.59 $ 387,504
December 31, 1998 (.58) 12.24 11.28 305,047
December 31, 1997*** (.41) 11.53 19.43 206,598
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 $ (.01) $23.31 102.96 $ 330,982
December 31, 1998 (.02) 11.49 15.58 135,451
December 31, 1997*** (.03) 9.96 (.10) 107,000
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 $ -- $15.16 30.13 $ 867,151
December 31, 1998***** (.02) 11.65 16.66* 243,296
........................................................................................................
Putnam VT Money Market Fund
December 31, 1999 $(.0476) $ 1.00 4.86 $ 823,013
December 31, 1998 (.0510) 1.00 5.19 595,158
December 31, 1997 (.0509) 1.00 5.22 405,577
December 31, 1996 (.0497) 1.00 5.08 437,132
December 31, 1995 (.0533) 1.00 5.46 263,213
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1999 $ (.37) $43.54 69.35 $6,432,227
December 31, 1998 (.32) 26.06 24.38 3,586,225
December 31, 1997 -- 21.23 23.29 2,590,244
December 31, 1996 -- 17.22 10.17 1,674,197
December 31, 1995 (.03) 15.63 44.87 515,109
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 $ (.21) $11.86 .27 $ 249,092
December 31, 1998 (.46) 12.03 6.26 255,754
December 31, 1997*** -- 11.76 17.60 195,391
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 $ (.06) $22.79 126.52 $ 207,003
December 31, 1998***** -- 10.09 .94* 28,059
........................................................................................................
Putnam VT Research Fund
December 31, 1999 $ (.49) $14.69 27.58 $ 134,115
December 31, 1998****** (.02) 11.93 19.51* 22,626
........................................................................................................
Putnam VT Small Cap Value Fund
December 31 30, 1999******* $ (.04) $10.31 3.47* $ 12,298
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income (Loss)
to Average Net to Average Portfolio
Period ended Assets (%)(d) Net Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Income Fund
December 31, 1999 .67 6.07 220.90
December 31, 1998 .67 6.13 233.04
December 31, 1997 .69 6.58 194.29
December 31, 1996 .69 6.48 142.49
December 31, 1995 .70 6.22 149.18
........................................................................................................
Putnam VT International Growth Fund
December 31, 1999 1.02 .51 107.38
December 31, 1998 1.07 .84 98.31
December 31, 1997*** 1.20(b) .79(b) 75.18
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 .98 1.50 92.27
December 31, 1998 .99 1.86 62.61
December 31, 1997*** 1.12 1.11 53.20
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 1.41 (.36) 196.53
December 31, 1998 1.60(b) (.36)(b) 157.72
December 31, 1997*** 1.60(b) .09(b) 131.89
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 .71 .05 65.59
December 31, 1998***** .57(b)* .19(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
December 31, 1999 .49 4.77 --
December 31, 1998 .53 5.04 --
December 31, 1997 .54 5.10 --
December 31, 1996 .53 4.93 --
December 31, 1995 .57 5.43 --
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1999 .59 (.28) 71.14
December 31, 1998 .61 (.16) 59.75
December 31, 1997 .63 (.01) 71.78
December 31, 1996 .72 (.13) 57.94
December 31, 1995 .84 (.03) 30.87
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 .80 1.40 98.21
December 31, 1998 .81 1.34 130.96
December 31, 1997*** .85 1.59 64.15
........................................................................................................
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 .90(b) (.55)(b) 127.98
December 31, 1998***** .60(b)* (.16)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
December 31, 1999 .85(b) .34(b) 169.16
December 31, 1998****** .22(b)* .19(b)* 19.76*
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* 1.29 (.24)* 48.24*
- --------------------------------------------------------------------------------------------------------
See page 296 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IA
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income (Loss) Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
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
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
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>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From In Excess Net of Net
Net of Net Realized Realized From
Investment Investment Gain on Gain on Return
Period ended Income Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
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
December 31, 1999 $ -- $ -- $ (1.63) $ -- $ --
December 31, 1998 -- -- -- -- --
December 31, 1997*** --(e) -- -- -- --(e)
........................................................................................................
Putnam VT Voyager Fund
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>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 $ (1.02) $16.97 (.66) $ 945,581
December 31, 1998 (1.39) 18.19 14.92 1,015,327
December 31, 1997 (1.30) 17.14 27.10 822,257
December 31, 1996 (.51) 14.80 15.80 657,429
December 31, 1995 (.58) 13.28 31.08 530,461
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 $ (1.63) $20.68 52.90 $ 542,491
December 31, 1998 -- 14.72 19.48 311,612
December 31, 1997*** -- 12.32 23.21 170,660
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 $ (4.22) $66.25 58.22 $9,130,197
December 31, 1998 (2.54) 45.85 24.36 5,803,073
December 31, 1997 (1.56) 39.08 26.51 4,538,535
December 31, 1996 (1.81) 32.53 12.97 3,281,490
December 31, 1995 (.56) 30.50 40.67 2,000,232
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IA
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income (Loss)
to Average Net to Average Portfolio
Period ended Assets (%)(d) Net Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 .71 3.02 26.16
December 31, 1998 .72 3.19 24.77
December 31, 1997 .74 3.63 42.46
December 31, 1996 .73 4.22 61.94
December 31, 1995 .68 4.72 60.33
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 .75 (.29) 133.32
December 31, 1998 .77 (.12) 116.48
December 31, 1997*** .87 -- 75.43
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 .57 .05 85.13
December 31, 1998 .58 .14 62.99
December 31, 1997 .59 .30 82.00
December 31, 1996 .63 .36 63.87
December 31, 1995 .68 .49 57.51
- --------------------------------------------------------------------------------------------------------
See page 296 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IB
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
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
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
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
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
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
December 31, 1999 $28.75 $ .41(a) $ .04 $ .45
December 31, 1998**** 28.02 .26(a) .47 .73
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 $10.93 $ --(a) $ (.43) $ (.43)
December 31, 1998***** 10.00 (.01)(a)(b) .95 .94
........................................................................................................
Putnam VT High Yield Fund
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
December 31, 1999 $13.73 $ .76(a) $(1.04) $ (.28)
December 31, 1998***** 12.88 .50(a) .35 .85
........................................................................................................
Putnam VT International Growth Fund
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
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
December 31, 1999 $11.48 $ (.16)(a) $11.96 $11.80
December 31, 1998***** 11.39 (.05)(a)(b) .14 .09
........................................................................................................
Putnam VT Investors Fund
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
December 31, 1999 $ 1.00 $.0460 $ -- $.0460
December 31, 1998***** 1.00 .0338(a) -- .0338
........................................................................................................
Putnam VT New Opportunities Fund
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
December 31, 1999 $12.02 $ .17(a) $ (.13) $ .04
December 31, 1998***** 11.91 .13(a) .13 .26
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized From
Investment Gain on Gain on Return
Period ended Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 $ -- $ -- $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1999 $ (.73) $ -- $ -- $ --
December 31, 1998**** -- -- -- --
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1999 $ (.23) $ (.02) $ -- $ (.01)
December 31, 1998***** (.09) -- -- --
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1999 $ (.37) $(1.06) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1999 $ (.08) $(1.77) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1999 $ (.41) $(2.04) $ -- $ --
December 31, 1998**** -- -- -- --
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 $ --(e) $ -- $ -- $ --
December 31, 1998***** (.01) -- -- --(e)
........................................................................................................
Putnam VT High Yield Fund
December 31, 1999 $ (1.26) $ -- $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Income Fund
December 31, 1999 $ (.73) $ (.21) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT International Growth Fund
December 31, 1999 $ -- $ -- $ -- $ --
December 31, 1998***** (.03) -- -- (.01)
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 $ -- $ -- $ -- $ --
December 31, 1998**** (.11) (.19) (.18) (.06)
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 $ --(e) $ -- $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 $ -- $ -- $ -- $ --
December 31, 1998***** (.01) -- -- --(e)
........................................................................................................
Putnam VT Money Market Fund
December 31, 1999 $(.0460) $ -- $ -- $ --
December 31, 1998***** (.0338) -- -- --
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1999 $ -- $ (.37) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 $ -- $ (.21) $ -- $ --
December 31, 1998***** (.13) (.02) -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 $ -- $17.25 107.08 $ 6,866
December 31, 1998***** -- 8.33 (2.80)* 111
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1999 $ (.73) $ 9.90 1.65 $ 23,182
December 31, 1998**** -- 10.47 (4.38)* 1,963
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1999 $ (.26) $ 9.98 (.41) $ 38,566
December 31, 1998***** (.09) 10.28 3.69* 1,924
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1999 $ (1.43) $19.60 11.76 $ 6,617
December 31, 1998***** -- 18.95 4.35* 1,319
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1999 $ (1.85) $30.41 64.56 $ 28,909
December 31, 1998***** -- 20.28 12.48* 823
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1999 $ (2.45) $26.75 1.47 $162,112
December 31, 1998**** -- 28.75 2.61* 7,583
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 $ --(e) $10.50 (3.90) $ 20,162
December 31, 1998***** (.01) 10.93 9.40* 2,129
........................................................................................................
Putnam VT High Yield Fund
December 31, 1999 $ (1.26) $11.08 5.81 $ 17,646
December 31, 1998***** -- 11.70 (9.93)* 1,840
........................................................................................................
Putnam VT Income Fund
December 31, 1999 $ (.94) $12.51 (2.16) $ 18,116
December 31, 1998***** -- 13.73 6.60* 2,288
........................................................................................................
Putnam VT International Growth Fund
December 31, 1999 $ -- $21.63 60.10 $ 40,448
December 31, 1998***** (.04) 13.51 .81* 1,234
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 $ -- $15.22 24.35 $ 10,652
December 31, 1998**** (.54) 12.24 (4.24)* 926
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 $ --(e) $23.28 102.80 $ 33,554
December 31, 1998***** -- 11.48 .79* 85
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 $ -- $15.13 29.98 $101,795
December 31, 1998***** (.01) 11.64 16.54* 2,619
........................................................................................................
Putnam VT Money Market Fund
December 31, 1999 $(.0460) $ 1.00 4.66 $ 41,516
December 31, 1998***** (.0338) 1.00 3.42* 13,188
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1999 $ (.37) $43.44 69.10 $ 62,977
December 31, 1998***** -- 26.04 8.77* 1,359
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 $ (.21) $11.85 .26 $ 9,541
December 31, 1998***** (.15) 12.02 2.28* 414
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income (Loss)
to Average Net to Average Portfolio
Period ended Assets (%)(d) Net Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
December 31, 1999 1.28 (.64) 145.51
December 31, 1998***** .85* (.10)* 136.49
........................................................................................................
Putnam VT Diversified Income Fund
December 31, 1999 .93 7.67 117.02
December 31, 1998**** .69* 5.74* 186.80
........................................................................................................
Putnam VT The George Putnam Fund of Boston
December 31, 1999 .98 3.00 173.41
December 31, 1998***** .67(b)* 1.74(b)* 99.85*
........................................................................................................
Putnam VT Global Asset Allocation Fund
December 31, 1999 .92 2.15 149.82
December 31, 1998***** .63* 1.82* 133.80
........................................................................................................
Putnam VT Global Growth Fund
December 31, 1999 .88 (.43) 154.88
December 31, 1998***** .59* (.34)* 164.56
........................................................................................................
Putnam VT Growth and Income Fund
December 31, 1999 .65 1.55 53.68
December 31, 1998**** .49* 1.20* 63.62
........................................................................................................
Putnam VT Health Sciences Fund
December 31, 1999 .98 (.01) 82.45
December 31, 1998***** .71(b)* (.11)(b)* 39.68*
........................................................................................................
Putnam VT High Yield Fund
December 31, 1999 .87 10.01 52.96
December 31, 1998***** .58* 7.63* 52.00
........................................................................................................
Putnam VT Income Fund
December 31, 1999 .82 6.14 220.90
December 31, 1998***** .56* 4.03* 233.04
........................................................................................................
Putnam VT International Growth Fund
December 31, 1999 1.17 .31 107.38
December 31, 1998***** .83* (.29)* 98.31
........................................................................................................
Putnam VT International Growth and Income Fund
December 31, 1999 1.13 1.08 92.27
December 31, 1998**** .84(b)* (.07)(b)* 62.61
........................................................................................................
Putnam VT International New Opportunities Fund
December 31, 1999 1.56 (.97) 196.53
December 31, 1998***** 1.18* (.44)(b)* 157.72
........................................................................................................
Putnam VT Investors Fund
December 31, 1999 .86 (.11) 65.59
December 31, 1998***** .67(b)* .03(b)* 42.97*
........................................................................................................
Putnam VT Money Market Fund
December 31, 1999 .64 4.61 --
December 31, 1998***** .46* 3.18* --
........................................................................................................
Putnam VT New Opportunities Fund
December 31, 1999 .74 (.47) 71.14
December 31, 1998***** .51* (.25)* 59.75
........................................................................................................
Putnam VT New Value Fund
December 31, 1999 .95 1.43 98.21
December 31, 1998***** .65* 1.26* 130.96
- --------------------------------------------------------------------------------------------------------
See page 296 for Notes to Financial Highlights.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Financial Highlights
<CAPTION>
CLASS IB
- --------------------------------------------------------------------------------------------------------
Investment Operations
Net
Net Realized and
Asset Unrealized
Value, Net Gain (Loss) Total from
Beginning Investment on Investment
Period ended of Period Income Investments Operations
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
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
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
December 31, 1999******* $10.00 $ (.03)(a) $ .37 $ .34
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 $18.19 $ .47(a) $ (.69) $ (.22)
December 31, 1998***** 16.19 .29(a) 1.71 2.00
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 $14.73 $ (.07)(a) $ 7.62 $ 7.55
December 31, 1998***** 13.76 (.02)(a) .99 .97
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 $45.81 $ (.10)(a) $24.62 $24.52
December 31, 1998***** 41.55 (.01)(a) 4.27 4.26
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized From
Investment Gain on Gain on Return
Period ended Income Investments Investments of Capital
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 $ -- $ (.06) $ -- $ --
December 31, 1998***** -- -- -- --(e)
........................................................................................................
Putnam VT Research Fund
December 31, 1999 $ (.02) $ (.46) $ -- $ --
December 31, 1998****** (.01) (.01) -- --
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* $ -- $ -- $ (.03) $ (.01)
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 $ (.50) $ (.52) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 $ -- $(1.63) $ -- $ --
December 31, 1998***** -- -- -- --
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 $ (.05) $(4.17) $ -- $ --
December 31, 1998***** -- -- -- --
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 $ (.06) $22.76 126.45 $ 24,432
December 31, 1998***** -- 10.08 .82* 541
........................................................................................................
Putnam VT Research Fund
December 31, 1999 $ (.48) $14.67 27.69 $ 26,210
December 31, 1998****** (.02) 11.90 19.19* 255
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* $ (.04) $10.30 3.37* $ 6,384
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 $(1.02) $16.95 (0.79) $ 11,337
December 31, 1998***** -- 18.19 12.35* 1,799
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 $(1.63) $20.65 52.59 $ 37,506
December 31, 1998***** -- 14.73 7.05* 851
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 $(4.22) $66.11 58.01 $155,889
December 31, 1998***** -- 45.81 10.25* 4,332
- --------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
CLASS IB
- --------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income (Loss)
to Average Net to Average Portfolio
Period ended Assets (%)(d) Net Assets (%) Turnover (%)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Putnam VT OTC & Emerging Growth Fund
December 31, 1999 1.05(b) (.68)(b) 127.98
December 31, 1998***** .71(b)* (.42)(b)* 59.93*
........................................................................................................
Putnam VT Research Fund
December 31, 1999 1.00(b) .13(b) 169.16
December 31, 1998****** .25(b)* .15(b)* 19.76*
........................................................................................................
Putnam VT Small Cap Value Fund
December 31, 1999******* 1.39* (.31)* 48.24*
........................................................................................................
Putnam VT Utilities Growth and
Income Fund
December 31, 1999 .86 2.77 26.16
December 31, 1998***** .59* 1.98* 24.77
........................................................................................................
Putnam VT Vista Fund
December 31, 1999 .90 (.42) 133.32
December 31, 1998***** .62* (.18)* 116.48
........................................................................................................
Putnam VT Voyager Fund
December 31, 1999 .72 (.21) 85.13
December 31, 1998***** .49* (.04)* 62.99
- --------------------------------------------------------------------------------------------------------
See page 296 for Notes to Financial Highlights.
<CAPTION>
PUTNAM VARIABLE TRUST
Notes to Financial Highlights
* 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.
(a) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares
outstanding during the period.
(b) Reflects an expense limitation in effect during the period. As a result of such limitation, expenses of the following
funds reflect a reduction of approximately the amounts per share noted for the following periods:
<S> <C> <C> <C> <C>
12/31/99 12/31/98 12/31/97 12/31/95
---------- ---------- ---------- ----------
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
December 31, 1999
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT Health Sciences Fund and Putnam
VT Utilities Growth and Income Fund, which are non-diversified) which
consists of a series of investment portfolios (the "funds"), each of which
is represented by a separate series of class IA shares and class IB shares
of beneficial interest. The Trust currently offers the following twenty-
two funds: Putnam VT Asia Pacific Growth Fund, Putnam VT Diversified
Income Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global
Asset Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and
Income Fund, Putnam VT Health Sciences Fund, Putnam VT High Yield Fund,
Putnam VT Income Fund (formerly Putnam VT U.S. Government and High Quality
Bond Fund), Putnam VT International Growth Fund, Putnam VT International
Growth and Income Fund, Putnam VT International New Opportunities Fund,
Putnam VT Investors Fund, Putnam VT Money Market Fund, Putnam VT New
Opportunities Fund, Putnam VT New Value Fund, Putnam VT OTC & Emerging
Growth Fund, Putnam VT Research Fund, Putnam VT Small Cap Value Fund,
Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund and
Putnam VT Voyager Fund.
The Trust offers class IA and class IB shares. The Trust began offering
class IA and class IB shares for Putnam VT Small Cap Value on April 30,
1999. Effective January 31, 2000, the Trust will begin offering class IA
and class IB shares for Putnam VT American Government Fund and Putnam VT
Growth Opportunities 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 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 funds are informed of the
ex-dividend date.
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 they own or
expect to purchase. The same funds may also write options on securities
they own or in which they may invest to increase their current returns.
The potential risk to each fund is that the change in value of futures and
options contracts may not correspond to the change in value of the hedged
instruments. In addition, losses may arise from changes in the value of
the underlying instruments, if there is an illiquid secondary market for
the contracts, or if the counterparty to the contract is unable to
perform. When the contract is closed, the fund records a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed. Realized gains and
losses on purchased options are included in realized gains and losses on
investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded options
are valued at the last sale price, or if no sales are reported, the last
bid price for purchased options and the last ask price for written
options. Options traded over-the-counter are valued using prices supplied
by dealers.
H) Swap contracts Putnam VT Global Growth Fund and Putnam VT International
New Opportunities Fund may engage in swap agreements, which are agreements
to exchange the return generated by one instrument for the return
generated by another instrument. The funds may enter into equity swap
agreements, to manage their exposure to equity markets, which involve a
commitment by one party to pay interest in exchange for a market-linked
return based on a notional amount. To the extent that the total return of
the security or index underlying the transaction exceeds or falls short of
the offsetting interest rate obligation, the funds will receive a payment
from or make a payment to the counterparty, respectively. Equity swaps are
"marked-to-market" daily based upon quotations from market makers and the
change, if any, is recorded as unrealized gain or loss. Payments received
or made at the end of the measurement period are recorded as realized
gains or losses. The funds could be exposed to credit or market risk due
to unfavorable changes in the fluctuation of interest rates or in the
price of the underlying security or index, the possibility that there is
no liquid market for these agreements or, that the counterparty may
default on its obligation to perform.
I) TBA purchase commitments Each fund, except for Putnam VT Money Market
Fund, may enter into "TBA" (to be announced) purchase commitments to
purchase securities for a fixed unit price at a future date beyond
customary settlement time. Although the unit price has been established,
the principal value has not been finalized. However, the amount of the
commitments will not fluctuate more than .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.
J) Line of credit Each fund, except 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 year ended December 31, 1999, the funds had no borrowings against
the line of credit.
K) Federal income taxes Each fund of the Trust is created as a separate
entity for federal income tax purposes. It is the policy of each fund to
distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. It is also the intention of
each 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
realized 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. These differences include temporary and permanent differences
of losses on wash sale transactions, foreign currency gains and losses,
post-October loss deferrals, foreign taxes, nontaxable dividends,
defaulted bond interest, unrealized gains and losses on certain futures
contracts, paydown gains and losses on mortgage-backed securities, market
discount, interest on payment-in-kind securities, realized and unrealized
gains and losses on passive foreign investment companies, net operating
loss, foreign tax credit and market premium. Reclassifications are made to
the fund's capital accounts to reflect income and gains available for
distribution (or available capital loss carryovers) under income tax
regulations. For the year ended December 31, 1999, the fund reclassified
the following amounts:
Accumulated
Undistributed Net Realized
Net Gain/(Loss) on
Investment Investment Paid-in-
Income /(Loss) Transactions Capital
- --------------------------------------------------------------------------
Putnam VT Asia Pacific
Growth Fund $1,126,931 $(1,119,620) $(7,311)
Putnam VT Diversified
Income Fund (1,023,446) 714,914 308,532
Putnam VT The George
Putnam Fund of Boston 43,658 (44,533) 875
Putnam VT Global Asset
Allocation Fund (5,699,588) 5,750,555 (50,967)
Putnam VT Global
Growth Fund 5,417,788 (5,419,206) 1,418
Putnam VT Growth and
Income Fund (134,574) (438,822) 573,396
Putnam VT Health
Sciences Fund 1,179 (1,408) 229
Putnam VT High Yield Fund (2,026,096) 218,408 1,807,688
Putnam VT Income Fund 1,057,859 (1,724,641) 666,782
Putnam VT International
Growth Fund 1,158,422 (868,281) (290,141)
Putnam VT International
Growth and Income Fund 8,166,745 (8,166,745) --
Putnam VT International
New Opportunities Fund 957,938 (784,217) (173,721)
Putnam VT Investors Fund -- (159) 159
Putnam VT New
Opportunities Fund 11,834,956 (11,819,582) (15,374)
Putnam VT New Value Fund (24,214) 13,508 10,706
Putnam VT OTC &
Emerging Growth Fund 388,274 (384,307) (3,967)
Putnam VT Research Fund 20,292 (20,113) (179)
Putnam VT Small Cap
Value Fund 22,032 (22,032) --
Putnam VT Utilities Growth
and Income Fund (28,000) 244,275 (216,275)
Putnam VT Vista Fund 1,114,251 (1,114,251) --
Putnam VT Voyager Fund (338,726) 338,802 (76)
- --------------------------------------------------------------------------
The calculation of net investment income per share in the financial
highlights table excludes these adjustments.
M) Expenses of the trust Expenses directly charged or attributable to any
fund will be paid from the assets of that fund. Generally, expenses of the
Trust will be allocated among and charged to the assets of each fund on a
basis that the Trustees deem fair and equitable, which may be based on the
relative assets of each fund or the nature of the services performed and
relative applicability to each fund.
N) Beneficial interest At December 31, 1999, insurance companies or their
separate accounts were record owners of all but a de minimis number of the
shares of each fund. From 66% to 99% of each fund is owned by accounts of
one group of insurance companies.
<TABLE>
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
<CAPTION>
Compensation of Putnam Management, for management and investment advisory services, is paid quarterly based on the
average net assets of the funds. The following summarizes the management fee rates in effect at December 31, 1999:
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 Fund 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,
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.
- ------------------------------------------------------------------------------------------------------------------
*Prior to July 1, 1999, the management fee was based on the following rates: 1.20% of the first $500 million of
average net assets, 1.10% of the next $500 million, 1.05% of the next $500 million, 1.00% of the next $5 billion,
0.975% of the next $5 billion, 0.955% of the next $5 billion, 0.94% of the next $5 billion, and 0.93% thereafter.
**Prior to November 8, 1999, the management fee was 0.60% of average net assets.
</TABLE>
Putnam Management has agreed to limit its compensation (and, to the extent
necessary, bear other expenses) of Putnam VT OTC & Emerging Growth Fund
and Putnam VT Research Fund through December 31, 1999, 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% and 0.85%, respectively, 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 HighYield Fund, Putnam VT New Opportunity Fund,
Putnam VT OTC & Emerging Growth Fund, Putnam VT Utilities Growth and
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 December 31, 1999, the payable to the subcustodian bank represents the
amount due for cash advance for the settlement of a security purchased.
For the year ended December 31, 1999, each fund's expenses were reduced by
the following amounts under expense-offset arrangements with PFTC and
brokerage service arrangements:
Putnam VT Asia Pacific Growth Fund $ 19,760
Putnam VT Diversified Income Fund 19,286
Putnam VT The George Putnam Fund of Boston 28,941
Putnam VT Global Asset Allocation Fund 88,169
Putnam VT Global Growth Fund 211,658
Putnam VT Growth and Income Fund 1,038,081
Putnam VT Health Sciences Fund 13,676
Putnam VT High Yield Fund 38,962
Putnam VT Income Fund 116,766
Putnam VT International Growth Fund 11,756
Putnam VT International Growth and Income Fund 29,813
Putnam VT International New Opportunities Fund 16,723
Putnam VT Investors Fund 9,992
Putnam VT Money Market Fund 422
Putnam VT New Opportunities Fund 284,026
Putnam VT New Value Fund 42,909
Putnam VT OTC & Emerging Growth Fund 3,539
Putnam VT Research Fund 6,830
Putnam VT Small Cap Value Fund 838
Putnam VT Utilities Growth and Income Fund 5,091
Putnam VT Vista Fund 9,448
Putnam VT Voyager Fund 565,721
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 $28,034
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 Mutual Funds
Corp., a wholly owned subsidiary of Putnam Investments, Inc., for services
provided and expenses incurred by it in distributing shares of the fund.
The Plan provides for payment by the fund to Putnam Mutual Funds Corp. at
an annual rate of up to 0.35% of the fund's average net assets. The
Trustees have approved payment by each fund to an annual rate of 0.15% of
the average net assets.
<TABLE>
NOTE 3
PURCHASES AND SALES OF SECURITIES
<CAPTION>
During the year ended December 31, 1999, purchases and sales of investment securities (other than short-term
investments) were as follows:
U.S. Government
Obligations Other Securities
- -------------------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $251,295,352 $205,167,636
Putnam VT Diversified Income Fund $285,881,410 $238,552,568 467,571,036 499,097,194
Putnam VT The George Putnam Fund of Boston 160,326,812 160,987,616 416,112,135 203,085,302
Putnam VT Global Asset Allocation Fund 400,711,133 446,720,948 965,334,677 1,013,023,835
Putnam VT Global Growth Fund 3,356,368,671 3,457,603,554
Putnam VT Growth and Income Fund 5,381,621,192 5,455,048,787
Putnam VT Health Sciences Fund 252,362,541 150,125,590
Putnam VT High Yield Fund 519,813,582 534,008,220
Putnam VT Income Fund 1,417,988,641 1,575,579,746 762,439,915 560,034,056
Putnam VT International Growth Fund 556,843,390 446,025,286
Putnam VT International Growth and Income Fund 329,027,451 309,264,220
Putnam VT International New Opportunities Fund 416,554,933 358,210,910
Putnam VT Investors Fund 879,049,782 351,364,526
Putnam VT New Opportunities Fund 3,182,394,578 2,971,925,005
Putnam VT New Value Fund 271,759,203 260,720,832
Putnam VT OTC & Emerging Growth Fund 192,363,587 86,502,764
Putnam VT Research Fund 242,432,386 131,817,909
Putnam VT Small Cap Value Fund 21,620,418 4,032,156
Putnam VT Utilities Growth and Income Fund 256,517,211 258,106,739
Putnam VT Vista Fund 564,161,574 497,882,537
Putnam VT Voyager Fund 5,601,906,007 5,531,461,181
Putnam VT Money Market Fund: Cost of purchases and proceeds from sales (including maturities) of investment securities
(all short-term obligations) aggregated $13,617,068,921 and $13,402,731,196, respectively.
In determining net gain or loss on securities sold, the cost of securities has been determined on the identified cost basis.
</TABLE>
<TABLE>
NOTE 4
CAPITAL SHARES
<CAPTION>
At December 31, 1999, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares
were as follows:
Year ended December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 27,579,721 $316,283,149 14,515,839 $121,743,149
Shares issued in connection with reinvestment of distributions -- -- 522,362 4,643,577
....................................................................................................................................
27,579,721 316,283,149 15,038,201 126,386,726
Shares repurchased (23,942,691) (277,802,618) (16,420,839) (137,629,809)
....................................................................................................................................
Net increase/(decrease) 3,637,030 $38,480,531 (1,382,638) $(11,243,083)
....................................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 1,599,321 $16,973,792 8,709,460 $94,044,101
Shares issued in connection with reinvestment of distributions 4,727,698 46,355,564 3,487,558 38,015,120
....................................................................................................................................
6,327,019 63,329,356 12,197,018 132,059,221
Shares repurchased (7,268,655) (72,215,251) (2,147,661) (22,878,046)
....................................................................................................................................
Net increase/(decrease) (941,636) $(8,885,895) 10,049,357 $109,181,175
....................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 329,648 $6,214,449 1,663,813 $30,691,597
Shares issued in connection with reinvestment of distributions 4,231,085 75,195,431 6,281,033 115,445,376
....................................................................................................................................
4,560,733 81,409,880 7,944,846 146,136,973
Shares repurchased (7,365,834) (135,598,243) (5,049,801) (83,976,270)
....................................................................................................................................
Net increase/(decrease) (2,805,101) $(54,188,363) 2,895,045 $62,160,703
....................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 4,230,668 $88,480,245 5,476,202 $101,077,420
Shares issued in connection with reinvestment of distributions 9,423,258 179,324,603 15,013,640 270,695,929
....................................................................................................................................
13,653,926 267,804,848 20,489,842 371,773,349
Shares repurchased (10,305,897) (213,800,427) (10,353,865) (185,434,709)
....................................................................................................................................
Net increase 3,348,029 $54,004,421 10,135,977 $186,338,640
....................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 5,877,191 $167,194,465 20,985,496 $581,667,698
Shares issued in connection with reinvestment of distributions 31,047,267 840,138,933 40,815,316 1,128,875,141
....................................................................................................................................
36,924,458 1,007,333,398 61,800,812 1,710,542,839
Shares repurchased (25,700,198) (710,499,929) (10,426,008) (265,941,519)
....................................................................................................................................
Net increase 11,224,260 $296,833,469 51,374,804 $1,444,601,320
....................................................................................................................................
Putnam VT High Yield Fund
Shares sold 9,667,206 $108,607,342 18,556,404 $235,392,170
Shares issued in connection with reinvestment of distributions 10,147,537 109,086,026 7,489,969 97,294,708
....................................................................................................................................
19,814,743 217,693,368 26,046,373 332,686,878
Shares repurchased (21,095,645) (233,967,548) (13,073,429) (164,448,561)
....................................................................................................................................
Net increase/(decrease) (1,280,902) $(16,274,180) 12,972,944 $168,238,317
....................................................................................................................................
Putnam VT Income Fund
Shares sold 7,176,064 $94,354,087 17,955,653 $240,755,061
Shares issued in connection with reinvestment of distributions 5,595,008 71,112,554 3,409,652 43,984,534
....................................................................................................................................
12,771,072 165,466,641 21,365,305 284,739,595
Shares repurchased (10,925,703) (138,310,190) (7,327,772) (97,430,466)
....................................................................................................................................
Net increase 1,845,369 $27,156,451 14,037,533 $187,309,129
....................................................................................................................................
Putnam VT International Growth Fund
Shares sold 18,217,034 $282,648,315 21,731,822 $278,376,472
Shares issued in connection with reinvestment of distributions -- -- 77,443 1,035,088
....................................................................................................................................
18,217,034 282,648,315 21,809,265 279,411,560
Shares repurchased (12,743,647) (197,083,614) (11,524,363) (145,094,826)
....................................................................................................................................
Net increase 5,473,387 $85,564,701 10,284,902 $134,316,734
....................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 22,663,944 $306,623,146 21,724,405 $270,979,799
Shares issued in connection with reinvestment of distributions -- -- 1,155,897 13,858,891
....................................................................................................................................
22,663,944 306,623,146 22,880,302 284,838,690
Shares repurchased (22,165,427) (299,883,229) (15,879,232) (196,633,807)
....................................................................................................................................
Net increase 498,517 $6,739,917 7,001,070 $88,204,883
....................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 19,756,966 $280,419,060 12,231,470 $132,101,452
Shares issued in connection with reinvestment of distributions 4,672 57,846 20,301 235,886
....................................................................................................................................
19,761,638 280,476,906 12,251,771 132,337,338
Shares repurchased (17,348,973) (239,870,204) (11,210,273) (121,386,304)
....................................................................................................................................
Net increase 2,412,665 $40,606,702 1,041,498 $10,951,034
....................................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $1,617,558,345 -- $1,326,313,560
Shares issued in connection with reinvestment of distributions -- 34,493,642 -- 25,507,476
....................................................................................................................................
-- 1,652,051,987 -- 1,351,821,036
Shares repurchased -- (1,424,196,741) -- (1,162,240,098)
....................................................................................................................................
Net increase -- $227,855,246 -- $189,580,938
....................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 22,082,766 $642,155,644 27,436,458 $623,952,044
Shares issued in connection with reinvestment of distributions 1,894,686 51,876,521 1,675,396 40,377,073
....................................................................................................................................
23,977,452 694,032,165 29,111,854 664,329,117
Shares repurchased (13,877,105) (391,839,342) (13,491,638) (296,850,106)
....................................................................................................................................
Net increase 10,100,347 $302,192,823 15,620,216 $367,479,011
....................................................................................................................................
Putnam VT New Value Fund
Shares sold 3,341,807 $43,372,563 4,966,193 $58,040,751
Shares issued in connection with reinvestment of distributions 346,721 4,313,208 749,867 8,994,613
....................................................................................................................................
3,688,528 47,685,771 5,716,060 67,035,364
Shares repurchased (3,950,045) (48,840,362) (1,068,232) (11,996,883)
....................................................................................................................................
Net increase/(decrease) (261,517) $(1,154,591) 4,647,828 $55,038,481
....................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 1,859,051 $27,913,010 7,091,793 $119,907,018
Shares issued in connection with reinvestment of distributions 3,654,588 57,559,773 4,068,620 68,230,944
....................................................................................................................................
5,513,639 85,472,783 11,160,413 188,137,962
Shares repurchased (5,599,815) (91,556,540) (3,313,634) (55,299,872)
....................................................................................................................................
Net increase /(decrease) (86,176) $(6,083,757) 7,846,779 $132,838,090
....................................................................................................................................
Putnam VT Vista Fund
Shares sold 4,559,333 $76,076,030 8,782,307 $117,572,026
Shares issued in connection with reinvestment of distributions 2,098,302 38,819,301 -- --
....................................................................................................................................
6,657,635 114,895,331 8,782,307 117,572,026
Shares repurchased (1,585,037) (25,623,872) (1,468,312) (18,868,164)
....................................................................................................................................
Net increase 5,072,598 $89,271,459 7,313,995 $98,703,862
....................................................................................................................................
Putnam VT Voyager Fund
Shares sold 7,078,671 $341,243,072 11,171,124 $472,514,985
Shares issued in connection with reinvestment of distributions 11,992,310 532,938,727 7,074,700 299,542,818
....................................................................................................................................
19,070,981 874,181,799 18,245,824 772,057,803
Shares repurchased (7,828,029) (375,602,675) (7,792,260) (317,254,923)
....................................................................................................................................
Net increase 11,242,952 $498,579,124 10,453,564 $454,802,880
....................................................................................................................................
For the period April 30, 1998
(commencement of operations)
Year ended December 31 to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT The George Putnam Fund of Boston
Shares sold 17,677,099 $186,001,902 10,809,311 $106,347,285
Shares issued in connection with reinvestment of distributions 687,784 6,793,909 88,215 909,452
....................................................................................................................................
18,364,883 192,795,811 10,897,526 107,256,737
Shares repurchased (1,664,296) (17,228,888) (83,984) (839,455)
....................................................................................................................................
Net increase 16,700,587 $175,566,923 10,813,542 $106,417,282
....................................................................................................................................
Putnam VT Health Sciences Fund
Shares sold 9,825,298 $101,834,005 12,220,083 $120,760,740
Shares issued in connection with reinvestment of distributions 18,949 186,582 11,140 116,406
....................................................................................................................................
9,844,247 102,020,587 12,231,223 120,877,146
Shares repurchased (1,292,330) (13,228,946) (147,346) (1,374,766)
....................................................................................................................................
Net increase 8,551,917 $88,791,641 12,083,877 $119,502,380
....................................................................................................................................
Putnam VT Investors Fund
Shares sold 37,371,494 $464,724,322 21,117,159 $215,592,502
Shares issued in connection with reinvestment of distributions -- -- 26,323 292,030
....................................................................................................................................
37,371,494 464,724,322 21,143,482 215,884,532
Shares repurchased (1,058,909) (12,883,959) (452,016) (4,380,042)
....................................................................................................................................
Net increase 36,312,585 $451,840,363 20,691,466 $211,504,490
....................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 9,308,097 $132,534,012 3,246,140 $28,933,251
Shares issued in connection with reinvestment of distributions 24,169 500,533 1,071 10,506
....................................................................................................................................
9,332,266 133,034,545 3,247,211 28,943,757
Shares repurchased (3,030,664) (36,519,324) (665,964) (5,915,549)
....................................................................................................................................
Net increase 6,301,602 $96,515,221 2,581,247 $23,028,208
....................................................................................................................................
For the period September 30, 1998
(commencement of operations)
Year ended December 31 to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares sold 7,932,740 $102,316,586 1,730,005 $18,765,825
Shares issued in connection with reinvestment of distributions 263,474 3,637,315 2,596 33,716
....................................................................................................................................
8,196,214 105,953,901 1,732,601 18,799,541
Shares repurchased (961,174) (11,933,085) (35,497) (388,854)
....................................................................................................................................
Net increase 7,235,040 $94,020,816 1,697,104 $18,410,687
....................................................................................................................................
For the period April 30, 1999
(commencement of operations)
to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA 1999
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
Shares sold 1,353,899 $13,869,475
Shares issued in connection with reinvestment of distributions 3,512 34,203
....................................................................................................................................
1,357,411 13,903,678
Shares repurchased (264,388) (2,749,700)
....................................................................................................................................
Net increase 1,093,023 $11,153,978
....................................................................................................................................
For the period April 6, 1998
(commencement of operations)
Year ended December 31 to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Diversified Income Fund
Shares sold 2,189,295 $20,616,398 195,858 $2,027,314
Shares issued in connection with reinvestment of distributions 23,025 248,526 -- --
....................................................................................................................................
2,212,320 20,864,924 195,858 2,027,314
Shares repurchased (58,989) (604,425) (8,374) (87,075)
....................................................................................................................................
Net increase 2,153,331 $20,260,499 187,484 $1,940,239
....................................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 5,821,770 $159,971,286 276,080 $7,428,789
Shares issued in connection with reinvestment of distributions 45,278 1,223,895 -- --
....................................................................................................................................
5,867,048 161,195,181 276,080 7,428,789
Shares repurchased (69,970) (1,957,477) (12,336) (327,114)
....................................................................................................................................
Net increase 5,797,078 $159,237,704 263,744 $7,101,675
....................................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 3,016,301 $41,174,054 608,066 $7,391,930
Shares issued in connection with reinvestment of distributions -- -- 3,639 49,934
....................................................................................................................................
3,016,301 41,174,054 611,705 7,441,864
Shares repurchased (2,392,248) (33,241,559) (536,080) (6,527,805)
....................................................................................................................................
Net increase 624,053 $7,932,495 75,625 $914,059
....................................................................................................................................
For the period April 30, 1998
(commencement of operations)
Year ended December 31 to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Asia Pacific Growth Fund
Shares sold 4,928,954 $60,597,638 53,802 $429,706
Shares issued in connection with reinvestment of distributions -- -- -- --
....................................................................................................................................
4,928,954 60,597,638 53,802 429,706
Shares repurchased (4,544,234) (56,565,740) (40,449) (326,640)
....................................................................................................................................
Net increase 384,720 $4,031,898 13,353 $103,066
....................................................................................................................................
Putnam VT The George Putnam Fund of Boston
Shares sold 3,683,758 $38,204,785 199,620 $1,968,137
Shares issued in connection with reinvestment of distributions 84,741 835,890 1,515 15,315
....................................................................................................................................
3,768,499 39,040,675 201,135 1,983,452
Shares repurchased (89,747) (930,493) (14,094) (134,745)
....................................................................................................................................
Net increase 3,678,752 $38,110,182 187,041 $1,848,707
....................................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 276,691 $4,965,233 96,750 $1,660,404
Shares issued in connection with reinvestment of distributions 8,023 142,921 -- --
....................................................................................................................................
284,714 5,108,154 96,750 1,660,404
Shares repurchased (16,724) (302,098) (27,146) (454,064)
....................................................................................................................................
Net increase 267,990 $4,806,056 69,604 $1,206,340
....................................................................................................................................
Putnam VT Global Growth Fund
Shares sold 1,355,618 $30,644,814 42,380 $770,977
Shares issued in connection with reinvestment of distributions 9,961 189,448 -- --
....................................................................................................................................
1,365,579 30,834,262 42,380 770,977
Shares repurchased (455,628) (10,726,560) (1,774) (32,038)
....................................................................................................................................
Net increase 909,951 $20,107,702 40,606 $738,939
....................................................................................................................................
Putnam VT Health Sciences
Shares sold 1,793,605 $18,099,640 212,762 $2,141,302
Shares issued in connection with reinvestment of distributions 729 7,170 150 1,539
....................................................................................................................................
1,794,334 18,106,810 212,912 2,142,841
Shares repurchased (67,952) (695,694) (18,332) (176,015)
....................................................................................................................................
Net increase 1,726,382 $17,411,116 194,580 $1,966,826
....................................................................................................................................
Putnam VT High Yield Fund
Shares sold 1,637,292 $17,487,287 171,952 $2,001,433
Shares issued in connection with reinvestment of distributions 40,105 431,138 -- --
....................................................................................................................................
1,677,397 17,918,425 171,952 2,001,433
Shares repurchased (242,324) (2,682,906) (14,766) (172,340)
....................................................................................................................................
Net increase 1,435,073 $15,235,519 157,186 $1,829,093
....................................................................................................................................
Putnam VT Income Fund
Shares sold 1,416,617 $17,967,184 179,630 $2,436,861
Shares issued in connection with reinvestment of distributions 24,638 313,149 -- --
....................................................................................................................................
1,441,255 18,280,333 179,630 2,436,861
Shares repurchased (160,098) (2,021,031) (12,937) (175,621)
....................................................................................................................................
Net increase 1,281,157 $16,259,302 166,693 $2,261,240
....................................................................................................................................
Putnam VT International Growth Fund
Shares sold 4,045,195 $68,183,600 5,852,161 $73,651,911
Shares issued in connection with reinvestment of distributions -- -- 1,921 25,159
....................................................................................................................................
4,045,195 68,183,600 5,854,082 73,677,070
Shares repurchased (2,266,435) (37,434,343) (5,762,725) (73,161,247)
....................................................................................................................................
Net increase 1,778,760 $30,749,257 91,357 $515,823
....................................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 6,028,770 $94,995,863 108,166 $1,152,171
Shares issued in connection with reinvestment of distributions 1 10 -- --
....................................................................................................................................
6,028,771 94,995,873 108,166 1,152,171
Shares repurchased (4,594,610) (70,115,862) (100,761) (1,078,204)
....................................................................................................................................
Net increase 1,434,161 $24,880,011 7,405 $73,967
....................................................................................................................................
Putnam VT Investors Fund
Shares sold 6,584,989 $85,283,956 247,380 $2,485,702
Shares issued in connection with reinvestment of distributions -- -- 235 2,577
....................................................................................................................................
6,584,989 85,283,956 247,615 2,488,279
Shares repurchased (82,108) (1,088,886) (22,691) (222,226)
....................................................................................................................................
Net increase 6,502,881 $84,195,070 224,924 $2,266,053
....................................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $251,413,542 -- $90,825,384
Shares issued in connection with reinvestment of distributions -- 775,444 -- 74,893
....................................................................................................................................
-- 252,188,986 -- 90,900,277
Shares repurchased -- (223,860,911) -- (77,712,330)
....................................................................................................................................
Net increase -- $28,328,075 -- $13,187,947
....................................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 1,426,816 $46,271,360 52,748 $1,135,739
Shares issued in connection with reinvestment of distributions 1,526 41,740 -- --
....................................................................................................................................
1,428,342 46,313,100 52,748 1,135,739
Shares repurchased (30,656) (989,874) (570) (12,851)
....................................................................................................................................
Net increase 1,397,686 $45,323,226 52,178 $1,122,888
....................................................................................................................................
Putnam VT New Value Fund
Shares sold 875,070 $10,834,424 36,641 $419,909
Shares issued in connection with reinvestment of distributions 1,181 14,678 235 4,743
....................................................................................................................................
876,251 10,849,102 36,876 424,652
Shares repurchased (105,237) (1,257,344) (2,418) (28,990)
....................................................................................................................................
Net increase 771,014 $9,591,758 34,458 $395,662
....................................................................................................................................
Putnam VT OTC & Emerging Growth Fund
Shares sold 1,315,200 $21,997,294 60,996 $517,701
Shares issued in connection with reinvestment of distributions 2,435 50,324 10 91
....................................................................................................................................
1,317,635 22,047,618 61,006 517,792
Shares repurchased (297,737) (5,177,755) (7,468) (55,731)
....................................................................................................................................
Net increase 1,019,898 $16,869,863 53,538 $462,061
....................................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 599,025 $10,320,739 104,468 $1,806,219
Shares issued in connection with reinvestment of distributions 10,029 157,949 -- --
....................................................................................................................................
609,054 10,478,688 104,468 1,806,219
Shares repurchased (39,037) (655,728) (5,567) (94,079)
....................................................................................................................................
Net increase 570,017 $9,822,960 98,901 $1,712,140
....................................................................................................................................
Putnam VT Vista Fund
Shares sold 1,661,491 $29,622,169 61,163 $755,629
Shares issued in connection with reinvestment of distributions 122,938 2,334,899 -- --
....................................................................................................................................
1,784,429 31,957,068 61,163 755,629
Shares repurchased (26,236) (440,844) (3,353) (43,525)
....................................................................................................................................
Net increase 1,758,193 $31,516,224 57,810 $712,104
....................................................................................................................................
Putnam VT Voyager Fund
Shares sold 2,287,920 $116,152,666 98,970 $3,926,028
Shares issued in connection with reinvestment of distributions 17,894 794,492 -- --
....................................................................................................................................
2,305,814 116,947,158 98,970 3,926,028
Shares repurchased (42,495) (2,179,527) (4,411) (167,486)
....................................................................................................................................
Net increase 2,263,319 $114,767,631 94,559 $3,758,542
....................................................................................................................................
For the period September 30, 1998
(commencement of operations)
Year ended December 31 to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IB 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Research Fund
Shares sold 1,811,272 $24,052,878 21,319 $229,977
Shares issued in connection with reinvestment of distributions 43,404 604,653 23 263
....................................................................................................................................
1,854,676 24,657,531 21,342 230,240
Shares repurchased (89,090) (1,197,602) (32) (361)
....................................................................................................................................
Net increase 1,765,586 $23,459,929 21,310 $229,879
....................................................................................................................................
For the period April 30, 1999
(commencement of operations)
to December 31
- ------------------------------------------------------------------------------------------------------------------------------------
Class IB 1999
- ------------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------------
Putnam VT Small Cap Value Fund
Shares sold 636,266 $6,404,523
Shares issued in connection with reinvestment of distributions 1,903 18,611
....................................................................................................................................
638,169 6,423,134
Shares repurchased (18,181) (180,815)
....................................................................................................................................
Net increase 619,988 $6,242,319
....................................................................................................................................
*Putnam VT Money Market Fund transactions in capital shares were at a constant net asset value of $1.00 per share.
At December 31, 1999, Putnam Investments, Inc. owned 100,258 shares of Putnam VT Small Cap Value Fund (5.53% of shares
outstanding) valued at $1,033,660.
</TABLE>
<TABLE>
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
<CAPTION>
The following fund was established as a series of Putnam Variable Trust, a Massachusetts business trusts on April 29, 1999. During
the period April 29, 1999 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.
Fund name Capital contribution Shares issued
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Class IA
Putnam VT Small Cap Value Fund $ 999,000 99,900
Class IB
Putnam VT Small Cap Value Fund $ 1,000 100
The following funds were established as a series of Putnam Variable Trust, a Massachusetts business trusts on April 29, 1998.
During the period April 29, 1998 to April 30, 1998, the following funds had no operations other than those related to
organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund.
Fund name Capital contribution Shares issued
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA
Putnam VT The George Putnam Fund of Boston $2,000,000 200,000
Putnam VT Health Sciences Fund 2,000,000 200,000
Putnam VT Investors Fund 2,000,000 200,000
Putnam VT OTC & Emerging Growth Fund 2,000,000 200,000
Class IB
Putnam VT The George Putnam Fund of Boston $ 1,000 100
Putnam VT Health Sciences Fund 1,000 100
Putnam VT Investors Fund 1,000 100
Putnam VT OTC & Emerging Growth Fund 1,000 100
The following fund was established as a series of Putnam Variable Trust, a Massachusetts business trusts on September 29, 1998.
During the period September 29, 1998 to September 30, 1998, the following funds had no operations other than those related to
organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund.
Fund name Capital contribution Shares issued
- ------------------------------------------------------------------------------------------------------------------------------------
Class IA
Putnam VT Research Fund $1,999,000 199,900
Class IB
Putnam VT Research Fund $ 1,000 100
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
Federal tax information
(Unaudited)
<CAPTION>
Pursuant to section 852 of the Internal Revenue Code, as amended, the Fund hereby designates the following amounts as capital
gain, for its taxable year ended December 31, 1999:
<S> <C>
Putnam VT Asia Pacific Growth Fund --
Putnam VT Diversified Income Fund --
Putnam VT George Putnam Fund of Boston --
Putnam VT Global Asset Allocation Fund $ 79,417,646
Putnam VT Global Growth Fund 234,390,344
Putnam VT Growth and Income Fund 675,771,476
Putnam VT Health Sciences Fund --
Putnam VT High Yield Fund --
Putnam VT Income Fund --
Putnam VT International Growth Fund 35,139,810
Putnam VT International Growth and Income Fund 18,865,971
Putnam VT International New Opportunities Fund 16,903,671
Putnam VT Investors Fund --
Putnam VT Money Market Fund --
Putnam VT New Opportunities Fund 475,165,766
Putnam VT New Value Fund 8,000,005
Putnam VT OTC & Emerging Growth Fund 841,568
Putnam VT Research Fund 195,503
Putnam VT Small Cap Value Fund --
Putnam VT Utilities Growth and Income Fund 39,723,512
Putnam VT Vista Fund 23,403,872
Putnam VT Voyager Fund 938,535,401
<CAPTION>
For the period, interest and dividends from foreign countries and per share taxes paid to foreign countries and
per share were the following:
Interest and
Fund Name Dividends Per Share Taxes Paid Per Share
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $ 1,408,416 .09 $120,330 .01
Putnam VT Diversified Income Fund -- -- -- --
Putnam VT George Putnam Fund of Boston -- -- -- --
Putnam VT Global Asset Allocation Fund -- -- -- --
Putnam VT Global Growth Fund 8,520,449 .08 778,823 .01
Putnam VT Growth and Income Fund -- -- -- --
Putnam VT Health Sciences Fund -- -- -- --
Putnam VT High Yield Fund -- -- -- --
Putnam VT Income Fund -- -- -- --
Putnam VT International Growth Fund 5,719,500 .19 634,291 .02
Putnam VT International Growth and Income Fund 8,537,645 .33 779,881 .03
Putnam VT International New Opportunities Fund 483,333 .03 187,805 .01
Putnam VT Investors Fund -- -- -- --
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund -- -- -- --
Putnam VT New Value Fund -- -- -- --
Putnam VT OTC & Emerging Growth Fund -- -- -- --
Putnam VT Research Fund -- -- -- --
Putnam VT Small Cap Value Fund -- -- -- --
Putnam VT Utilities Growth and Income Fund -- -- -- --
Putnam VT Vista Fund -- -- -- --
Putnam VT Voyager Fund -- -- -- --
<CAPTION>
Each fund has designated the following amounts of the distributions from net investment income as qualifying for
the dividends received deduction for corporations:
<S> <C>
Putnam VT Asia Pacific Growth Fund .04%
Putnam VT Diversified Income Fund 3.92
Putnam VT George Putnam Fund of Boston 40.37
Putnam VT Global Asset Allocation Fund 22.32
Putnam VT Global Growth Fund 1.87
Putnam VT Growth and Income Fund 69.13
Putnam VT Health Sciences Fund 100.00
Putnam VT High Yield Fund 7.27
Putnam VT Income Fund --
Putnam VT International Growth Fund --
Putnam VT International Growth and Income Fund --
Putnam VT International New Opportunities Fund 3.04
Putnam VT Investors Fund --
Putnam VT Money Market Fund --
Putnam VT New Opportunities Fund --
Putnam VT New Value Fund 58.23
Putnam VT OTC & Emerging Growth Fund --
Putnam VT Research Fund 15.01
Putnam VT Small Cap Value Fund 100.00
Putnam VT Utilities Growth and Income Fund 65.33
Putnam VT Vista Fund 4.48
Putnam VT Voyager Fund 11.62
Results of November 4, 1999 shareholder meeting
(Unaudited)
A meeting of shareholders of the Putnam VT Global Growth Fund was held on November 4, 1999.
A proposal to increase the fees payable to Putnam Investment Management, Inc. was approved as follows:
64,049,972 votes for, 31,413,562 votes against, with 8,560,587 abstentions and broker non-votes.
A proposal to amend the fund's fundamental investment restriction with respect to borrowing was approved as follows:
77,115,336 votes for, 17,187,777 votes against, with 9,721,008 abstentions and broker non-votes.
A proposal to amend the fund's fundamental investment restriction with respect to making loans was approved as follows:
77,064,436 votes for, 16,871,216 votes against, with 10,088,469 abstentions and broker non-votes.
All tabulations are rounded to the nearest whole number.
</TABLE>
Trustees approve investment policy change
for Putnam Diversified Income Sub-Account
At their February 4, 2000, meeting, the Trustees of the Putnam Funds
approved changes in the investment policies of the underlying fund for
Putnam Diversified Income Sub-Account and four other Putnam funds that
also invest in the U.S. government/investment-grade, high-yield, and
international fixed-income sectors of the securities markets.
The changes, proposed by Putnam Management, were made to standardize the
ways the three investment sectors are defined and to provide greater
clarity and consistency among the funds as to minimum and maximum
investments in each sector, and to establish consistent limits on lower-
rated securities that may be purchased by both the high-yield and
international sectors.
The changes will provide portfolio managers somewhat greater flexibility,
enhancing their ability to compete in the multi-sector universe, which has
evolved over recent years. However, Putnam Management does not expect that
the proposed changes will significantly change the way the funds
are managed.
Sector definitions clarified and standardized. To eliminate ambiguity and
inconsistency across funds, the following sector definitions were adopted
for each of the five funds:
* The U.S. investment-grade sector includes any security issued by an
entity domiciled or with its principal operations in the United States
and at least investment-grade in quality.
* The high-yield sector includes any security issued by an entity
domiciled or with its principal operations in the United States and is
below investment-grade in quality.
* The international sector includes any security issued by an entity
domiciled or with its principal operations outside the United States.
The revised investment policies also delete an expectation that the
international sector will primarily be invested in securities of
industrialized Western Europe (including the Scandinavian countries),
Canada, Japan, Australia, and New Zealand. This change will increase the
funds' flexibility to invest in nonindustrialized countries, including
emerging markets.
Uniform limit established on lower-rated securities. The new uniform
policy for all five funds limits securities below investment grade quality
to 70% of fund assets, provided that no more than 5% of assets be invested
in securities below CCC in quality.
Consistent minimum and maximum investment limits adopted. The required 20%
minimum investment in U.S. government securities was lowered to 15%. The
redundant separate restriction requiring Putnam VT Diversified Income Fund
to invest at least 65% of the U.S. government/investment-grade sector in
U.S. government securities was dropped.
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FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal counsel
Ropes & Gray
Independent Accountants
Arthur Anderson LLP
PricewaterhouseCoopers LLP
Trustees
George Putnam, Chairman
William F. Pounds, Vice Chairman
Jameson Adkins Baxter
Hans H. Estin
John A. Hill
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
Lawrence J. Lasser
John H. Mullin III
Robert E. Patterson
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
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.
U.S. POSTAGE PAID
58519 2/00
