<PAGE>
A MESSAGE TO OUR POLICYOWNERS:
We are pleased to forward this combined Semiannual Report of the segment of
Massachusetts Mutual Variable Life Separate Account I pertaining to Large Case
Variable Life Plus (``Large Case Variable Life Plus Separate Account''), the MML
Series Investment Fund (the ``MML Trust''), and the Oppenheimer Variable Account
Funds (the ``Oppenheimer Trust''). These reports are for the period of January
1 through June 30, 1995.
The Semiannual Report for the Large Case Variable Life Plus Separate Account
begins on page 3. The Large Case Variable Life Plus Separate Account has net
assets of $22,442,563 as of June 30, 1995. Net asset values per accumulation
unit for the MML Equity, MML Money Market, MML Managed Bond, MML Blend,
Oppenheimer High Income, Oppenheimer Capital Appreciation and Oppenheimer Global
Securities Divisions, of the Large Case Variable Life Plus Separate Account for
the period ended June 30, 1995 are shown in detail in the table on page 3.
The Semiannual Report for the MML Trust begins on page 11. This report contains
a detailed description of the final result of the four series of the MML Trust
- - MML Equity Fund, MML Money Market Fund, MML Managed Bond Fund, and MML Blend
Fund - for the period ended June 30, 1995.
The Semiannual Report for the Oppenheimer Trust begins on page 34. This report
contains a detailed description of three of the funds of the Oppenheimer Trust -
Oppenheimer High Income Fund, Oppenheimer Capital Appreciation Fund, and
Oppenheimer Global Securities Fund - for the period of January 1 through June
30, 1995.
We thank you for the continued interest and confidence you have shown in the
Large Case Variable Life Plus Separate Account.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/Thomas B. Wheeler
Thomas B. Wheeler
President and Chief Executive Officer
August 1, 1995
1
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Massachusetts Mutual Variable Life Separate Account I
<S> <C>
Large Case Variable Life Plus
Statement of Assets and Liabilities as of June 30, 1995............. 3
Statement of Operations For the Six Months Ended June 30,
1995............................................................... 4
Statement of Changes in Net Assets For the Six Months Ended
June 30, 1995 and 1994.............................................. 5
Notes to Financial Statements....................................... 7
MML Series Investment Fund
Our Message to You.................................................. 11
Statement of Assets and Liabilities as of June 30, 1995............. 13
Statement of Operations For the Six Months Ended June 30,
1995............................................................... 14
Statement of Changes in Net Assets For the Six Months Ended June 30,
1995 and 1994........................................................ 15
Financial Highlights................................................ 16
Schedule of Investments as of June 30, 1995
MML Equity Fund.................................................... 18
MML Money Market Fund.............................................. 21
MML Managed Bond Fund.............................................. 22
MML Blend Fund..................................................... 25
Notes to Financial Statements....................................... 31
Oppenheimer Variable Account Funds
Oppenheimer Fund Managers' Messages................................. 34
Statement of Assets and Liabilities as of June 30, 1995............. 36
Statement of Operations For the Six Months Ended June 30,
1995............................................................... 37
Statement of Changes in Net Assets For the Six Months Ended
June 30, 1995 and the Year Ended December 31, 1994................. 38
Financial Highlights................................................ 39
Statement of Investments as of June 30, 1995
Oppenheimer High Income Fund....................................... 42
Oppenheimer Capital Appreciation Fund.............................. 48
Oppenheimer Global Securities Fund................................. 51
Notes to Financial Statements....................................... 54
</TABLE>
2
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I --
LARGE CASE VARIABLE LIFE PLUS
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
----------- ----------- --------- ------------ ------------ ------------ ----------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments -- Number of
shares (Note 2) ......... 246,162 4,356,937 136,199 144,664 266,572 40,095 190,437
========== ========== ========== ========== ========== ========== ==========
Identified cost
(Note 3B) ............... $5,202,043 $4,356,937 $1,588,162 $2,672,078 $2,709,522 $1,058,297 $2,890,199 $20,477,238
========== ========== ========== ========== ========== ========== ========== ===========
Value (Note 3A) .......... $5,862,413 $4,356,937 $1,668,303 $2,846,015 $2,767,014 $1,166,370 $2,833,702 $21,500,754
Dividends receivable....... -- 20,093 -- -- -- -- -- 20,093
Receivable from
Massachusetts Mutual Life
Insurance Company ........ -- 936,659 -- -- -- -- -- 938,659
---------- --------- ---------- ---------- ---------- ---------- --------- -----------
TOTAL ASSETS ............. 5,862,413 5,313,689 1,668,303 2,846,015 2,767,014 1,166,370 2,833,702 22,457,506
LIABILITIES
Payable to Massachusetts
Mutual Life Insurance
Company ................. 5,224 -- 1,447 2,764 2,304 890 2,314 14,943
---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
NET ASSETS .............. $5,857,189 $5,313,689 $1,666,856 $2,843,251 $2,764,710 $1,165,480 $2,831,388 $22,442,563
========== ========== ========== ========== ========== ========== ========== ===========
NET ASSETS:
For variable life insurance
policies ................. $5,845,026 $5,300,384 $1,656,171 $2,831,628 $2,759,370 $1,160,220 $2,826,681 $22,379,480
Retained in Variable Life
Separate Account I by
Massachusetts Mutual Life
Insurance Company ........ 12,163 13,305 10,685 11,623 5,340 5,260 4,707 63,083
---------- ---------- ---------- ---------- ---------- ---------- ---------- -----------
NET ASSETS .............. $5,857,189 $5,313,689 $1,666,856 $2,843,251 $2,764,710 $1,165,480 $2,831,388 $22,442,563
========== ========== ========== ========== ========== ========== ========== ===========
Accumulation units
Number of units:
Policyowners ............. 3,213,499 4,240,996 1,031,638 1,630,249 2,582,944 1,102,717 3,003,465
Massachusetts Mutual Life
Insurance Company ....... 6,687 10,000 6,656 6,692 5,000 5,000 5,000
---------- ---------- ---------- ---------- ---------- ---------- -----------
Total units (Note 8) ..... 3,220,186 4,250,996 1,038,294 1,636,941 2,587,944 1,107,717 3,008,465
========== ========== ========== ========== ========== ========= ===========
NET ASSET VALUE PER
ACCUMULALTION UNIT
June 30, 1995 ............ $1.82 $1.25 $1.61 $1.74 $1.07 $1.05 $0.94
June 30, 1994 ............ 1.51 1.19 1.43 1.50 0.98 0.85 0.94
June 30, 1993 ............ 1.46 1.16 1.46 1.46 -- -- --
June 30, 1992 ............ 1.31 1.14 1.29 1.32 -- -- --
June 30, 1991 ............ 1.15 1.09 1.14 1.15 -- -- --
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I
- -- LARGE CASE VARIABLE LIFE PLUS
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
-------- -------- -------- -------- ----------- ------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Note 3B)..... $ 172 $60,986 $ 20,424 $ 27,467 $108,720 $ 3,726 $47,838 $ 269,333
EXPENSES
Mortality and expense
risk fee (Note 4).... 9,522 4,400 2,620 5,395 3,921 1,516 3,959 31,333
-------- -------- -------- -------- ----------- ------------- ----------- ----------
NET INVESTMENT INCOME
(LOSS) (Note 3C)...... (9,350) 56,586 17,804 22,072 104,799 2,210 43,879 238,000
-------- -------- -------- -------- ----------- ------------- ----------- ----------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss)
on investments (Notes 3
and 6)................. 25,157 -- (6,623) 3,448 (1,385) 3,740 (5,321) 19,016
Net change in unrealized
appreciation/depreciation
of investment.......... 690,268 -- 133,446 288,314 98,589 102,529 6,010 1,319,156
-------- -------- -------- -------- ----------- ------------- ----------- ----------
NET GAIN ON INVESTMENT. 715,425 -- 126,823 291,762 97,204 106,269 689 1,338,172
-------- -------- -------- -------- ----------- ------------- ----------- ----------
NET INCREASE IN
NET ASSETS RESULTING
FROM OPERATIONS........ $706,075 $56,586 $144,627 $313,834 $202,003 $108,479 $44,568 $1,576,172
======== ======== ======== ======== =========== ============= =========== ==========
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I
- -- LARGE CASE VARIABLE LIFE PLUS
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
1995
--------------------------------------------------------------------------------------------------------------
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
------------ ------------- ------------- ------------- ------------- ------------- ------------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment
income (loss)......$ (9,350) $ 56,586 $ 17,804 $ 22,072 $ 104,799 $ 2,210 $ 43,879 $ 238,000
Net realized gain
(loss) on
investments........ 25,157 -- (6,623) 3,448 (1,385) 3,740 (5,321) 19,016
Net change in
unrealized
appreciation/
depreciation
of investments..... 690,288 -- 133,446 288,314 98,589 102,529 6,010 1,319,156
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
Net increase in net
assets resulting
from operations.... 706,075 56,586 144,627 313,834 202,003 108,479 44,568 1,576,172
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
Capital transactions:
(Note 8)
Transfer of net
premium............ 1,814,293 4,661,227 495,221 100,480 627,617 357,314 965,574 9,021,726
Transfer to Guaranteed
Principal Account... -- (7,926) -- (3,791) -- -- -- (11,717)
Transfer of surrender
values............. (227,037) -- (98,284) (66,080) (17,301) (101,438) (60,531) (570,671)
Transfer due to death
benefits........... (2,894) (300) -- -- -- -- -- (3,194)
Transfer due to
policy loan,
net of repayment... (2,783) -- -- (2,680) -- (2,623) (2,243) (10,329)
Transfer due to
reimbursement
(payment) of
accumulation unit
value fluctuation.. (11,490) 6,483 (822) (407) 646 (1,806) (2,283) (9,679)
Transfer due to
charges for
administrative and
insurance costs.... (100,870) (86,577) (38,003) (87,487) (27,570) (25,396) (51,271) (417,174)
Divisional transfers 162,535 (2,175,639) 774 (6,435) 1,451,640 242,968 324,157 --
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
Net increase
(decrease) in net
assets resulting
from capital
transactions....... 1,631,754 2,397,268 358,886 (66,400) 2,035,032 469,019 1,173,403 7,998,962
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
TOTAL INCREASE...... 2,337,829 2,453,854 503,513 247,434 2,237,035 577,498 1,217,971 9,575,134
NET ASSETS, AT
BEGINNING OF
THE YEAR............ 3,519,360 2,859,835 1,163,343 2,595,817 527,675 587,982 1,613,417 12,867,429
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS, AT
END OF THE PERIOD...$ 5,857,189 $ 5,313,689 $ 1,666,856 $ 2,843,251 $ 2,764,710 $ 1,165,480 $ 2,831,388 $ 22,442,563
============ ============ ============ ============ ============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I --
LARGE CASE VARIABLE LIFE PLUS
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1994 AND *FOR THE PERIOD JANUARY 3, 1994
(DATE OF COMMENCEMENT OF OPERATIONS) THROUGH JUNE 30, 1994
(UNAUDITED)
<TABLE>
<CAPTION>
1994
--------------------------------------------------------------------------------------------------
MML MML *OPPENHEIMER *OPPENHEIMER *OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
-------- -------- -------- -------- ------------ ------------ ------------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE)
IN NET ASSETS
Operations:
Net investment
income (loss)....... $ (3,108) $ 25,095 $ 1,557 $ 16,100 $ 10,354 $ 1,013 $ (867) $ 50,144
Net realized gain
(loss) on
investments......... 5,883 -- (21,220) (2,274) 313 (1,164) (208) (18,670)
Net change in
unrealized
appreciation
/depreciation
of investments...... 3,868 -- 8,168 (38,617) (10,711) (36,978) (25,191) (99,461)
---------- ---------- -------- ---------- -------- -------- ---------- ----------
Net increase
(decrease)
in net assets
resulting
from operations...... 6,643 25,095 (11,495) (24,791) (44) (37,129) (26,266) (67,987)
---------- ---------- -------- ---------- -------- -------- ---------- ----------
Capital transactions:
(Note 8)
Transfer of net
premium.............. 81,580 6,220,592 16,435 100,267 455,344 22,996 15,465 6,912,679
Transfer from (to)
Massachusetts Mutual
Life Insurance Company (5,000) -- (5,000) (5,000) 5,000 5,000 5,000 --
Transfer to Guaranteed
Principal Account..... -- (27,929) -- -- -- -- -- (27,929)
Transfer of surrender
values................ (23,289) (9,354) (21,030) (87,460) -- -- -- (141,133)
Transfer due to
reimbursement
(payment) of
accumulation unit
value fluctuation..... (426) 3,482 (560) 55 424 (229) 152 2,898
Transfer due to charges
for administrative and
insurance costs...... (57,032) (121,587) (21,141) (105,733) (3,820) (5,921) (12,367) (327,601)
Divisional transfers.. 2,169,307 (4,515,540) 186,752 397,586 69,596 408,257 1,284,042 --
---------- ---------- -------- ---------- -------- -------- ---------- ----------
Net increase in net
assets resulting from
capital transactions.. 2,165,140 1,549,664 155,456 299,715 526,544 430,103 1,292,292 6,418,914
---------- ---------- -------- ---------- -------- -------- ---------- ----------
TOTAL INCREASE........ 2,171,783 1,574,759 143,961 274,924 526,500 392,974 1,266,026 6,350,927
NET ASSETS, AT
BEGINNING OF THE
YEAR.................. 514,171 98,497 442,832 2,131,974 -- -- -- 3,187,474
---------- ---------- -------- ---------- -------- -------- ---------- ----------
NET ASSETS, AT END OF
THE PERIOD............ $2,685,954 $1,673,256 $586,793 $2,406,898 $526,500 $392,974 $1,266,026 $9,538,401
========== ========== ======== ========== ======== ======== ========== ==========
</TABLE>
See Notes to Financial Statements
6
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I
- -- LARGE CASE VARIABLE LIFE PLUS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. HISTORY
Massachusetts Mutual Variable Life Separate Account I (``Separate Account I'')
is a separate investment account established on July 13, 1988 by Massachusetts
Mutual Life Insurance Company (``MassMutual'') in accordance with the
provisions of Section 132G of Chapter 175 of the Massachusetts General Laws.
MassMutual maintains two segments within Separate Account I. The initial
segment (``Variable Life Plus Separate Account'') is used exclusively for
MassMutual's flexible premium variable whole life insurance policy.
On March 30, 1990, MassMutual designated another segment (``Large Case
Variable Life Plus Separate Account'') within Separate Account I to be used
exclusively for MassMutual's flexible premium variable whole life insurance
policy with table of selected face amounts.
Large Case Variable Life Plus Separate Account operates as a registered unit
investment trust pursuant to the Investment Company Act of 1940 and the rules
promulgated thereunder. MassMutual paid $40,000 to Large Case Variable Life
Plus Separate Account on March 30, 1990 to provide initial capital: 12,146
shares were purchased in the four series of shares of the management
investment company described in Note 2 supporting the divisions of Large Case
Variable Life Plus Separate Account. On January 3, 1994, MassMutual removed
$15,000 of the initial capital from three of the four series of shares of the
management investment company supporting the divisions of Large Case Variable
Life Plus Separate Account.
On January 3, 1994, MassMutual paid $15,000 to provide the initial capital for
Large Case Variable Life Plus Separate Account's three new divisions: 918
shares were purchased in the management investment company described in Note 2
supporting the three new divisions of Large Case Variable Life Plus Separate
Account.
2. INVESTMENT OF LARGE CASE VARIABLE LIFE PLUS
SEPARATE ACCOUNT'S ASSETS
Large Case Variable Life Plus Separate Account maintains seven divisions. The
MML Equity Division invests in shares of MML Equity Fund, the MML Money Market
Division invests in shares of MML Money Market Fund, the MML Managed Bond
Division invests in shares of MML Managed Bond Fund and the MML Blend Division
invests in shares of MML Blend Fund. The Oppenheimer High Income Division
invests in shares of Oppenheimer High Income Fund, the Oppenheimer Capital
Appreciation Division invests in shares of Oppenheimer Capital Appreciation
Fund, and the Oppenheimer Global Securities Division invests in shares of
Oppenheimer Global Securities Fund.
MML Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML Blend
Fund are the four series of MML Series Investment Fund (the ``MML Trust'').
The MML Trust is a no-load, registered, open-end, diversified management
investment company for which MassMutual acts as investment manager. Concert
Capital Management, Inc. (``Concert Capital''), a wholly-owned subsidiary of
Babson Acquisition Corporation which is a controlled subsidiary of MassMutual,
serves as investment sub-advisor to the MML Equity Fund and the Equity Sector
of the MML Blend Fund.
Oppenheimer High Income Fund, Oppenheimer Capital Appreciation Fund and
Oppenheimer Global Securities Fund (the ``Oppenheimer Funds'') are part of the
Oppenheimer Variable Account Funds (the ``Oppenheimer Trust''). The
Oppenheimer Trust is a registered, open-end diversified management investment
company, which is available to act as the investment vehicle for separate
accounts for variable insurance policies.
In addition to the seven divisions of Large Case Variable Life Plus Separate
Account, a policyowner may also allocate funds to the Guaranteed Principal
Account, which is part of MassMutual's general account. Because of exemptive
and exclusionary provisions, interests in the Guaranteed Principal Account,
which is part of MassMutual's general account, are not registered under the
Securities Act of 1933 and the general account is not registered as an
investment company under the Investment Company Act of 1940.
3. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by Large Case Variable Life Plus Separate Account in the
preparation of the financial statements in conformity with generally accepted
accounting principles.
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
A. INVESTMENT VALUATION
The investments in MML Trust and the Oppenheimer Trust are each stated at
market value which is the net asset value of each of the respective underlying
funds.
B. ACCOUNTING FOR INVESTMENTS
Investment transactions are accounted for on trade date and identified cost is
the basis followed in determining the cost of investments sold for financial
statement purposes. Dividend income is recorded on the ex-dividend date.
C. FEDERAL INCOME TAXES
MassMutual is taxed under federal law as a life insurance company under the
provisions of the 1986 Internal Revenue Code, as amended. Large Case Variable
Life Plus Separate Account is part of MassMutual's total operation and is not
taxed separately. Large Case Variable Life Plus Separate Account will not be
taxed as a ``regulated investment company'' under Subchapter M of the Internal
Revenue Code. Under existing federal law, no taxes are payable on investment
income and realized capital gains of Large Case Variable Life Plus Separate
Account credited to the policies. Accordingly, MassMutual does not intend to
make any charge to Large Case Variable Life Plus Separate Account's divisions
to provide for company income taxes. MassMutual may, however, make such a
charge in the future if an unanticipated change of current law results in a
company tax liability attributable to Large Case Variable Life Plus Separate
Account.
D. POLICY LOAN
When a policy loan is made, Large Case Variable Life Plus Separate Account
transfers the amount of the loan to MassMutual, thereby decreasing both the
assets and the reserves of Large Case Variable Life Plus Separate Account by
an equal amount. The interest rate charged on any loan is 6% per year, or
where permitted, the policyowner may select an adjustable loan rate at the
time of application. Loan repayments result in the transfer of values equal to
the repayment from the loaned portion of the Guaranteed Principal Account to
the non-loaned portion of the Guaranteed Principal Account and the divisions
of Large Case Variable Life Plus Separate Account.
The policyowner earns interest at a rate which is the greater of 4% or the
policy loan rate less a MassMutual declared charge (maximum 2%) for expenses
and taxes.
4. CHARGES
MassMutual charges the Large Case Variable Life Plus Separate Account
divisions for the mortality and expense risks it assumes. The charge is made
daily at an effective annual rate of 0.40% of the value of each division's net
assets.
MassMutual makes certain deductions from the annual premium before amounts are
allocated to the Large Case Variable Life Plus Separate Account and the
Guaranteed Principal Account. The deductions are for sales charges and state
premium taxes. No additional deductions are taken when money is transferred
from the Guaranteed Principal Account to the Large Case Variable Life Plus
Separate Account. MassMutual also makes certain charges for the cost of
insurance and administrative costs.
5. SALES AGREEMENTS
MML Investors Services, Inc. (``MMLISI''), a wholly-owned subsidiary of
MassMutual, acts as principal underwriter (as defined in the Investment
Company Act of 1940, as amended) of the policies pursuant to an agreement
among MMLISI, MassMutual and Separate Account I. Registered representatives of
MMLISI, authorized as variable life insurance agents under applicable state
insurance laws, sell the policies.
Under the sales agreement among MMLISI, MassMutual and Separate Account I,
agents receive commissions and service fees from MMLISI for selling and
servicing the policies. MassMutual reimburses MMLISI for such compensation and
for other expenses incurred in marketing and selling the policies.
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
6. Purchases and Sales of Investments
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1995
-------------------------------------------------------------------------------------------------
MML MML OPPENHEIMER OPPENHEIMER OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
------------ ----------- ----------- ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Cost of purchases ............ $ 2,105,479 $ 3,699,555 $ 528,693 $ 250,461 $ 2,185,598 $ 582,018 $ 1,316,153 $10,667,957
------------ ----------- ----------- ----------- ----------- ----------- ----------- -----------
Proceeds from sales .......... 340,916 2,191,969 130,387 212,198 43,486 109,912 96,591 3,125,459
Average monthly value
of securities ............... 4,760,574 2,264,931 1,333,545 2,710,521 1,914,369 786,094 2,030,864
</TABLE>
7. Net Investment Return
The following table shows the Net Investment Return for each division in Large
Case Variable Life Plus Separate Account:
<TABLE>
<CAPTION>
MML MML *OPPENHEIMER *OPPENHEIMER *OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
------------ ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
For the Six Months Ended
June 30, 1995 .............. 14.78% 2.35% 10.83% 11.54% 10.56% 13.81% 2.19%
For the Six Months Ended
June 30, 1994 and *For the Period
January 3, 1994 - of Commen
cement of Operations)
Through June 30, 1994 ....... 0.42% 1.37% (2.74)% (1.07)% 0.04% (22.40)% (5.38)%
For the Six Months Ended
June 30, 1993 ............... 4.32% 1.17% 7.46% 5.12% -- -- --
For the Six Months Ended
June 30, 1992 ............... 3.43% 1.74% 2.85% 3.18% -- -- --
For the Six Months Ended
June 30, 1991 .............. 3.36% 3.27% 4.22% 2.97% -- -- --
</TABLE>
The net investment return for each division of Large Case Variable Life Plus
Separate Account is computed using the net increase in net assets resulting from
operations as compared to the average monthly net assets. The net investment
return figures shown above do not reflect expenses related to insurance
products. Inclusion of such expenses would reduce the net investment return
figures for all periods shown.
8. Net Increase (Decrease) in Accumulation Units
<TABLE>
<CAPTION>
MML MML *OPPENHEIMER *OPPENHEIMER *OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
FOR THE SIX MONTHS EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
ENDED JUNE 30, 1995 DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
- ------------------- -------- -------- -------- -------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Units purchased .................. 1,080,603 3,763,729 319,671 61,708 589,177 369,991 1,040,987
Units withdrawn and transferred to
Guaranteed Principal Account..... (194,033) (87,757) (90,023) (96,445) (43,713) (134,004) (123,230)
Units transferred between
divisions ....................... 92,242 (1,772,124) (97) (5,887) 1,494,794 243,170 355,446
--------- ----------- ---------- ---------- ---------- --------- ---------
Net increase ..................... 978,812 1,903,848 229,551 (40,624) 2,040,258 479,157 1,273,213
Units, at beginning of the year .. 2,241,374 2,347,148 808,743 1,677,565 547,686 628,560 1,735,252
--------- ----------- ---------- ---------- ---------- --------- ---------
Units, at end of the period ...... 3,220,186 4,250,996 1,038,294 1,636,941 2,587,944 1,107,717 3,008,465
========= =========== ========== ========== ========== ========= =========
<CAPTION>
MML MML *OPPENHEIMER *OPPENHEIMER *OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
FOR THE SIX MONTHS EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
ENDED JUNE 30, 1995 DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
- ------------------- -------- -------- -------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Units purchased ................ 53,953 5,265,897 11,135 66,526 469,346 30,489 21,176
Units withdrawn and transferred
to Guaranteed Principal Account (56,419) (141,090) (31,877) (130,979) (3,887) (6,317) (12,727)
Units transferred between
divisions .................... 1,440,692 (3,806,984) 136,630 262,051 71,187 437,436 1,336,111
--------- ------------ ------------- ---------- ---------- ------------- ----------
Net increase ................. 1,438,226 1,317,823 115,888 197,598 536,646 461,608 1,344,560
Units, at beginning of the year 339,541 83,610 295,066 1,406,252 -- -- --
--------- ------------ ------------- ---------- ---------- ------------- ----------
Units, at end of the period .... 1,777,767 1,401,433 410,954 1,603,850 536,646 461,608 1,344,560
========= =========== ============= ========== ========= ============= ==========
</TABLE>
9
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
9. CONSOLIDATED MASSACHUSETTS MUTUAL VARIABLE LIFE
SEPARATE ACCOUNT I
As discussed in Note 1, the financial statements only represent activity of
MassMutual's Large Case Variable Life Plus Separate Account. The combined net
assets as of June 30, 1995 for Massachusetts Mutual Variable Life Separate
Account I, which includes both the segment pertaining to the flexible premium
variable whole life insurance policies with table of selected face amounts and
the segment pertaining to the flexible premium variable whole life insurance
policies, are as follows:
<TABLE>
<CAPTION>
MML MML *OPPENHEIMER *OPPENHEIMER *OPPENHEIMER
MML MONEY MANAGED MML HIGH CAPITAL GLOBAL
EQUITY MARKET BOND BLEND INCOME APPRECIATION SECURITIES
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION TOTAL
----------- ----------- ----------- ----------- ----------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Assets.............. $14,076,072 $ 5,392,783 $ 1,945,857 $ 6,037,085 $ 2,767,014 $ 1,166,370 $ 2,833,702 $34,218,883
Total Liabilities......... 31,197 75 3,029 7,310 2,304 890 2,314 47,119
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Assets................ $14,044,875 $ 5,392,708 $ 1,942,828 $ 6,029,775 $ 2,764,710 $ 1,165,480 $ 2,831,388 $34,171,764
=========== =========== =========== =========== =========== =========== =========== ===========
Net Assets:
For variable life
insurance policies....... $13,994,969 $ 5,356,223 $ 1,902,388 $ 5,983,066 $ 2,759,370 $ 1,160,220 $ 2,826,681 $33,982,917
Retained in Variable
Life Separate
Account I by
Massachusetts Mutual
Life Insurance Company... 49,906 36,485 40,440 46,709 5,340 5,260 4,707 188,847
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
Net Assets................ $14,044,875 $ 5,392,708 $ 1,942,828 $ 6,029,775 $ 2,764,710 $ 1,165,480 $ 2,831,388 $34,171,764
=========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
* Offered only by the Large Case Variable Life Plus Separate Account.
Offered through MML Investors Services, Inc., Springfield, Massachusetts.
10
<PAGE>
MML Series Investment Fund
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Our Message To You..................................................................... 2 - 3
Statement of Assets and Liabilities as of June 30, 1995................................ 4
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations for the six months ended June 30, 1995......................... 5
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets for the six months ended June 30, 1995 and 1994..... 6
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................................. 7
MML Money Market Fund............................................................ 7
MML Managed Bond Fund............................................................ 8
MML Blend Fund................................................................... 8
Schedule of Investments as of June 30, 1995
MML Equity Fund.................................................................. 9 - 11
MML Money Market Fund............................................................ 12
MML Managed Bond Fund............................................................ 13 - 15
MML Blend Fund................................................................... 16 - 21
Notes to Financial Statements.......................................................... 22 - 25
</TABLE>
1
<PAGE>
MML Series Investment Fund
OUR MESSAGE TO YOU
ECONOMIC AND INVESTMENT ENVIRONMENT
Economic growth slowed significantly during the first half of 1995. The primary
reason for the slowdown was a strong reduction in household demand (consumer
consumption and housing expenditures). Real Gross Domestic Product (GDP), which
had climbed at a rate exceeding 4% during 1994, grew at an annual rate of 2.7%
for the first quarter of 1995. The second quarter was even weaker than the
first, largely due to a reduction in new orders. The nearly flat second quarter,
in combination with the first quarter growth, should result in a modest GDP
growth rate of approximately 1.5% for the first half of this year. Despite the
slowdown, corporate profits and personal incomes have shown strong growth this
year. Additionally, inflationary pressures have remained modest.
The financial markets responded very strongly to the economic events of the
first half of the year. During late February, Federal Reserve Board ("Fed")
Chairman Greenspan confirmed that a substantial slowdown was underway. In
response to expectations of the Fed easing and weak economic statistics,
interest rates fell sharply during the first half of 1995. As interest rates
fell, bond prices increased strongly providing bondholders with a total return
of 11.8% (as evidenced by the Lehman Government/Corporate Bond Index). The
stock market also prospered. Benefitted by lower interest rates and continuing
strong corporate profits, the stock market provided investors with a total
return of 20.2% over the first half, as evidenced by the Standard & Poor's 500
Index.
In the fixed income markets, the treasury sector provided especially strong
returns. Investment grade corporate bonds also proved to be strong performers
in the first half. Mortgage backed securities and particularly the adjustable
rate securities lagged throughout the first half. In the stock market, the
large capitalization stocks generally outperformed the small capitalization;
however, the big winners in the first half were the technology stocks.
In the second half of 1995, we expect the economy to improve, but we look for
continued moderate growth. Stocks and bonds may be volatile in the second half
given their strong performance in the first half of 1995. In this environment,
we will continue to seek attractively valued investments to provide solid,
long-term performance for the portfolios. As always, we believe that a
disciplined, patient approach to investing will help you, our investors, reach
your financial goals.
MML EQUITY
What changes, if any, occurred to the portfolio in light of the economic
environment during this period?
Early in the year we were finding better values among more defensive issues,
such as pharmaceutical, agricultural, and food and beverage companies. This
seemed logical because the economic upswing had lasted more than four years, and
we expected that earnings of cyclical companies would begin to lose momentum.
However, by the second quarter, the market was discounting an economic slowdown,
interest rates had fallen sharply, and cyclical stocks had underperformed enough
to become the better purchases for the rest of the first half.
What were the most important buys/sells during the period?
There were four new purchases in the first half of 1995. In the retail group, we
bought Sears, Roebuck, which had completed a major restructuring and returned to
its general merchandise focus. We also purchased Albertson's, the fourth largest
food chain in the U. S., with geographical concentration in the southern and
western states. To participate in the global telecommunications network and
services business, we established a position in AT&T. The last new purchase was
American Brands, which had exited the domestic tobacco business and become more
of a branded consumer products company. We eliminated three stocks in the
period: Lockheed, Royal Dutch Petroleum and Willamette Industries.
What can we expect for the rest of 1995? What challenges do you see for the
future?
With spectacular stock market returns in the first half of the year, the next
six months might present a more difficult environment. Earnings, however, are
likely to remain robust in the next few quarters, tempering any periods of
weakness. We expect that the market performance will broaden to include more mid
cap and small cap issues, and become more volatile as the year progresses.
Longer term, the low dividend yield and high price to book value for the S&P 500
temper our enthusiasm for the market. Any new stocks purchased for the fund will
have to represent bargains in order for us to make a significant commitment.
Such opportunities may be limited until the market suffers a broader setback.
2
<PAGE>
MML MONEY MARKET
What were the driving forces that the economy reacted to during the period?
A major driving force during the first half of 1995 was the seven interest rate
increases orchestrated by the Fed between February 1994 and February 1995. This
tightening cycle was instituted by the Fed in order to keep inflation under
control as the economy began a period of strong growth. Both employment and
capacity utilization grew tremendously during 1994, which resulted in
inflationary concerns for the economy. Having slowed the economy sufficiently
during 1995, the Fed actually cut rates by 25 basis points in early July, citing
the lackluster economy as the primary reason behind the rate cut. In this
economic environment, we positioned the money market fund in high-quality
commercial paper (96%) and government agency issues (4%) having an average
maturity of 40 days at June 30, 1995.
Why is diversification such an important principle of your strategy?
Our investments are well diversified to limit our exposure to any particular
issuer. Diversification across industries and issuers within the portfolio helps
to prevent large losses caused by relatively isolated economic events.
MML MANAGED BOND
What caused the massive rally in the fixed-income markets and the concurrent
flattening in the yield curve?
The massive fixed-income rally during the first half of 1995 was the result of a
slowdown in the economy. With inflation under control, market participants
rallied the market anticipating the economic slowdown and an easing of Fed
policy. A concurrent flattening of the yield curve took place as inflation,
normally the scourge of fixed-income assets (especially long-term securities),
remained mild. Investor perceptions that the economic slowdown could lead to
recession also contributed to the flattening, as historically, the curve has
flattened as the economy approaches a recessionary environment.
What can we expect for the rest of 1995? What challenges do you see for the
future?
The remainder of 1995 should continue to be a period of volatility as market
participants react to the monetary policy actions of the Fed. Interest rate
declines seen thus far could be enough to stimulate the economy without
additional Fed easing. We have seen some of this reaction already in the housing
market. We expect to position the fund to be somewhat more defensive during the
second half of the year in order to preserve the strong returns we have already
gained from what has been an excellent market.
MML BLEND
What was the asset allocation of the Blend Fund as of June 30, 1995? Were there
any changes to the allocation strategy of the portfolio in light of the economic
environment during this period?
The Blend Fund combines the profiles of the MML Equity, Bond, and Money Market
Funds into a single portfolio. The specific allocation of stocks, bonds, and
money market issues is based upon the interrelation of current economic and
financial conditions and the values available in the stock and bond markets. As
these relationships change, the exposure to each capital market is gradually
adjusted within the designated ranges. At June 30, 1995, the Blend Fund had 55%
of the portfolio in equities, 13% in long-term bonds, and 32% in short-term
issues. There has been no significant change in these allocations since our last
report.
/s/ Stuart H. Reese
Stuart H. Reese
President
MML Series Investment Fund
July 31, 1995
3
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
ASSETS
Investments at value (See Schedule of Investments)
(Notes 2A, 2B and 5)
Equities (Identified cost: $702,371,338;
$632,744,428 respectively)..................................... $ 948,957,474 $ -- $ -- $ 916,605,221
Bonds and notes (Identified cost: $126,819,596;
$217,658,170 respectively)..................................... -- -- 130,001,245 225,049,598
Short-term investments (Identified cost: $111,062,345;
$101,111,713; $9,448,705; $537,852,371 respectively)........... 111,062,345 101,111,713 9,448,705 537,697,097
-------------- ------------ ------------ --------------
Total investments.............................................. 1,060,019,819 101,111,713 139,449,950 1,679,351,916
Cash............................................................ 254,367 5,270 5,415 4,364,345
Interest and dividends receivable............................... 2,206,505 1,931 2,227,640 6,188,709
Receivable for investments sold................................. -- -- 1,075 1,057,293
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D).............. -- -- 260,757 3,061,714
Prepaid trustees' fees.......................................... 858 546 546 546
-------------- ------------ ------------ --------------
Total assets................................................... 1,062,481,549 101,119,460 141,945,383 1,694,024,523
-------------- ------------ ------------ --------------
LIABILITIES
Payable for investments purchased............................... 1,568,838 -- -- 5,728,889
Dividends payable (Note 2C)..................................... -- 449,598 -- --
Investment management fee payable (Note 4)...................... 993,643 119,012 165,644 1,544,030
Accrued liabilities............................................. 53,638 16,390 15,127 33,644
-------------- ------------ ------------ --------------
Total liabilities.............................................. 2,616,119 585,000 180,771 7,306,563
-------------- ------------ ------------ --------------
NET ASSETS...................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Net assets consist of:
Series shares, (par value $.01 per share; an unlimited number
authorized) (Note 6)............................................ $ 445,036 $ 1,005,345 $ 115,736 $ 857,363
Additional paid-in capital....................................... 785,196,294 99,529,115 138,595,460 1,366,511,200
Undistributed net investment income (Note 2C).................... 13,813,063 8,913 2,284,781 17,602,007
Undistributed net realized gain (loss) on investments and
forward commitments (Notes 2D and 3)............................ 13,824,901 (8,913) (2,414,572) 7,703,768
Net unrealized appreciation on:
Investments (Note 2A)........................................... 246,586,136 -- 3,181,649 291,096,947
Forward commitments (Note 2D)................................... -- -- 1,558 2,946,675
-------------- ------------ ------------ --------------
NET ASSETS....................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Outstanding series shares........................................ 44,503,554 $100,534,460 11,573,563 85,736,321
============== ============ ============ ==============
Net asset value per share........................................ $ 23.82 $ 1.00 $ 12.25 $ 19.67
============== ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For The Six Months Ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Investment income (Note 2B)
Dividends........................................................ $ 12,942,852 $ -- $ -- $ 12,909,367
Interest......................................................... 2,858,606 2,870,986 4,826,053 23,881,001
-------------- -------------- ------------- --------------
Total income.................................................. 15,801,458 2,870,986 4,826,053 36,790,368
-------------- -------------- ------------- --------------
Expenses
Investment management fee (Note 4)............................... 1,882,599 235,080 318,697 2,980,434
Trustees' fees................................................... 7,436 5,941 5,975 5,941
Audit fees....................................................... 13,121 9,076 11,603 14,204
Tax expense...................................................... 6,262 -- -- 6,262
Registration fee................................................. 33,650 3,017 2,777 25,034
Other............................................................ 1,127 667 667 630
-------------- -------------- ------------- --------------
Total expenses................................................ 1,944,195 253,781 339,719 3,032,505
-------------- -------------- ------------- --------------
Net investment income (Note 2C).................................. 13,857,263 2,617,205 4,486,334 33,757,863
-------------- -------------- ------------- --------------
Net realized and unrealized gain (loss) on investments and
forward commitments (Notes 2A, 2B and 2D)
Net realized gain (loss) on:
Investments (Notes 2B and 2C)................................... 13,881,504 (20) (697,474) 6,458,292
Forward commitments (Note 2D)................................... -- -- 453,016 2,277,785
-------------- -------------- ------------- --------------
Net realized gain (loss)...................................... 13,881,504 (20) (244,458) 8,736,077
-------------- -------------- ------------- --------------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)........................................... 113,792,847 -- 10,294,054 139,385,654
Forward commitments (Note 2D)................................... -- -- 164,192 4,138,131
-------------- -------------- ------------- --------------
Total change in net unrealized appreciation/depreciation...... 113,792,847 -- 10,458,246 143,523,785
-------------- -------------- ------------- --------------
Net gain (loss).................................................. 127,674,351 (20) 10,213,788 152,259,862
-------------- -------------- ------------- --------------
Net increase in net assets resulting from operations............. $ 141,531,614 $ 2,617,185 $ 14,700,122 $ 186,017,725
============== ============== ============= ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
For The Six Months Ended June 30, 1995 and 1994
(Unaudited)
<TABLE>
<CAPTION>
1995
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 13,857,263 $ 2,617,205 $ 4,486,334 $ 33,757,863
Net realized gain (loss)
on investments and
forward commitments............................................. 13,881,504 (20) (244,458) 8,736,077
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... 113,792,847 -- 10,458,246 143,523,785
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... 141,531,614 2,617,185 14,700,122 186,017,725
Dividends to shareholders from
net investment income (Note 2C)................................ (35,000) (2,617,185) (2,198,282) (16,157,864)
Net increase in capital share
transactions (Note 6).......................................... 97,585,798 8,748,427 8,053,120 72,596,962
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 239,082,412 8,748,427 20,554,960 242,456,823
NET ASSETS, at beginning of the year............................. 820,783,018 91,786,033 121,209,652 1,444,261,137
NET ASSETS, at end of the period................................. $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 13,813,063 $ 8,913 $ 2,284,781 $ 17,602,007
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .028 $ .197 $ .192
<CAPTION>
1994
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 10,887,645 $ 1,253,255 $ 4,226,116 $ 25,770,255
Net realized gain (loss)
on investments and
forward commitments............................................. 3,404,918 (3,648) (916,521) 7,147,498
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... (15,082,522) -- (9,503,629) (44,491,207)
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... (789,959) 1,249,607 (6,194,034) (11,573,454)
Dividends to shareholders from
net investment income (Note 2C)................................ (25,000) (1,249,607) (2,107,029) (12,431,913)
Net increase in capital share
transactions (Note 6).......................................... 111,621,101 7,977,018 4,267,178 152,013,261
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 110,806,142 7,977,018 (4,033,885) 128,007,894
NET ASSETS, at beginning of the year............................. 663,093,058 73,659,008 129,109,198 1,296,543,156
-------------- ------------ ------------ --------------
NET ASSETS, at end of the period................................. $ 773,899,200 $ 81,636,026 $125,075,313 $1,424,551,050
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 10,845,740 $ 7,177 $ 2,112,529 $ 13,340,848
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .015 $ .202 $ .163
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
(Unaudited)
Selected per share data for each series share outstanding throughout each
six-month period ended June 30:
<TABLE>
<CAPTION>
MML EQUITY FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .311 .287 .274 .286 .295
Net realized and unrealized
gain (loss) on investments................. 2.985 (.293) .760 .448 1.900
-------- -------- -------- -------- --------
Total from investment operations............ 3.296 (.006) 1.034 .734 2.195
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.001) -- (.001) (.001) (.002)
Distribution from net
realized gains............................. -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions......................... (.001) -- (.001) (.001) (.002)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 23.815 $ 20.504 $ 20.895 $ 19.468 $ 17.852
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 16.764 $ 14.929 $ 13.828 $ 15.591 $ 13.832
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .315 .366 .295 .241 .241
Net realized and unrealized
gain (loss) on investments................. .115 1.366 1.691 2.625 2.176
-------- -------- -------- -------- --------
Total from investment operations............ .430 1.732 1.986 2.866 2.417
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.002) (.002) -- (.487) (.412)
Distribution from net
realized gains............................. -- -- -- (.759) (.498)
-------- -------- -------- -------- --------
Total distributions......................... (.002) (.002) -- (1.246) (.910)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 17.192 $ 16.659 $ 15.814 $ 17.211 $ 15.339
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML MONEY MARKET FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Total from investment operations............ .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Total distributions......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Total from investment operations............ .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Total distributions......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
MML MANAGED BOND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .395 .400 .404 .438 .458
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .910 (.979) .579 (.119) .092
-------- -------- -------- -------- --------
Total from investment operations.... 1.305 (.579) .983 .319 .550
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.197) (.202) (.207) (.219) (.221)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.197) (.202) (.207) (.219) (.221)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 12.249 $ 11.624 $ 12.817 $ 12.319 $ 11.647
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.354 $ 10.919 $ 11.052 $ 12.541 $ 11.978
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .477 .455 .456 .484 .543
Net realized and unrealized
gain (loss) on investments
and forward commitments............ (.171) .431 .011 (.469) .406
-------- -------- -------- -------- --------
Total from investment operations.... .306 .886 .467 .015 .949
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.242) (.226) (.225) (.492) (.561)
Distribution from net
realized gains -- -- -- (.482) --
-------- -------- -------- -------- --------
Total distributions................. (.242) (.226) (.225) (.974) (.561)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 11.418 $ 11.579 $ 11.294 $ 11.582 $ 12.366
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML BLEND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .397 .332 .332 .355 .370
Net realized and unrealized
gain (loss) on investments
and forward commitments............ 1.796 (.486) .687 .237 1.364
-------- -------- -------- -------- --------
Total from investment operations.... 2.193 (.154) 1.019 .592 1.734
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.163) (.168) (.177) (.182)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.192) (.163) (.168) (.177) (.182)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 19.673 $ 17.988 $ 18.697 $ 17.722 $ 16.391
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 15.428 $ 13.876 $ 13.095 $ 13.774 $ 12.244
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .398 .412 .354 .284 .263
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .021 1.058 1.068 1.555 1.571
-------- -------- -------- -------- --------
Total from investment operations.... .419 1.470 1.422 1.839 1.834
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.181) (.175) (.272) (.285)
Distribution from net
realized gains..................... -- -- -- (.247) (.103)
-------- -------- -------- -------- --------
Total distributions................. (.192) (.181) (.175) (.519) (.388)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 15.655 $ 15.165 $ 14.342 $ 15.094 $ 13.690
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES - 89.53%
Aerospace & Defense - 1.92%
The Boeing Company ................................... 202,500 $ 12,681,562
TRW, Inc. ............................................ 96,000 7,668,000
----------- -----------
298,500 20,349,562
----------- -----------
Agribusiness - 2.00%
Archer-Daniels-Midland Company........................ 549,977 10,243,322
Pioneer Hi-Bred International......................... 260,000 10,920,000
----------- -----------
809,977 21,163,322
----------- -----------
Apparel, Textiles, Shoes - 1.05%
VF Corporation........................................ 208,000 11,180,000
----------- -----------
Automotive & Parts - 2.67%
Ford Motor Company.................................... 430,000 12,792,500
Genuine Parts Company................................. 410,000 15,528,750
----------- -----------
840,000 28,321,250
----------- -----------
Banking, Savings & Loans - 6.27%
Bank of New York Company, Incorporated................ 453,000 18,289,875
Comerica, Incorporated................................ 435,000 13,974,375
CoreStates Financial Corporation...................... 426,000 14,856,750
Norwest Corporation................................... 328,000 9,430,000
Wachovia Corp. ....................................... 278,200 9,945,650
----------- -----------
1,920,200 66,496,650
----------- -----------
Beverages - 1.99%
Brown-Forman Corporation (Class B).................... 333,000 11,113,875
Pepsico, Incorporated................................. 218,000 9,946,250
----------- -----------
551,000 21,060,125
----------- -----------
Chemicals - 4.31%
E.I. du Pont de Nemours and Company................... 152,500 10,484,375
Eastman Chemical Company.............................. 250,000 14,875,000
The Lubrizol Corporation.............................. 313,500 11,090,063
Nalco Chemical Company................................ 254,000 9,239,250
----------- -----------
970,000 45,688,688
----------- -----------
Communications - 2.01%
AT&T Corporation...................................... 400,000 21,250,000
----------- -----------
Computers & Office Equipment - 6.45%
Hewlett-Packard Company............................... 396,000 29,502,000
International Business Machines Corporation........... 110,000 10,560,000
Pitney Bowes, Inc. ................................... 390,000 14,966,250
Xerox Corporation..................................... 114,000 13,366,500
----------- -----------
1,010,000 68,394,750
----------- -----------
Electric Utilities - 1.97%
NIPSCO Industries, Inc. .............................. 180,000 6,120,000
Niagara Mohawk Power Corporation...................... 463,500 6,836,625
SCANA Corporation..................................... 356,000 7,965,500
----------- -----------
999,500 20,922,125
----------- -----------
Electrical Equipment & Electronics - 8.19%
AMP, Incorporated..................................... 591,000 24,969,750
General Electric Company.............................. 475,000 26,778,125
General Signal Corporation............................ 279,500 11,110,125
Honeywell Inc. ....................................... 256,500 11,061,562
Hubbell, Incorporated (Class B)....................... 228,072 12,886,068
----------- -----------
1,830,072 86,805,630
----------- -----------
Energy - 8.12%
Amoco Corporation..................................... 305,000 20,320,625
Atlantic Richfield Company............................ 137,000 15,035,750
Chevron Corporation................................... 422,000 19,675,750
Kerr-McGee Corporation................................ 226,400 12,140,700
Mobil Corporation..................................... 167,000 16,032,000
USX Corporation - Marathon Group...................... 145,000 2,863,750
----------- -----------
1,402,400 86,068,575
----------- -----------
Financial Services - 1.36%
American Express Company.............................. 410,000 14,401,250
----------- -----------
Foods - 1.62%
CPC International, Inc. .............................. 277,500 17,135,625
----------- -----------
Forest Products & Paper - 3.20%
Westvaco Corporation.................................. 263,537 11,661,512
Weyerhaeuser Company.................................. 472,000 22,243,000
----------- -----------
735,537 33,904,512
----------- -----------
Gas Distribution - .36%
Consolidated Natural Gas Company...................... 102,300 3,861,825
----------- -----------
Grocery Retailers - .50%
Albertson's, Inc. .................................... 178,000 5,295,500
----------- -----------
Hardware & Tools - 1.09%
The Stanley Works..................................... 305,000 11,551,875
----------- -----------
Healthcare - 8.11%
Becton, Dickinson and Company......................... 260,000 15,145,000
Bristol-Myers Squibb Company.......................... 455,000 30,996,875
Pfizer, Incorporated.................................. 278,000 25,680,250
Schering-Plough Corp. ................................ 319,800 14,111,175
----------- -----------
1,312,800 85,933,300
----------- -----------
Household Products - .94%
The Clorox Company.................................... 152,500 9,950,625
----------- -----------
Industrial Distribution - 1.16%
W. W. Grainger, Inc. .................................. 210,000 12,337,500
----------- -----------
Industrial Transportation - 2.01%
Norfolk Southern Corporation.......................... 228,000 15,361,500
Roadway Services, Inc. ............................... 125,000 5,906,250
----------- -----------
353,000 21,267,750
----------- -----------
Insurance - 3.10%
Jefferson-Pilot Corporation........................... 142,600 7,807,350
SAFECO Corporation.................................... 319,000 18,322,722
Unitrin, Inc. ........................................ 142,000 6,745,000
----------- -----------
603,600 32,875,072
----------- -----------
Machinery & Components - 2.00%
Dover Corporation..................................... 150,000 10,912,500
Parker-Hannifin Corporation........................... 284,250 10,304,063
----------- -----------
434,250 21,216,563
----------- -----------
</TABLE>
9
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES (Continued)
Metals & Mining - .71%
Reynolds Metals Company......................... 145,500 $ 7,529,625
------------ ------------
Miscellaneous - Producer - 2.68%
Harsco Corporation.............................. 169,500 8,941,125
Minnesota Mining &
Manufacturing Company.......................... 340,000 19,465,000
------------ ------------
509,500 28,406,125
------------ ------------
Photography - 1.18%
Eastman Kodak Company........................... 206,500 12,519,062
------------ ------------
Publishing & Printing - 4.14%
R. R. Donnelley & Sons Company.................. 366,500 13,194,000
The Dun & Bradstreet Corporation................ 280,000 14,700,000
McGraw Hill, Inc. .............................. 210,000 15,933,750
------------ ------------
856,600 43,827,750
------------ ------------
Retail - 3.13%
Kmart Corporation............................... 57,600 842,400
The May Department Stores Company............... 376,500 15,671,813
J.C. Penney Company, Inc. ...................... 113,000 5,424,000
Sears Roebuck & Co. ............................ 188,000 11,256,500
------------ ------------
735,100 33,194,713
------------ ------------
Telephone Utilities - 2.44%
Frontier Corporation............................ 461,000 11,064,000
Ameritech Corporation........................... 182,000 8,008,000
Southern New England
Telecommunications Corporation................. 193,500 6,820,875
------------ ------------
836,500 25,892,875
------------ ------------
Tire & Rubber - 1.51%
Goodyear Tire & Rubber Company.................. 387,500 15,984,375
------------ ------------
Tobacco - 1.34%
American Brands, Inc. .......................... 356,500 14,170,875
------------ ------------
Total Equities
(Cost $702,371,338)............................. 948,957,474
------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
SHORT TERM INVESTMENTS* - 10.48%
Commercial Paper
Burlington Northern Railroad Company
6.159% 8/2/95................................ $ 6,325,000 $ 6,290,564
Burlington Resources Inc.
6.182% 7/20/95............................... 4,730,000 4,714,722
Champion International Corporation
6.072% 7/14/95............................... 4,220,000 4,210,811
ConAgra, Inc.
6.069% 7/17/95............................... 4,500,000 4,487,940
ConAgra, Inc.
6.070% 7/6/95................................ 5,765,000 5,760,156
Illinois Power Company
6.082% 7/11/95............................... 2,160,000 2,156,370
MAPCO Inc.
6.138% 8/3/95................................ 1,600,000 1,591,053
ORIX Credit Alliance Inc.
6.122% 7/12/95............................... 4,330,000 4,321,956
ORIX Credit Alliance Inc.
6.055% 7/10/95............................... 3,995,000 3,988,988
ORIX Credit Alliance Inc.
6.108% 7/5/95................................ 5,000,000 4,996,622
ORIX Credit Alliance Inc.
6.153% 7/31/95............................... 7,100,000 7,063,849
ORIX Credit Alliance Inc.
6.145% 7/27/95............................... 3,445,000 3,429,798
Pacific Telecom Inc.
6.093% 7/25/95............................... 5,855,000 5,831,385
Pacific Telecom Inc.
6.084% 7/18/95............................... 5,870,000 5,853,230
PS Colorado Credit Corporation
6.121% 7/19/95............................... 4,775,000 4,760,508
Sierra Pacific Power Co.
6.089% 7/21/95............................... 4,585,000 4,569,589
Sierra Pacific Power Co.
6.088% 7/28/95............................... 6,585,000 6,555,121
Super Value Stores Inc.
6.136% 7/7/95................................ 8,165,000 8,156,672
Textron Financial Corporation
6.056% 7/13/95............................... 5,190,000 5,179,585
Textron Financial Corporation
6.089% 7/24/95............................... 5,925,000 5,902,098
Textron Financial Corporation
6.126% 8/10/95............................... 2,300,000 2,284,462
Textron Financial Corporation
6.129% 7/26/95............................... 1,575,000 1,568,328
Textron Financial Corporation
6.164% 8/1/95................................ 2,165,000 2,153,572
Tyson Foods, Inc.
6.083% 8/4/95................................ 5,265,000 5,234,966
------------ ------------
Total Short Term Investments
(Cost $111,062,345) $111,425,000 111,062,345
============ ------------
</TABLE>
10
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
-----------
<S> <C> <C>
Total Investments -
(Cost $813,433,683) (a) 100.01% $1,060,019,819
Other Assets - .23 2,461,730
Liabilities - (.24) (2,616,119)
------- --------------
Net Assets - 100.00% $1,059,865,430
======= ==============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments based on cost
of $813,565,814 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess
of market value over tax cost................. $252,541,063
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over market value................. (6,087,058)
------------
Net unrealized appreciation................... $248,454,005
============
*Rates represent annualized yield on date of purchase and are
unaudited.
See Notes to Financial Statements.
11
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
SHORT TERM INVESTMENTS* 100.57%
<S> <C> <C>
Commercial Paper
American Express Credit Corp.
6.069% 9/1/95.................................. $ 3,285,000 $ 3,251,338
Aristar, Inc.
6.246% 7/5/95.................................. 3,480,000 3,477,622
Atlantic Richfield Corp.
6.252% 9/27/95................................. 2,975,000 2,930,930
Carolina Power & Light Co.
5.984% 8/2/95.................................. 3,800,000 3,779,902
Caterpillar Financial Services Corporation
5.996% 8/11/95................................. 3,635,000 3,610,492
Central & South West Corporation
5.954% 8/3/95.................................. 2,600,000 2,585,938
Coca Cola Company
5.905% 8/10/95................................. 1,895,000 1,882,683
Dresser Industries Inc.
6.019% 8/8/95.................................. 1,875,000 1,863,165
E.I. du Pont de Nemours and Company
6.085% 7/6/95.................................. 2,355,000 2,353,038
Echlin Inc.
6.032% 7/28/95................................. 3,455,000 3,439,452
Eli Lilly & Company
5.957% 9/14/95................................. 2,315,000 2,286,689
Emerson Electric Company
5.961% 7/11/95................................. 2,895,000 2,890,255
Federal National Mortgage Association
5.659% 12/28/95................................ 3,875,000 3,768,437
Ford Motor Credit Company
5.969% 7/24/95................................. 685,000 685,000
GTE Finance Corporation
6.051% 7/21/95................................. 3,500,000 3,488,333
General Electric Company
6.039% 7/19/95................................. 2,385,000 2,377,905
General Electric Capital Corporation
5.981% 8/23/95................................. 1,185,000 1,174,672
Georgia Power Company
6.092% 7/17/95................................. 2,100,000 2,094,400
Georgia Power Company
5.961% 7/10/95................................. 1,150,000 1,148,295
H.J. Heinz Company
5.982% 8/1/95.................................. 3,825,000 3,805,435
Hercules Incorporated
5.983% 7/26/95................................. 3,630,000 3,615,001
Iowa Illinois Gas & Electric Company
5.978% 8/8/95.................................. 2,793,000 2,775,517
J.C. Penny Funding Corp.
5.984% 7/18/95................................. 2,880,000 2,871,935
Kimberly Clark Corp.
5.829% 8/31/95................................. 3,035,000 3,005,430
McCormick & Company Inc.
6.168% 7/7/95.................................. 2,945,000 2,942,021
Melville Corporation
6.298% 12/7/95................................. 3,450,000 3,357,661
Monsanto Company
6.168% 8/3/95.................................. 1,620,000 1,611,016
Monsanto Company
6.008% 7/13/95................................. 1,445,000 1,442,134
Motorola Inc.
5.903% 8/18/95................................. 1,650,000 1,637,130
Pepsico Inc.
5.969% 8/9/95.................................. 3,570,000 3,547,066
Philip Morris Companies, Inc.
6.113% 7/12/95................................. 2,780,000 2,774,886
Potomac Electric Power Company
6.104% 8/14/95................................. 2,500,000 2,481,667
Proctor & Gamble Company
5.987% 7/20/95................................. 2,630,000 2,621,783
Public Service Electric & Gas Co.
5.974% 8/30/95................................. 2,200,000 2,178,367
Shell Oil Company
6.025% 7/10/95................................. 2,100,000 2,096,876
South Carolina Electric & Gas Co.
5.993% 8/4/95.................................. 3,000,000 2,983,142
Southwestern Bell Telecommunications
5.933% 8/25/95................................. 3,000,000 2,973,188
Union Electric Company
5.996% 7/14/95................................. 3,310,000 3,302,912
------------ ------------
Total Short-Term Investments
(Cost $101,111,713) (a) $101,808,000 101,111,713
============ ------------
Total Investments -
(Cost $101,111,713) (a) 100.57% 101,111,713
Other Assets - .01 7,747
Liabilities - (.58) (585,000)
------- ------------
Net Assets - 100.00% $100,534,460
======= ============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments
for the MML Money Market Fund as of June 30, 1995 is the same for
financial reporting and federal income tax purposes.
June 30, 1995 seven day average yield for the portfolio: 5.54%
*Rates represent annualized yield on date of purchase and
are unaudited.
See Notes to Financial Statements.
12
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES - 91.70%
Asset Backed Securities - 5.60%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.............................. $ 921,020 $ 918,368
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.............................. 1,209,371 1,226,749
GMAC 1992-E Grantor Trust
4.750% 8/15/97............................... 518,904 514,036
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98............................... 332,734 330,445
Midlantic Auto Grantor Trust 1992-1
4.300% 9/15/97............................... 174,553 173,789
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99............................... 2,090,581 2,097,104
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97............................... 182,639 182,524
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00............................... 2,500,000 2,503,250
------------ ------------
Total Asset Backed Securities
(Cost $7,920,015) 7,929,802 7,946,265
------------ ------------
Corporate Debt - 54.50%
AMR Corporation
9.000% 8/1/12................................ 1,000,000 1,056,210
American Airlines, Inc.
9.780% 11/26/11.............................. 2,000,000 2,242,500
Analog Devices, Inc.
6.625% 3/1/00................................ 1,000,000 984,520
Ashland Oil, Inc.
9.850% 9/15/95............................... 1,000,000 1,008,750
Associates Corporation of North America
7.875% 9/30/01............................... 2,000,000 2,123,960
Atlantic Richfield Company
7.770% 2/13/02............................... 3,000,000 3,199,770
BP America Inc.
8.500% 4/15/01............................... 2,000,000 2,187,600
Bell Atlantic Financial Services Inc.
6.610% 2/4/00................................ 2,000,000 2,016,740
Comdisco, Inc.
6.200% 3/5/96................................ 2,000,000 1,998,680
Corning Glass Works
8.875% 3/15/16............................... 500,000 572,025
John Deere Capital Corporation
5.290% 8/21/95............................... 1,000,000 998,590
Dow Capital
7.125% 1/15/03............................... 4,000,000 4,036,680
ERAC USA Finance Company
7.875% 3/15/98............................... 1,500,000 1,551,090
English China Clays Delaware, Inc.
7.375% 10/1/02............................... 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96.............................. 1,500,000 1,536,810
Equifax, Inc.
6.500% 6/15/03............................... 1,250,000 1,226,650
Ford Motor Company
7.875% 10/15/96.............................. 2,000,000 2,039,780
General Motors Acceptance Corporation
6.300% 9/10/97............................... 2,500,000 2,495,600
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01............................... $ 2,000,000 $ 1,956,860
W.R. Grace & Co.
7.750% 10/1/02............................... 2,100,000 2,178,771
Hercules Incorporated
6.625% 6/1/03................................ 2,000,000 1,979,700
ITT Corporation
5.250% 2/15/96............................... 1,000,000 993,830
ITT Financial Corporation
7.250% 5/15/97............................... 1,000,000 1,015,030
Imcera Group, Inc.
6.000% 10/15/03.............................. 2,000,000 1,845,320
Leucadia National Corporation
7.750% 8/15/13............................... 2,000,000 1,946,800
Lockheed Corporation
5.650% 4/1/97................................ 2,000,000 1,981,220
McDonnell Douglas Corporation
9.250% 4/1/02................................ 1,400,000 1,580,292
Morgan Stanley Group Inc.
8.000% 10/15/96.............................. 1,500,000 1,529,700
Newmont Mining Corporation
8.625% 4/1/02................................ 2,000,000 2,146,420
Penske Truck Leasing Co., L.P.
7.750% 5/15/99............................... 1,250,000 1,284,188
Polaroid Corporation
7.250% 1/15/97............................... 1,000,000 1,011,050
Polaroid Corporation
8.000% 3/15/99............................... 1,000,000 1,041,180
Rolls Royce Capital Inc.
7.125% 7/29/03............................... 3,000,000 3,023,400
Service Corporation International
7.000% 6/1/15................................ 2,250,000 2,282,940
Tele Communications, Inc.
8.250% 1/15/03............................... 2,000,000 2,053,860
Tenaga Nasional Berhad 144A
7.875% 6/15/04............................... 1,250,000 1,326,000
Textron Inc.
9.550% 3/19/01............................... 1,000,000 1,120,250
Thomas & Betts Corporation
8.250% 1/15/04............................... 1,500,000 1,588,500
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................ 2,000,000 2,241,340
US West Capital Funding Corporation
8.375% 10/18/99.............................. 3,000,000 3,200,250
Union Oil of California
8.750% 8/15/01............................... 1,500,000 1,651,890
United Air Lines, Inc.
10.110% 2/19/06............................... 476,860 521,428
Valassis Communications, Inc.
9.550% 12/1/03............................... 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02............................... 1,200,000 1,254,348
------------ ------------
Total Corporate Debt
(Cost $76,804,087) 74,676,860 77,258,452
------------ ------------
</TABLE>
13
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Agency Obligations - 16.23%
Federal Home Loan Mortgage
Corporation (FHLMC) - 4.46%
Collateralized Mortgage Obligations - 4.28%
FHLMC Series 1322 Class G
7.500% 2/15/07................................. $ 2,000,000 $ 2,045,000
FHLMC Series 1460 Class H
7.000% 5/15/07................................. 2,000,000 2,011,860
FHLMC Series 1080 Class D
7.000% 7/15/20................................. 2,000,000 2,013,120
----------- -----------
6,000,000 6,069,980
Pass-Through Securities - .18%
FHLMC
9.000% 3/1/17.................................. 244,724 257,188
----------- -----------
6,244,724 6,327,168
----------- -----------
Federal National Mortgage
Association (FNMA) - 3.04%
Collateralized Mortgage Obligations - 2.39%
FNMA Series 1993-175 Class PL
5.000% 10/25/02................................ 2,000,000 1,946,240
FNMA Series 1993-191 Class PD
5.400% 3/25/04................................. 1,500,000 1,447,965
----------- -----------
3,500,000 3,394,205
Pass-Through Securities - .65%
FNMA
9.000% 5/1/09................................... 871,234 917,514
----------- -----------
4,371,234 4,311,719
----------- -----------
Government National Mortgage
Association (GNMA) - 5.94%
Collateralized Mortgage Obligations - .74%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19.................................. 964,198 1,047,957
----------- -----------
Pass-Through Securities - 5.20%
GNMA
8.000% 6/15/06 - 3/15/08....................... 7,050,379 7,368,068
----------- -----------
8,014,577 8,416,025
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes - 2.79%
1994-A Atlanta, GA
5.780% 8/1/98.................................. $ 130,000 $ 128,324
1994-A Baxter Springs, KS
5.780% 8/1/98.................................. 700,000 690,977
1994-A Boston, MA
5.780% 8/1/98.................................. 745,000 735,397
1994-A Detroit, MI
5.780% 8/1/98.................................. 385,000 380,037
1994-A Egg Harbor, NJ
5.780% 8/1/98.................................. 260,000 256,649
1994-A Kansas City, MO
5.780% 8/1/98.................................. 550,000 542,911
1994-A Mayaguez, PR
5.780% 8/1/98.................................. 295,000 291,197
1994-A Rochester, NY
5.780% 8/1/98.................................. 300,000 296,133
1994-A Sacramento, CA
5.780% 8/1/98.................................. 55,000 54,291
1994-A Saginaw, MI
5.780% 8/1/98.................................. 315,000 310,940
1994-A Youngstown, OH
5.780% 8/1/98.................................. 265,000 261,584
----------- -----------
4,000,000 3,948,440
----------- -----------
Total U.S. Government Agency Obligations
(Cost $22,374,732) 22,630,535 23,003,352
----------- -----------
U.S. Treasury Obligations - 15.37%
U.S. Treasury Bonds - 12.78%
U.S. Treasury Bond
11.250% 2/15/15................................. 1,500,000 2,250,465
U.S. Treasury Bond
8.875% 8/15/17................................. 5,750,000 7,158,750
U.S. Treasury Bond
7.250% 8/15/22................................. 5,200,000 5,544,500
U.S. Treasury Bond
8.125% 8/15/19................................. 2,725,000 3,170,374
----------- -----------
15,175,000 18,124,089
U.S. Treasury Notes - .34%
U.S. Treasury Note
5.750% 8/15/03................................. 500,000 484,765
----------- -----------
U.S. Treasury Strips - 2.25%
U.S. Treasury Strip
0.000% 2/15/15................................. 12,200,000 3,184,322
----------- -----------
Total U.S. Treasury Obligations
(Cost $19,720,762) 27,875,000 21,793,176
----------- -----------
Total Bonds and Notes
(Cost $126,819,596) $133,112,197 130,001,245
============ -----------
</TABLE>
14
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS* - 6.67%
Commercial Paper
ConAgra, Inc.
6.117% 7/7/95.............................. $ 3,640,000 $ 3,636,257
The Quaker Oats Company
6.305% 7/5/95.............................. 3,500,000 3,497,550
Tyson Foods, Inc.
6.106% 7/14/95............................. 2,320,000 2,314,898
------------ ------------
Total Short-Term Investments
(Cost $9,448,705) $ 9,460,000 9,448,705
============ ------------
Total Investments
(Cost $136,268,301) (a) 98.37% 139,449,950
Other Assets- 1.76 2,495,433
Liabilities- (.13) (180,771)
------- ------------
Net Assets- 100.00% $141,764,612
======= ============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ------------- ----------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/16/15 $ 2,000,000 July 1995 $ 1,558
------------
Total Forward Commitment
Contracts $ 1,558
============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$138,269,863 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value over
tax cost................................................. $ 4,876,839
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value............................................. (1,693,632)
------------
Net unrealized appreciation.............................. $ 3,183,207
============
</TABLE>
* Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
15
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
--------- ------------
<S> <C> <C>
EQUITIES - 54.34%
Aerospace & Defense - 1.27%
The Boeing Company........................... 208,000 $ 13,026,000
TRW, Inc. ................................... 105,000 8,386,875
---------- ------------
313,000 21,412,875
---------- ------------
Agribusiness - 1.22%
Archer-Daniels Midland Company............... 540,017 10,057,816
Pioneer Hi-Bred International................ 250,000 10,500,000
---------- ------------
790,017 20,557,816
---------- ------------
Apparel, Textiles, Shoes - .66%
VF Corporation................................ 208,000 11,180,000
---------- ------------
Automotive & Parts - 1.69%
Ford Motor Company........................... 435,000 12,941,250
Genuine Parts Company........................ 410,000 15,528,750
---------- ------------
845,000 28,470,000
---------- ------------
Banking, Savings & Loans - 3.96%
Bank of New York Company, Incorporated....... 449,100 18,132,413
Comerica, Incorporated....................... 460,000 14,777,500
CoreStates Financial Corporation............. 420,000 14,647,500
Norwest Corporation.......................... 328,000 9,430,000
Wachovia Corp. .............................. 274,600 9,816,950
---------- ------------
1,931,700 66,804,363
---------- ------------
Beverages - 1.27%
Brown-Forman Corporation (Class B)........... 345,800 11,541,075
Pepsico, Incorporated........................ 216,000 9,855,000
---------- ------------
561,800 21,396,075
---------- ------------
Chemicals - 2.74%
E.I. du Pont de Nemours and Company.......... 154,000 10,587,500
Eastman Chemical Company..................... 251,975 14,992,512
The Lubrizol Corporation..................... 308,000 10,895,500
Nalco Chemical Company....................... 268,000 9,748,500
---------- ------------
981,975 46,224,012
---------- ------------
Computers & Office Equipment - 4.10%
Hewlett-Packard Company...................... 400,000 29,800,000
International Business Machines Corporation.. 114,000 10,944,000
Pitney Bowes, Inc. .......................... 392,000 15,043,000
Xerox Corporation............................ 114,000 13,366,500
---------- ------------
1,020,000 69,153,500
---------- ------------
Electric Utilities - 1.22%
NIPSCO Industries, Inc. ..................... 185,000 6,290,000
Niagara Mohawk Power Corporation............. 468,000 6,903,000
SCANA Corporation............................ 326,000 7,294,250
---------- ------------
979,000 20,487,250
---------- ------------
Electrical Equipment & Electronics - 5.10%
AMP, Incorporated............................ 582,500 24,610,625
General Electric Company..................... 475,000 26,778,125
General Signal Corporation................... 280,000 11,130,000
Honeywell Inc. .............................. 252,000 10,867,500
Hubbell, Incorporated (Class B).............. 223,440 12,624,360
---------- ------------
1,812,940 86,010,610
---------- ------------
Energy - 4.90%
Amoco Corporation............................ 315,000 $ 20,986,875
Atlantic Richfield Company................... 134,500 14,761,375
Chevron Corporation.......................... 447,000 20,841,375
Kerr McGee Corporation....................... 184,800 9,909,900
Mobil Corporation............................ 168,000 16,128,000
---------- ------------
1,249,300 82,627,525
---------- ------------
Financial Services - .85%
American-Express Company..................... 406,000 14,260,750
---------- ------------
Foods - 1.04%
CPC International, Inc. ..................... 285,000 17,598,750
---------- ------------
Forest Products & Paper - 2.11%
Westvaco Corporation......................... 297,075 13,145,569
Weyerhaeuser Company......................... 476,000 22,431,500
---------- ------------
773,075 35,577,069
---------- ------------
Grocery Retailers - .30%
Albertson's, Inc. ........................... 171,300 5,096,175
---------- ------------
Hardware & Tools - .67%
The Stanley Works............................ 300,000 11,362,500
---------- ------------
Healthcare - 5.05%
Becton, Dickinson and Company................ 263,000 15,319,750
Bristol Myers Squibb Company................. 440,000 29,975,000
Pfizer, Incorporated......................... 280,000 25,865,000
Schering-Plough Corp. ....................... 318,400 14,049,400
---------- ------------
1,301,400 85,209,150
---------- ------------
Household Products - .58%
The Clorox Company........................... 151,000 9,852,750
---------- ------------
Industrial Distribution - .72%
W. W. Grainger, Inc. ........................ 207,000 12,161,250
---------- ------------
Industrial Transportation - 1.27%
Norfolk Southern Corporation................. 230,000 15,496,250
Roadway Services, Inc. ...................... 126,000 5,953,500
---------- ------------
356,000 21,449,750
---------- ------------
Insurance - 1.93%
Jefferson-Pilot Corporation.................. 143,000 7,829,250
SAFECO Corporation........................... 313,500 18,006,813
Unitrin, Inc. ............................... 143,000 6,792,500
---------- ------------
599,500 32,628,563
---------- ------------
Machinery & Components - 1.25%
Dover Corporation............................ 150,000 10,912,500
Parker-Hannifin Corporation.................. 281,250 10,195,313
---------- ------------
431,250 21,107,813
---------- ------------
Metals & Mining - .26%
Reynolds Metals Company...................... 85,700 4,434,975
---------- ------------
</TABLE>
16
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
---------- ------------
<S> <C> <C>
EQUITIES (Continued)
Miscellaneous - Producer - 1.71%
Harsco Corporation................................... 168,050 $ 8,864,638
Minnesota Mining &
Manufacturing Company............................... 350,000 20,037,500
---------- ------------
518,050 28,902,138
---------- ------------
Photography - .79%
Eastman Kodak Company................................ 218,500 13,246,562
---------- ------------
Publishing & Printing - 2.65%
R.R. Donnelley & Sons Company........................ 375,000 13,500,000
The Dun & Bradstreet Corporation..................... 296,000 15,540,000
McGraw - Hill, Inc. ................................. 207,000 15,706,125
---------- ------------
878,000 44,746,125
---------- ------------
Retail - 2.03%
Kmart Corporation.................................... 57,600 842,400
The May Department Stores Company.................... 405,000 16,858,125
J.C. Penney Company, Inc. ........................... 112,000 5,376,000
Sears Roebuck & Co. ................................. 185,000 11,076,875
---------- ------------
759,600 34,153,400
---------- ------------
Telephone Utilities - 1.57%
Frontier Corporation................................. 456,500 10,956,000
Ameritech Corporation................................ 179,000 7,876,000
Southern New England
Telecommunications Corporation...................... 215,000 7,578,750
---------- ------------
850,500 26,410,750
---------- ------------
Tire & Rubber - 1.01%
Goodyear Tire & Rubber Company....................... 412,200 17,003,250
---------- ------------
Tobacco - .42%
American Brands, Inc. ............................... 178,100 7,079,475
---------- ------------
Total Equities
(Cost $632,744,428) 916,605,221
------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES - 13.34%
Asset Backed Securities - 1.00%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00............................. $ 1,842,041 $ 1,836,736
Ford Credit Auto Master Trust 1992-1
6.875% 1/15/99.............................. 1,500,000 1,513,590
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99............................. 1,612,495 1,635,666
GMAC 1992-E Grantor Trust
4.750% 8/15/97.............................. 311,342 308,422
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98.............................. 332,735 330,445
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99.............................. 5,644,569 5,662,179
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97.............................. 121,760 121,683
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00.............................. 5,500,000 5,507,150
---------- ------------
Total Asset Backed Securities
(Cost $16,935,845) 16,864,942 16,915,871
---------- ------------
Corporate Debt - 4.66%
AMR Corporation
9.000% 8/1/12............................... 2,000,000 2,112,420
American Airlines, Inc.
9.780% 11/26/11............................. 5,000,000 5,606,250
American Brands, Inc.
8.570% 2/15/96.............................. 1,000,000 1,014,950
American General Finance Corporation
7.750% 1/15/97.............................. 2,000,000 2,043,660
Analog Devices, Inc.
6.625% 3/1/00............................... 1,500,000 1,476,780
Bell Atlantic Financial Services Inc.
6.610% 2/4/00............................... 1,000,000 1,008,370
Cardinal Distribution, Inc.
8.000% 3/1/97............................... 2,000,000 2,041,580
Chrysler Financial Corp.
6.620% 4/29/97.............................. 2,000,000 2,011,160
Comdisco, Inc.
6.200% 3/5/96............................... 1,500,000 1,499,010
Corning Glass Works
8.875% 3/15/16.............................. 500,000 572,025
Delta Air Lines, Inc.
8.540% 1/2/07............................... 4,578,616 4,670,188
ERAC USA Finance Company
7.875% 3/15/98.............................. 4,000,000 4,136,240
English China Clays Delaware, Inc.
7.375% 10/1/02.............................. 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96............................. 1,000,000 1,024,540
Ford Motor Credit Company
8.450% 7/15/06.............................. 1,500,000 1,508,280
GTE Corporation
9.100% 6/1/03............................... 1,000,000 1,131,840
General Motors Acceptance Corporation
9.125% 7/15/01.............................. 1,500,000 1,661,205
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01.............................. 4,000,000 3,913,720
</TABLE>
17
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- -----------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
Leucadia National Corporation
7.750% 8/15/13................................ $ 3,000,000 $ 2,920,200
McDonnell Douglas Corporation
9.250% 4/1/02................................. 2,200,000 2,483,316
Morgan Stanley Group Inc.
8.000% 10/15/96............................... 2,000,000 2,039,600
Newmont Mining Corporation
8.625% 4/1/02................................. 5,000,000 5,366,050
Polaroid Corporation
7.250% 1/15/97................................ 4,500,000 4,549,725
Rolls Royce Capital Inc.
7.125% 7/29/03................................ 4,000,000 4,031,200
SAFECO Corporation
10.750% 9/15/95................................ 500,000 504,060
Service Corporation International
7.000% 6/1/15................................. 4,500,000 4,565,880
Tenaga Nasional Berhad 144A
7.875% 6/15/04................................ 2,500,000 2,652,000
Thomas & Betts Corporation
8.250% 1/15/04................................ 1,000,000 1,059,000
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................. 1,000,000 1,120,670
The Toro Company
11.000% 8/1/17................................. 2,000,000 1,980,000
United States Leasing International Inc.
8.750% 5/1/96................................. 3,500,000 3,570,420
Valassis Communications, Inc.
9.550% 12/1/03................................ 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02................................ 1,000,000 1,045,290
------------ ------------
Total Corporate Debt
(Cost $75,793,954).................................. 75,778,616 78,547,559
------------ ------------
U.S. Government Agency Obligations - 3.49%
Federal Home Loan Mortgage
Corporation (FHLMC) - .76%
Collateralized Mortgage Obligations - .71%
FHLMC Series 1080 Class D
7.000% 7/15/20................................ 5,000,000 5,032,800
FHLMC Series 1322 Class G
7.500% 2/15/07................................ 5,000,000 5,112,500
FHLMC Series 1460 Class 4
7.000% 5/15/07............................... 1,789,000 1,799,609
------------ ------------
11,789,000 11,944,909
Pass - Through Securities - .05%
FHLMC
9.000% 3/1/17................................. 734,171 771,563
------------ ------------
12,523,171 12,716,472
------------ ------------
Federal National Mortgage
Association (FNMA) - .58%
Collateralized Mortgage Obligations - .33%
FNMA Series 1993-175 Class PL
5.000% 10/25/02............................... 4,130,000 4,018,986
FNMA Series 1993-191 Class PD
5.400% 3/25/04............................... 1,500,000 1,447,965
------------ ------------
5,630,000 5,466,951
Federal National Mortgage
Association (FNMA) (Continued)
Pass - Through Securities - .25%
FNMA
8.000% 5/1/13................................ $ 4,084,738 $ 4,239,059
------------ ------------
9,714,738 9,706,010
------------ ------------
Government National Mortgage
Association (GNMA) - .91%
Collateralized Mortgage Obligations - .12%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19................................ 1,928,395 2,095,915
------------ ------------
Pass - Through Securities - .79%
GNMA
8.000% 1/15/04-5/15/08....................... 9,634,671 10,068,812
GNMA
9.000% 8/15/08-9/15/09....................... 2,937,150 3,190,272
------------ ------------
12,571,821 13,259,084
------------ ------------
14,500,216 15,354,999
------------ ------------
U.S. Government Guaranteed Notes - 1.24%
1994-A Abilene, TX
5.780% 8/1/98............................... 70,000 69,098
1994-A Bakersfield, CA
5.780% 8/1/98............................... 245,000 241,842
1994-A Barberton, OH
5.780% 8/1/98............................... 75,000 74,033
1994-A Buffalo, NY
5.780% 8/1/98............................... 375,000 370,166
1991-A Caguas, PR
8.740% 8/1/01............................... 280,000 310,624
1991-A Council Bluffs, IA
8.740% 8/1/01............................... 155,000 171,952
1994-A Cumberland, MD
5.780% 8/1/98............................... 55,000 54,291
1994-A Elizabeth, NJ
5.780% 8/1/98............................... 75,000 74,033
1994-A Erie, PA
5.780% 8/1/98............................... 70,000 69,098
1994-A Euclid, OH
5.780% 8/1/98............................... 105,000 103,647
1994-A Fairfax County, VA
5.780% 8/1/98............................... 110,000 108,582
1991-A Fairfax County, VA
8.740% 8/1/01............................... 85,000 94,296
1991-A Fajardo, PR
8.740% 8/1/01............................... 210,000 232,968
1994-A Fort Myers, FL
5.040% 8/1/96............................... 120,000 118,800
1994-A Fort Myers, FL
5.780% 8/1/98............................... 135,000 133,260
1991-A Gasden, AL
8.740% 8/1/01............................... 100,000 110,937
1994-A Jacksonville, FL
5.040% 8/1/96............................... 200,000 198,000
1994-A Lawrence, MA
5.040% 8/1/96............................... 35,000 34,650
1994-A Lawrence, MA
5.780% 8/1/98............................... 40,000 39,484
1994-A Little Rock, AK
5.040% 8/1/96............................... 310,000 306,900
</TABLE>
18
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A LA County, CA
5.040% 8/1/96.............................. $ 145,000 $ 143,550
1994-A LA County, CA
5.780% 8/1/98.............................. 175,000 172,744
1991-A Lorain, OH
8.740% 8/1/01.............................. 30,000 33,281
1994-A Macon, GA
5.040% 8/1/96.............................. 25,000 24,750
1994-A Mayaguez, PR
5.780% 8/1/98.............................. 65,000 64,162
1991-A Mayaguez, PR
8.740% 8/1/01.............................. 150,000 166,406
1994-A Mobile, AL
5.780% 8/1/98.............................. 205,000 202,358
1994-A Montgomery County, PA
5.040% 8/1/96.............................. 215,000 212,850
1994-A Montgomery County, PA
5.780% 8/1/98.............................. 230,000 227,035
1994-A New Orleans, LA
5.780% 8/1/98.............................. 175,000 172,744
1994-A Ocean Shores, WA
5.780% 8/1/98.............................. 110,000 108,582
1994-A Pasadena, CA
5.780% 8/1/98.............................. 140,000 138,195
1994-A Providence, RI
5.040% 8/1/96.............................. 40,000 39,600
1994-A Providence, RI
5.780% 8/1/98.............................. 50,000 49,356
1994-A Reading, PA
5.040% 8/1/96.............................. 15,000 14,850
1994-A Reading, PA
5.780% 8/1/98.............................. 65,000 64,163
1994-A Roanoke, VA
5.780% 8/1/98.............................. 210,000 207,293
1994-A Rochester, NY
5.040% 8/1/96.............................. 155,000 153,450
1994-A Rochester, NY
5.780% 8/1/98.............................. 165,000 162,873
1991-A Rochester, NY
8.650% 8/1/00.............................. 4,295,000 4,694,950
1994-A Sacramento, CA
5.040% 8/1/96.............................. 125,000 123,750
1994-A Sacramento, CA
5.780% 8/1/98.............................. 300,000 296,133
1994-A St. Joseph, MO
5.040% 8/1/96.............................. 70,000 69,300
1994-A Salt Lake City, UT
5.040% 8/1/96.............................. 135,000 133,650
1994-A Schaumburg, IL
5.040% 8/1/96.............................. 60,000 59,400
1994-A Syracuse, NY
5.040% 8/1/96.............................. 50,000 49,500
1994-A Syracuse, NY
5.780% 8/1/98.............................. 50,000 49,356
1994-A Tacoma, WA
5.040% 8/1/96.............................. 130,000 128,700
1994-A Tacoma, WA
5.780% 8/1/98.............................. 155,000 153,002
1994-A Trenton, NJ
5.040% 8/1/96.............................. 120,000 118,800
1994-A Trenton, NJ
5.780% 8/1/98.............................. 130,000 128,324
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A Virginia Beach, VA
5.780% 8/1/98.............................. $ 260,000 $ 256,648
1994-A Waterford Township, MI
5.040% 8/1/96.............................. 50,000 49,500
1994-A Waterford Township, MI
5.780% 8/1/98.............................. 55,000 54,291
1994-A West Palm Beach, FL
5.780% 8/1/98.............................. 105,000 103,647
Housing and Urban Development, Series 1995-A
8.240% 8/1/02.............................. 8,475,000 9,278,515
------------ ------------
19,780,000 21,022,369
------------ ------------
Total U.S. Government Agency Obligations
(Cost $55,842,171) 56,518,125 58,799,850
------------ ------------
U.S. Treasury Obligations - 4.19%
U.S. Treasury Bonds - 1.75%
U.S. Treasury Bond
7.125% 2/15/23............................. 24,200,000 25,496,878
U.S. Treasury Bond
8.125% 8/15/19............................. 3,500,000 4,072,040
------------ ------------
27,700,000 29,568,918
U.S. Treasury Notes - 2.44% ------------ ------------
U.S. Treasury Note
6.500% 4/30/99............................. 12,000,000 12,206,280
U.S. Treasury Note
7.500% 11/15/01............................ 4,000,000 4,293,760
U.S. Treasury Note
7.875% 4/15/98............................. 14,000,000 14,704,340
U.S. Treasury Note
8.875% 11/15/98............................ 9,210,000 10,013,020
------------ ------------
39,210,000 41,217,400
------------ ------------
Total U.S. Treasury Obligations
(Cost $69,086,200) 66,910,000 70,786,318
------------ ------------
Total Bonds and Notes
(Cost $217,658,170) $216,071,683 225,049,598
============ ------------
SHORT TERM INVESTMENTS* - 31.88%
Commercial Paper
American Express Credit Corp.
6.027% 9/1/95.............................. $ 10,215,000 10,106,849
Aristar, Inc.
6.174% 7/19/95............................. 6,000,000 5,981,080
Aristar, Inc.
6.089% 8/4/95.............................. 11,100,000 11,036,034
Aristar, Inc.
5.936% 9/21/95............................. 9,635,000 9,500,605
Bemis Company Inc.
6.048% 7/3/95.............................. 5,035,000 5,033,251
Boston Edison Company
6.136% 8/22/95............................. 5,990,000 5,937,647
Brown Group Inc.
6.302% 7/10/95............................. 9,295,000 9,280,585
Brown Group Inc.
6.297% 7/11/95............................. 5,580,000 5,570,385
</TABLE>
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -----------
<S> <C> <C>
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Brown Group Inc.
6.140% 8/28/95.................................... $ 7,290,000 $ 7,217,141
Caterpillar Financial Services Corporation
6.100% 7/13/95.................................... 7,000,000 6,985,043
Caterpillar Financial Services Corporation
6.202% 9/7/95..................................... 12,265,000 12,122,777
Champion International Corporation
6.151% 7/27/95.................................... 9,860,000 9,814,727
Coca Cola Company
5.925% 8/29/95.................................... 9,820,000 9,720,982
Coca Cola Company
5.866% 9/20/95.................................... 10,125,000 9,985,472
ConAgra, Inc.
6.027% 8/25/95.................................... 11,880,000 11,768,331
ConAgra, Inc.
6.027% 9/12/95.................................... 13,350,000 13,183,978
Dana Credit Corporation
6.194% 9/8/95..................................... 1,560,000 1,541,648
Dean Witter Discover & Company
6.091% 7/31/95.................................... 10,000,000 9,948,559
Enron Corp.
6.495% 9/19/95.................................... 5,435,000 5,361,016
Enron Corp.
6.044% 9/18/95.................................... 9,800,000 9,668,244
Ford Motor Credit Company
5.898% 9/22/95.................................... 7,540,000 7,433,560
GTE Finance Corporation
6.056% 8/3/95..................................... 7,285,000 7,244,799
General Motors Acceptance Corporation
6.190% 7/14/95.................................... 4,275,000 4,265,424
General Motors Acceptance Corporation
5.920% 10/20/95................................... 14,535,000 14,261,419
Georgia Power Company
6.178% 7/6/95..................................... 5,875,000 5,869,769
Georgia Power Company
6.092% 7/17/95.................................... 7,900,000 7,878,219
Georgia Power Company
6.039% 8/10/95.................................... 7,000,000 6,950,388
Hercules Incorporated
6.093% 7/18/95.................................... 6,800,000 6,780,080
Hershey Foods Corp.
6.015% 8/21/95.................................... 5,685,000 5,635,858
IBM Credit Corporation
6.091% 7/12/95.................................... 8,155,000 8,139,285
IBM Credit Corporation
5.864% 8/31/95.................................... 7,640,000 7,560,395
Illinois Power Company
6.289% 7/25/95.................................... 5,385,000 5,362,912
Kimberly Clark Corp.
6.003% 8/11/95.................................... 7,700,000 7,645,600
Kimberly Clark Corp.
5.830% 9/8/95..................................... 9,875,000 9,758,832
McCormick & Company Inc.
6.145% 7/5/95..................................... 4,515,000 4,511,836
Melville Corporation
6.220% 12/5/95.................................... 8,965,000 8,726,954
Motorola Inc.
6.061% 7/21/95.................................... 9,780,000 9,746,295
Motorola Inc.
5.994% 8/17/95.................................... 3,520,000 3,491,025
Market
Principal Value
Amount (Note 2A)
------------ ------------
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Motorola Inc.
5.963% 8/18/95.................................... $ 8,835,000 $ 8,761,924
Northern States Power Company
6.019% 9/15/95.................................... 10,500,000 10,364,127
NYNEX Corp.
6.124% 7/28/95.................................... 7,055,000 7,020,818
NYNEX Corp.
5.860% 9/11/95.................................... 13,940,000 13,768,983
Olin Corporation
6.300% 7/7/95..................................... 6,615,000 6,608,161
ORIX Credit Alliance, Inc.
6.241% 7/26/95.................................... 7,495,000 7,462,443
ORIX Credit Alliance, Inc.
6.128% 8/15/95.................................... 5,170,000 5,130,568
ORIX Credit Alliance, Inc.
6.087% 9/13/95.................................... 6,594,000 6,510,888
ORIX Credit Alliance, Inc.
6.092% 9/25/95.................................... 6,515,000 6,419,745
Philip Morris Companies, Inc.
5.999% 8/8/95..................................... 10,000,000 9,934,842
Philip Morris Companies, Inc.
6.005% 8/14/95.................................... 7,775,000 7,717,017
Potomac Electric Power Company
6.110% 8/2/95..................................... 6,990,000 6,951,135
Potomac Electric Power Company
6.104% 8/9/95..................................... 14,140,000 14,043,866
Proctor & Gamble Company
5.929% 8/16/95.................................... 4,000,000 3,968,294
Proctor & Gamble Company
5.913% 9/14/95.................................... 4,300,000 4,245,079
PS Colorado Credit Corporation
6.214% 8/1/95..................................... 8,085,000 8,042,166
PS Colorado Credit Corporation
6.185% 8/30/95.................................... 6,000,000 5,938,492
Rite Aid Corporation
6.194% 8/3/95..................................... 5,325,000 5,293,967
Rite Aid Corporation
6.050% 11/6/95.................................... 10,000,000 9,783,208
Shell Oil Company
5.851% 8/24/95.................................... 8,465,000 8,385,608
Shell Oil Company
5.811% 9/29/95.................................... 11,200,000 11,028,718
Textron Financial Corporation
6.132% 7/14/95.................................... 7,090,000 7,074,459
Textron Financial Corporation
5.888% 9/6/95..................................... 7,160,000 7,078,177
Textron Financial Corporation
6.101% 8/16/95.................................... 8,300,000 8,235,836
VF Corporation
6.192% 9/5/95..................................... 5,530,000 5,467,734
Western Resources Inc.
6.141% 8/7/95..................................... 10,000,000 9,936,243
Whirlpool Financial Corp.
6.146% 7/20/95.................................... 7,820,000 7,793,544
Whirlpool Financial Corp.
6.127% 7/24/95.................................... 9,800,000 9,761,478
Xerox Corp.
5.822% 8/23/95.................................... 14,070,000 13,942,573
------------ -----------
Total Short-Term Investments
(Cost $537,852,371)............................... $542,434,000 537,697,097
============ -----------
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
--------------
<S> <C> <C>
Total Investments - 99.56%
(Cost $1,388,254,969) (a) $1,679,351,916
Other Assets .87 14,672,607
Liabilities (.43) (7,306,563)
-------- --------------
Net Assets 100.00% $1,686,717,960
======== ==============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ---------- ------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/15/15 $ 5,000,000 July 1995 $ 3,894
United States of America
7.500% due 2/15/05 51,200,000 August 1995 2,942,781
--------------
Total Forward Commitment
Contracts $ 2,946,675
==============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,446,484,285 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value
over tax cost.......................................... $ 300,484,427
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value........................................... (6,950,501)
--------------
Net unrealized appreciation............................ $ 293,533,926
==============
</TABLE>
*Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
21
<PAGE>
MML Series Investment Fund
Notes To Financial Statements
(Unaudited)
1. History
MML Series Investment Fund (the "MML Trust") is registered under the Investment
Company Act of 1940 as a no load, registered open end, diversified management
investment company. MML Equity Fund, MML Money Market Fund, MML Managed Bond
Fund and MML Blend Fund (the "Funds") are the four series of shares of the
MML Trust. The MML Trust is organized under the laws of the Commonwealth of
Massachusetts pursuant to an Agreement and Declaration of Trust.
The MML Trust was established by Massachusetts Mutual Life Insurance Company
("MassMutual") for the purpose of providing vehicles for the investment of
assets of various separate investment accounts established by MassMutual and by
life insurance companies which are subsidiaries of MassMutual. Shares of the
MML Trust are not offered to the general public. MassMutual at June 30, 1995,
was the beneficial owner of 1.2% of MML Blend Fund's shares.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed
consistently by each Fund in the preparation of the financial statements in
conformity with generally accepted accounting principles.
A. Investment Valuation
Equity securities are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which provides the last reported
sale price for securities listed on a national securities exchange, or on the
NASDAQ national market system. If securities are unlisted, or there is no
reported sale price, the bid price of the prior trade date will be used. Long-
term bonds are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which determines valuations
taking into account appropriate factors such as institutional-size, trading in
similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, trading characteristics and other market data.
For MML Equity Fund, MML Managed Bond Fund, and MML Blend Fund, short-term
securities with more than sixty days to maturity from the date of purchase are
valued at market and short-term securities having a maturity from the date of
purchase of sixty days or less are valued at amortized cost. MML Money Market
Fund's portfolio securities are valued at amortized cost in accordance with a
rule of the Securities and Exchange Commission pursuant to which MML Money
Market Fund must adhere to certain conditions. It is the intention of
MML Money Market Fund to maintain a per share net asset value of $1.00.
B. Accounting For Investments
Investment transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Premiums and discounts on short-term securities are amortized in
determining interest income.
The cost basis of long-term bonds is not adjusted for amortization of premium
or accrual of discount since MML Managed Bond Fund and MML Blend Fund do not
generally intend to hold such investments until maturity; however, the
MML Trust has elected to accrue for financial reporting purposes, certain
discounts which are required to be accrued for federal income tax purposes.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. Federal Income Tax
The MML Trust has established a policy for each of the Funds to comply with
the provisions of the Internal Revenue Code applicable to regulated investment
companies. As a result, the Funds will not be subject to federal income tax on
any net investment income and any net capital gains to the extent they are
distributed or are deemed to have been distributed to shareholders.
Actual distributions differ from net investment income and net realized gains
due to timing differences, primarily the deferral of wash sale losses.
22
<PAGE>
Notes To Financial Statements (Continued)
D. Forward Commitments
Each Fund may purchase or sell securities on a "when issued" or delayed
delivery or on a forward commitment basis. The Funds use forward commitments
to manage interest rate exposure or as a temporary substitute for purchasing
or selling particular debt securities. Forward commitments are not used for
purposes of trading. Settlement for securities purchased on a forward
commitment basis can take place a month or more after the date of the
transaction. The Fund generally does not take delivery on these forward
commitments, but such commitments are instead settled with offsetting
transactions. When a forward commitment contract is closed, the Funds record a
realized gain or loss. Forward commitments involve a risk of loss if the value
of the security to be purchased declines prior to the settlement date. The
Funds could also be exposed to loss if they can not close out their forward
commitments because of an illiquid secondary market, or the inability of
counterparties to perform. The Fund monitors exposure to ensure counterparties
are credit worthy and concentration of exposure is minimized. The Funds
instruct the custodian to segregate assets in a separate account with a
current market value at least equal to the amount of its forward purchase
commitments. The price of the underlying security and the date when the
securities will be delivered and paid for are fixed at the time the
transaction is negotiated. The value of the forward commitment is determined
by management using a commonly accepted pricing model and fluctuates based
upon changes in the value of the underlying security and market repo rates.
Such rates equate the counterparty's cost to purchase and finance the
underlying security to the earnings received on the security and forward
delivery proceeds. The Funds record on a daily basis the unrealized
appreciation/depreciation based upon changes in the value of the forward
commitment. At June 30, 1995, the cost (value) of forward commitments to
purchase securities amounted to $2,001,563 ($2,003,120) and $57,719,621
($60,666,296) for the MML Managed Bond Fund and MML Blend Fund, respectively.
3. Capital Loss Carryforward
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $8,893 which is available for federal
income tax purposes to offset future capital gains. Of the total carryforward,
$485 expires December 31, 1997, $1,639 expires December 31, 1998, $1,204 expires
December 31, 2000, $201 expires December 31, 2001 and $5,364 expires
December 31, 2002.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $2,170,114 which is available for
federal income tax purposes to offset future capital gains. This carryforward
expires December 31, 2002.
4. Investment Management Fee
MassMutual provides all investment advisory, management and administrative
services needed by the Funds. For acting as such, MassMutual receives a
quarterly fee from each Fund at the annual rate of .50% of the first
$100,000,000 of the average daily net asset value of each Fund, .45% of the
next $200,000,000, .40% of the next $200,000,000, and .35% of any excess over
$500,000,000.
MassMutual has entered into an investment sub-advisory agreement with Concert
Capital Management, Inc. ("Concert"), a wholly-owned subsidiary of Babson
Acquisition Corporation which is a controlled subsidiary of MassMutual. The
agreement provides that Concert manages the assets of MML Equity Fund and the
assets of the Equity Sector of MML Blend Fund. MassMutual pays Concert a
quarterly fee equal to an annual rate of .13% of the average daily net asset
value of MML Equity Fund and the Equity Sector of MML Blend Fund.
MassMutual has agreed, at least through April 30, 1996, to bear the expenses
of the Funds to the extent that the aggregate expenses (excluding each Fund's
management fee, interest, taxes, brokerage commissions and extraordinary
expenses) incurred during each Fund's fiscal year exceed .11% of the average
daily net asset value of each Fund for such year. For the period ended June 30,
1995, MassMutual was not required to reimburse the Funds for any expenses.
23
<PAGE>
Notes To Financial Statements (Continued)
5. Purchases and Sales of Investments and Forward Commitments
<TABLE>
<CAPTION>
Proceeds
Acquisition from Sales
Investments Cost and Maturities
- ----------- -------------- --------------
<S> <C> <C>
MML EQUITY FUND
Equities....................................................................... $ 107,383,620 $ 69,581,785
Short term investments......................................................... 578,278,251 546,873,639
MML MONEY MARKET FUND
Short term investments......................................................... 318,594,877 312,603,826
MML MANAGED BOND FUND
Bonds and notes................................................................ 19,420,199 12,490,612
U.S. Government investments - long term........................................ 12,344,964 13,046,564
Short term investments......................................................... 270,615,558 268,809,554
MML BLEND FUND
Equities....................................................................... 51,896,506 79,972,831
Bonds and notes................................................................ 21,353,638 14,650,722
U.S. Government investments - long term........................................ 25,773,520 71,655,642
Short term investments......................................................... 1,089,718,069 991,520,633
<CAPTION>
Cost
Forward Commitments of Contracts
- ------------------- --------------
<S> <C>
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. $ 16,303,086
Contracts closed.............................................................. 21,317,004
Outstanding at June 30, 1995................................................. 2,001,563
MML BLEND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. 119,070,211
Contracts closed.............................................................. 114,010,272
Outstanding at June 30, 1995................................................. 57,719,621
</TABLE>
6. Net Increase from Capital Share Transactions
<TABLE>
<CAPTION>
For the Period Ended June 30, 1995
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,621,795 2,564,542 382,310 3,417,784
Sales of shares............................... 3,762,641 27,928,570 862,543 2,926,863
Redemptions of shares......................... (879,910) (21,744,685) (550,609) (2,334,261)
------------ ------------ ------------ ------------
Net increase.................................. 4,504,526 8,748,427 694,244 4,010,386
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 33,282,252 $ 2,564,542 $ 4,339,430 $ 61,266,015
Sales of shares............................... 83,868,357 27,928,570 10,117,125 54,912,248
Redemptions of shares......................... (19,564,811) (21,744,685) (6,403,435) (43,581,301)
------------ ------------ ------------ ------------
Net increase.................................. $ 97,585,798 $ 8,748,427 $ 8,053,120 $ 72,596,962
============ ============ ============ ============
<CAPTION>
For the Period Ended June 30, 1994
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,956,594 1,173,048 555,900 701,563
Sales of shares............................... 4,390,469 38,139,172 990,442 8,769,346
Redemptions of shares......................... (932,512) (31,335,202) (1,194,191) (1,105,900)
------------ ------------ ------------ ------------
Net increase.................................. 5,414,551 7,977,018 352,151 8,365,009
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 40,128,958 $ 1,173,048 $ 6,751,297 $ 12,270,118
Sales of shares............................... 90,412,371 38,139,172 11,961,300 159,848,042
Redemptions of shares......................... (18,920,228) (31,335,202) (14,445,419) (20,104,899)
------------ ------------ ------------ ------------
Net increase.................................. $111,621,101 $ 7,977,018 $ 4,267,178 $152,013,261
============ ============ ============ ============
</TABLE>
24
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
OPPENHEIMER FUND MANAGERS' MESSAGES
OPPENHEIMER HIGH INCOME FUND, DAVID NEGRI, FUND MANAGER
The first half of the year has been the best of all worlds for high yield bonds
- - a period of declining interest rates coupled with solid corporate earnings.
And the market is responding to a view that the economy has achieved the desired
soft landing. With an economy that is slower but still growing, we believe
interest rates will be relatively stable compared to 1994, but growth should
still be sufficiently strong to pull earnings and cash flow along at a healthy
pace.
Relatively few high yield bonds were issued in the beginning of this year
despite lower interest rates, so investor demand pushed prices of existing bonds
higher. In contrast to last year, high yield bond funds are now experiencing
positive cash flows. New money from investors, plus monthly coupon reinvestment
is a large factor behind strong demand in a market where new supply has been
relatively low.
Although we don't anticipate a recession, a slower growth environment may cause
high yield issuer's earnings and cash flows to come under more pressure. As a
result, your manager has been taking a more conservative approach and has been
focusing on issuers' financial strength and orienting the portfolio toward
higher quality. Of course, investors in high yield bonds are subject to greater
risk that the issuer will default in its principal or interest payments, but by
emphasizing portfolio quality within the non-investment grade spectrum, some of
that risk should be reduced.
As usual, we are very well diversified across sectors. Recently, your manager
has been increasing the Fund's exposure to the refining sector with investments
in Crown Centeral Petroleum and in the healthcare sector with new positions in
National Medical Enterprises and Charter Medical. In addition, recent
investments in Price Cellular and MFS Communications increases the Fund's
already substantial exposure to the telecommunications sector./1/
Going forward, your manager continues to view the market cautiously and has
increased investments in bonds with a relatively higher credit quality, that he
believes will help to protect gains and better position the Fund as the economic
cycle progresses.
We appreciate your trust in Oppenheimer Variable Account Funds' High Income
Fund, and we will continue to do our best to help meet your investment
objectives in the future.
OPPENHEIMER CAPITAL APPRECIATION FUND, PAUL LAROCCO, FUND MANAGER
1994 was a difficult year for the stock market, due mainly to the aggressive
moves by the U.S. Federal Reserve to raise interest rates. As interest rates
moved up, bond prices fell and the stock market followed, especially the stocks
of smaller companies which are the focus of this Fund. Over the past six months
however, the moves by the Fed appear to have had their desired effect - an
economy that is still growing and inflation that remains low -helping to propel
the stock market to all time highs on several occasions. Your manager believes
these factors set the stage for renewed outperformance by small cap stocks.
As always, by focusing on well-managed, innovative companies in sectors with
high potential including technology and healthcare and by reducing or
eliminating positions in companies whose earnings are disappointing relative to
expectations, your manager feels the Fund is well positioned to take advantage
of the expected outperformance of small company stocks.
While the market's rise has been dramatic, it has caused your manager to become
slightly more cautious. Because the market has already registered significant
gains this year, and the stock market is starting to show signs of short-term
volatility, your manager continues to maintain a relatively high cash position,
in an effort to protect the gains the Fund has made.
Despite concerns about all the uncertainties in the market, looking forward,
your manager expects that as the economy slows and large company profits start
to flag, investors will take more of an interest in small cap issues which
should push their stock prices higher. For these reasons your manager believes
the long-term prospects for Capital Appreciation Fund are positive.
Again, we appreciate the confidence you have placed in Oppenheimer Variable
Account Funds' Capital Appreciation Fund, and we will continue to do our best to
help you meet your investment goals.
OPPENHEIMER GLOBAL SECURITIES FUND, GEORGE EVANS, FUND MANAGER
As the weakness of emerging markets in 1994 continued into the first half of
this year, the Fund's manager continued to reduce investments in these markets
and increase investments in areas that he feels present superior opportunities,
such as Europe and the U.S.
Your manager believes economic recovery is gaining steam across the continent
and the restructuring of European industry for global competitiveness has
proceeded at a remarkable pace. While many companies are dealing with the
pressures of the declining U.S. dollar, which makes U.S. goods cheaper abroad,
they are dealing with those pressures well. And as the dollar rises - as your
manager believes it will as the U.S. trade deficit lessens and the need to
support the Mexican peso abates - the strength of European industry should be
reflected in solid gains in sales, earnings, and stock prices of European
companies.
1. The Fund's portfolio is subject to change.
34
<PAGE>
Elsewhere as capital inflows to many emerging markets diminish, offshore markets
should return to their historic pattern of differentiated performance, based on
the fundamentals of their economies, markets and individual companies. And in
your manager's view, based on extensive global investing experience, this
development has created outstanding opportunities for the Fund to find value at
attractive prices across many markets.
For example, stock prices in most markets across Latin America have been
affected by the devaluation of the Mexican peso. In any of these countries,
your manager believes the downturn simply isn't justified. Chile and Argentina,
for instance, have well-managed economies with strong currencies. As that
becomes clear to investors, we expect these markets to rebound strongly. Of
course, foreign investments subject the Fund to greater expenses and risks such
as adverse currency fluctuation.
Looking ahead, your Fund manager believes that the potential for foreign markets
to outperform the U.S. over the long term remains intact even though holdings in
emerging markets are currently being reduced in favor of the larger more
developed markets of North America and Europe.
We appreciate your trust in the Oppenheimer Variable Account Funds' Global
Securities Fund, and we will continue to do our best to help meet your
investment objectives in the future.
35
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
HIGH CAPITAL GLOBAL
INCOME APPRECIATION SECURITIES
FUND FUND FUND
------------ ------------ -----------
<S> <C> <C> <C>
ASSETS:
Investments, at value (cost *) (including repurchase agreements **)
- see accompanying statements...................................... $112,442,478 $234,401,482 $343,764,927
Cash................................................................ -- 554 --
Receivables:
Dividends and interest............................................. 2,321,395 140,634 611,778
Shares of beneficial interest sold................................. 11,996 4,267,715 175,980
Investments sold................................................... 1,113,986 5,333,529 5,461,201
Other............................................................... 4,573 5,565 5,865
------------ ------------ -----------
Total assets....................................................... 115,894,428 244,149,479 350,019,751
------------ ------------ -----------
LIABILITIES:
Bank overdraft...................................................... 277,851 -- 1,379,050
Unrealized depreciation on forward foreign currency exchange
contracts - Note 5................................................. 18,936 -- 413,140
Payables and other liabilities:
Investments purchased.............................................. 2,190,686 5,998,001 3,810,732
Shares of beneficial interest redeemed............................. 241,772 856,807 6,588,067
Other.............................................................. 36,451 30,876 72,937
------------ ------------ -----------
Total liabilities.................................................. 2,765,696 6,885,684 12,263,926
------------ ------------ -----------
NET ASSETS.......................................................... $113,128,732 $237,263,795 $337,755,825
============ ============ ===========
COMPOSITION OF NET ASSETS:
Paid-in capital..................................................... $112,145,476 $196,908,730 $346,745,609
Undistributed net investment income................................. 2,170,580 691,561 2,554,819
Accumulated net realized gain (loss) from investment
and foreign currency transactions.................................. (4,318,952) 1,803,230 (30,155,054)
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies - Note 3.. 3,131,628 37,860,274 18,610,451
------------ ------------ -----------
NET ASSETS.......................................................... $113,128,732 $237,263,795 $337,755,825
============ ============ ===========
SHARES OF BENEFICIAL INTEREST OUTSTANDING........................... 10,894,476 8,156,777 22,702,606
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE............................................ $ 10.38 $ 29.09 $ 14.88
*Cost............................................................... $109,316,490 $196,541,208 $324,725,071
**Repurchase Agreements............................................. $ -- $ 40,916,000 $ --
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
HIGH CAPITAL GLOBAL
INCOME APPRECIATION SECURITIES
FUND FUND FUND
------------ ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest...................................................... $ 5,461,318 $ 1,323,761 $ 720,452
Dividends (net of foreign withholding taxes of *)............. 262,142 170,688 3,175,481
------------ ------------ -----------
Total income................................................. 5,723,460 1,494,449 3,895,933
------------ ------------ -----------
EXPENSES:
Management fees - Note 6...................................... 404,821 753,898 1,135,531
Custodian fees and expenses................................... 13,246 10,244 174,802
Shareholder reports........................................... 6,388 9,420 7,648
Legal and auditing fees....................................... 16,153 8,885 6,198
Transfer agent................................................ 421 522 263
Trustees' fees and expenses................................... 514 570 743
Registration and filing fees.................................. 1,809 8,715 14,070
Other......................................................... 2,644 3,122 790
------------ ------------ -----------
Total expenses............................................... 445,996 795,376 1,340,045
------------ ------------ -----------
NET INVESTMENT INCOME......................................... 5,277,464 699,073 2,555,888
------------ ------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS:
Net realized gain (loss) from:
Investments................................................... (588,379) 3,214,799 (20,063,279)
Foreign currency transactions................................. 112,847 -- (3,420,944)
Net change in unrealized appreciation or depreciation on:
Investments.................................................. 6,335,947 21,927,356 16,364,020
Translation of assets and liabilities denominated in foreign
currencies................................................... 483,440 -- 10,089,188
------------ ------------ -----------
Net realized and unrealized gain on investments and foreign
currency transactions........................................ $ 6,343,855 $ 25,142,155 $ 2,968,985
------------ ------------ -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS..................................... $ 11,621,319 $ 25,841,228 $ 5,524,873
============ ============ ===========
*Dividends.................................................... $ -- $ -- $ 266,933
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1995 AND THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
HIGH CAPITAL GLOBAL
INCOME APPRECIATION SECURITIES
FUND FUND FUND
--------------------------- ---------------------------- --------------------------
1995(2) 1994(1) 1995(2) 1994(1) 1995(2) 1994(1)
----------- ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income.............. $ 5,277,464 $ 9,253,988 $ 699,073 $ 769,034 $ 2,555,888 $ 1,162,074
Net realized gain (loss) on
investments and foreign
currency transactions............. (475,532) (3,689,385) 3,214,799 (1,045,951) (23,484,223) 385,837
Net change in unrealized
appreciation or depreciation
on investments, options
written and translation of
assets and liabilities
denominated in foreign
currencies........................ 6,819,387 (8,629,376) 21,927,356 (10,016,034) 26,453,208 (24,015,375)
---------- ---------- ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets resulting
from operations................... 11,621,319 (3,064,773) 25,841,228 (10,292,951) 5,524,873 (22,467,464)
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net investment
income............................. (5,088,668) (6,580,907) (719,183) (218,275) -- (359,955)
Distributions from net realized
gain on investments and
foreign currency transactions..... -- (2,106,023) (363,458) -- (8,174,158) (2,441,859)
Distributions in excess of net
realized gain on investments
and foreign currency
transactions...................... -- -- -- (17,112,748) -- --
BENEFICIAL INTEREST TRANSACTIONS:
Net increase in net assets
resulting from beneficial
interest transactions - Note 2.... 10,897,772 14,438,679 26,731,667 76,512,412 42,563,189 226,686,688
---------- ---------- ----------- ----------- ----------- -----------
Total increase..................... 17,430,423 2,686,976 51,490,254 48,888,438 39,913,904 201,417,410
NET ASSETS:
Beginning of year.................. 95,698,309 93,011,333 185,773,541 136,885,103 297,841,921 96,424,511
---------- ---------- ----------- ----------- ----------- -----------
End of period...................... $113,128,732 $ 95,698,309 $237,263,795 $185,773,541 $337,755,825 $297,841,921
=========== =========== ========== =========== =========== ===========
</TABLE>
1. For the year ended December 31.
2. For the six months ended June 30 - Unaudited.
See accompanying Notes to Financial Statements.
38
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA FOR EACH FUND'S SHARE OUTSTANDING FOR
EACH OF THE FOLLOWING PERIODS:
<TABLE>
<CAPTION>
OPPENHEIMER HIGH INCOME FUND
------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
------------- ------------ -------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of year.......................... $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90 $ 8.59
Income (loss) from
investment operations:
Net investment income............ .47 .94 .82 1.19 1.28 1.21
Net realized and unrealized
gain (loss) on
investments and foreign
currency transactions........... .60 (1.27) 1.65 .43 1.30 (.82)
-------- --------- -------- -------- -------- --------
Total income (loss) from
investment operations........... 1.07 (.33) 2.47 1.62 2.58 .39
-------- --------- -------- -------- -------- --------
Dividends and distributions
to shareholders:
Dividends from net
investment income............... (.48) (.66) (1.19) (1.28) (1.08) (1.08)
Distributions from net
realized gain on
investments,
and foreign currency
transactions.................... -- (.24) -- -- -- --
-------- --------- -------- -------- -------- --------
Total dividends and
distributions to
shareholders.................... (.48) (.90) (1.19) (1.28) (1.08) (1.08)
-------- --------- -------- -------- -------- --------
Net asset value, end of period... $ 10.38 $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90
======== ========= ======== ======== ======== ========
TOTAL RETURN, AT NET ASSET
VALUE/(1)/....................... 11.10% (3.18)% 26.34% 17.92% 33.91% 4.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands)................... $113,129 $ 95,698 $ 93,011 $ 40,817 $ 27,308 $ 19,172
Average net assets (in thousands). $108,953 $101,096 $ 67,000 $ 36,861 $ 23,663 $ 21,493
Number of shares outstanding
at end of period (in thousands).. 10,894 9,779 8,443 4,189 2,905 2,427
Ratios to average net assets:
Net investment income............ 9.77%/(2)/ 9.15% 10.50% 12.08% 14.26% 14.32%
Expenses......................... .83%/(2)/ .67% .68% .73% .75% .75%
Portfolio turnover rate/(3)/..... 50.3% 110.1% 135.7% 144.2% 108.0% 95.1%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
39
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER CAPITAL APPRECIATION FUND
---------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
------------- ------------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of year.................. $ 25.95 $ 31.64 $ 26.04 $23.24 $15.24 $20.40
Income (loss) from
investment operations:
Net investment income.... .08 .10 .05 .06 .08 .32
Net realized and unrealized
gain (loss) on investments 3.20 (2.22) 6.71 3.43 8.18 (3.54)
-------- --------- ------ ------ ------ ------
Total income (loss) from
investment operations... 3.28 (2.12) 6.76 3.49 8.26 (3.22)
-------- --------- ------ ------ ------ ------
Dividends and distributions
to shareholders:
Dividends from net
investment income....... (.09) (.04) (.06) (.14) (.26) (.53)
Distributions from net
realized gain on
investments............. (.05) (3.53) (1.10) (.55) -- (1.41)
-------- -------- ------ ------ ------ ------
Total dividends and
distributions to
shareholders............ (.14) (3.57) (1.16) (.69) (.26) (1.94)
======== ======== ====== ====== ====== ======
Net asset value, end of
period.................. $ 29.09 $ 25.95 $ 31.64 $26.04 $23.24 $15.24
======== ======== ======= ====== ====== ======
TOTAL RETURN, AT NET ASSET
VALUE/(1)/.............. 12.69% (7.59)% 27.32% 15.42% 54.72% (16.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands)........... $237,264 $185,774 $136,885 $83,335 $49,371 $23,295
Average net assets (in
thousands)............... $203,269 $153,832 $ 98,228 $56,371 $34,887 $24,774
Number of shares outstanding
at end of period
(in thousands)........... 8,157 7,158 4,326 3,201 2,125 1,528
Ratios to average net
assets:
Net investment income... .69%/(2)/ .50% .23% .30% .81% 1.93%
Expenses................ .79%/(2)/ .57% .47% .54% .63% .71%
Portfolio turnover rate/(3)/ 55.0% 96.5% 122.8% 78.9% 122.3% 222.0%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
2 Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
40
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER GLOBAL SECURITIES FUND
------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990/(1)/
------------- ------------ -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value,
beginning of year.................. $ 15.09 $ 16.30 $ 9.57 $ 10.38 $10.04 $ 10.00
Income (loss) from
investment operations:
Net investment income.............. .11 .04 (.02) .07 .04 --
Net realized and
unrealized gain (loss) on
investments and foreign
currency transactions............. .08 (.96) 6.75 (.80) .30 .04
-------- -------- ------- ------- ------ --------
Total income (loss) from
investment operations.............. .19 (.92) 6.73 (.73) .34 .04
-------- -------- ------- ------- ------ --------
Dividends and
distributions to
shareholders:
Dividends from net
investment income................. -- (.04) -- (.04) -- --
Distributions from net
realized gain on
investments and foreign
currency transactions............. (.40) (.25) -- (.04) -- --
-------- -------- ------- ------- ------ --------
Total dividends and
distributions to
shareholders...................... (.40) (.29) -- (.08) -- --
-------- -------- ------- ------- ------ --------
Net asset value, end of
period............................. $ 14.88 $ 15.09 $ 16.30 $ 9.57 $10.38 $ 10.04
======== ======== ======= ======= ====== ========
TOTAL RETURN, AT NET
ASSET VALUE/(2)/................... 1.42% (5.72)% 70.32% (7.11)% 3.39% .40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands)..................... $337,756 $297,842 $96,425 $13,537 $7,339 $ 432
Average net assets (in
thousands)......................... $309,968 $214,545 $31,696 $11,181 $3,990 $ 263
Number of shares
outstanding at end of
period (in thousands).............. 22,703 19,743 5,917 1,415 707 43
Ratios to average net
assets:
Net investment income.............. 1.66%/(3)/ .54% .72% 1.04% .75% .08%/(3)/
Expenses........................... .87%/(3)/ .91% .92% 1.06% 1.32% 6.84%/(3 )/
Portfolio turnover
rate/(4)/......................... 64.9% 70.4% 65.1% 34.1% 29.5% 0.0%
</TABLE>
1. For the period from November 12, 1990 (commencement of operations) to
December 31, 1990.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation.
See accompanying Notes to Financial Statements.
41
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT(1) (NOTE 1)
--------- ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.7%
Citibank, 10.75% CD, 11/20/95 /(2)/ CLP. $ 431,553,156 $ 1,153,423
Citibank, 15% CD, 8/28/95 /(2)/ CLP..... 417,450,058 1,115,729
Citibank, 15.20% CD, 9/1/95 /(2)/ CLP... 423,000,000 1,130,562
Indonesia (Republic of) CD, Bank
Negara, Zero Coupon, 6/17/96 /(2)/ IDR. 2,000,000,000 766,726
----------
Total Certificates of Deposit
(Cost $3,846,487)...................... 4,166,440
----------
MORTGAGE-BACKED OBLIGATIONS -- 2.2%
PRIVATE -- 2.2%
Multi-Family -- 2.2%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C1, Cl. E, 8%, 6/25/26.......... 770,411 640,404
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. G, 8%, 4/25/25.......... 960,279 758,621
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1995-C1, Cl. F, 6.90%, 2/25/27....... 1,250,000 1,089,063
----------
Total Mortgage-Backed Obligations
(Cost $2,392,740).................... 2,488,088
----------
FOREIGN GOVERNMENT OBLIGATIONS -- 10.4%
Argentina (Republic of) Bonds, Bonos
del Tesoro, Series I, 6.063%,
5/31/96 /(3)/........................... 440,000 431,096
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 10/11/95................... 1,000,000 964,687
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/20/95.................... 300,000 298,182
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/27/95.................... 500,000 495,458
Brazil (Federal Republic of) Bonds,
Banco do Nordeste Brasil, 10.375%,
11/6/95 /(4)/........................... 750,000 749,063
Canada (Government of) Bonds, 9%,
12/1/04 CAD............................. 1,280,000 997,493
Ecuador (Republic of) Bonds, 7.25%,
2/28/25 /(3)/........................... 750,000 375,000
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
94, 6.25%, 1/4/24 DEM................... 1,870,000 1,144,328
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
95, 7.375%, 1/3/05 DEM.................. 1,325,000 979,303
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD............................. 1,000,000 724,214
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
7.375%, 1/1/09 /(3)/.................... 1,000,000 582,500
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD............................. 500,000 345,708
New Zealand (Republic of) Bonds, 8%,
11/15/95 NZD............................ 1,500,000 998,584
New Zealand (Republic of) Bonds, 9%,
11/15/96 NZD............................ 1,250,000 841,290
Norwegian Government Bonds, 7%,
5/31/01 NOK............................. 1,650,000 261,591
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT(1) (NOTE 1)
--------- ------------
<S> <C> <C>
Poland (Republic of) Disc. Bonds,
7.125%, 10/27/24 /(3)/.................. $ 500,000 $ 384,063
Poland (Republic of) Past Due
Interest Bonds, 3.25%, 10/27/14 /(5)/... 1,200,000 721,500
United Kingdom Treasury Nts., 10%,
2/26/01 GBP............................. 300,000 512,170
---------
Total Foreign Government Obligations
(Cost $11,823,105)...................... 11,806,230
----------
MUNICIPAL BONDS AND NOTES -- 0.8%
San Joaquin Hills, California
Transportation Corridor Agency Toll
Road Capital Appreciation Revenue
Bonds, Jr. Lien, Zero Coupon, 1/1/28
(Cost $715,192)......................... 12,500,000 905,925
----------
CORPORATE BONDS AND NOTES -- 74.0%
BASIC INDUSTRY -- 9.2%
Chemicals -- 2.5%
Carbide/Graphite Group, Inc., 11.50% Sr.
Nts., 9/1/03............................ 500,000 525,000
NL Industries, Inc., 0%/13% Sr. Sec.
Disc. Nts., 10/15/05 /(6)/............... 1,480,000 1,050,800
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03.......................... 650,000 679,250
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05...................... 500,000 537,500
----------
2,792,550
----------
Metals/Mining -- 0.6%
Kaiser Aluminum & Chemical Corp.,
12.75% Sr. Sub. Nts., 2/1/03............ 100,000 107,500
Kaiser Aluminum & Chemical Corp.,
9.875% Sr. Nts., 2/15/02................ 600,000 588,000
----------
695,500
----------
Paper -- 5.5%
Domtar, Inc., 11.25% Debs., 9/15/17...... 400,000 428,000
Domtar, Inc., 12% Nts., 4/15/01.......... 250,000 288,750
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05 /(6)/......... 1,000,000 980,000
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01........................... 300,000 318,375
Repap New Brunswick, Inc., 9.50%
First Priority Sr. Sec. Nts.,
7/15/00 /(3)/........................... 400,000 407,000
Repap Wisconsin, Inc., 9.25% First
Priority Sr. Sec. Nts., 2/1/02.......... 500,000 485,625
Riverwood International Corp., 10.375%
Sr. Sub. Nts., 6/30/04.................. 400,000 440,000
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00....................... 400,000 432,000
Riverwood International Corp., 11.25%
Sr. Sub. Nts., 6/15/02.................. 200,000 218,500
Stone Consolidated Corp., 10.25% Sr.
Sec. Nts., 12/15/00..................... 700,000 729,750
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02...................... 1,300,000 1,371,500
Stone Container Corp., 10.75% Sr. Sub.
Nts., 6/15/97........................... 100,000 104,625
----------
6,204,125
----------
Steel -- 0.6%
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03.......................... 750,000 697,500
----------
</TABLE>
42
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
----------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
CONSUMER RELATED -- 13.8%
Consumer Products -- 3.6%
Amstar Corp., 11.375% Sr. Sub. Nts.,
2/15/97....................................... $ 500,000 $ 507,500
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 5/27/98........ 750,000 558,750
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02..................... 1,650,000 1,806,750
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03 /(6)/................ 650,000 328,250
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 3/15/98 /(4)/............ 350,000 240,625
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04.................................. 600,000 592,500
-------------
4,034,375
-------------
Food/Beverages/Tobacco -- 1.1%
Consolidated Cigar Corp., 10.50% Sr.
Sub. Nts., 3/1/03............................. 400,000 394,000
Di Giorgio Corp., 12% Sr. Nts., 2/15/03........ 255,000 189,975
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03 /(6)/...... 830,000 618,350
-------------
1,202,325
-------------
Healthcare -- 4.6%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05 /(7)/................................. 500,000 511,563
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02................................. 1,500,000 1,648,125
Charter Medical Corp., 11.25% Sr. Sub.
Nts., 4/15/04................................. 500,000 533,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02 /(4)/...................... 400,000 406,000
National Medical Enterprises, Inc.,
10.125% Sr. Sub. Nts., 3/1/05................. 500,000 531,250
Surgical Health Corp., 11.50% Sr. Sub.
Nts., 7/15/04................................. 400,000 462,000
Total Renal Care, Inc., Units (each Unit
consists of $1,000 principal amount of
0%/12% Sr. Sub. Disc. Nts., 8/15/04 and
nine shares of non-voting Class B
Common Stock) /(6)(8)/........................ 1,200,000 1,098,000
-------------
5,190,688
-------------
Hotel/Gaming -- 1.8%
Aztar Corp., 13.75% Sr. Sub. Nts.,
10/1/04....................................... 150,000 169,875
Capital Gaming International, Inc.
Promissory Nts................................ 9,500 --
GB Property Funding Corp., 10.875%
First Mtg. Nts., 1/15/04...................... 450,000 391,500
Hollywood Casino Corp., 14% Sr. Sec.
Nts., 4/1/98.................................. 350,000 386,750
Players International, Inc., 10.875% Sr.
Nts., 4/15/05 /(4)/........................... 200,000 197,500
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03.................................. 300,000 280,500
Trump Plaza Funding, Inc., 10.875%
Gtd. Mtg. Nts., 6/15/01....................... 500,000 462,500
Trump Taj Mahal Funding, Inc., 11.35%
Debs., Series A, 11/15/99..................... 200,000 158,099
-------------
2,046,724
-------------
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
----------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
CONSUMER RELATED (Continued)
Leisure -- 0.5%
Gillett Holdings, Inc., 12.25% Sr. Sub.
Nts., Series A, 6/30/02....................... $ 521,305 $ 551,280
-------------
Restaurants -- 1.5%
Carrols Corp., 11.50% Sr. Nts., 8/15/03........ 430,000 406,350
Foodmaker, Inc., 9.25% Sr. Nts., 3/1/99........ 200,000 182,500
Foodmaker, Inc., 9.75% Sr. Sub. Nts.,
6/1/02........................................ 1,275,000 1,064,625
-------------
1,653,475
-------------
Textile/Apparel -- 0.7%
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02........................... 750,000 753,750
-------------
ENERGY -- 4.9%
AmeriGas Partners LP, 10.125% Sr.
Nts., 4/15/07 /(4)/........................... 200,000 211,000
BP America, Inc., 10.875% Nts.,
8/1/01 CAD.................................... 350,000 285,643
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02 /(4)/............................ 500,000 493,750
Kelley Oil & Gas Corp., 13.50% Sr.
Nts., 6/15/99................................. 1,000,000 995,000
Maxus Energy Corp., 11.50% Debs.,
11/15/15...................................... 800,000 792,000
OPI International, Inc., 12.875% Gtd. Sr.
Nts., 7/15/02................................. 750,000 847,500
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05..................... 250,000 268,750
Petroleum Heat & Power Co., Inc.,
9.375% Sub. Debs., 2/1/06..................... 250,000 231,250
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99................................. 200,000 207,500
Triton Energy Corp., 0%/9.75% Sr. Sub.
Disc. Nts., 12/15/00 /(6)/.................... 200,000 175,000
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 11/1/97...................... 1,200,000 978,000
Wainoco Oil Corp., 12% Sr. Nts., 8/1/02........ 100,000 104,000
-------------
5,589,393
-------------
FINANCIAL SERVICES -- 1.5%
Banks & Thrifts -- 0.2%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 6/16/96 /(4)/............. 250,000 227,902
-------------
Diversified Financial -- 0.8%
ECM Fund, L.P.I., 14% Sub. Nts.,
6/10/02 /(9)/................................. 285,098 313,608
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98...................................... 300,000 253,500
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00........................................ 350,000 360,500
-------------
927,608
-------------
Insurance -- 0.5%
Terra Nova Holdings, 10.75% Sr. Nts.,
7/1/05........................................ 600,000 609,000
-------------
HOUSING RELATED -- 2.7%
Building Materials -- 1.5%
Diamond Cable Communications PLC,
0%/13.25% Sr. Disc. Nts., 9/30/04 /(6)/...... 400,000 265,000
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03....................................... 500,000 473,750
</TABLE>
43
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
-------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
HOUSING RELATED (Continued)
Building Materials (Continued)
Southdown, Inc., 14% Sr. Sub. Nts.,
Series B, 10/15/01 ......................... $ 640,000 $ 715,200
Walter Industries, Inc., 17% Sub. Nts.,
1/1/96 /(10)/ ................................ 400,000 254,000
-----------
1,707,950
-----------
Homebuilders/Real Estate -- 1.2%
Olympia & York First Canadian Place
Ltd., 11% Debs., Series 3,
11/4/49 /(11)/ CAD ........................... 1,000,000 447,639
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Nts., 4/1/02 ............. 650,000 617,500
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11 /(4)/ ................. 500,000 322,500
-----------
1,387,639
-----------
MANUFACTURING -- 4.4%
Aerospace/Electronics/Computers -- 1.7%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03 .............. 500,000 520,000
Dell Computer Corp., 11% Sr. Nts.,
8/15/00 ..................................... 500,000 552,500
Rohr, Inc., 11.625% Sr. Nts., 5/15/03 ........ 800,000 844,000
-----------
1,916,500
-----------
Automotive -- 1.8%
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., 8/1/04 ........................... 500,000 535,000
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., 8/1/04 /(4)/ ...................... 300,000 320,250
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02 ..................... 250,000 247,500
Foamex LP/Foamex Capital Corp.,
9.50% Sr. Sec. Nts., 6/1/00 .................. 240,000 234,600
Foamex LP/JPS Automotive Corp.,
0%/14% Sr. Disc. Nts., Series B,
7/1/04 /(6)/ ................................. 500,000 277,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04 ....................................... 425,000 388,875
-----------
2,003,725
-----------
Capital Goods -- 0.9%
Farley, Inc., Zero Coupon Sub. Debs.,
12/30/12 .................................... 198,000 16,830
Terex Corp., Units (each Unit consists
of $1,000 principal amount of 13.75%
Sr. Sec. Nts., 5/15/02 and four
Common Stock Appreciation
Rights) /(4)/ /(8)/ ......................... 1,100,000 979,000
-----------
995,830
-----------
MEDIA -- 16.6%
Broadcasting -- 2.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03 ......................... 430,000 435,912
Chancellor Broadcasting Co., 12.50% Sr.
Sub. Nts., 10/1/04 .......................... 250,000 251,250
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03 .............. 350,000 336,000
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03 ........................... 1,000,000 1,030,000
Sinclair Broadcasting Group, Inc., 10%
Sr. Sub. Nts., 12/15/03 ...................... 345,000 348,450
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
-------------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
MEDIA (Continued)
Broadcasting (Continued)
Univision Television Group, Inc., 11.75%
Sr. Sub. Nts., 1/15/01 ...................... $ 700,000 $ 759,500
-----------
3,161,112
-----------
Cable Television -- 8.2%
American Telecasting, Inc., 0%/12.50%
Sr. Disc. Nts., 6/15/04 /(6)/ ............... 1,500,000 881,250
Australis Media Ltd., Units (each Unit consists
of US $1,000 principal amount of 0%/14%
Sr. Sub. Disc. Nts., 5/15/03 and one Warrant
to purchase 57.721 Ordinary Shares) /(6)/ /(8)/ .500,000 262,500
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04 /(6)/ ................... 2,500,000 1,675,000
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08 .................... 600,000 624,750
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04 .......................... 500,000 524,375
Cablevision Systems Corp., 9.875% Sr.
Sub. Debs., 4/1/23 ........................... 200,000 209,000
Continental Cablevision, Inc., 9.50% Sr.
Debs., 8/1/13 ................................ 750,000 776,250
Helicon Group LP/Helicon Capital
Corp., 9% Sr. Sec. Nts., Series B,
11/1/03 /(3)/ ............................... 750,000 691,875
International CableTel, Inc., 0%/10.875%
Sr. Def. Cpn. Nts., 10/15/03 /(6)/ .......... 100,000 66,500
International CableTel, Inc., 0%/12.75%
Sr. Def. Cpn. Nts., 4/15/05 /(4)/ /(6)/ ..... 1,000,000 595,000
Marcus Cable Operating Co.
LP/Marcus Capital Corp., 0%/13.50% Gtd.
Sr. Sub. Disc. Nts., Series II, 8/1/04 /(6)/. 1,200,000 759,000
People's Choice TV Corp., Units (each
Unit consists of $1,000 principal
amount of 0%/13.125% Sr. Disc. Nts.,
6/1/04 and one Warrant to purchase
1,427 shares of Common Stock) /(6)/ /(8)/ .... 1,400,000 665,000
Summitt Communications Group, Inc.,
10.50% Sr. Sub. Debs., 4/15/05 850,000 935,000
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23 ..... 350,000 351,582
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07 .................................... 300,000 346,942
-----------
9,364,024
-----------
Diversified Media -- 4.3%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03 ............ 750,000 791,250
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04 /(6)/ ..... 950,000 463,125
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10 /(4)/ ............................... 483,654 569,261
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03 .............................. 500,000 501,250
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03 ..................................... 300,000 289,500
Panamsat LP/Panamsat Capital Corp.,
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03 /(6)/ ................................ 2,000,000 1,422,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00 .................. 750,000 772,500
-----------
4,809,386
-----------
Entertainment/Film -- 1.3%
Imax Corp., 7% Sr. Nts., 3/1/01 /(5)/ ........ 1,600,000 1,464,000
-----------
</TABLE>
44
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
----------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
OTHER -- 1.6%
Conglomerates -- 1.1%
MacAndrews & Forbes Group, Inc.,
12.25% Sub. Nts., 7/1/96........................ $ 750,000 $ 755,625
Talley Manufacturing & Technology,
Inc., 10.75% Sr. Nts., 10/15/03................. 500,000 492,500
------------
1,248,125
------------
Environmental -- 0.2%
EnviroSource, Inc., 9.75% Sr. Nts.,
6/15/03......................................... 250,000 223,125
------------
Services -- 0.3%
Protection One Alarm Monitoring, Inc.,
Units (each Unit consists of ten
$1,000 principal amount 0%/13.625% Sr.
Sub. Disc. Nts., 6/30/05 and thirty-
two Warrants, each Warrant entitles
holder to purchase one share of
Protection One, Inc. Common Stock)/(4)(6)(8)/... 500,000 337,500
------------
RETAIL -- 4.4%
Drug Stores -- 0.5%
Duane Reade, 12% Sr. Nts., Series B,
9/15/02......................................... 750,000 603,750
------------
Specialty Retailing -- 1.8%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03............................... 1,000,000 820,000
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03.................................... 400,000 386,000
United Stationers Supply Co., 12.75%
Sr. Sub. Nts., 5/1/05 /(4)/..................... 850,000 860,625
------------
2,066,625
------------
Supermarkets -- 2.1%
Grand Union Co., 12% Sr. Nts.,
9/1/04 /(12)/................................... 581,000 566,475
Kash 'N Karry Food Stores, Inc.,
11.50% Sr. Nts., 2/1/03 /(7)/................... 500,000 485,771
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99.......................... 1,250,000 1,346,875
------------
2,399,121
------------
TRANSPORTATION -- 2.3%
Railroads -- 1.2%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03 /(6)/........................ 2,200,000 1,331,000
------------
Shipping -- 1.1%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04........................... 1,200,000 1,218,000
------------
UTILITIES -- 12.6%
Electric Utilities -- 4.9%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17........... 1,500,000 1,253,121
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04 /(6)/....................... 1,650,000 1,435,502
El Paso Electric Co., 10.375% Lease
Obligation Bonds, Series 1986A,
1/2/11 /(10)/................................... 500,000 265,403
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13 /(10)/................. 750,000 398,095
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
----------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
UTILITIES (Continued)
Electric Utilities (Continued)
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1986B, 1/15/16......... $ 500,000 $ 516,222
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14......... 1,000,000 1,068,155
Subic Power Corp., 9.50% Sr. Sec.
Nts., Series A, 12/28/08........................ 698,250 651,118
------------
5,587,616
------------
Telecommunications -- 7.7%
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04 /(4)(6)/................................ 1,250,000 877,796
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03 /(6)/.............................. 2,000,000 1,460,000
Comcast Cellular Corp., Zero Coupon
Nts., Series B, 3/5/00.......................... 500,000 354,375
Geotek Communications, Inc., Units
(each Unit consists of $1,000 principal
amount 0%/15% Sr. Sec. Disc. Nts. and
thirty Warrants to purchase Common
Stock)/(4)(6)(8)/............................... 1,750,000 846,020
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00 /(6)/....................... 1,500,000 1,177,500
In Flight Phone Corp., Units (each Unit
consists of $1,000 principal amount of
0%/14% Sr. Disc. Nts., Series A,
5/15/02 and one Warrant to purchase
one share of Common Stock)/(4)(6)(8)/........... 1,000,000 590,000
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04 /(6)/................... 1,750,000 1,220,625
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01 /(6)/................. 1,350,000 1,086,750
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04........................... 1,000,000 1,080,000
------------
8,693,066
------------
Total Corporate Bonds and Notes
(Cost $82,191,185)............................... 83,694,289
------------
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 1.4%
BASIC INDUSTRY -- 0.2%
Containers -- 0.2%
Equitable Bag, Inc./(13)/........................ 3,723 $ 9,308
Gillett Holdings, Inc., Cl. 1 /(9)(13)/.......... 10,355 207,100
------------
216,408
------------
Metals/Mining -- 0.0%
Triangle Wire & Cable, Inc./(9)(13)/............. 21,111 42,222
CONSUMER RELATED -- 0.4%
Food/Beverages/Tobacco -- 0.2%
Kash 'N Karry Food Stores, Inc./(13)/............ 7,528 254,070
------------
Healthcare -- 0.2%
Berg Electronics Holdings Corp./(4)(13)/......... 46,220 231,100
------------
FINANCIAL SERVICES -- 0.1%
Diversified Financial -- 0.1%
ECM Fund, L.P.I./(9)/............................ 150 150,000
------------
</TABLE>
45
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
HOUSING RELATED -- 0.1%
Building Materials -- 0.1%
Gulfstream Holding, Inc./(13)/.............................. 56 $ --
Gulfstream Housing Corp./(13)/.............................. 27,850 --
Walter Industries, Inc./(13)/............................... 4,837 66,509
------------
66,509
------------
MEDIA -- 0.1%
Broadcasting -- 0.1%
New World Communications Group,
Inc., Cl. A/(13)/.......................................... 2,964 61,874
------------
RETAIL -- 0.3%
Specialty Retailing -- 0.0%
Finlay Enterprises, Inc./(13)/.............................. 1,333 18,829
Jewel Recovery LP/(13)/..................................... 2,360 --
Zale Corp./(13)/............................................ 2,360 31,860
------------
50,689
------------
Supermarkets -- 0.3%
Grand Union Co./(13)/....................................... 26,511 377,782
------------
UTILITIES -- 0.2%
Telecommunications -- 0.2%
Celcaribe SA /(4)/ /(13)/................................... 203,250 178,454
------------
Total Common Stocks
(Cost $1,403,729).......................................... 1,629,108
------------
PREFERRED STOCKS -- 5.4%
Atlantic Richfield Co., 9% Exchangeable
Notes for Common Stock of Lyondell
Petrochemical Co., 9/15/97................................ 7,000 182,000
BankAmerica Corp., 8.375%, Series K........................ 13,000 331,500
Berg Electronics Holdings Corp.,
$3.3438, Series E/(7)/.................................... 13,142 354,834
California Federal Bank, 10.625% Non-
Cum., Series B............................................ 7,000 749,000
First Nationwide Bank, 11.50% Non-
Cum....................................................... 8,500 918,000
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E.................................... 16,500 561,000
J. Ray McDermott SA, $2.25 Cv.,
Series B.................................................. 5,000 255,000
K-III Communications Corp., $11.625
Exchangeable, Series B/(7)/............................... 7,093 688,044
Kaiser Aluminum Corp., $.65 Cv.,
Series A.................................................. 16,000 154,000
Kaiser Aluminum Corp., 8.255%
Provisionally Redeemable Income Debt
Exchangeable for Stock.................................... 20,000 270,000
Navistar International Corp., $6.00 Cv.,
Series G.................................................. 2,500 130,000
Pantry Pride, Inc., $14.875
Exchangeable, Series B.................................... 2,000 206,500
Prime Retail, Inc., $19.00 Cv., Series B................... 17,000 316,625
SDW Holdings Corp. Units (each Unit
consists of ten shares of Sr.
Exchangeable Preferred Stock and one
Cl. B Warrant to purchase one share
of Common Stock)/(4)(8)/.................................. 3,750 1,014,075
------------
Total Preferred Stocks
(Cost $5,694,727)......................................... 6,130,578
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
UNITS (NOTE 1)
------ ------------
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES -- 0.7%
American Telecasting, Inc. Wts., Exp.
6/99...................................................... 6,500 $ 16,250
Ames Department Stores, Inc., Excess
Cash Flow Payment Certificates,
Series AG-7A.............................................. 12,400 124
Ames Department Stores, Inc.,
Litigation Trust.......................................... 39,658 396
Capital Gaming International, Inc. Wts.,
Exp. 2/99................................................. 21,112 2,639
Digicon, Inc. Wts., Exp. 7/96.............................. 1,566 881
Echostar Communications Corp. Wts.,
Exp. 6/04................................................. 5,700 64,125
Eye Care Centers of America, Inc.
Wts., Exp. 10/03.......................................... 1,000 5,000
Foamex LP/JPS Automotive Corp.
Wts., Exp. 7/99........................................... 500 5,000
Protection One, Inc. Wts., Exp. 11/03...................... 28,000 166,000
UGI Corp. Wts., Exp. 3/98.................................. 6,000 300
Casino America, Inc. Wts., Exp. 11/96...................... 1,631 1,632
Gaylord Container Corp. Wts., Exp.
7/96...................................................... 46,950 487,106
Icon Health & Fitness, Inc. Wts., Exp.
11/99 /(4)/............................................... 400 10,000
Purity Supreme, Inc. Wts., Exp.
8/97 /(9)/................................................ 2,599 52
Southland Corp. Wts., Exp. 3/96............................ 400 750
Terex Corp. Rts., Exp. 7/96 /(4)/.......................... 744 93
Trizec Corp. Wts., Exp. 7/99............................... 3,970 6,068
------------
Total Rights, Warrants and
Certificates (Cost $311,460).............................. 768,416
------------
<CAPTION>
DATE/PRICE
----------
<S> <C> <C>
PUT OPTIONS PURCHASED -- 0.1%
OTC European Standard &
Poors 500 Index Put Opt. ................... Aug. 25/$545.25 3,000 39,900
OTC Russell 2000 Index Put Opt. ............. Aug. 25/$283.50 1,000 22,200
------------
Total Put Options Purchased
(Cost $68,300)........................................... 62,100
------------
<CAPTION>
PRINCIPAL
AMOUNT/(1)/
-----------
<S> <C> <C>
STRUCTURED INSTRUMENTS -- 0.7%
Goldman, Sachs & Co., Argentina Local
Market Securities Trust, 11.30%,
4/1/00 (representing debt of Argentina
(Republic of) Bonos del Tesoro Bonds,
Series 10, 6.319%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust)
(Cost $869,565) /(2)/ /(9)/............................... $ 869,565 $ 791,304
------------
</TABLE>
46
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS, AT VALUE
(COST $109,316,490) 99.4% 112,442,478
------ ------------
OTHER ASSETS NET OF LIABILITIES 0.6 686,254
------ ------------
NET ASSETS 100.0% $113,128,732
====== ============
</TABLE>
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
CAD - Canadian Dollar IDR - Indonesian Rupiah
CLP - Chilean Peso NOK - Norwegian Krone
DEM - German Deutsche Mark NZD - New Zealand Dollar
GBP - British Pound Sterling
/(2)/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
/(3)/ Represents the current interest rate for a variable rate security.
/(4)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $10,257,514 or 9.1% of the
Fund's net assets, at June 30, 1995.
/(5)/ Represents the current interest rate for an increasing rate security.
/(6)/ Represents a zero coupon bond that converts to a fixed rate of interest
at a designated future date.
/(7)/ Interest or dividend is paid in kind.
/(8)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In most
cases, units involve a high degree of risk.
/(9)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(10)/ Non-income producing__issuer is in default of interest payment.
/(11)/ Partial interest payment received.
/(12)/ When-issued security to be delivered and settled after June 30, 1995.
/(13)/ Non-income producing security.
/(14)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5 of
Notes to Financial Statements.
See accompanying Notes to Financial Statements.
47
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
Statement of Investments
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
--------- ------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS AND NOTES -- 2.4%
CONSUMER NON-CYCLICALS -- 1.0%
Healthcare/Drugs -- 0.3%
PerSeptive Biosystems, Inc.,
8.25% Cv. Sub. Debs.,
8/15/01 /(1)/................................. $ 850,000 $ 773,500
------------
HEALTHCARE/SUPPLIES & SERVICES -- 0.7%
Medaphis Corp., 6.50% Cv. Sub. Nts.,
1/1/00 /(1)/.................................. 1,000,000 1,561,250
------------
TECHNOLOGY -- 1.4%
Computer Hardware -- 0.4%
Danka Business Systems PLC,
6.75% Cv. Sub. Nts.,
4/01/02 /(1)/................................. 800,000 844,000
------------
Computer Software -- 0.7%
Sierra On-Line, Inc., 6.50% Cv. Sub.
Nts., 4/1/01 /(1)/............................ 1,000,000 1,672,500
------------
Telecommunications-Technology -- 0.3%
Intelcom Group, Inc., 7% Cv. Sub. Nts.,
10/30/98 /(2)/................................ 1,105,000 736,605
------------
Total Convertible Corporate Bonds and
Notes (Cost $4,796,200)....................... 5,587,855
------------
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 79.2%
BASIC MATERIALS -- 0.8%
Chemicals -- 0.8%
Georgia Gulf Corp.............................. 57,000 1,859,621
CONSUMER CYCLICALS -- 23.5%
Autos & Housing -- 0.7%
Recoton Corp./(3)/............................. 84,000 1,638,000
Leisure & Entertainment -- 6.5%
Apple South, Inc............................... 46,100 898,950
Brunswick Corp................................. 42,000 714,000
Cannondale Corp./(3)/.......................... 90,000 1,260,000
Circus Circus Enterprises, Inc./(3)/........... 73,400 2,587,350
Department 56, Inc./(3)/....................... 50,300 1,923,975
Doubletree Corp./(3)/.......................... 60,000 1,293,750
La Quinta Inns, Inc............................ 70,000 1,890,000
Lone Star Steakhouse & Saloon/(3)/............. 50,000 1,515,625
Sonic Corp./(3)/............................... 80,000 2,200,000
Station Casinos, Inc./(3)/..................... 69,000 1,190,250
------------
15,473,900
------------
Media -- 1.1%
SFX Broadcasting, Inc., Cl. A/(3)/............. 48,200 1,289,350
Sinclair Broadcast Group, Inc./(3)/............ 50,000 1,400,000
------------
2,689,350
------------
Retail: General -- 3.3%
Dollar General Corp............................ 64,800 2,049,300
Dollar Tree Stores, Inc./(3)/.................. 38,000 1,007,000
Nautica Enterprises, Inc./(3)/................. 35,000 1,268,750
Revco D.S., Inc./(3)/.......................... 150,000 3,600,000
------------
7,925,050
------------
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
--------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
CONSUMER CYCLICALS (Continued)
Retail: Specialty -- 11.9%
AmeriSource Health Corp./(3)/.................. 48,500 $ 1,106,406
Borders Group, Inc./(3)/....................... 41,900 602,313
Claire's Stores, Inc........................... 90,000 1,631,250
Copart, Inc./(3)/.............................. 98,100 2,231,775
Corporate Express, Inc./(3)/................... 52,500 1,122,188
CUC International, Inc./(3)/................... 36,000 1,512,000
General Nutrition Cos., Inc./(3)/.............. 99,400 3,491,425
Hollywood Entertainment Corp./(3)/............. 45,000 2,025,000
Micro Warehouse, Inc./(3)/..................... 65,000 2,990,000
Nike, Inc., Cl. B.............................. 46,000 3,864,000
OfficeMax, Inc./(3)/........................... 30,500 850,188
Petco Animal Supplies, Inc./(3)/............... 40,000 930,000
Staples, Inc./(3)/............................. 45,000 1,299,375
Tommy Hilfiger Corp./(3)/...................... 81,700 2,287,600
Viking Office Products, Inc./(3)/.............. 65,000 2,380,625
------------
28,324,145
------------
CONSUMER NON-CYCLICALS -- 14.1%
Beverages -- 1.2%
Canandaigua Wine Co., Inc., Cl. A/(3)/......... 65,000 2,908,750
------------
Healthcare/Drugs -- 4.5%
Dura Pharmaceuticals, Inc./(3)/................ 75,000 1,410,938
Elan Corp. PLC, ADR/(3)/....................... 45,000 1,833,750
Ethical Holdings, Sponsored ADR/(3)/........... 50,000 287,500
Martek Biosciences Corp./(3)/.................. 40,000 540,000
Matrix Pharmaceutical, Inc./(3)/............... 30,400 410,400
R.P. Scherer Corp./(3)/........................ 60,000 2,535,000
Roberts Pharmaceutical Corp./(3)/.............. 33,200 730,400
Watson Pharmaceuticals, Inc./(3)/.............. 75,000 2,925,000
------------
10,672,988
------------
Healthcare/Supplies & Services -- 7.9%
American Oncology Resources, Inc./(3)/......... 7,500 208,125
Community Psychiatric Centers/(3)/............. 65,000 731,250
Gulf South Medical Supply, Inc./(3)/........... 63,400 1,521,600
Horizon Healthcare Corp./(3)/.................. 83,700 1,496,138
Integrated Health Services, Inc................ 20,500 615,000
Lincare Holdings, Inc./(3)/.................... 59,200 1,572,500
Omnicare, Inc.................................. 59,800 1,622,075
Ornda Healthcorp/(3)/.......................... 80,000 1,370,000
Ostex International, Inc./(3)/................. 35,000 813,750
Oxford Health Plans, Inc./(3)/................. 15,000 708,750
PacifiCare Health Systems, Inc./(3)/........... 21,300 1,086,300
PhyCor, Inc./(3)/.............................. 50,000 1,756,250
Physicians Health Services, Inc., Cl. A/(3)/... 18,400 467,600
Physicians Resource Group, Inc./(3)/........... 75,000 1,003,125
Pyxis Corp./(3)/............................... 50,000 1,131,250
Quorum Health Group, Inc./(3)/................. 46,000 931,500
Spine-Tech, Inc./(3)/.......................... 21,000 225,750
Steris Corp./(3)/.............................. 29,000 1,406,500
------------
18,687,463
------------
Household Goods -- 0.5%
Ultralife Batteries, Inc./(3)/................. 60,000 1,095,000
------------
ENERGY -- 1.8%
Energy Services & Producers -- 1.8%
Cross Timbers Oil Co. ......................... 30,800 488,950
Nabors Industries, Inc./(3)/................... 100,000 825,000
Newfield Exploration Co./(3)/.................. 20,000 567,500
NUMAR Corp./(3)/............................... 36,000 373,500
</TABLE>
48
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT oF INVESTMENTS (CONTINUED)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
ENERGY (Continued)
Energy Services & Producers (Continued)
St. Mary Land & Exploration Co............................ 50,000 $ 625,000
Stone Energy Corp./(3)/................................... 35,000 415,625
Weatherford International, Inc./(3)/...................... 80,000 1,020,000
------------
4,315,575
------------
FINANCIAL -- 1.5%
Diversified Financial -- 1.4%
Advanta Corp., Cl. B...................................... 40,000 1,510,000
First USA, Inc............................................ 39,400 1,748,375
------------
3,258,375
------------
Insurance -- 0.1%
APPS Dental, Inc./(3)/.................................... 10,000 210,000
------------
INDUSTRIAL -- 7.9%
Electrical Equipment -- 1.3%
C.P. Clare Corp./(3)/..................................... 3,800 76,000
Molex, Inc., Cl. A........................................ 56,250 2,053,125
Oak Industries, Inc./(3)/................................. 35,000 901,250
------------
3,030,375
------------
Industrial Materials -- 0.7%
Kennametal, Inc....................................... 45,000 1,586,250
------------
Industrial Services -- 5.9%
Danka Business System PLC,
Sponsored ADR........................................ 70,000 1,693,125
First Data Corp....................................... 35,000 1,990,625
Loewen Group, Inc..................................... 35,000 1,246,875
Open Environment Corp./(3)/........................... 12,500 256,250
Reynolds & Reynolds Co., Cl. A........................ 47,000 1,386,500
Sensormatic Electronics Corp.......................... 50,000 1,775,000
Stewart Enterprises, Inc.............................. 50,000 1,675,000
Transaction Systems Architects,
Inc./(3)/............................................ 40,000 1,030,000
United Waste Systems, Inc./(3)/....................... 80,000 2,880,000
------------
13,933,375
------------
TECHNOLOGY -- 29.6%
Computer Hardware -- 5.1%
Adaptec, Inc./(3)/.................................... 57,300 2,120,100
Andrew Corp./(3)/..................................... 30,250 1,750,719
Boca Research, Inc./(3)/.............................. 85,000 945,000
EMC Corp./(3)/........................................ 99,000 2,400,750
In Focus Systems, Inc./(3)/........................... 70,000 1,890,000
Number Nine Visual Technology
Corp./(3)/........................................... 50,000 1,037,500
Planar Systems, Inc./(3)/............................. 50,000 1,112,500
Proxima Corp./(3)/.................................... 35,000 835,625
------------
12,092,194
------------
Computer Software -- 10.9%
7th Level, Inc./(3)/.................................. 60,000 855,000
Adobe Systems, Inc.................................... 10,000 580,000
Computer Horizons Corp./(3)/.......................... 80,000 1,280,000
Compuware Corp./(3)/.................................. 70,000 2,152,500
Concentra Corp./(3)/.................................. 125,000 1,218,750
Datalogix International, Inc./(3)/.................... 13,000 316,875
Dendrite International, Inc./(3)/..................... 15,000 241,875
Discreet Logic, Inc./(3)/............................. 10,000 330,000
Expert Software, Inc./(3)/............................ 28,000 518,000
FileNet Corp./(3)/.................................... 45,000 1,816,875
Firefox Communications, Inc./(3)/..................... 31,300 805,975
First Financial Management Corp....................... 25,000 2,137,500
HBO & Co.............................................. 40,000 2,180,000
Inference Corp., Cl. A/(3)/........................... 25,000 353,125
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
TECHNOLOGY (Continued)
Computer Software (Continued)
Informix Corp./(3)/................................... 120,000 $ 3,045,000
Intuit, Inc./(3)/..................................... 15,000 1,140,000
Maxis, Inc./(3)/...................................... 30,000 798,750
Pairgain Technologies, Inc./(3)/...................... 50,000 956,250
Physician Computer Network, Inc./(3)/................. 115,000 445,825
Rational Software Corp./(3)/.......................... 70,000 953,750
Seer Technologies, Inc./(3)/.......................... 7,500 155,625
Softkey International, Inc./(3)/...................... 65,000 2,071,875
Systemsoft Corp./(3)/................................. 40,000 580,000
Viasoft, Inc./(3)/.................................... 75,000 984,375
------------
25,917,725
------------
Electronics -- 2.4%
ANADIGICS, Inc./(3)/.................................. 21,000 409,500
General Instrument Corp./(3)/......................... 35,000 1,343,125
ITI Technologies, Inc./(3)/........................... 60,000 1,425,000
Oak Technology, Inc./(3)/............................. 24,500 900,375
Sanmina Corp./(3)/.................................... 28,300 1,075,400
VLSI Technology, Inc./(3)/............................ 15,000 451,875
------------
5,605,275
------------
Telecommunications-Technology -- 11.2%
ADC Telecommunications, Inc./(3)/..................... 60,000 2,145,000
ALC Communications Corp./(3)/......................... 35,000 1,579,375
Arch Communications Group, Inc./(3)/.................. 110,000 2,447,500
DSC Communications Corp./(3)/......................... 50,000 2,325,000
Glenayre Technologies, Inc./(3)/...................... 51,750 2,639,250
Harmonic Lightwaves, Inc./(3)/........................ 25,000 418,750
IntelCom Group, Inc./(3)/............................. 30,000 254,719
LCI International, Inc./(3)/.......................... 66,300 2,030,438
Mobilemedia Corp./(3)/................................ 45,000 922,500
Periphonics Corp./(3)/................................ 43,800 755,550
ProNet, Inc./(3)/..................................... 100,000 2,050,000
Sitel Corp./(3)/...................................... 59,300 1,059,988
Tellabs, Inc./(3)/.................................... 90,000 4,331,250
Teltrend, Inc./(3)/................................... 50,000 987,500
WorldCom, Inc./(3)/................................... 100,598 2,716,146
------------
26,662,966
------------
Total Common Stocks
(Cost $150,776,148)................................... 187,886,377
------------
<CAPTION>
UNITS
-----
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES -- 0.0%
Jan Bell Marketing, Inc. Wts.,
Exp. 12/98........................................... 532 --
Tapistron International, Inc. Wts.,
Exp. 6/97............................................ 120,000 11,250
Windmere Corp. Wts., Exp. 1/98........................ 381 --
Total Rights, Warrants and
Certificates (Cost $52,860).......................... 11,250
------------
</TABLE>
49
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
Statement of Investments (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
--------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 17.2%
Repurchase agreement with First
Chicago Capital Markets, 6.125%, dated
6/30/95, to be repurchased at $40,936,884
on 7/3/95, collateralized by U.S. Treasury
Bonds, 11.25%, 2/15/15, with a value of
$4,174,142, U.S. Treasury Nts., 4.75%-
7.875%, 3/31/96-8/15/01, with a value of
$27,303,926, and U.S. Treasury Bills
maturing 9/28/95-12/14/95, with a value of
$10,297,141 (Cost-$40,916,000)......................... $40,916,000 $ 40,916,000
-------------
TOTAL INVESTMENTS, AT VALUE (COST
$196,541,208)........................................... 98.8% 234,401,482
------------ -------------
OTHER ASSETS NET OF LIABILITIES........................... 1.2 2,862,313
------------ -------------
NET ASSETS................................................ 100.0% $ 237,263,795.
============ =============
</TABLE>
/(1)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $4,851,250 or 2% of the
Fund's net assets, at June 30, 1995.
/(2)/ Interest or dividend is paid in kind.
/(3)/ Non-income producing security.
See accompanying Notes to Financial Statements.
50
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (1) (NOTE 1)
------------ ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 0.7%
Cayman Time Deposit, 5.75%, 7/31/95
(Cost $2,300,000) /(2)/ /(6)/ ....... $ 2,300,000 $ 2,300,000
-----------
NON-CONVERTIBLE CORPORATE BONDS
AND NOTES -- 0.1%
Mediobanca, 4.50% Debs., 1/1/00
(Cost $307,078) ITL ................ 497,120,000 226,695
-----------
SHARES
------
COMMON STOCKS -- 101.0%
BASIC MATERIALS -- 10.1%
Chemicals -- 1.0%
Minerals Technologies, Inc. .......... 40,000 1,440,000
Sterling Chemicals, Inc./(3)/ ........ 175,000 2,034,375
-----------
3,474,375
-----------
Metals -- 2.4%
Asturiana de Zinc SA/(3)/ ............ 204,050 1,946,302
Swissreal Schweiz Liegenscha ......... 2,800 3,159,407
Ugine SA ............................. 41,600 2,926,370
-----------
8,032,079
-----------
Paper -- 6.7%
Asia Pulp & Paper Co. Ltd., ADR/(3)/.. 144,000 1,818,000
Corticeira Amorim SA ................. 129,700 1,948,377
Fletcher Challenge Ltd. .............. 1,250,000 3,508,305
Mo Och Domsjoe AB Free, Series B ..... 100,000 5,761,095
Rottneros Bruks AB Free .............. 2,566,666 4,053,594
Svenska Cellulosa AB ................. 300,000 5,561,963
-----------
22,651,334
-----------
CONSUMER CYCLICALS -- 13.8%
Autos & Housing -- 2.7%
Catena AB Free, Series A ............. 337,700 1,947,841
Cladea SA ............................ 201,620 978,166
Fiat SpA di Risp. .................... 700,000 1,507,330
General Motors Corp. ................. 75,000 3,515,625
Mahindra & Mahindra Ltd., GDR ........ 120,000 1,242,036
-----------
9,190,998
-----------
Leisure & Entertainment -- 1.1%
Filmes Lusomundo SA ................. 205,200 2,241,856
King World Productions, Inc./(3)/ .... 38,800 1,571,400
-----------
3,813,256
-----------
Media -- 4.8%
Benpres Holdings Corp., GDR/(4)/ ..... 200,000 1,700,000
Carlton Communications PLC ........... 250,000 3,790,319
News Corp. Ltd., ADR ................. 330,000 7,466,250
Television Broadcasts Ltd. 400,000 1,406,138
United International Holdings,
Inc., Cl. A/(3)/ 112,000 1,876,000
-----------
16,238,707
-----------
Retail: General -- 1.4%
Promodes SA .......................... 7,000 1,595,665
Sonae Industria E. Investimentos ..... 125,000 2,988,220
-----------
4,583,885
-----------
Retail: Specialty -- 3.8%
Moebel Walther AG, Preference ........ 7,000 3,540,150
Prodega AG ........................... 1,150 1,497,246
Vereinigte Baubeschlag ............... 22,000 7,867,804
-----------
12,905,200
-----------
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
CONSUMER NON-CYCLICALS -- 10.7%
Beverages -- 0.9%
LVMH Moet Hennessy Louis Vuitton ..... 15,000 $ 2,701,388
Vina Concha y Toro SA, ADR ........... 8,200 158,875
-----------
2,860,263
-----------
Food -- 3.4%
Mavesa, ADR/(4)/ ..................... 107,625 373,986
Molinos Rio de la Plata SA, Cl. B .... 301,343 1,733,267
PT Indofood Sukses Makmur ............ 417,750 1,800,808
PT Sinar Mass Agro Resources &
Technology/(3)/ ..................... 3,333,500 3,517,613
Spar Handels AG, Non-Vtg. ............ 8,950 2,327,829
Universal Robina Corp. ............... 3,600,000 1,832,419
-----------
11,585,922
-----------
Healthcare/Drugs -- 2.4%
Genemech, Inc./(3)/................... 50,000 2,431,250
Genzyme Corp./(3)/ ................... 60,000 2,400,000
Pharmavit GDS/(3)(7)/ ................ 100,000 875,000
Plant Genetics, Inc./(3)/ ............ 89,104 1,126,941
Sanofi SA ............................ 25,000 1,384,732
-----------
8,217,923
-----------
Healthcare/Supplies & Services -- 4.0%
Elekta Instrument AB Free, Series
B/(3)/ .............................. 65,000 2,008,487
Pharmacia AB .......................... 100,000 2,190,452
Rhoen Klinikum AG, Preference ......... 660 677,108
Takare PLC ............................ 400,000 1,221,811
Tenet Healthcare Corp./(3)/ ........... 250,000 3,593,750
U.S. Healthcare, Inc. ................. 35,000 1,071,875
United Healthcare Corp. ............... 65,000 2,689,375
-----------
13,452,858
-----------
ENERGY -- 7.7%
Energy Services & Producers -- 4.4%
Anadarko Petroleum Corp. .............. 70,000 3,018,750
ASTRA Compania Argentina de
Petroleo SA .......................... 825,000 1,237,889
Awilco AS, B Shares ................... 371,000 3,430,170
Compagnie Generale de
Geophysique SA/(3)/ .................. 30,000 1,788,548
Naviera Perez Companc SA, CIA Cl. B ... 295,000 1,239,389
Transocean Drilling AS/(3)/ ........... 292,360 4,030,916
-----------
14,745,662
-----------
Oil-Integrated -- 3.3%
Elf Gabon SA .......................... 10,000 1,887,568
OeMV AG ............................... 50,500 5,826,283
Repsol SA ............................. 80,000 2,517,136
YPF Sociedad Anonima, Sponsored ADR ... 47,300 892,788
-----------
11,123,775
-----------
FINANCIAL -- 11.9%
Banks -- 5.2%
Akbank T.A.S. ......................... 5,000,000 1,271,761
Banco Wiese, Sponsored ADR ............ 263,560 2,174,370
HSBC Holdings PLC ..................... 124,800 1,600,826
Industrial Finance Corp. .............. 1,500,000 3,949,764
Philippine National Bank .............. 200,000 2,329,678
PT Bank Danamon ....................... 1,500,000 2,189,043
Turkiye Garanti Bankasi AS ............ 288,000 3,906,835
-----------
17,422,277
-----------
</TABLE>
51
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
FINANCIAL (Continued)
Diversified Financial -- 0.2%
First NIS Regional Fund/(5)/................................... 180,000 $ 693,000
------------
Insurance -- 6.5%
Marschollek, Lautenschlaeger und
Partner AG.................................................... 5,587 3,632,845
Mitsui Marine & Fire Insurance................................. 500,000 3,274,441
Ockham Holdings PLC............................................ 680,000 421,907
Reinsurance Australia Corp..................................... 4,500,200 7,017,736
Skandia Insurance Co. Ltd...................................... 100,000 1,936,387
Swiss Reinsurance.............................................. 7,500 5,774,163
------------
22,057,479
------------
INDUSTRIAL -- 23.0%
Electrical Equipment -- 0.0%
PT Kabelmetal Indonesia........................................ 500 842
------------
Industrial Materials -- 0.1%
Ceramicas Carabobo, Sponsored
ADR, Cl. B.................................................... 144,000 111,946
International de Ceramica - UB................................. 24,300 39,263
------------
151,209
------------
Industrial Services -- 5.8%
Adia SA/(3)/................................................... 22,500 4,667,503
BIS SA/(3)/.................................................... 78,425 6,997,165
First Data Corp................................................ 60,000 3,412,500
Inversiones Y Representacion/(3)/.............................. 877,300 2,097,406
ISS International Service System AS,
Series B...................................................... 90,000 2,349,551
------------
19,524,125
------------
Manufacturing -- 12.5%
Bucher Holding AG, B Shares.................................... 3,500 2,141,713
Buderus AG..................................................... 9,500 4,667,219
Caterpillar, Inc............................................... 26,100 1,676,925
Forsheda Group AB, Series B/(7)/............................... 100,000 2,417,051
Gildemeister AG................................................ 32,000 2,647,166
Hopewell Holdings Ltd.......................................... 2,000,000 1,693,052
JK Corp. Ltd., GDR/(3)(4)/..................................... 215,000 913,750
Maschinenfabrik Berthold Hermle AG............................. 5,101 508,581
Measurex Corp.................................................. 63,800 1,937,925
Plettac AG..................................................... 7,778 4,776,530
Powerscreen International PLC.................................. 1,430,000 7,291,334
Tampella AB/(3)/............................................... 1,492,333 3,767,887
Traub AG/(3)/.................................................. 34,000 4,519,833
Valmet Corp., Cl. A............................................ 150,000 3,383,973
------------
42,342,939
------------
Transportation -- 4.6%
Danzas Holding AG.............................................. 1,800 1,546,721
Internatio-Muller NV........................................... 52,000 3,705,887
International Container Terminal
Services, Inc................................................. 2,000,000 1,389,976
Kvaerner AS.................................................... 40,000 1,816,707
Lisnave-Estaleiros Navais de Lisbona SA/(3)/................... 501,250 2,412,981
Mayne Nickless Ltd............................................. 212,000 870,076
Singmarine Industries Ltd...................................... 687,500 1,771,006
Westmont Berhad................................................ 400,000 1,985,241
------------
15,498,595
------------
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
TECHNOLOGY -- 17.9%
Computer Hardware -- 3.8%
Cabletron Systems, Inc./(3)/................................... 45,000 $ 2,396,250
Compaq Computer Corp./(3)/..................................... 50,000 2,268,750
Digital Equipment Corp./(3)/................................... 90,000 3,667,500
International Business Machines Corp........................... 25,000 2,400,000
Tokyo Electron Ltd............................................. 65,000 2,220,259
------------
12,952,759
------------
Computer Software -- 2.3%
First Financial Management Corp................................ 17,100 1,462,050
Nintendo Co. Ltd............................................... 110,000 6,309,777
------------
7,771,827
------------
Electronics -- 8.2%
Advantest Corp................................................. 60,000 2,261,484
Alphatec Electronics Co. Ltd................................... 117,000 2,132,872
Austria Mikro Systeme International AG......................... 9,000 1,183,513
General Motors Corp., Cl. H.................................... 80,000 3,160,000
Kyocera Corp................................................... 60,000 4,932,863
Philips Electronics NV......................................... 219,900 9,303,698
Rohm Co........................................................ 90,000 4,643,110
------------
27,617,540
------------
Telecommunications-Technology -- 3.6%
Airtouch Communications, Inc./(3)/............................. 70,000 1,995,000
Korea Mobile Telecommunications Corp........................... 3,000 2,553,709
Millicom International Cellular SA/(3)/........................ 121,678 3,604,711
Millicom, Inc./(3)/............................................ 25,000 --
Petersburg Long Distance, Inc.................................. 187,000 1,098,625
Technology Resources Industries
Berhad/(3)/................................................... 1,016,000 2,917,156
------------
12,169,201
------------
UTILITIES -- 5.9%
Electric Utilities -- 1.7%
Capex SA, Cl. A/(3)/........................................... 116,000 899,282
Capex SA, GDR/(3)(4)/.......................................... 124,000 1,906,500
Compagnie Generale des Eaux.................................... 15,000 1,670,962
Veba AG........................................................ 3,500 1,373,073
------------
5,849,817
------------
Gas Utilities -- 1.7%
Hong Kong & China Gas.......................................... 3,000,000 4,788,364
Transportadora de Gas del Sur SA............................... 99,300 1,042,650
------------
5,831,014
------------
Telephone Utilities -- 2.5%
Portugal Telecom SA, ADR/(3)/.................................. 65,662 1,247,578
Telecommunication de Argentina, Cl. B.......................... 300,000 1,368,430
Telecomunicacoes Brasileiras SA,
Preference.................................................... 5,800,000 197,992
Telefonica del Peru SA......................................... 3,400,031 5,541,933
------------
8,355,933
------------
Total Common Stocks
(Cost $322,117,993)............................................ 341,114,794
------------
</TABLE>
52
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
UNITS (NOTE 1)
----- -----------
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES -- 0.0%
American Satellite Network, Inc. Wts.,
Exp. 6/99................................ 6,250 --
Plant Genetics, Inc. Wts., Exp. 12/99..... 60,000 $ 123,438
------------
Total Rights, Warrants and
Certificates (Cost $0)................... 123,438
------------
TOTAL INVESTMENTS, AT VALUE
(COST $324,725,071)....................... 101.8% 343,764,927
------ ------------
LIABILITIES IN EXCESS OF OTHER ASSETS...... (1.8) (6,009,102)
----- ------------
NET ASSETS................................. 100.0% $337,755,825
====== ============
</TABLE>
(1) Principal amount is reported in local currency. Foreign currency
abbreviations are as follows: ITL - Italian Lira
(2) Identifies issues considered to be illiquid See Note 7 of Notes to Financial
Statements.
(3) Non-income producing security.
(4) Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1993, as amended. This security has
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $4,894,236 or 1.4% of the Fund's net
assets, at June 30, 1995.
(5) First NIS Regional Fund, a closed end fund listed on the Luxembourg Stock
Exchange, is offered in installments. The Fund entered the first installment
(40% of the total commitment on November 29, 1994. The second and third
installments (30% each of the total commitment) are provisional and may be
postponed indefinitely at the discretion of the Board of NIS Fund.
(6) A sufficient amount of securities has been designated to cover outstanding
forward foreign currency exchange contracts. See Note 5 of Notes to
Financial Statements.
(7) Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended June 30, 1995.
The aggregate fair value of all securities of affiliated companies as of
June 30, 1995 amounted to $875,000. Transactions during the period in which
the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
BALANCE BALANCE
DECEMBER 31, 1994 GROSS ADDITIONS GROSS REDUCTIONS JUNE 30, 1995
-------------------- --------------- ---------------- -------------------
DIVIDEND
SHARES COST SHARES COST SHARES COST SHARES COST INCOME
------ ---- ------ ---- ------ ---- ------ ---- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Forsheda Group AB,
Series B*.................... 100,000 $ 1,200,236 -- $ -- -- $ -- 100,000 $1,200,236 $ --
Pharmavit GDS................. 100,000 1,300,000 -- -- -- -- 100,000 1,300,000 --
----------- ----- ----- ---------- ----
$2,500,236 $ -- $ -- $2,500,236 $ --
=========== ===== ===== ========== ====
*Not an affiliate as of June 30, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer High Income Fund (OHIF), Oppenheimer Capital Appreciation Fund
(OCAP) and Oppenheimer Global Securities Fund (OGSF) (collectively, the
Funds) are separate series of Oppenheimer Variable Account Funds (the Trust),
a diversified, open-end management investment company registered under the
Investment Company Act of 1940, as amended. The Trust's investment advisor is
Oppenheimer Management Corporation (the Manager). The following is a summary
of significant accounting policies consistently followed by the Funds.
A. INVESTMENT VALUATION.
Portfolio securities of OHIF, OCAP and OGSF are valued at 4:00 p.m. (New York
time) on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or asked
price or the last sale price on the prior trading day. Long-term debt
securities are valued by a portfolio pricing service approved by the Board of
Trustees. Long-term debt securities which cannot be valued by the approved
portfolio pricing service are valued using dealer-supplied valuations
provided the Manager is satisfied that the firm rendering the quotes is
reliable and that the quotes reflect current market value, or under
consistently applied procedures established by the Board of Trustees to
determine fair value in good faith. Short-term debt securities having a
remaining maturity of 60 days or less are valued at cost (or last determined
market value) adjusted for amortization to maturity of any premium or
discount. Options are valued based upon the last sale price on the principal
exchange on which the option is traded or, in the absence of any transactions
that day, the value is based upon the last sale on the prior trading date if
it is within the spread between the closing bid and asked prices. If the last
sale price is outside the spread, the closing bid or asked price closest to
the last reported sale price is used. Forward foreign currency exchange
contracts (forward contracts) are valued based on the closing prices of the
forward currency contract rates in the London foreign exchange markets on a
daily basis.
B. SECURITY CREDIT RISK.
OHIF invests in high yield securities, which may be subject to a greater
degree of credit risk, greater market fluctuations and risk of loss of income
and principal, and may be more sensitive to economic conditions than lower
yielding, higher rated fixed income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. At June 30, 1995, securities with an aggregate
market value of $1,365,137, representing 1.21% of the Fund's net assets, were
in default.
C. FOREIGN CURRENCY TRANSLATION.
The accounting records of the Funds are maintained in U.S. dollars. Prices of
securities purchased by OHIF and OGSF that are denominated in foreign
currencies are translated into U.S. dollars at the closing rates of exchange.
Amounts related to the purchase and sale of securities and investment income
are translated at the rates of exchange prevailing on the respective dates of
such transactions.
OHIF and OGSF account for gains and losses on foreign currency transactions
with the transactions that gave rise to the exchange gain or loss. The net
gain or loss resulting from changes in foreign currency exchange rates is
reported separately in the Statement of Operations by OHIF and OGSF.
D. REPURCHASE AGREEMENTS.
The Funds require the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Funds may be delayed or limited.
E. FEDERAL TAXES.
The Trust intends for each Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
54
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
F. DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders of OHIF, OCAP and OGSF are
recorded on the ex-dividend date.
G. CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes primarily because of premium
amortization, paydown gains and losses and the recognition of certain foreign
currency gains (losses) as ordinary income (loss) for tax purposes. The
character of the distributions made during the year from net investment
income or net realized gains may differ from their ultimate characterization
for federal income tax purposes. Also, due to timing of dividend
distributions, the fiscal year in which amounts are distributed may differ
from the year that the income or realized gain (loss) were recorded by the
Funds.
H. OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the
ex-dividend date. Discount on securities purchased by OHIF, OCAP and OGSF is
amortized over the life of the respective securities, in accordance with
federal income tax requirements. Realized gains and losses on investments and
unrealized appreciation and depreciation are determined on an identified cost
basis, which is the same basis used for federal income tax purposes.
Dividends in kind are recognized as income on the ex-dividend date, at the
current market value of the underlying security. Interest on payment-in-kind
debt instruments is accrued as income at the coupon rate and a market
adjustment is made on the ex-date.
2. SHARES OF BENEFICIAL INTEREST
The Funds have authorized an unlimited number of no par value shares of
beneficial interest. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
OPPENHEIMER HIGH INCOME FUND OPPENHEIMER CAPITAL APPRECIATION FUND
--------------------------------------------------- ------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994 JUNE 30, 1995 DECEMBER 31, 1994
--------------------------------------------------- ------------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------- ------ ------ ------ ------- ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold..................... 2,975,278 $30,201,958 9,936,582 $ 81,477,904 4,239,860 $112,635,717 7,912,557 $173,453,586
Dividends and
distributions reinvested 501,076 5,088,667 841,101 8,686,931 40,594 1,082,642 614,575 17,331,023
Redeemed................. (2,361,029) (24,392,853) (9,441,490) (75,726,156) (3,281,251) (86,986,692) (5,695,411) (114,272,197)
---------- ----------- ---------- ------------ ---------- ------------ ---------- ------------
Net increase............. 1,115,325 $10,897,772 1,336,193 $ 14,438,679 999,203 $ 26,731,667 2,831,721 $ 76,512,412
========== =========== ========== ============ ========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER GLOBAL SECURITIES FUND
-----------------------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994
------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold..................... 6,243,202 $91,326,621 22,151,454 $336,310,887
Dividends and distributions
reinvested.............. 585,961 8,174,158 178,687 2,801,813
Redeemed................. (3,869,900) (56,937,590) (8,503,911) (112,426,012)
---------- ----------- ---------- ------------
Net increase............. 2,959,263 $42,563,189 13,826,230 $226,686,688
========== =========== ========== ============
</TABLE>
55
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN
CURRENCY TRANSACTIONS
At June 30, 1995, net unrealized appreciation or depreciation on investments,
options written and foreign currency transactions consisted of the following:
<TABLE>
<CAPTION>
OPPENHEIMER
OPPENHEIMER CAPITAL OPPENHEIMER
HIGH INCOME APPRECIATION GLOBAL SECURITIES
FUND FUND FUND
----------- ------------ -----------------
<S> <C> <C> <C>
Gross appreciation......... $ 5,624,107 $ 41,909,298 $ 37,143,205
Gross depreciation......... (2,492,479) (4,049,024) (18,532,754)
----------- ------------ ------------
Net unrealized
appreciation............. $ 3,131,628 $ 37,860,274 $ 18,610,451
=========== ============ ============
Purchases and sales
of investment securities
(excluding short-term
securities) for the six
months ended June 30, 1995
were as follows:
Purchases................. $68,877,527 $179,541,599 $259,674,019
=========== ============ ============
Sales..................... $49,789,133 $131,434,151 $193,639,326
=========== ============ ============
</TABLE>
4. OPTION ACTIVITY
The Funds may buy and sell put and call options, or write covered put and
call options on portfolio securities in order to produce incremental earnings
or protect against changes in the value of portfolio securities.
The Funds generally purchase put options or write covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Funds receive a premium and become obligated to sell
or purchase the underlying security at a fixed price, upon exercise of the
option. The Funds segregate assets to cover their obligations under option
contracts.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Funds will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a
written put option, or the cost of the security for a purchased put or call
option is adjusted by the amount of premium received or paid.
In this report, securities held to cover outstanding call options are noted
in the Statement of Investments. Shares subject to call, expiration date,
exercise price, premium received and market value are detailed in a footnote
to the Statement of Investments. Options written are reported as a liability
in the Statement of Assets and Liabilities. Gains and losses are reported in
the Statement of Operations.
The risk in writing a call option is that the Funds give up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a
loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium
whether or not the option is exercised. The Funds also have the additional
risk of not being able to enter into a closing transaction if a liquid
secondary market does not exist. The Funds may also write over-the-counter
options where the completion of the obligation is dependent upon the credit
standing of the counterparty.
56
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
A forward foreign currency exchange contract (forward contract) is a
commitment to purchase or sell a foreign currency at a future date, at a
negotiated rate.
The Funds use forward contracts to seek to manage foreign currency risks.
They may also be used to tactically shift portfolio currency risk. The Funds
generally enter into forward contracts as a hedge upon the purchase or sale
of a security denominated in a foreign currency. In addition, the Funds may
enter into such contracts as a hedge against changes in foreign currency
exchange rates on portfolio positions.
Forward contracts are valued at the closing price on the London foreign
exchange market on a daily basis. The Funds will realize a gain or loss upon
the closing or settlement of the forward transaction.
In this report, securities segregated to cover net exposure on outstanding
forward contracts are noted in the Statements of Investments where
applicable. Gains and losses on outstanding contracts (unrealized
appreciation or depreciation on forward contracts) are reported in the
Statements of Assets and Liabilities. Realized gains and losses are reported
with all other foreign currency gains and losses in the Funds' results of
operations.
Risks include the potential inability of the counterparty to meet the terms
of the contract and unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
At June 30, 1995, outstanding forward foreign currency exchange contracts
(forward contracts) to purchase and sell foreign currencies were as follows:
<TABLE>
<CAPTION>
OPPENHEIMER HIGH INCOME FUND
CONTRACT SIZE VALUATION AS OF UNREALIZED
CONTRACTS TO SELL EXPIRATION DATE (IN THOUSANDS) JUNE 30, 1995 (DEPRECIATION)
- ----------------- --------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
German Deutsche Mark......... 7/24/95-7/31/95 3,070 $ 2,220,955 $ (18,936)
=========== =========
<CAPTION>
OPPENHEIMER GLOBAL SECURITIES FUND
UNREALIZED
CONTRACT SIZE VALUATION AS OF APPRECIATION
CONTRACTS TO BUY EXPIRATION DATE (IN THOUSANDS) JUNE 30, 1995 (DEPRECIATION)
- ----------------- --------------- -------------- --------------- --------------
<S> <C> <C> <C> <C>
Thailand Baht ............... 9/8/95 47,268 $ 1,914,845 $ 9,646
=========== -------
CONTRACTS TO SELL
- ---------------------------
Austrian Schilling........... 7/31/95 58,503 $ 6,019,591 $ (19,591)
Australian Dollar............ 7/31/95 11,220 7,957,774 42,226
British Pound Sterling....... 7/31/95 4,930 7,853,073 (53,073)
German Deutsche Mark......... 7/31/95 30,512 22,075,608 (75,608)
Finnish Markka............... 7/31/95 17,023 3,978,538 21,463
French Franc................. 7/31/95 68,362 14,090,121 (90,121)
Italian Lira................. 7/31/95 6,263,848 3,815,590 8,029
Japanese Yen................. 8/17/95 1,545,660 18,206,865 (206,865)
Netherlands Guilder.......... 7/31/95 12,426 8,028,274 (28,274)
Norwegian Krone.............. 7/31/95 42,070 6,828,559 (28,559)
Portuguese Escudo............ 7/31/95 1,032 7,028,361 (28,361)
Spanish Peseta............... 7/5/95-7/31/95 383,615 3,159,695 (11,296)
Swedish Krona................ 7/3/95-7/31/95 102,659 14,061,707 23,442
Swiss Franc.................. 7/3/95-7/31/95 12,958 11,278,131 23,802
------------ ----------- ---------
8,554,818 $134,381,887 (422,786)
============ =========
$(413,140)
=========
</TABLE>
57
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
6. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreements with the Trust. For OCAP and OGSF, the annual fees are
.75% of the first $200 million of net assets, .72% of the next $200 million,
.69% of the next $200 million, .66% of the next $200 million and .60% of net
assets in excess of $800 million. In addition, management fees for OHIF are
.50% of net assets in excess of $1 billion.
7. ILLIQUID AND RESTRICTED SECURITIES
At June 30, 1995, investments in securities included issues that are illiquid
or restricted. The securities are often purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by
the Board of Trustees as reflecting fair value. The Funds intend to invest no
more than 10% of net assets (determined at the time of purchase) in illiquid
and restricted securities. Information concerning these securities is as
follows:
<TABLE>
<CAPTION>
OPPENHEIMER HIGH INCOME FUND
VALUATION
ACQUISITION COST AS OF
SECURITY DATE PER UNIT JUNE 30, 1995
- -------- ----------- -------- -------------
<S> <C> <C> <C>
ECM Fund, L.P.I........................ 4/14/92 $1,000.00 $1,000.00
ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02 4/14/92 $ 100.00 $ 110.00
Gillett Holdings, Inc., Cl.1........... 12/1/92 $ 10.50 $ 20.00
Goldman Sachs & Co., Argentina Local Market
Securities Trust, 11.30%, 4/1/00....... 8/24/94 $ 100.00 $ 91.00
Purity Supreme, Inc. Wts., Exp. 8/97... 7/29/92 $ 0.00 $ .02
Triangle Wire & Cable, Inc............. 5/2/94 $ 9.50 $ 2.00
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $1,504,286 or 1.3% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
8. INTRODUCTION OF OPPENHEIMER GROWTH & INCOME FUND
Oppenheimer Growth & Income Fund commenced operations as a separate series of
the Trust on July 7, 1995.
58
