<PAGE>
A MESSAGE TO OUR CONTRACT OWNERS:
We are pleased to forward this combined Annual Report of the segment of
Massachusetts Mutual Variable Life Separate Account I pertaining to Variable
Life Select (the "Variable Life Select Segment"), the MML Series Investment Fund
and the Oppenheimer Variable Account Funds. These reports are for the year ended
December 31, 1995.
The Annual Report for the Variable Life Select Segment begins on page 3. The
Variable Life Select Segment has net assets of $741,286 as of December 31, 1995.
Net asset values per accumulation unit for the MML Equity, MML Money Market, MML
Managed Bond, MML Blend, Oppenheimer Capital Appreciation, Oppenheimer Growth,
Oppenheimer Global Securities and Oppenheimer Strategic Bond Divisions of the
Variable Life Select Segment as of December 31, 1995 are shown in detail on page
3.
The Annual Report for the MML Series Investment Fund begins on page 11. This
report contains a detailed description of the financial results of the four
series of the MML Series Investment Fund - MML Equity Fund, MML Money Market
Fund, MML Managed Bond Fund and MML Blend Fund for the year ended December 31,
1995.
The Annual Report for the Oppenheimer Variable Account Funds begins on page 35.
This report contains a detailed description of the performance of the
Oppenheimer Capital Appreciation, Oppenheimer Growth, Oppenheimer Global
Securities and Oppenheimer Strategic Bond Divisions for the year ended December
31, 1995.
Management appreciates the interest and confidence you have shown in the
Variable Life Select Segment.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/ Thomas B. Wheeler
Thomas B. Wheeler
President and Chief Executive Officer
February 1, 1996
1
<PAGE>
TABLE OF CONTENTS
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I
<TABLE>
<CAPTION>
<S> <C>
Variable Life Select
Statement of Assets and Liabilities as of December 31, 1995.............................. 3
Statement of Operations For the Period July 24, 1995 (Date of Commencement of Operations)
Through December 31, 1995............................................................... 4
Statement of Changes in Net Assets For the Period July 24, 1995 (Date of Commencement
of Operations) Through December 31, 1995................................................ 5
Notes to Financial Statements............................................................ 6-9
Report of Independent Accountants........................................................ 10
MML SERIES INVESTMENT FUND
To Our Shareholders...................................................................... 11-13
Statement of Assets and Liabilities as of December 31, 1995.............................. 14
Statement of Operations For the Year Ended December 31, 1995............................. 15
Statement of Changes in Net Assets For the Years Ended December 31, 1995 and 1994........ 16
Financial Highlights..................................................................... 17-18
Schedule of Investments as of December 31, 1995
MML Equity Fund........................................................................ 19-21
MML Money Market Fund.................................................................. 22
MML Managed Bond Fund.................................................................. 23-25
MML Blend Fund......................................................................... 26-30
Notes to Financial Statements............................................................ 31-33
Report of Independent Accountants........................................................ 34
OPPENHEIMER VARIABLE ACCOUNT FUND
Statement of Assets and Liabilities as of December 31, 1995.............................. 35
Statement of Operations For the Year Ended December 31, 1995............................. 36
Statement of Changes in Net Assets For the Years Ended December 31, 1995 and 1994........ 37
Financial Highlights..................................................................... 38-41
Schedule of Investments as of December 31, 1995
Oppenheimer Capital Appreciation Fund................................................... 42-44
Oppenheimer Growth Fund................................................................. 45-46
Oppenheimer Global Securities Fund...................................................... 47-49
Oppenheimer Strategic Bond Fund......................................................... 50-55
Notes to Financial Statements............................................................ 56-63
Independent Auditor's Report............................................................. 64
Federal Income Tax Information........................................................... 65
</TABLE>
2
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I - VARIABLE LIFE SELECT
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<TABLE>
<CAPTION>
MML MML Oppenheimer Oppenheimer Oppenheimer
MML Money Managed MML Capital Oppenheimer Global Strategic
Equity Market Bond Blend Appreciation Growth Securities Bond
Division Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares
(Note 2).......... 21,058 71,750 634 1,744 946 728 1,342 1,326
======== ======== ======== ======== ======== ======== ======== ========
Identified cost
(Note 3B)......... $551,391 $71,750 $7,681 $36,024 $30,361 $16,449 $20,116 $6,375
======== ======== ======== ======== ======== ======== ======== ========
Value (Note 3A).... $545,903 $71,750 $7,887 $35,780 $32,376 $17,133 $20,127 $6,510
Dividends receivable. 20,711 153 122 1,059 -- -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total assets...... 566,614 71,903 8,009 36,839 32,376 17,133 20,127 6,510
LIABILITIES
Payable to
Massachusetts Mutual
Life Insurance
Company............. 13,024 92 136 3,596 457 452 468 --
-------- -------- -------- -------- -------- -------- -------- --------
NET ASSETS........... $553,590 $71,811 $7,873 $33,243 $31,919 $16,681 $19,659 $6,510
======== ======== ======== ======== ======== ======== ======== ========
Net Assets consist of:
For variable life
insurance policies.. $548,034 $66,704 $2,505 $27,819 $26,199 $11,145 $14,782 $1,193
Retained in Variable
Life Separate
Account I by
Massachusetts Mutual
Life Insurance
Company............. 5,556 5,107 5,368 5,424 5,720 5,536 4,877 5,317
-------- -------- -------- -------- -------- -------- -------- --------
Net assets........... $553,590 $71,811 $7,873 $33,243 $31,919 $16,681 $19,659 $6,510
======== ======== ======== ======== ======== ======== ======== ========
Accumulation units
(Note 8)
Number of units:
Policyowners....... 493,293 65,304 2,333 25,644 22,900 10,067 15,154 1,122
Massachusetts
Mutual Life
Insurance
Company.......... 5,000 5,000 5,000 5,000 5,000 5,000 5,000 5,000
-------- -------- -------- -------- -------- -------- -------- --------
Total units.......... 498,293 70,304 7,333 30,644 27,900 15,067 20,154 6,122
======== ======== ======== ======== ======== ======== ======== ========
NET ASSET VALUE PER
ACCUMULATION UNIT
December 31, 1995... $1.11 $1.02 $1.07 $1.08 $1.14 $1.11 $.98 $1.06
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I - VARIABLE LIFE SELECT
STATEMENT OF OPERATIONS
For the Period July 24, 1995 (Date of Commencement of Operations)
Through December 31, 1995
<TABLE>
<CAPTION>
MML MML Oppenheimer Oppenheimer Oppenheimer
MML Money Managed MML Capital Oppenheimer Global Strategic
Equity Market Bond Blend Appreciation Growth Securities Bond
Division Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income
Dividends (Note 3B)....$ 20,711 $ 262 $ 206 $ 1,178 $ -- $ -- $ -- $ 214
Expenses
Mortality and expense
risk fee (Note 4)..... 469 27 14 37 31 20 23 13
-------- -------- -------- -------- --------- -------- -------- --------
Net investment income
(loss) (Note 3C)...... 20,242 235 192 1,141 (31) (20) (23) 201
-------- -------- -------- -------- --------- -------- -------- --------
Net realized and
unrealized gain (loss)
on investments
Net realized gain
(loss) on investments
(Notes 3B, 3C and 6).. 7,057 -- 9 350 149 106 (47) 5
Change in net
unrealized
appreciation/
depreciation of
investments........... (5,488) -- 206 (244) 2,015 684 11 135
-------- -------- -------- -------- --------- -------- -------- --------
Net gain (loss) on
investments........... 1,569 -- 215 106 2,164 790 (36) 140
-------- -------- -------- -------- --------- -------- -------- --------
Net increase (decrease)
in net assets
resulting from
operations............$ 21,811 $ 235 $ 407 $ 1,247 $ 2,133 $ 770 $ (59) $ 341
======== ======== ======== ======== ========= ======== ======== ========
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
Massachusetts Mutual Variable Life Separate Account I - Variable Life Select
STATEMENT OF CHANGES IN NET ASSETS
For the Period July 24, 1995 (Date of Commencement of Operations)
Through December 31, 1995
<TABLE>
<CAPTION>
MML MML Oppenheimer Oppenheimer Oppenheimer
MML Money Managed MML Capital Oppenheimer Global Strategic
Equity Market Bond Blend Appreciation Growth Securities Bond
Division Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income
(loss).............. $ 20,242 $ 235 $ 192 $ 1,141 $ (31) $ (20) $ (23) $ 201
Net realized gain
(loss)
on investments...... 7,057 -- 9 350 149 107 (47) 5
Change in net
unrealized
appreciation/
depreciation of
investments......... (5,488) -- 206 (244) 2,015 683 11 135
-------- -------- -------- -------- --------- -------- -------- --------
Net increase (decrease)
in net assets
resulting from
operations.......... 21,811 235 407 1,247 2,133 770 (59) 341
-------- -------- -------- -------- --------- -------- -------- --------
Capital transactions:
(Note 7)
Transfer of net
premium (Note 5).... 575,136 72,441 2,871 30,926 29,600 12,994 18,636 1,521
Transfer from
Massachusetts Mutual
Life Insurance
Company............. 5,000 5,000 5,000 5,000 5,000 5,000 5,000 5,000
Transfer due to
reimbursement (payment)
of accumulation unit
value fluctuation... 4,084 7 21 (106) (45) (50) (98) 1
Withdrawal due to
charges for
administrative and
insurance costs..... (50,734) (5,872) (439) (4,424) (5,710) (2,186) (3,820) (353)
Divisional transfers. (1,707) -- 13 600 941 153 -- --
-------- -------- -------- -------- --------- -------- -------- --------
Net increase in net
assets
resulting from
capital transactions. 531,779 71,576 7,466 31,996 29,786 15,911 19,718 6,169
-------- -------- -------- -------- --------- -------- -------- --------
Total increase........ 553,590 71,811 7,873 33,243 31,919 16,681 19,659 6,510
NET ASSETS, at beginning
of the period........ -- -- -- -- -- -- -- --
-------- -------- -------- -------- --------- -------- -------- --------
NET ASSETS, at end of
the year............. $553,590 $ 71,811 $ 7,873 $ 33,243 $ 31,919 $ 16,681 $ 19,659 $ 6,510
======== ======== ======== ======== ========= ======== ======== ========
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE LIFE SEPARATE ACCOUNT I - VARIABLE LIFE SELECT
NOTES TO FINANCIAL STATEMENTS
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 four segments within Separate Account I. The initial
segment ("Variable Life Plus Segment") is used exclusively for MassMutual's
flexible premium variable whole life insurance policy.
On March 30, 1990, MassMutual established a second segment ("Large Case
Variable Life Plus Segment") within Separate Account I to be used
exclusively for MassMutual's flexible premium variable whole life insurance
policy with table of selected face amounts.
On July 5, 1995, MassMutual established a third segment ("Strategic Variable
Life Segment") within Separate Account I to be used exclusively for
MassMutual's flexible premium variable whole life insurance policy with table
of selected face amounts.
On July 24, 1995, MassMutual established a fourth segment ("Variable Life
Select Segment") within Separate Account I to be used exclusively for
MassMutual's flexible premium variable whole life insurance policy.
The Separate Account I 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 the Variable Life Select Segment on
July 24, 1995 to provide initial capital: 7,656 shares were purchased in the
two management investment companies described in Note 2 supporting the eight
divisions of the Variable Life Select Segment.
2. INVESTMENT OF THE VARIABLE LIFE SELECT SEGMENT'S ASSETS
The Variable Life Select Segment maintains eight 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 Capital Appreciation Division
invests in shares of Oppenheimer Capital Appreciation Fund, the Oppenheimer
Growth Division invests in shares of Oppenheimer Growth Fund, the Oppenheimer
Global Securities Division invests in shares of Oppenheimer Global Securities
Fund and the Oppenheimer Strategic Bond Division invests in shares of
Oppenheimer Strategic Bond 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
DLB 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 Capital Appreciation Fund, Oppenheimer Growth Fund, Oppenheimer
Global Securities Fund and Oppenheimer Strategic Bond Fund are part of the
Oppenheimer Variable Account Funds (the "Oppenheimer Trust"). The
Oppenheimer Trust is a registered, open-end, diversified management
investment company for which Oppenheimer Management Corporation ("OMC") acts
as investment advisor (effective January 5, 1996, the name of OMC was changed
to OppenheimerFunds, Inc.).
In addition to the eight divisions of the Variable Life Select Segment, 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 the Variable Life Select Segment in preparation of the
financial statements in conformity with generally accepted accounting
principles.
6
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
A. Investment Valuation
The investments in the 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. 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. The Variable Life
Select Segment is part of MassMutual's total operation and is not taxed
separately. The Variable Life Select Segment 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 the Variable Life Select Segment credited to
the policies. Accordingly, MassMutual does not intend to make any charge to
the Variable Life Select Segment'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 the Variable Life Select Segment.
D. Policy Loan
When a policy loan is made, the Variable Life Select Segment transfers the
amount of the loan to MassMutual, thereby decreasing both the assets and the
reserves of the Variable Life Select Segment by an equal amount. The interest
rate charged on any loan is 6% per year or the policyowner may select an
adjustable loan rate, in all jurisdictions except Arkansas, at the time of
application. All loan repayments are allocated to the Guaranteed Principal
Account.
The policyowner earns interest at an annual rate determined by MassMutual,
which will not be less than 3%, on any loaned amount.
E. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
4. CHARGES
MassMutual charges the Variable Life Select Segment divisions for the
mortality and expense risks it assumes. The charge is made daily at an
effective annual rate of 0.55% of the value of each division's net assets.
MassMutual makes certain deductions from the annual premium before amounts
are allocated to the Variable Life Select Segment 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 Variable Life Select Segment. 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.
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
6. PURCHASE AND SALES OF INVESTMENTS
<TABLE>
<CAPTION>
For the Period July 24, 1995 MML MML Oppenheimer Oppenheimer Oppenheimer
(Date of Commencement of MML Money Managed MML Capital Oppenheimer Global Strategic
Operations) Equity Market Bond Blend Appreciation Growth Securities Bond
Through December 31, 1995 Division Division Division Division Division Division Division Division
- ------------------------- -------- -------- -------- -------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Cost of purchases.......... $1,191,879 $72,199 $7,914 $41,373 $31,873 $17,673 $22,251 $6,588
Proceeds from sales........ 647,545 449 242 5,699 1,661 1,330 2,088 217
Average monthly value of
securities................ 165,568 16,903 5,811 16,404 13,844 8,760 10,034 5,458
</TABLE>
7. NET INVESTMENT RETURN
The following table shows the net investment return for each division in the
Variable Life Select Segment:
<TABLE>
<CAPTION>
For the Period July 24, 1995 MML MML Oppenheimer Oppenheimer Oppenheimer
(Date of Commencement of MML Money Managed MML Capital Oppenheimer Global Strategic
Operations) Equity Market Bond Blend Appreciation Growth Securities Bond
Through December 31, 1995 Division Division Division Division Division Division Division Division
------------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
December 31, 1995.............. 13.40% 1.39% 7.01% 8.28% 15.56% 8.92% (0.60)% 6.25%
</TABLE>
The net investment return for each division of the Variable Life Select
Segment 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.
Note: The amounts shown are not annualized.
8. NET INCREASE IN ACCUMULATION UNITS
<TABLE>
<CAPTION>
For the Period July 24, 1995 MML MML Oppenheimer Oppenheimer Oppenheimer
(Date of Commencement of MML Money Managed MML Capital Oppenheimer Global Strategic
Operations) Equity Market Bond Blend Appreciation Growth Securities Bond
Through December 31, 1995 Division Division Division Division Division Division Division Division
- ------------------------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Units transferred from
MassMutual for initial
capital...................... 5,000 5,000 5,000 5,000 5,000 5,000 5,000 5,000
Units purchased............... 541,875 71,065 2,740 29,293 27,280 11,921 18,971 1,462
Units withdrawn............... (47,051) (5,761) (419) (4,190) (5,226) (1,997) (3,817) (340)
Units transferred between
divisions.................... (1,531) -- 12 541 846 143 -- --
-------- -------- -------- -------- -------- -------- -------- ---------
Net increase.................. 498,293 70,304 7,333 30,644 27,900 15,067 20,154 6,122
Units, at beginning of the
period....................... -- -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- ---------
Units, at end of the year..... 498,293 70,304 7,333 30,644 27,900 15,067 20,154 6,122
======== ======== ======== ======== ======== ======== ======== =========
</TABLE>
8
<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 Variable Life Select Segment. The combined net assets as of
December 31, 1995 for the Separate Account I, which includes the Variable
Life Plus, the Large Case Variable Life Plus, Strategic Variable Life and
Variable Life Select Segments, are as follows:
<TABLE>
<CAPTION>
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High
Equity Market Bond Blend Money Income
Division Division Division Division Division Division
----------- ---------- ---------- ---------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Total Assets.................. $26,836,037 $2,133,915 $1,624,713 $6,123,793 $5,128 $1,904,738
Total Liabilities............. 13,542 166 178 3,597 1 62
----------- ---------- ---------- ---------- --------- ----------
Net Assets.................... $26,822,495 $2,133,749 $1,624,535 $6,120,196 $5,127 $1,904,676
=========== ========== ========== ========== ========= ==========
Net Assets:
For variable life insurance
policies..................... $26,755,049 $2,086,950 $1,570,853 $6,058,216 $ -- $1,893,501
Retained in Variable Life
Separate Account 1 by
Massachusetts Mutual Life
Insurance Company............ 67,446 46,799 53,682 61,980 5,127 11,175
----------- ---------- ---------- ---------- --------- ----------
Net Assets.................... $26,822,495 $2,133,749 $1,624,535 $6,120,196 $5,127 $1,904,676
=========== ========== ========== ========== ========= ==========
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Oppenheimer Capital Oppenheimer Multiple Global Strategic Oppenheimer
Bond Appreciation Growth Strategies Securities Bond Growth & Income
Division Division Division Division Division Division Division
-------- ---------- -------- -------- ----------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Total Assets................ $5,282 $6,115,715 $22,781 $5,332 $10,342,662 $11,843 $6,254
Total Liabilities........... -- 652 453 1 806 -- --
-------- ---------- -------- -------- ----------- ------- --------
Net Assets.................. $5,282 $6,115,063 $22,328 $5,331 $10,341,856 $11,843 $6,254
======== ========== ======== ======== =========== ======= ========
Net Assets'
For variable life
insurance policies.......... -- $6,097,294 $11,145 $ -- $10,327,228 $ 1,193 $ --
Retained in Variable Life
Separate Account 1 by
Massachusetts Mutual Life
Insurance Company.......... 5,282 17,769 11,183 5,331 14,628 10,650 6,254
-------- ---------- -------- -------- ----------- ------- --------
Net Assets.................. $5,282 $6,115,063 $22,328 $5,331 $10,341,856 $11,843 $6,254
======== ========== ======== ======== =========== ======= ========
</TABLE>
Offered through MML Investors Services, Inc., Springfield, Massachusetts.
9
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Directors and Policyowners of
Massachusetts Mutual Life Insurance Company
We have audited the statement of assets and liabilities of the MML Equity
Division, MML Money Market Division, MML Managed Bond Division, MML Blend
Division, Oppenheimer Capital Appreciation Division, Oppenheimer Growth
Division, Oppenheimer Global Securities Division, and Oppenheimer Strategic Bond
Division of the Variable Life Select segment of Massachusetts Mutual Variable
Life Separate Account I as of December 31, 1995, and the related statements of
operations and changes in net assets for the period July 24, 1995 (date of
commencement of operations) to December 31, 1995. These financial statements are
the responsibility of the Account's management. Our responsibility is to express
an opinion on these financial statements based on our audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
verification of investments owned as of December 31, 1995 by examination of the
records of MML Series Investment Fund and by confirmation with Oppenheimer
Variable Account Funds. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of the MML Equity Division, MML
Money Market Division, MML Managed Bond Division, MML Blend Division,
Oppenheimer Capital Appreciation Division, Oppenheimer Growth Division,
Oppenheimer Global Securities Division, and Oppenheimer Strategic Bond Division
of the Variable Life Select segment of Massachusetts Mutual Variable Life
Separate Account I as of December 31, 1995, the results of their operations and
the changes in their net assets for the period July 24, 1995 (date of
commencement of operations) to December 31, 1995, in conformity with generally
accepted accounting principles.
Coopers & Lybrand L.L.P.
Springfield, Massachusetts
February 9, 1996
10
<PAGE>
MML SERIES INVESTMENT FUND
TABLE OF CONTENTS
Page
----
To Our Shareholders..................................................... 2 - 4
Statement of Assets and Liabilities as of December 31, 1995............. 5
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations for the year ended December 31, 1995............ 6
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets for the year ended December 31, 1995
and 1994............................................................... 7
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................... 8
MML Money Market Fund.............................................. 8
MML Managed Bond Fund.............................................. 9
MML Blend Fund..................................................... 9
Schedule of Investments as of December 31, 1995
MML Equity Fund.................................................... 10 - 12
MML Money Market Fund.............................................. 13
MML Managed Bond Fund.............................................. 14 - 16
MML Blend Fund..................................................... 17 - 21
Notes to Financial Statements........................................... 22 - 24
Report of Independent Accountants....................................... 25
1
<PAGE>
MML Series Investment Fund
To Our Shareholders
An Economic Soft Landing Is Achieved in U.S.
The past year saw the continuation of a very good economic environment for
investors in both stocks and bonds. The U.S. economic growth rate as measured by
Gross Domestic Product continued to slow throughout the year from its heated
level of 4.1% in 1994 to roughly 2.5% in 1995. The Federal Reserve, which had
been raising rates during 1994 in an attempt to slow growth somewhat, was able
to change course and even move rates lower. Because the economy is cyclical, the
Fed wanted growth to slow to a more moderate, sustainable level - a "soft
landing" from 1994's rapid pace - to prolong the positive part of the current
cycle.
As demand for goods slowed from 1994 levels, businesses began reducing their
inventories, which had started the year at high levels. This in turn slowed
order- and production-driven demand from the manufacturing sector, which exerted
further downward pressure on the growth rate, supported the cause for interest
rate cuts, and helped keep inflation at bay.
Stock and Bond Markets React
While the Federal Reserve actually increased rates as late as February 1995, the
bond market had begun to rally as early as November 1994 on the belief that
growth would slow enough to indicate a change in monetary policy. The market was
correct. The Fed's February rate increase of 1/2 point was followed during the
year by two cuts of 1/4 point each in July and December. Rates on Treasuries
fell significantly during this period, which drove dramatic price appreciation
for Treasuries. The prices in most other bond sectors followed suit, with 1995
playing out to be one of the strongest bull markets for bonds in history.
Backed by low interest rates and a strong bond market, stocks reached all-time
highs in 1995. The Dow Jones Industrial Average made new highs almost daily,
hitting a peak of 5216 and closing the year at 5117, and the S&P 500 rose
37.58%. In addition to support from the bond market, stocks reacted to continued
positive earnings surprises, merger and consolidation activity, an improving
export picture and growing productivity and efficiency throughout corporate
America.
Outlook for Economy, Markets Remains Positive
The forecast for the economy and markets appears favorable, though both should
be somewhat more moderate than they were during the past year. Economic growth
will probably slow further because employment and personal income - which are
important components of demand - are not strong enough to fuel increases in
demand-driven growth.
Even in the face of a slower economy, sales and earnings remained strong through
the end of 1995. The U.S. had its biggest productivity gain on record in 1995
and exports grew, aided in the early part of the year by a weak dollar, which in
turn created improvements in trade. Going into 1996, we expect to see exports
remain strong, as U.S. businesses recognize that future growth will come in part
from operating in a global market. This opinion is supported by the heavy
outlays we've seen for business equipment, which should further enhance
competitiveness, productivity and export activity for the coming year.
The Case for Value Investing
Because of uncertainty about the slowing in the economy throughout 1995, growth
investing, or buying stocks of companies whose earnings growth rates can surpass
that of the economy, took the lead last year. By the same token it was growth,
rather than income, that led to the dramatic appreciation of 1995's bond market.
With both markets currently at high levels in terms of price, we believe we will
see a return of superior performance from value investing strategies. Value
investing relies on capturing appreciation by "buying well" and seeking out
fundamental values, rather than buying above-average growth. Value investors
like the MML Series Investment Fund work to buy stocks and bonds that are either
temporarily out-of-favor with the markets, or that offer opportunities that have
not yet been recognized by the investment community at large.
With stocks and bonds at highs and an economy that is likely to continue to
slow, we expect both the stocks and bond markets to return to more "normal"
activity in terms of returns and volatility. In this type of environment, value
investing should continue to offer solid long-term results. Since security
selection should be very important in the coming year, your portfolio managers
will continue to rely upon hands-on research and careful analysis in an effort
to find the best opportunities for investors.
/s/ Stuart H. Reese
Stuart H. Reese
President
MML Series Investment Fund
January 31, 1996
2
<PAGE>
MML EQUITY
How has the Fund performed over the period?
The Fund has performed very well, with 1995 returns at nearly three times the
long-term average for stocks. Typically, our value-oriented style has not
outperformed the broad market indices in years where absolute gains have been as
robust as in 1995. Over the long term, however, our value strategy - focusing on
dividend-paying companies with strong balance sheets while their stocks are
selling at what we consider low prices - has been very successful.
How did large company stocks perform in 1995?
Large company stocks were the place to be this year. Benefiting from improved
productivity, falling interest rates and, through August, a weak dollar, large
companies were able to turn in earnings at levels more typical of small company
growth stocks, which drove their prices up. The market's focus on large cap
stocks benefited the Fund.
What strategic moves have you made within the portfolio?
Though we make investments based on researching individual companies rather than
their industry sectors, the biggest move we made over the period was increasing
our exposure to consumer non-durables companies, one of the best performing
sectors for the year. Our purchases in Albertson's, a major grocery concern and
several consumer goods companies such as American Brands and Kimberly-Clark,
benefited the portfolio considerably. These businesses typically are insulated
from slowing economic growth. We also increased our holdings in the very strong
financial services area, buying the stock of MBIA, a municipal bond insurer and
Safeco, a large property and casualty insurance firm. Our higher exposure to
financial services was another plus for the Fund - in fact, looking back, we
would have liked to have owned more. Over the year, the size of the Fund has
grown, and so has the weighted average market capitalization. This was a third
benefit during a period of large cap leadership.
What segments of the market are you currently targeting?
Our buying has shifted from consumer non-durables to more cyclical companies.
Because this area suffered price declines over the year as the market favored
sectors with more stable earnings, we've been able to buy stocks at what we
consider compelling values. We are buying and looking to buy companies that can
benefit from lower basic materials costs and thus improve their profit margins
regardless of the slower economy.
What is your outlook for the Fund?
After the past year, it's become more difficult to find reasonably-priced
stocks, but with inflation and long-term interest rates low, our outlook remains
favorable. We believe the coming year's market will be positive, but that it
will perform more like its historical average than it did in 1995. We expect to
see more typical levels of volatility than last year's market. During the past
year, the broad market advanced significantly. Going forward, we believe stock
selection will again become more important. That could benefit the Fund in that
strong stock selection is one of the major advantages of a research-driven value
strategy like ours.
MML MONEY MARKET
How has the Fund performed over the period?
The Fund has performed well, remaining on target with its goal of providing
principal preservation and a competitive level of current income by investing in
highly liquid short-term debt instruments. While longer-term interest rates
continued to decline over the majority of the year, rates for the extremely
short-term securities we focus on remained favorable, and even exceeded rates on
longer-term issues at certain times during the year.
What strategic moves have you made within the portfolio?
Over the course of the year, we made one major change. Both in the early part of
1995 when it was anticipated and then later when it actually happened, we
lengthened the average maturity of the Fund's portfolio on the likelihood of the
Federal Reserve's interest rate cuts. By lengthening our maturity, we hoped to
make use of available higher current income levels for as long as possible,
expecting that debt issued after a rate cut would offer lower income levels.
This strategy benefited the Fund by allowing us to maintain our income stream
while the market adjusted to the Fed's actions.
What is your outlook for the Fund?
The Fed eased, or lowered rates, twice in 1995 and may do so again in the first
few months of 1996 depending on the forecast for the economy. If it appears that
the economy has slowed too far, or if budget discussions are finalized, another
decline is a distinct possibility. However, we believe that any further declines
will not be significant. In this environment, we are continuing to extend
maturities in an effort to make the most of the current rates while maintaining
an emphasis on principal stability. Our outlook for the Fund remains optimistic,
though our performance as always will be tied to any changes in the Federal
Reserve's monetary policy.
3
<PAGE>
MML MANAGED BOND
How has the Fund performed over the period?
The Fund's performance has been excellent. It compares favorably to its market
indices and has been outstanding on an absolute and historical basis. The past
year has been an extremely strong period for the bond market in general, with
bonds from almost every sector the Fund invests in benefiting from decreasing
interest rates and the price appreciation that accompanies rate declines.
What strategic decisions have you made within the portfolio as a result of lower
rates?
In response to declines in interest rates, our duration increased somewhat over
the period. A longer duration will help us take advantage of any potential
benefits from further changes in the rate structure. New supply in the market
tended to be longer, particularly in corporate bonds. This was due in part to
lower rates. So increasing our duration has allowed us to continue to track the
duration of the Lehman Government/Corporate Index, which is our benchmark. The
portfolio's average duration increased over the period from 4.85 years to 5.23
years.
What other strategic moves have you made within the portfolio?
During the year, the Fund grew from $121 million to $159 million in size. While
this was due in part to asset appreciation and in part to new investments, it
required a great deal of trading activity to become fully invested. Over the
period we initially increased our holdings of Treasuries, and then we sold some
of our Treasuries as the market improved. Corporates also performed well over
the period due to strong fundamentals and demand factors. Additionally, we
increased our holdings of mortgage-backed securities. Though mortgages are
typically sensitive to prepayment risk, our well-seasoned, well-structured
holdings remained strong throughout the period's declines in rates.
What areas of the market are you currently targeting?
As we believe the corporate market still offers strong potential, though within
a slowing economy, we're employing extensive credit research before investing in
corporate issues. We also continue to increase our exposure to the mortgage-
backed sector of the market, especially in adjustable rate mortgages, where
we're finding particularly attractive pricing. Pricing remains an important part
of our investment strategy. We continue to buy bonds across sectors wherever we
believe we've found appreciation potential through mispriced issues.
What is your outlook for the Fund?
This has been a dramatic year for the bond market and the Fund. While current
low inflation and slow to moderate economic growth lead us to believe there is
still room for appreciation in the market, it would be very difficult to imagine
repeating 1995's performance. Our outlook is for the extension of a positive
market environment, where income will again be an important component of total
return. Within this outlook, we expect the Fund to continue to provide high
total return potential consistent with reasonable risk by maintaining a
diversified portfolio of high quality bonds.
MML BLEND
How has the Fund performed over the period?
The Fund has performed quite well, backed by the dramatic appreciation declining
interest rates sparked in both the stock and bond markets. Because of the Fund's
focus on preservation of capital, however, it did not perform as well as some of
its more aggressive peers over this unusual time period. Though it will tend to
lag in strong bull markets, we believe our strategy is prudent for long-term
investors and that it will outperform over time.
Did your allocation between stocks, bonds and cash change over the period?
Our stock holdings will normally fall within a range of 50% to 70% of the
portfolio. In the beginning of the year, we were 53% invested in stocks and by
the end of year, they represented approximately 54%. Our core bond holdings at
the end of 1995 represented 15% of the portfolio, down from 19%. In bonds, a
flattening yield curve also indicated a shortening in the average life of our
portfolio. When the yield curve is flatter, investors are typically not
well-compensated for extending into longer-maturity bonds. While this excluded
us from some of the appreciation in the bond market, our bond portfolio
performed well. Our allocation decisions stem from a policy consistent with
preservation of capital. The remainder of the portfolio, approximately 31% up
from 28% a year ago, is invested in short-term securities.
What is your outlook for the Fund?
An environment of low inflation, favorable interest rates and slow to moderate
economic growth suggests the continuation of decent markets for both stocks and
bonds. While results should remain positive, we expect to see a return to more
normal periods for both markets. In stocks, we are positioning the Fund for
greater volatility and selectivity in the coming year and in bonds, we expect
income to again become the most consistent component of total return. We believe
the MML Blend Fund's conservative strategy should position it to perform well
during this more typical market environment.
4
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<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: $784,795,485;
$627,696,809 respectively)............................... $1,155,154,333 $ -- $ -- $1,008,564,451
Bonds and notes (Identified cost: $145,473,365;
$267,817,760 respectively)............................... -- -- 151,903,257 279,948,878
Short-term investments (Identified cost: $146,006,980;
$109,543,253; $2,578,380; $582,413,954 respectively)..... 146,000,856 109,543,253 2,578,380 582,150,249
-------------- ------------ ------------ --------------
Total investments........................................ 1,301,155,189 109,543,253 154,481,637 1,870,663,578
Cash......................................................... 8,396 2,440 5,639,136 13,407,050
Interest and dividends receivable............................ 2,502,360 497 2,067,198 6,632,527
Receivable for investments sold.............................. 910,994 -- 7,093,878 1,355,885
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D).......... -- -- -- 1,388,372
Prepaid trustees' fees....................................... 820 522 522 390
-------------- ------------ ------------ --------------
Total assets............................................. 1,304,577,759 109,546,712 169,282,371 1,893,447,802
-------------- ------------ ------------ --------------
LIABILITIES
Payable for investments purchased............................ 7,019,418 -- 7,923,222 14,568,979
Dividends payable (Note 2C).................................. 47,382,259 475,700 2,456,289 53,960,727
Investment management fee payable (Note 4)................... 1,197,689 135,475 187,550 1,722,486
Accrued liabilities.......................................... 79,387 15,336 17,172 54,680
-------------- ------------ ------------ --------------
Total liabilities........................................ 55,678,753 626,511 10,584,233 70,306,872
-------------- ------------ ------------ --------------
NET ASSETS................................................... $1,248,899,006 $108,920,201 $158,698,138 $1,823,140,930
============== ============ ============ ==============
Net assets consist of:
Series shares (par value $.01 per share; an unlimited
number authorized) (Note 6)................................ $ 481,756 $ 1,089,202 $ 127,487 $ 888,515
Additional paid-in capital................................... 878,072,599 107,830,999 152,990,211 1,428,825,164
Undistributed (overdistributed) net investment
income (Note 2C)........................................... 3,739 9,734 (72,567) (7,094)
Undistributed net realized loss on investments and
forward commitments (Notes 2D and 3)....................... -- (9,734) (776,885) --
Overdistributed net realized gain on investments and
forward commitments (Notes 2C and 2D)...................... (11,812) -- -- (689,082)
Net unrealized appreciation on:
Investments (Note 2A)...................................... 370,352,724 -- 6,429,892 392,735,055
Forward commitments (Note 2D).............................. -- -- -- 1,388,372
-------------- ------------ ------------ --------------
NET ASSETS................................................... $1,248,899,006 $108,920,201 $158,698,138 $1,823,140,930
============== ============ ============ ==============
Outstanding series shares.................................... 48,175,574 108,920,201 12,748,690 88,851,472
============== ============ ============ ==============
Net asset value per share.................................... $25.92 $1.00 $12.45 $20.52
============== ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For The Year Ended December 31, 1995
<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.................................................... $ 28,229,106 $ -- $ -- $ 26,802,102
Interest..................................................... 6,641,154 5,999,684 10,026,269 49,931,175
------------ ---------- ----------- -----------
Total income............................................. 34,870,260 5,999,684 10,026,269 76,733,277
------------ ---------- ----------- -----------
Expenses
Investment management fee (Note 4)........................... 4,178,204 501,924 681,807 6,344,373
Trustees' fees............................................... 14,625 11,617 11,651 11,900
Audit fees................................................... 27,433 18,917 24,467 29,567
Tax expense.................................................. 6,263 -- -- 6,263
Registration fee............................................. 65,689 5,908 7,745 46,532
Other........................................................ 1,892 1,178 1,178 1,180
------------ ---------- ----------- -----------
Total expenses........................................... 4,294,106 539,544 726,848 6,439,815
------------ ---------- ----------- -----------
Net investment income (Note 2C).............................. 30,576,154 5,460,140 9,299,421 70,293,462
------------ ---------- ----------- -----------
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).............................. 16,898,835 (841) 866,079 29,289,639
Forward commitments (Note 2D).............................. -- -- 453,016 6,506,024
------------ ---------- ----------- -----------
Net realized gain (loss)................................. 16,898,835 (841) 1,319,095 35,795,663
------------ ---------- ----------- -----------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)...................................... 237,559,436 -- 13,542,298 241,023,762
Forward commitments (Note 2D).............................. -- -- 162,634 2,579,828
Total change in net unrealized appreciation/ ------------ ---------- ----------- -----------
depreciation........................................... 237,559,436 -- 13,704,932 243,603,590
------------ ---------- ----------- -----------
Net gain (loss).............................................. 254,458,271 (841) 15,024,027 279,399,253
------------ ---------- ----------- -----------
Net increase in net assets resulting from operations......... $285,034,425 $5,459,299 $24,323,448 $349,692,715
============ ========== =========== ============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
For The Years Ended December 31, 1995 and 1994
<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............... $ 30,576,154 $ 5,460,140 $ 9,299,421 $ 70,293,462
Net realized gain (loss)
on investments and
forward commitments............... 16,898,835 (841) 1,319,095 35,795,663
Change in net unrealized
appreciation/depreciation
on investments and forward
commitments....................... 237,559,436 -- 13,704,932 243,603,590
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations........................ 285,034,425 5,459,299 24,323,448 349,692,715
Dividends to shareholders
from: (Note 2C)
Distribution of net investment
income.......................... (30,563,214) (5,459,299) (9,294,583) (70,291,011)
Distribution of net
realized gains.................. (16,854,045) -- -- (35,463,987)
Distribution in excess of net
realized gains.................. -- -- -- --
Net increase in capital share
transactions (Note 6)............ 190,498,822 17,134,168 22,459,621 134,942,076
-------------- ------------ ------------ --------------
Total increase (decrease)........ 428,115,988 17,134,168 37,488,486 378,879,793
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 year....................... $1,248,899,006 $108,920,201 $158,698,138 $1,823,140,930
============== ============ ============ ==============
(Overdistributed) undistributed
net investment income included
in net assets at end
of the year....................... $ 3,739 $ 9,734 $ (72,567) $ (7,094)
============== ============ ============ ==============
Rate per share of dividends
to shareholders from:
Net investment income............. $.634 $.054 $.782 $ .811
Net realized gains................ .350 -- -- .399
<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............... $ 23,743,493 $ 3,147,135 $ 8,506,956 $ 56,319,900
Net realized gain (loss)
on investments and
forward commitments............... 9,479,860 (5,364) (2,156,483) 28,803,202
Change in net unrealized
appreciation/depreciation
on investments and forward
commitments....................... (1,773,621) -- (11,386,882) (49,350,511)
------------ ----------- ----------- --------------
Net increase (decrease) in
net assets resulting from
operations........................ 31,449,732 3,141,771 (5,036,409) 35,772,591
Dividends to shareholders
from: (Note 2C)
Distribution of net investment
income.......................... (23,735,788) (3,141,771) (8,503,670) (56,320,396)
Distribution of net
realized gains.................. (9,536,463) -- -- (29,300,874)
Distribution in excess of net
realized gains.................. -- -- -- (254,531)
Net increase in capital share
transactions (Note 6)............ 159,512,479 18,127,025 5,640,533 197,821,191
------------ ----------- ------------ --------------
Total increase (decrease)........ 157,689,960 18,127,025 (7,899,546) 147,717,981
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 year....................... $820,783,018 $91,786,033 $121,209,652 $1,444,261,137
============ =========== ============ ==============
(Overdistributed) undistributed
net investment income
included in net assets at
end of the year................... $ (9,200) $ 8,893 $ (3,270) $ 2,008
============ =========== ============ ==============
Rate per share of dividends
to shareholders from:
Net investment income............. $ .594 $ .038 $ .792 $ .707
Net realized gains................ .238 -- -- .362
</TABLE>
See Notes to Financial Statements
7
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
Selected per share data for each series share outstanding throughout each year
ended ended December 31:
MML EQUITY FUND
<TABLE>
<CAPTION>
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......... .634 .594 .524 .543 .563
Net realized and unrealized
gain (loss) on investments.. 5.754 .248 1.365 1.420 3.440
--------- ------- ------- ------- -------
Total from investment
operations................... 6.388 .842 1.889 1.963 4.003
--------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.634) (.594) (.524) (.543) (.562)
Distribution from net
realized gains............... (.350) (.238) (.717) (.288) (.365)
Distribution in excess of
net realized gains........... -- -- -- (.005) --
--------- ------- ------- ------- -------
Total distributions........... (.984) (.832) (1.241) (.836) (.927)
--------- ------- ------- ------- -------
Net asset value:
End of year................. $ 25.924 $20.520 $20.510 $19.862 $18.735
========= ======= ======= ======= =======
Total return.................. 31.13% 4.10% 9.52% 10.48% 25.56%
Net assets (in millions):
End of year................. $1,248.90 $820.78 $663.09 $490.62 $355.04
Ratio of expenses to
average net assets........... .41% .43% .44% .46% .48%
Ratio of net investment
income to average net
assets....................... 2.89% 3.04% 3.23% 3.09% 3.43%
Portfolio turnover rate....... 11.72% 9.99% 11.28% 9.07% 9.37%
<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......... .636 .694 .646 .525 .495
Net realized and unrealized
gain (loss) on investments.. (.722) 2.746 1.660 (.066) 2.174
------- ------- ------- ------- -------
Total from investment
operations................... (.086) 3.440 2.306 .459 2.669
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.665) (.711) (.639) (.988) (.412)
Distribution from net
realized gains............... (.354) (.894) (.566) (1.234) (.498)
Distribution in excess of
net realized gains........... -- -- -- -- --
------- ------- ------- ------- -------
Total distributions........... (1.019) (1.605) (1.205) (2.222) (.910)
------- ------- ------- ------- -------
Net asset value:
End of year................. $15.659 $16.764 $14.929 $13.828 $15.591
======= ======= ======= ======= =======
Total return.................. (.51%) 23.04% 16.68% 2.10% 20.15%
Net assets (in millions):
End of year................. $235.45 $226.41 $172.80 $150.41 $141.46
Ratio of expenses to
average net assets.......... .49% .50% .50% .51% .52%
Ratio of net investment
income to average net
assets....................... 4.09% 4.30% 4.05% 3.44% 3.54%
Portfolio turnover rate....... 13.50% 15.71% 15.97% 15.73% 14.73%
</TABLE>
MML MONEY MARKET FUND
<TABLE>
<CAPTION>
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......... .054 .038 .027 .034 .059
--------- ------- ------- ------- -------
Total from investment
operations................... .054 .038 .027 .034 .059
--------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.054) (.038) (.027) (.034) (.059)
--------- ------- ------- ------- -------
Total distributions........... (.054) (.038) (.027) (.034) (.059)
--------- ------- ------- ------- -------
Net asset value:
End of year................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ======= ======= ======= =======
Total return.................. 5.58% 3.84% 2.75% 3.48% 6.01%
Net assets (in millions):
End of year................. $ 108.92 $ 91.79 $ 73.66 $ 84.56 $ 94.41
Ratio of expenses to
average net
assets...................... .54% .55% .54% .53% .52%
Ratio of net investment
income to average net
assets....................... 5.43% 3.81% 2.71% 3.42% 5.91%
<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......... .078 .088 .072 .063 .064
------- ------- ------- ------- -------
Total from investment
operations................... .078 .088 .072 .063 .064
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.078) (.088) (.072) (.063) (.064)
------- ------- ------- ------- -------
Total distributions........... (.078) (.088) (.072) (.063) (.064)
------- ------- ------- ------- -------
Net asset value:
End of year................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= =======
Total return.................. 8.12% 9.16% 7.39% 6.49% 6.60%
Net assets (in millions):
End of year................. $114.59 $ 70.16 $ 66.35 $ 52.35 $ 33.54
Ratio of expenses to
average net assets........... .54% .54% .55% .57% .57%
Ratio of net investment
income to average net
assets....................... 7.80% 8.79% 7.20% 6.35% 6.44%
</TABLE>
See Notes to Financial Statements
8
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
MML MANAGED BOND FUND
<TABLE>
<CAPTION>
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 .782 .792 .785 .870 .903
Net realized and unrealized
gain (loss) on investments
and forward commitments 1.307 (1.264) .618 .001 .916
--------- --------- --------- --------- -------
Total from investment
operations 2.089 (.472) 1.403 .871 1.819
--------- --------- --------- --------- -------
Less distributions:
Dividends from net
investment income (.782) (.792) (.784) (.869) (.902)
Distribution from net
realized gains -- -- (.255) (.158) (.016)
Distribution in excess of
net realized gains -- -- -- (.022) --
--------- --------- --------- --------- -------
Total distributions (.782) (.792) (1.039) (1.049) (.918)
--------- --------- --------- --------- -------
Net asset value:
End of year $ 12.448 $ 11.141 $ 12.405 $ 12.041 $12.219
========= ========= ========= ========= =======
Total return 19.14% (3.76%) 11.81% 7.31% 16.66%
Net assets (in millions):
End of year $ 158.70 $ 121.21 $ 129.11 $ 88.15 $ 66.98
Ratio of expenses to
average net assets .52% .52% .54% .56% .57%
Ratio of net investment
income to average net
assets 6.63% 6.69% 6.37% 7.28% 7.96%
Portfolio turnover rate 70.00% 32.77% 58.81% 39.51% 61.85%
<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 .943 .918 .906 .969 1.061
Net realized and unrealized
gain (loss) on investments
and forward commitments (.036) .454 (.133) (.673) .597
------- ------- ------- ------- -------
Total from investment
operations .907 1.372 .773 .296 1.658
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income (.943) (.918) (.906) (1.229) (1.095)
Distribution from net
realized gains -- (.019) -- (.556) --
Distribution in excess of
net realized gains -- -- -- -- --
------- ------- ------- ------- -------
Total distributions (.943) (.937) (.906) (1.785) (1.095)
------- ------- ------- ------- -------
Net asset value:
End of year $11.318 $11.354 $10.919 $11.052 $12.541
======= ======= ======= ======= =======
Total return 8.38% 12.83% 7.13% 2.60% 14.46%
Net assets (in millions):
End of year $ 43.07 $ 40.03 $ 31.35 $ 26.16 $ 30.38
Ratio of expenses to
average net assets .57% .59% .61% .60% .60%
Ratio of net investment
income to average net
assets 8.40% 8.35% 8.25% 8.24% 8.87%
Portfolio turnover rate 69.93% 64.77% 74.92% 55.60% 203.76%
</TABLE>
MML BLEND FUND
<TABLE>
<CAPTION>
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 .811 .707 .655 .707 .736
Net realized and unrealized
gain (loss) on investments
and forward commitments 3.246 (.271) 1.057 .880 2.771
--------- --------- --------- --------- -------
Total from investment
operations 4.057 .436 1.712 1.587 3.507
--------- --------- --------- --------- -------
Less distributions:
Dividends from net
investment income (.811) (.707) (.655) (.707) (.736)
Distribution from net
realized gains (.399) (.359) (.598) (.326) (.303)
Distribution in excess of
net realized gains -- (.003) -- (.015) --
--------- --------- --------- --------- -------
Total distributions (1.210) (1.069) (1.253) (1.048) (1.039)
--------- --------- --------- --------- -------
Net asset value:
End of year $ 20.519 $ 17.672 $ 18.305 $ 17.846 $17.307
========= ========= ========= ========= =======
Total return 23.28% 2.48% 9.70% 9.36% 24.00%
Net assets (in millions):
End of year $1,823.14 $1,444.26 $1,296.54 $1,013.28 $797.04
Ratio of expenses to
average net assets .38% .39% .40% .41% .42%
Ratio of net investment
income to average net
assets 4.19% 3.93% 3.60% 4.07% 4.54%
Portfolio turnover rate 30.78% 26.59% 20.20% 25.43% 26.92%
<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 .792 .823 .734 .624 .540
Net realized and unrealized
gain (loss) on investments
and forward commitments (.445) 1.921 1.000 (.148) 1.653
------- ------- ------- ------- -------
Total from investment
operations .347 2.744 1.734 .476 2.193
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income (.811) (.835) (.728) (.747) (.560)
Distribution from net
realized gains (.125) (.357) (.225) (.408) (.103)
Distribution in excess of
net realized gains -- -- -- -- --
------- ------- ------- ------- -------
Total distributions (.936) (1.192) (.953) (1.155) (.663)
------- ------- ------- ------- -------
Net asset value:
End of year $14.839 $15.428 $13.876 $13.095 $13.774
======= ======= ======= ======= =======
Total return 2.37% 19.96% 13.40% 3.12% 18.30%
Net assets (in millions):
End of year $574.15 $524.29 $401.22 $346.12 $236.15
Ratio of expenses to
average net assets .44% .45% .46% .48% .51%
Ratio of net investment
income to average net
assets 5.37% 5.57% 5.29% 4.77% 4.81%
Portfolio turnover rate 24.55% 22.39% 25.70% 36.56% 58.75%
</TABLE>
Total return information shown in the Financial Highlights tables 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.
See Notes to Financial Statements
9
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES - 92.49%
Aerospace & Defense - 2.23%
The Boeing Company......................... 202,500 $ 15,870,938
TRW, Inc................................... 154,100 11,942,750
------------ ------------
356,600 27,813,688
------------ ------------
Agribusiness - 1.56%
Archer-Daniels-Midland Company............. 359,975 6,479,550
Pioneer Hi-Bred International, Inc......... 235,000 13,071,875
------------ ------------
594,975 19,551,425
------------ ------------
Apparel, Textiles, Shoes - .93%
VF Corporation............................. 220,000 11,605,000
------------ ------------
Automotive & Parts - 4.20%
Ford Motor Company......................... 477,000 13,833,000
Genuine Parts Company...................... 433,500 17,773,500
Goodyear Tire & Rubber Company............. 461,000 20,917,875
------------ ------------
1,371,500 52,524,375
------------ ------------
Banking, Savings & Loans - 6.16%
The Bank of New York Company,
Incorporated.............................. 435,000 21,206,250
Comerica, Incorporated..................... 435,000 17,454,375
CoreStates Financial Corporation........... 410,500 15,547,687
Norwest Corporation........................ 291,000 9,603,000
Wachovia Corporation....................... 288,200 13,185,150
------------ ------------
1,859,700 76,996,462
------------ ------------
Beverages - 1.95%
Brown-Forman Corporation (Class B)......... 333,000 12,154,500
Pepsico, Incorporated...................... 218,000 12,180,750
------------ ------------
551,000 24,335,250
------------ ------------
Chemicals - 4.03%
Eastman Chemical Company................... 240,000 15,030,000
E.I. du Pont de Nemours and Company........ 166,500 11,634,187
The Lubrizol Corporation................... 242,000 6,745,750
Nalco Chemical Company..................... 335,000 10,091,875
Rohm & Haas................................ 106,300 6,843,063
------------ ------------
1,089,800 50,344,875
------------ ------------
Communications - 2.18%
AT&T Corporation........................... 420,000 27,195,000
------------ ------------
Computers & Office Equipment - 6.41%
Hewlett-Packard Company.................... 385,000 32,243,750
International Business Machines Corporation 121,000 11,101,750
Pitney Bowes, Inc.......................... 423,500 19,904,500
Xerox Corporation.......................... 123,000 16,851,000
------------ ------------
1,052,500 80,101,000
------------ ------------
Containers - .97%
Temple-Inland, Inc......................... 273,500 12,068,188
------------ ------------
Cosmetics & Personal Care - 1.28%
Kimberly-Clark Corporation................. 193,600 16,020,400
------------ ------------
Electric Utilities - 1.84%
Niagara Mohawk Power Corporation........... 463,500 4,461,187
NIPSCO Industries, Inc..................... 200,000 7,650,000
SCANA Corporation.......................... 378,000 10,820,250
------------ ------------
1,041,500 22,931,437
------------ ------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Electrical Equipment & Electronics - 7.53%
AMP, Incorporated.......................... 580,000 $ 22,257,500
General Electric Company................... 470,000 33,840,000
General Signal Corporation................. 269,500 8,725,063
Honeywell Inc.............................. 272,500 13,250,313
Hubbell, Incorporated (Class B)............ 242,072 15,916,234
------------ ------------
1,834,072 93,989,110
------------ ------------
Energy - 8.65%
Amoco Corporation.......................... 380,000 27,312,500
Atlantic Richfield Company................. 175,500 19,436,625
Chevron Corporation........................ 360,000 18,900,000
Kerr-McGee Corporation..................... 250,100 15,881,350
Mobil Corporation.......................... 197,200 22,086,400
USX Corporation - Marathon Group........... 145,000 2,827,500
Union Pacific Resources Group, Inc......... 62,100 1,575,787
------------ ------------
1,569,900 108,020,162
------------ ------------
Financial Services - 1.33%
American Express Company................... 400,000 16,550,000
------------ ------------
Foods - 1.57%
CPC International, Inc..................... 285,000 19,558,125
------------ ------------
Forest Products & Paper - 2.37%
Westvaco Corporation....................... 335,755 9,317,201
Weyerhaeuser Company....................... 467,500 20,219,375
------------ ------------
803,255 29,536,576
------------ ------------
Hardware & Tools - 1.30%
The Stanley Works.......................... 315,500 16,248,250
------------ ------------
Healthcare - 9.60%
Becton, Dickinson and Company.............. 260,000 19,500,000
Bristol-Myers Squibb Company............... 507,500 43,581,562
Pfizer, Incorporated....................... 600,000 37,800,000
Schering-Plough Corp....................... 347,500 19,025,625
------------ ------------
1,715,000 119,907,187
------------ ------------
Household Products - .91%
The Clorox Company......................... 159,500 11,424,188
------------ ------------
Industrial Distribution - 1.25%
W. W. Grainger, Inc........................ 236,000 15,635,000
------------ ------------
Industrial Transportation - 1.54%
Norfolk Southern Corporation............... 242,000 19,208,750
------------ ------------
Insurance - 4.92%
Allstate Corporation....................... 185,182 7,615,610
Jefferson-Pilot Corporation................ 207,000 9,625,500
MBIA, Inc.................................. 154,000 11,550,000
SAFECO Corporation......................... 750,000 25,875,000
Unitrin, Inc............................... 140,000 6,720,000
------------ ------------
1,436,182 61,386,110
------------ ------------
Machinery & Components - 1.62%
Dover Corporation.......................... 325,000 11,984,375
Parker-Hannifin Corporation................ 242,050 8,290,213
------------ ------------
567,050 20,274,588
------------ ------------
Metals & Mining - .27%
Reynolds Metals Company.................... 60,000 3,397,500
------------ ------------
</TABLE>
10
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Miscellaneous - 2.59%
Harsco Corporation......................... 169,500 $ 9,852,187
Minnesota Mining &
Manufacturing Company..................... 340,000 22,525,000
------------ ------------
509,500 32,377,187
------------ ------------
Photography - 1.21%
Eastman Kodak Company...................... 225,000 15,075,000
------------ ------------
Publishing & Printing - 4.35%
The Dun & Bradstreet Corporation........... 308,500 19,975,375
McGraw-Hill Companies, Inc................. 224,000 19,516,000
R. R. Donnelley & Sons Company............. 378,000 14,883,750
------------ ------------
910,500 54,375,125
------------ ------------
Retail - 2.32%
J.C. Penney Company, Inc................... 89,400 4,257,675
The May Department Stores Company.......... 363,000 15,336,750
Sears Roebuck and Company.................. 242,000 9,438,000
------------ ------------
694,400 29,032,425
------------ ------------
Retail - Grocery - 1.20%
Albertson's, Inc........................... 455,200 14,964,700
------------ ------------
Telephone Utilities - 2.64%
Ameritech Corporation...................... 182,000 10,738,000
Frontier Corporation....................... 423,500 12,705,000
Southern New England
Telecommunications Corporation............ 240,000 9,540,000
------------ ------------
845,500 32,983,000
------------ ------------
Tobacco - 1.58%
American Brands, Inc....................... 442,000 19,724,250
------------ ------------
Total Equities
(Cost $784,795,485)........................ 1,155,154,333
-------------
<CAPTION>
Principal
Amount
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 11.69%
Commercial Paper
Aristar, Inc.
5.600% 2/14/96.................... $ 3,480,000 3,456,181
Comdisco, Inc.
6.030% 1/11/96.................... 3,545,000 3,539,062
Comdisco, Inc.
6.030% 1/12/96.................... 3,300,000 3,293,920
Comdisco, Inc.
6.000% 1/22/96.................... 4,610,000 4,593,235
Comdisco, Inc.
5.950% 2/12/96.................... 4,790,000 4,756,356
ConAgra, Inc.
5.970% 1/3/96..................... 5,585,000 5,583,148
ConAgra, Inc.
5.930% 1/24/96.................... 3,615,000 3,601,304
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
ConAgra, Inc.
5.930% 2/1/96..................... $ 4,590,000 $ 4,566,562
ConAgra, Inc.
5.770% 2/6/96..................... 3,835,000 3,812,872
Dana Credit Corporation
6.000% 1/31/96.................... 6,220,000 6,187,578
Dana Credit Corporation
5.950% 2/16/96.................... 4,295,000 4,261,793
Dana Credit Corporation
5.820% 3/21/96.................... 3,165,000 3,123,042
Dominion Resources Inc.
6.010% 1/23/96.................... 5,200,000 5,180,901
Florida Power & Light Co.
5.580% 2/7/96..................... 2,255,000 2,242,068
GTE Corporation
5.950% 2/2/96..................... 5,225,000 5,197,366
GTE Corporation
5.830% 2/9/96..................... 5,900,000 5,862,737
Illinois Power Company
6.000% 1/25/96.................... 3,225,000 3,212,100
Illinois Power Company
6.100% 2/5/96..................... 2,380,000 2,365,885
Illinois Power Company
5.930% 2/8/96..................... 4,000,000 3,974,962
MAPCO Inc.
6.050% 1/5/96..................... 4,575,000 4,571,925
MAPCO Inc.
6.000% 1/8/96..................... 4,385,000 4,379,884
MAPCO Inc.
6.000% 1/10/96.................... 4,000,000 3,994,000
ORIX Credit Alliance, Inc.
6.080% 1/17/96.................... 5,865,000 5,848,749
ORIX Credit Alliance, Inc.
6.070% 1/19/96.................... 5,160,000 5,144,178
ORIX Credit Alliance, Inc.
6.000% 1/26/96.................... 4,000,000 3,983,333
ORIX Credit Alliance, Inc.
6.070% 1/30/96.................... 4,000,000 3,980,175
ORIX Credit Alliance, Inc.
5.750% 2/14/96.................... 8,000,000 7,943,778
Public Service Company of Colorado
6.000% 1/29/96.................... 6,410,000 6,380,087
Rite Aid Corporation
5.900% 2/26/96.................... 3,790,000 3,754,926
Rite Aid Corporation
5.980% 1/16/96.................... 3,500,000 3,491,057
Texas Utilities Electric Company
5.950% 1/2/96..................... 4,000,000 3,999,339
Textron, Inc.
5.970% 2/29/96.................... 1,500,000 1,485,146
Tyson Foods, Inc.
6.050% 1/4/96..................... 1,340,000 1,339,324
Tyson Foods, Inc.
5.990% 1/9/96..................... 2,745,000 2,741,346
Tyson Foods, Inc.
5.990% 1/18/96.................... 4,165,000 4,152,537
------------ ------------
Total Short-Term Investments
(Cost $146,006,980)....................... $146,650,000 146,000,856
============ ============
</TABLE>
11
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
--------------
<S> <C> <C>
Total Investments -
(Cost $930,802,465) (a) 104.18% $1,301,155,189
Other Assets - 27 3,422,570
Liabilities - (4.45) (55,678,753)
------- --------------
Net Assets - 100.00% $1,248,899,006
======= ==============
(a) Federal Income Tax Information: At
December 31, 1995 the net unrealized
appreciation on investments based on cost
of $930,814,277 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.................. $ 378,715,018
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over market value.................. (8,374,106)
--------------
Net unrealized appreciation.................... $ 370,340,912
==============
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 100.57%
Commercial Paper
Anheuser-Busch Companies, Inc.
5.550% 3/7/96..................... $ 2,115,000 $ 2,093,480
Aristar, Inc.
5.780% 1/30/96.................... 4,000,000 3,981,375
Atlantic Richfield Corp.
5.600% 2/9/96..................... 2,800,000 2,783,013
Baltimore Gas & Electric Company
5.680% 1/19/96.................... 3,015,000 3,006,437
Bell Atlantic Network Funding Corp.
5.450% 2/22/96.................... 2,035,000 2,018,980
Bell Atlantic Network Funding Corp.
5.510% 2/23/96.................... 2,265,000 2,246,626
Campbell Soup Company
5.650% 1/16/96.................... 3,210,000 3,202,443
Caterpillar Financial Services Corp.
5.650% 2/15/96.................... 1,915,000 1,901,475
Coca Cola Company
5.580% 2/2/96..................... 1,425,000 1,417,932
Coca Cola Company
5.350% 3/6/96..................... 1,000,000 990,340
Coca Cola Financial Corporation
5.580% 2/1/96..................... 1,845,000 1,836,135
Consolidated Natural Gas Company
5.630% 2/6/96..................... 1,435,000 1,426,921
Dresser Industries, Inc.
5.750% 1/31/96.................... 2,200,000 2,189,458
Dresser Industries, Inc.
5.650% 1/26/96.................... 1,800,000 1,792,938
E.I. du Pont de Nemours and Company
5.660% 1/17/96.................... 3,015,000 3,007,416
Echlin Inc.
5.710% 1/26/96.................... 2,000,000 1,992,069
Eli Lilly & Company
5.670% 1/19/96.................... 1,890,000 1,884,642
Eli Lilly & Company
5.550% 3/28/96.................... 2,400,000 2,367,810
Ford Motor Credit Company
5.350% 7/22/96.................... 4,000,000 3,879,328
GTE Corporation
5.850% 2/14/96.................... 2,545,000 2,526,803
GTE Corporation
5.840% 2/16/96.................... 230,000 228,284
GTE Corporation
5.600% 3/5/96..................... 1,580,000 1,564,270
General Electric Company
5.420% 5/3/96..................... 1,125,000 1,104,167
General Motors Acceptance Corporation
5.570% 3/15/96.................... 2,080,000 2,056,185
General Motors Acceptance Corporation
5.847% 1/2/96..................... 510,000 510,000
Georgia Power Company
5.610% 3/6/96..................... 360,000 356,354
Georgia Power Company
5.640% 2/12/96.................... 3,900,000 3,874,338
Great Lakes Chemical Corp.
5.670% 1/22/96.................... 1,735,000 1,729,261
Hercules Incorporated
5.660% 2/16/96.................... 1,870,000 1,856,476
Hercules Incorporated
5.350% 6/19/96.................... 1,600,000 1,559,578
Indianapolis Power & Light Company
5.680% 1/25/96.................... 2,025,000 2,017,332
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
John Deere Capital Corporation
5.680% 2/13/96.................... $ 3,930,000 $ 3,903,337
McCormick & Company Inc.
5.600% 1/29/96.................... 2,855,000 2,842,565
Minnesota Mining and Manufacturing Company
5.480% 3/14/96.................... 2,460,000 2,432,664
Nestle Capital Corporation
5.660% 1/23/96.................... 1,595,000 1,589,483
Nestle Capital Corporation
5.370% 4/11/96.................... 2,720,000 2,679,021
Northern Illinois Gas Company
5.670% 1/12/96.................... 4,500,000 4,492,204
Northern States Power Company
5.680% 1/18/96.................... 2,020,000 2,014,582
Pacificorp
5.710% 1/5/96..................... 1,570,000 1,569,004
Pacificorp
5.700% 2/7/96..................... 2,250,000 2,236,819
J.C. Penney Funding Corp.
5.650% 2/8/96..................... 3,785,000 3,762,427
Pepsico Inc.
5.700% 1/12/96.................... 820,000 818,572
Pepsico Inc.
5.550% 2/6/96..................... 1,770,000 1,760,177
Pioneer Hi-Bred International, Inc.
5.700% 1/24/96.................... 3,375,000 3,362,709
Pitney Bowes Credit Corporation
5.620% 2/5/96..................... 3,060,000 3,043,281
Proctor & Gamble Company
5.610% 2/21/96.................... 4,000,000 3,968,210
Southern New England Telecommunications
Corporation
5.700% 1/31/96.................... 1,530,000 1,522,733
Southwestern Bell Telephone Company
5.500% 2/27/96.................... 4,180,000 4,143,599
------------ ------------
<CAPTION>
Total Short-Term Investments
(Cost $109,543,253) (a) $110,345,000 109,543,253
============ ------------
<S> <C> <C>
Total Investments -
(Cost $109,543,253) (a) 100.57% 109,543,253
Other Assets - .01 3,459
Liabilities - (.58) (626,511)
------- ------------
Net Assets - 100.00% $108,920,201
======= ============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments
for the MML Money Market Fund as of December 31, 1995 is the same for
financial reporting and federal income tax purposes.
December 31, 1995 seven-day average yield for the portfolio: 5.25%
See Notes to Financial Statements.
13
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES - 95.72%
Asset Backed Securities - 10.03%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02..................... $ 2,883,620 $ 2,894,433
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.................... 660,968 662,059
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.................... 959,110 977,390
GMAC 1992-E Grantor Trust
4.750% 8/15/97..................... 321,666 320,257
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98..................... 195,325 194,653
Jet Equipment Trust 1995-A
8.235% 5/1/15...................... 1,990,986 2,187,895
Midlantic Auto Grantor Trust 1992-1
4.300% 9/15/97..................... 93,624 93,594
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99..................... 1,547,068 1,560,110
Railcar Trust No. 1992-1
7.750% 6/1/04...................... 1,715,380 1,849,385
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00..................... 2,131,553 2,145,110
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01.................... 3,000,000 3,026,250
------------ ------------
Total Asset Backed Securities
(Cost $15,716,572) 15,499,300 15,911,136
------------ ------------
Corporate Debt - 51.52%
American Airlines, Inc.
9.780% 11/26/11.................... 2,000,000 2,364,400
AMR Corporation
9.000% 8/1/12...................... 1,000,000 1,127,770
Analog Devices, Inc.
6.625% 3/1/00...................... 1,000,000 1,012,980
Associates Corporation of North America
7.875% 9/30/01..................... 2,000,000 2,182,260
Atlantic Richfield Company
7.770% 2/13/02..................... 3,000,000 3,275,310
BP America Inc.
8.500% 4/15/01..................... 2,000,000 2,240,220
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00...................... 2,000,000 2,064,600
Columbia Gas System, Inc.
6.610% 11/28/02.................... 2,000,000 2,036,220
Commercial Credit Company
7.750% 3/1/05...................... 3,000,000 3,333,180
Corning Glass Works, Inc.
8.875% 3/15/16..................... 500,000 603,690
Dow Capital
7.125% 1/15/03..................... 4,000,000 4,167,880
English China Clays Delaware, Inc.
7.375% 10/1/02..................... 1,000,000 1,059,300
Equifax, Inc.
6.500% 6/15/03..................... 1,250,000 1,273,950
ERAC USA Finance Company 144A
7.875% 3/15/98..................... 1,500,000 1,576,875
Foster Wheeler Corporation
6.750% 11/15/05.................... 2,000,000 2,061,620
General Electric Capital Corporation
8.750% 5/21/07..................... 1,000,000 1,206,390
General Motors Acceptance Corporation
6.300% 9/10/97..................... 2,500,000 2,529,150
<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 $ 2,004,360
Hercules Incorporated
6.625% 6/1/03...................... 2,000,000 2,055,180
Imcera Group, Inc.
6.000% 10/15/03.................... 2,000,000 1,924,780
ITT Corporation (New)
7.375% 11/15/15.................... 3,500,000 3,608,500
Leucadia National Corporation
7.750% 8/15/13..................... 2,000,000 2,070,380
Lockheed Corporation
5.650% 4/1/97...................... 2,000,000 1,995,500
McDonnell Douglas Corporation
9.250% 4/1/02...................... 1,400,000 1,630,160
Newmont Mining Corporation
8.625% 4/1/02...................... 2,000,000 2,209,980
News America Holdings Incorporated
9.250% 2/1/13...................... 1,000,000 1,177,840
Penske Truck Leasing Co., L.P.
7.750% 5/15/99..................... 1,250,000 1,305,450
Polaroid Corporation
7.250% 1/15/97..................... 1,000,000 1,013,290
Polaroid Corporation
8.000% 3/15/99..................... 1,000,000 1,056,350
Ralston Purina Company
7.750% 10/1/15..................... 3,000,000 3,222,240
Rolls-Royce Capital Inc.
7.125% 7/29/03..................... 1,500,000 1,564,890
Service Corporation International
7.000% 6/1/15...................... 2,250,000 2,507,018
Tenaga Nasional Berhad 144A
7.875% 6/15/04..................... 1,250,000 1,373,563
Textron Inc.
9.550% 3/19/01..................... 1,000,000 1,136,100
Thomas & Betts Corporation
8.250% 1/15/04..................... 1,500,000 1,645,035
Time Warner, Inc.
7.750% 6/15/05..................... 3,000,000 3,123,090
US West Capital Funding Corporation
8.375% 10/18/99.................... 3,000,000 3,262,140
Union Oil of California
8.750% 8/15/01..................... 1,500,000 1,669,890
United Air Lines, Inc.
10.110% 2/19/06..................... 476,860 540,998
Valassis Communications, Inc.
9.550% 12/1/03..................... 2,000,000 2,039,240
Westinghouse Electric Corporation
8.375% 6/15/02..................... 1,200,000 1,237,680
W.R. Grace & Co.
7.750% 10/1/02..................... 2,100,000 2,273,250
------------ ------------
Total Corporate Debt
(Cost $78,945,707).......................... 76,676,860 81,762,699
============ ============
</TABLE>
14
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Agency Obligations - 19.01%
Federal Home Loan Mortgage
Corporation (FHLMC) - 4.06%
Collateralized Mortgage Obligations - 3.91%
FHLMC Series 1080 Class D
7.000% 7/15/20..................... $ 2,000,000 $ 2,032,500
FHLMC Series 1322 Class G
7.500% 2/15/07..................... 2,000,000 2,088,740
FHLMC Series 1460 Class H
7.000% 5/15/07..................... 2,000,000 2,072,500
------------ ------------
6,000,000 6,193,740
------------ ------------
Pass-Through Securities - .15%
FHLMC
9.000% 3/1/17...................... 228,281 242,521
------------ ------------
6,228,281 6,436,261
------------ ------------
Federal National Mortgage
Association (FNMA) - 3.32%
Collateralized Mortgage Obligations - 2.81%
FNMA Series 1993-175 Class PL
5.000% 10/25/02.................... 2,000,000 1,980,000
FNMA Series 1993-191 Class PD
5.400% 3/25/04..................... 1,500,000 1,486,395
FNMA Series 1993-221 Class PD
6.000% 12/25/08.................... 1,000,000 989,680
------------ ------------
4,500,000 4,456,075
------------ ------------
Pass-Through Securities - .51%
FNMA
9.000% 5/1/09...................... 761,881 809,971
------------ ------------
5,261,881 5,266,046
------------ ------------
Government National Mortgage
Association (GNMA) - 9.10%
Collateralized Mortgage Obligations - .60%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19...................... 895,053 956,587
------------ ------------
Pass-Through Securities - 8.50%
GNMA
8.000% 6/15/06 - 3/15/08........... 6,449,335 6,833,391
GNMA - ARMS
6.000% 7/20/25 - 12/20/25.......... 6,586,262 6,659,175
------------ ------------
13,035,597 13,492,566
------------ ------------
13,930,650 14,449,153
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes - 2.53%
1994-A Atlanta, GA
5.780% 8/1/98...................... $ 130,000 $ 130,637
1994-A Baxter Springs, KS
5.780% 8/1/98...................... 700,000 703,430
1994-A Boston, MA
5.780% 8/1/98...................... 745,000 748,650
1994-A Detroit, MI
5.780% 8/1/98...................... 385,000 386,887
1994-A Egg Harbor, NJ
5.780% 8/1/98...................... 260,000 261,274
1994-A Kansas City, MO
5.780% 8/1/98...................... 550,000 552,695
1994-A Mayaguez, PR
5.780% 8/1/98...................... 295,000 296,446
1994-A Rochester, NY
5.780% 8/1/98...................... 300,000 301,470
1994-A Sacramento, CA
5.780% 8/1/98...................... 55,000 55,270
1994-A Saginaw, MI
5.780% 8/1/98...................... 315,000 316,544
1994-A Youngstown, OH
5.780% 8/1/98...................... 265,000 266,299
------------ ------------
4,000,000 4,019,602
------------ ------------
Total U.S. Government Agency Obligations
(Cost $29,136,748).......................... 29,420,812 30,171,062
------------ ------------
U.S. Treasury Obligations - 15.16%
U.S. Treasury Bonds - 9.28%
U.S. Treasury Bond
8.875% 8/15/17..................... 11,000,000 14,733,070
------------ ------------
U.S. Treasury Notes - 3.50%
U.S. Treasury Note
7.250% 5/15/04..................... 5,000,000 5,550,000
------------ ------------
U.S. Treasury Strips - 2.38%
U.S. Treasury Strip - Principal Only
0.000% 2/15/15..................... 12,200,000 3,775,290
------------ ------------
Total U.S. Treasury Obligations
(Cost $21,674,338).......................... 28,200,000 24,058,360
------------ ------------
Total Bonds and Notes
(Cost $145,473,365)......................... $149,796,972 151,903,257
============ ============
</TABLE>
15
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.62%
Commercial Paper
ORIX Credit Alliance, Inc.
6.400% 1/5/96........................ $ 2,185,000 $ 2,183,446
Ryder System Inc.
6.000% 1/2/96........................ 395,000 394,934
------------ ------------
Total Short-Term Investments
(Cost $2,578,380) $ 2,580,000 2,578,380
============ ------------
<CAPTION>
<S> <C> <C>
Total Investments
(Cost $148,051,745) (a) 97.34% 154,481,637
Other Assets - 9.33 14,800,734
Liabilities - (6.67) (10,584,233)
------- ------------
Net Assets - 100.00% $158,698,138
======= ============
</TABLE>
(a) Federal Income Tax Information. At
December 31, 1995 the net unrealized
appreciation on investments based on
cost of $148,061,936 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................................................. $ 7,077,046
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value............................................. (657,345)
------------
Net unrealized appreciation........................... $ 6,419,701
============
See Notes to Financial Statements
16
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES - 55.32%
Aerospace & Defense - 1.42%
The Boeing Company.......................... 193,500 $ 15,165,563
TRW, Inc.................................... 138,500 10,733,750
------------ ------------
332,000 25,899,313
------------ ------------
Agribusiness - .95%
Archer-Daniels-Midland Company.............. 318,017 5,724,306
Pioneer Hi-Bred International, Inc.......... 208,000 11,570,000
------------ ------------
526,017 17,294,306
------------ ------------
Apparel, Textiles, Shoes - .60%
VF Corporation.............................. 208,000 10,972,000
------------ ------------
Automotive & Parts - 2.57%
Ford Motor Company.......................... 410,000 11,890,000
Genuine Parts Company....................... 397,000 16,277,000
Goodyear Tire & Rubber Company.............. 412,200 18,703,575
------------ ------------
1,219,200 46,870,575
------------ ------------
Banking, Savings & Loans - 3.85%
The Bank of New York Company, Incorporated.. 390,000 19,012,500
Comerica, Incorporated...................... 397,000 15,929,625
CoreStates Financial Corporation............ 374,800 14,195,550
Norwest Corporation......................... 262,000 8,646,000
Wachovia Corporation........................ 270,600 12,379,950
------------ ------------
1,694,400 70,163,625
------------ ------------
Beverages - 1.25%
Brown-Forman Corporation (Class B).......... 319,500 11,661,750
Pepsico, Incorporated....................... 200,000 11,175,000
------------ ------------
519,500 22,836,750
------------ ------------
Chemicals - 2.12%
Eastman Chemical Company.................... 216,475 13,556,747
E.I. du Pont de Nemours and Company......... 146,000 10,201,750
The Lubrizol Corporation.................... 216,000 6,021,000
Nalco Chemical Company...................... 295,000 8,886,875
------------ ------------
873,475 38,666,372
------------ ------------
Communications - .66%
AT&T Corporation............................ 185,000 11,978,750
------------ ------------
Computers & Office Equipment - 3.88%
Hewlett-Packard Company..................... 343,000 28,726,250
International Business Machines Corporation. 106,000 9,725,500
Pitney Bowes, Inc........................... 371,000 17,437,000
Xerox Corporation........................... 108,000 14,796,000
------------ ------------
928,000 70,684,750
------------ ------------
Cosmetic & Personal Care - .80%
Kimberly-Clark Corporation.................. 176,200 14,580,550
------------ ------------
Electric Utilities - 1.11%
Niagara Mohawk Power Corporation............ 416,000 4,004,000
NIPSCO Industries, Inc...................... 178,000 6,808,500
SCANA Corporation........................... 326,000 9,331,750
------------ ------------
920,000 20,144,250
------------ ------------
Electrical Equipment & Electronics - 4.63%
AMP, Inc.................................... 530,000 20,338,750
General Electric Company.................... 420,000 30,240,000
General Signal Corporation.................. 243,000 7,867,125
Honeywell Inc............................... 243,000 11,815,875
Hubbell, Incorporated (Class B)............. 215,940 14,198,055
------------ ------------
1,651,940 84,459,805
------------ ------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Energy - 5.08%
Amoco Corporation........................... 332,000 $ 23,862,500
Atlantic Richfield Company.................. 151,000 16,723,250
Chevron Corporation......................... 324,000 17,010,000
Kerr-McGee Corporation...................... 216,000 13,716,000
Mobil Corporation........................... 177,100 19,835,200
Union Pacific Resources Group, Inc.......... 55,400 1,405,775
------------ ------------
1,255,500 92,552,725
------------ ------------
Financial Services - .80%
American Express Company.................... 352,500 14,584,688
------------ ------------
Foods - 1.07%
CPC International, Inc...................... 285,000 19,558,125
------------ ------------
Forest Products & Paper - 1.54%
Westvaco Corporation........................ 363,012 10,073,583
Weyerhaeuser Company........................ 415,000 17,948,750
------------ ------------
778,012 28,022,333
------------ ------------
Hardware & Tools - .81%
The Stanley Works........................... 285,300 14,692,950
------------ ------------
Healthcare - 5.96%
Becton, Dickinson and Company............... 247,800 18,585,000
Bristol-Myers Squibb Company................ 450,000 38,643,750
Pfizer, Incorporated........................ 540,000 34,020,000
Schering-Plough Corp........................ 318,400 17,432,400
------------ ------------
1,556,200 108,681,150
------------ ------------
Household Products - .57%
The Clorox Company.......................... 146,000 10,457,250
------------ ------------
Industrial Distribution - .77%
W. W. Grainger, Inc......................... 212,300 14,064,875
------------ ------------
Industrial Transportation - .92%
Norfolk Southern Corporation................ 212,000 16,827,500
------------ ------------
Insurance - 2.99%
Allstate Corporation........................ 165,501 6,806,228
Jefferson-Pilot Corporation................. 183,000 8,509,500
MBIA, Inc................................... 135,000 10,125,000
SAFECO Corporation.......................... 668,000 23,046,000
Unitrin, Inc................................ 125,000 6,000,000
------------ ------------
1,276,501 54,486,728
------------ ------------
Machinery & Components - 1.05%
Dover Corporation........................... 286,000 10,546,250
Parker-Hannifin Corporation................. 251,750 8,622,438
------------ ------------
537,750 19,168,688
------------ ------------
Metals & Mining - .17%
Reynolds Metals Company..................... 55,000 3,114,375
------------ ------------
Miscellaneous - 1.62%
Harsco Corporation.......................... 159,050 9,244,781
Minnesota Mining &
Manufacturing Company...................... 305,000 20,206,250
------------ ------------
464,050 29,451,031
------------ ------------
Photography - .73%
Eastman Kodak Company....................... 198,500 13,299,500
------------ ------------
</TABLE>
17
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Publishing & Printing - 2.66%
The Dun & Bradstreet Corporation............ 276,000 $ 17,871,000
McGraw-Hill Companies, Inc.................. 200,000 17,425,000
R.R. Donnelley & Sons Company............... 334,000 13,151,250
------------ ------------
810,000 48,447,250
------------ ------------
Retail - 1.42%
J.C. Penney Company, Inc.................... 81,000 3,857,625
The May Department Stores Company........... 324,000 13,689,000
Sears Roebuck and Company................... 216,000 8,424,000
------------ ------------
621,000 25,970,625
------------ ------------
Retail - Grocery - .75%
Albertson's, Inc............................ 418,300 13,751,612
------------ ------------
Telephone Utilities - 1.63%
Ameritech Corporation....................... 170,000 10,030,000
Frontier Corporation........................ 371,000 11,130,000
Southern New England
Telecommunications Corporation............. 216,000 8,586,000
------------ ------------
757,000 29,746,000
------------ ------------
Tobacco - .94%
American Brands, Inc........................ 384,000 17,136,000
------------ ------------
Total Equities
(Cost $627,696,809)......................... 1,008,564,451
-------------
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
BONDS AND NOTES - 15.36%
Asset Backed Securities - 1.16%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02..................... $ 2,403,016 2,412,028
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.................... 1,321,937 1,324,118
Ford Credit Auto Loan Master Trust,
Series 1992-1
6.875% 1/15/99..................... 1,500,000 1,520,625
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.................... 1,278,813 1,303,187
GMAC 1992-E Grantor Trust
4.750% 8/15/97..................... 193,000 192,154
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98..................... 195,325 194,653
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99..................... 4,177,084 4,212,297
Railcar Trust No. 1992-1
7.750% 6/1/04...................... 1,552,419 1,673,694
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00..................... 4,689,417 4,719,242
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01.................... 3,500,000 3,530,625
------------ ------------
Total Asset Backed Securities
(Cost $20,966,611)......................... 20,811,011 21,082,623
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt - 5.49%
AMR Corporation
9.000% 8/1/12...................... $ 2,000,000 $ 2,255,540
American Airlines, Inc.
9.780% 11/26/11.................... 5,000,000 5,911,000
American Brands, Inc.
8.750% 2/15/96..................... 1,000,000 1,002,850
American General Finance Corporation
7.750% 1/15/97..................... 2,000,000 2,041,440
Analog Devices, Inc.
6.625% 3/1/00...................... 1,500,000 1,519,470
Bell Atlantic Financial Services Inc.
6.610% 2/4/00...................... 1,000,000 1,032,300
Cardinal Distribution, Inc.
8.000% 3/1/97...................... 2,000,000 2,051,560
Chrysler Financial Corp.
6.620% 4/29/97..................... 2,000,000 2,023,180
Columbia Gas System, Inc.
6.610% 11/28/02.................... 3,000,000 3,054,330
Commercial Credit Company
7.750% 3/1/05...................... 2,500,000 2,777,650
Corning Glass Works, Inc.
8.875% 3/15/16..................... 500,000 603,690
Delta Air Lines, Inc.
8.540% 1/2/07...................... 4,578,616 4,962,075
ERAC USA Finance Company 144A
7.875% 3/15/98..................... 4,000,000 4,205,000
English China Clays Delaware, Inc.
7.375% 10/1/02..................... 1,000,000 1,059,300
Ford Motor Credit Company
8.450% 7/15/06..................... 1,500,000 1,521,360
GTE Corporation
9.100% 6/1/03...................... 1,000,000 1,162,710
General Electric Capital Corporation
8.750% 5/21/07..................... 1,500,000 1,809,585
General Motors Acceptance Corporation
9.125% 7/15/01..................... 1,500,000 1,710,120
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01..................... 4,000,000 4,008,720
ITT Corporation (New)
7.375% 11/15/15.................... 5,000,000 5,155,000
Leucadia National Corporation
7.750% 8/15/13..................... 3,000,000 3,105,570
McDonnell Douglas Corporation
9.250% 4/1/02...................... 2,200,000 2,561,680
Newmont Mining Corporation
8.625% 4/1/02...................... 5,000,000 5,524,950
News America Holdings Incorporated
9.250%..................................... 2,000,000 2,355,680
North Finance (Bermuda) Limited 144A
7.000% 9/15/05..................... 4,000,000 4,080,000
Polaroid Corporation
7.250% 1/15/97..................... 4,500,000 4,559,805
Ralston Purina Company
7.750% 10/1/15..................... 2,000,000 2,148,160
Rolls-Royce Capital Inc.
7.125% 7/29/03..................... 2,000,000 2,086,520
Service Corporation International
7.000% 6/1/15...................... 4,500,000 5,014,035
Tele-Communications, Inc.
7.550% 9/2/03...................... 3,000,000 3,168,390
Tenaga Nasional Berhad 144A
7.875% 6/15/04..................... 2,500,000 2,747,125
Thomas & Betts Corporation
8.250% 1/15/04..................... 1,000,000 1,096,690
</TABLE>
18
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)-
Time Warner, Inc.
7.750% 6/15/05..................... $ 3,000,000 $ 3,123,090
The Toro Company
11.000% 8/1/17...................... 2,000,000 2,000,000
United States Leasing
International, Inc.
8.750% 5/1/96...................... 3,500,000 3,533,635
Valassis Communications, Inc.
9.550% 12/1/03..................... 2,000,000 2,039,240
Westinghouse Electric Corporation
8.375% 6/15/02..................... 1,000,000 1,031,400
------------ ------------
Total Corporate Debt
(Cost $94,662,584).......................... 93,778,616 100,042,850
------------ ------------
U.S. Government Agency Obligations - 4.03%
Federal Home Loan Mortgage
Corporation (FHLMC) - .93%
Collateralized Mortgage Obligations - .67%
FHLMC Series 1080 Class D
7.000% 7/15/20..................... 5,000,000 5,081,250
FHLMC Series 1322 Class G
7.500% 2/15/07..................... 5,000,000 5,221,850
FHLMC Series 1460 Class 4
7.000% 5/15/07..................... 1,789,000 1,853,851
------------ ------------
11,789,000 12,156,951
------------ ------------
Pass-Through Securities - .26%
FHLMC
9.000% 3/1/17...................... 684,843 727,563
------------ ------------
12,473,843 12,884,514
------------ ------------
Federal National Mortgage
Association (FNMA) - .28%
Collateralized Mortgage Obligations - .08%
FNMA Series 1993-191 Class PD
5.400% 3/25/04..................... 1,500,000 1,486,395
------------ ------------
Pass-Through Securities - .20%
FNMA
5.000% 10/25/02.................... 4,130,000 4,088,700
FNMA
8.000% 5/1/13...................... 3,474,720 3,626,739
------------ ------------
7,604,720 7,715,439
------------ ------------
9,104,720 9,201,834
------------ ------------
Government National Mortgage
Association (GNMA) - 1.64%
Collateralized Mortgage Obligations - .10%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19...................... 1,790,105 1,913,175
------------ ------------
Pass-Through Securities - 1.54%
GNMA
8.000% 1/15/04-5/15/08............. 8,755,864 9,277,277
GNMA
9.000% 8/15/08-9/15/09............. 2,679,591 2,900,658
GNMA - ARMS
6.000% 7/20/25-12/20/25............ 15,725,551 15,900,693
------------ ------------
27,161,006 28,078,628
------------ ------------
28,951,111 29,991,803
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes - 1.18%
1994-A Abilene, TX
5.780% 8/1/98...................... $ 70,000 $ 70,343
1994-A Bakersfield, CA
5.780% 8/1/98...................... 245,000 246,200
1994-A Barberton, OH
5.780% 8/1/98...................... 75,000 75,367
1994-A Buffalo, NY
5.780% 8/1/98...................... 375,000 376,837
1991-A Caguas, PR
8.740% 8/1/01...................... 280,000 317,719
1991-A Council Bluffs, IA
8.740% 8/1/01...................... 155,000 175,880
1994-A Cumberland, MD
5.780% 8/1/98...................... 55,000 55,269
1994-A Elizabeth, NJ
5.780% 8/1/98...................... 75,000 75,367
1994-A Erie, PA
5.780% 8/1/98...................... 70,000 70,343
1994-A Euclid, OH
5.780% 8/1/98...................... 105,000 105,514
1994-A Fairfax County, VA
5.780% 8/1/98...................... 110,000 110,539
1991-A Fairfax County, VA
8.740% 8/1/01...................... 85,000 96,450
1991-A Fajardo, PR
8.740% 8/1/01...................... 210,000 238,289
1994-A Fort Myers, FL
5.040% 8/1/96...................... 120,000 119,700
1994-A Fort Myers, FL
5.780% 8/1/98...................... 135,000 135,661
1991-A Gasden, AL
8.740% 8/1/01...................... 100,000 113,471
1994-A Jacksonville, FL
5.040% 8/1/96...................... 200,000 199,500
1994-A Lawrence, MA
5.040% 8/1/96...................... 35,000 34,913
1994-A Lawrence, MA
5.780% 8/1/98...................... 40,000 40,196
1994-A Little Rock, AK
5.040% 8/1/96...................... 310,000 309,225
1994-A LA County, CA
5.040% 8/1/96...................... 145,000 144,638
1994-A LA County, CA
5.780% 8/1/98...................... 175,000 175,858
1991-A Lorain, OH
8.740% 8/1/01...................... 30,000 34,041
1994-A Macon, GA
5.040% 8/1/96...................... 25,000 24,938
1994-A Mayaguez, PR
5.780% 8/1/98...................... 65,000 65,319
1991-A Mayaguez, PR
8.740% 8/1/01...................... 150,000 170,207
1994-A Mobile, AL
5.780% 8/1/98...................... 205,000 206,005
1994-A Montgomery County, PA
5.780% 8/1/98...................... 230,000 231,126
1994-A Montgomery County, PA
5.040% 8/1/96...................... 215,000 214,463
1994-A New Orleans, LA
5.780% 8/1/98...................... 175,000 175,857
</TABLE>
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A Ocean Shores, WA
5.780% 8/1/98...................... $ 110,000 $ 110,539
1994-A Pasadena, CA
5.780% 8/1/98...................... 140,000 140,686
1994-A Providence, RI
5.040% 8/1/96...................... 40,000 39,900
1994-A Providence, RI
5.780% 8/1/98...................... 50,000 50,245
1994-A Reading, PA
5.040% 8/1/96...................... 15,000 14,962
1994-A Reading, PA
5.780% 8/1/98...................... 65,000 65,319
1994-A Roanoke, VA
5.780% 8/1/98...................... 210,000 211,029
1994-A Rochester, NY
5.040% 8/1/96...................... 155,000 154,613
1994-A Rochester, NY
5.780% 8/1/98...................... 165,000 165,809
1991-A Rochester, NY
8.650% 8/1/00...................... 4,295,000 4,784,029
1994-A Sacramento, CA
5.040% 8/1/96...................... 125,000 124,688
1994-A Sacramento, CA
5.780% 8/1/98...................... 300,000 301,470
1994-A St. Joseph, MO
5.040% 8/1/96...................... 70,000 69,825
1994-A Salt Lake City, UT
5.040% 8/1/96...................... 135,000 134,662
1994-A Schaumburg, IL
5.040% 8/1/96...................... 60,000 59,850
1994-A Syracuse, NY
5.040% 8/1/96...................... 50,000 49,875
1994-A Syracuse, NY
5.780% 8/1/98...................... 50,000 50,245
1994-A Tacoma, WA
5.040% 8/1/96...................... 130,000 129,675
1994-A Tacoma, WA
5.780% 8/1/98...................... 155,000 155,759
1994-A Trenton, NJ
5.040% 8/1/96...................... 120,000 119,700
1994-A Trenton, NJ
5.780% 8/1/98...................... 130,000 130,637
1994-A Virginia Beach, VA
5.780% 8/1/98...................... 260,000 261,274
1994-A Waterford Township, MI
5.780% 8/1/98...................... 55,000 55,269
1994-A Waterford Township, MI
5.040% 8/1/96...................... 50,000 49,875
1994-A West Palm Beach, FL
5.780% 8/1/98...................... 105,000 105,515
U.S. Department of Housing and Urban
Development, Series 1995-A
8.240% 8/1/02...................... 8,475,000 9,557,681
------------ ------------
19,780,000 21,502,366
------------ ------------
Total U.S. Government Agency Obligations
(Cost $69,632,270).......................... 70,309,674 73,580,517
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Treasury Obligations - 4.68%
U.S. Treasury Bonds - 2.04%
U.S. Treasury Bond
8.750% 5/15/17..................... $ 28,125,000 $ 37,195,313
------------ ------------
U.S. Treasury Notes - 2.43%
U.S. Treasury Note
6.375% 1/15/99..................... 30,000,000 30,932,700
U.S. Treasury Note
7.250% 5/15/04..................... 12,000,000 13,320,000
------------ ------------
42,000,000 44,252,700
------------ ------------
U.S. Treasury Strips - .21%
U.S. Treasury Strip - Principal Only
0.000% 2/15/10..................... 8,750,000 3,794,875
------------ ------------
Total U.S. Treasury Obligations
(Cost $82,556,295).......................... 78,875,000 85,242,888
------------ ------------
Total Bonds and Notes
(Cost $267,817,760)......................... $263,774,301 279,948,878
============ ------------
SHORT-TERM INVESTMENTS - 31.93%
Commercial Paper
Bausch & Lomb, Inc.
5.700% 1/26/96..................... $ 6,745,000 6,716,181
Campbell Soup Company
5.670% 1/2/96...................... 9,165,000 9,163,447
Central and South West Corporation
5.700% 1/22/96..................... 11,250,000 11,209,087
Central and South West Corporation
5.720% 1/19/96..................... 12,170,000 12,132,685
Coca Cola Company
5.580% 2/1/96...................... 11,140,000 11,079,013
Coca Cola Company
5.350% 3/6/96...................... 10,860,000 10,742,048
Comdisco, Inc.
6.000% 1/3/96...................... 14,695,000 14,690,102
ConAgra, Inc.
5.780% 2/21/96..................... 12,350,000 12,244,180
ConAgra, Inc.
5.640% 3/20/96..................... 13,875,000 13,693,276
Consolidated Natural Gas Company
5.650% 1/23/96..................... 5,000,000 4,981,263
Consolidated Natural Gas Company
5.630% 2/6/96...................... 3,525,000 3,503,778
Dana Credit Corporation
5.900% 3/15/96..................... 7,200,000 7,111,450
Dana Credit Corporation
5.880% 3/13/96..................... 10,000,000 9,880,208
Dana Credit Corporation
5.700% 3/21/96..................... 8,995,000 8,875,754
Dean Witter, Discover & Company
5.680% 1/31/96..................... 13,860,000 13,787,754
Dean Witter, Discover & Company
5.700% 2/7/96...................... 16,500,000 16,396,203
Deere Capital Corporation
5.560% 2/29/96..................... 17,070,000 16,900,959
Dial Corp.
5.650% 3/11/96..................... 4,820,000 4,763,800
Echlin Inc.
5.710% 1/23/96..................... 5,265,000 5,245,270
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Echlin Inc.
5.710% 1/24/96..................... $ 7,815,000 $ 7,783,872
GTE California, Inc.
5.780% 2/27/96..................... 7,960,000 7,886,302
GTE Northwest, Inc.
5.580% 3/29/96..................... 11,645,000 11,475,743
Georgia Power Company
5.650% 3/4/96...................... 10,000,000 9,894,583
Hercules Incorporated
5.660% 2/16/96..................... 13,650,000 13,544,463
Hercules Incorporated
5.350% 6/19/96..................... 7,990,000 7,769,221
IBM Credit Corporation
5.630% 2/22/96..................... 16,370,000 16,224,640
IBM Credit Corporation
5.550% 3/5/96...................... 8,650,000 8,557,433
Monsanto Company
5.680% 1/30/96..................... 8,290,000 8,248,913
Nestle Capital Corporation
5.530% 2/23/96..................... 10,000,000 9,908,036
Nestle Capital Corporation
5.530% 2/26/96..................... 10,940,000 10,838,759
Nestle Capital Corporation
5.470% 3/14/96..................... 11,985,000 11,839,516
Northern Illinois Gas Company
5.680% 1/9/96...................... 6,900,000 6,890,644
Northern States Power Company
5.680% 1/18/96..................... 10,725,000 10,692,908
NYNEX Corp.
5.700% 2/2/96...................... 10,000,000 9,945,311
NYNEX Corp.
5.750% 2/8/96...................... 14,625,000 14,528,963
NYNEX Corp.
5.550% 3/19/96..................... 4,680,000 4,619,453
ORIX Credit Alliance, Inc.
6.050% 1/29/96..................... 8,445,000 8,404,588
ORIX Credit Alliance, Inc.
6.000% 2/20/96..................... 7,645,000 7,581,831
ORIX Credit Alliance, Inc.
5.750% 3/21/96..................... 5,900,000 5,821,784
ORIX Credit Alliance, Inc.
5.700% 3/8/96...................... 8,529,000 8,433,641
PHH Corporation
5.680% 1/17/96..................... 10,000,000 9,972,291
Pennsylvania Power & Light Company
6.000% 1/11/96..................... 2,195,000 2,191,342
J.C. Penney Funding Corporation
5.650% 2/12/96..................... 10,000,000 9,929,763
J.C. Penney Funding Corporation
5.620% 2/28/96..................... 7,100,000 7,031,997
PepsiCo, Inc.
5.700% 1/12/96..................... 9,360,000 9,342,549
Pitney Bowes Credit Corporation
5.620% 2/5/96...................... 10,545,000 10,483,279
Proctor & Gamble Company
5.650% 1/25/96..................... 7,600,000 7,567,894
Proctor & Gamble Company
5.620% 2/14/96..................... 10,000,000 9,924,686
Proctor & Gamble Company
5.570% 3/1/96...................... 7,525,000 7,449,279
Public Service Company of Colorado
5.820% 3/22/96..................... 12,000,000 11,839,000
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S>.......................................... <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Public Service Electric and Gas Company
5.900% 1/29/96..................... $ 585,000 $ 582,315
Rite Aid Corporation
5.750% 1/8/96...................... 11,575,000 11,561,267
Rite Aid Corporation
5.920% 2/9/96...................... 7,720,000 7,669,395
Sierra Pacific Power Company
5.950% 1/26/96..................... 5,000,000 4,979,340
SUPERVALU, Inc.
6.020% 2/6/96...................... 7,615,000 7,569,155
Textron Inc.
6.000% 1/16/96..................... 10,500,000 10,473,172
Textron Inc.
5.930% 2/15/96..................... 9,670,000 9,594,296
Textron Inc.
6.000% 1/4/96...................... 8,360,000 8,355,820
Tyson Foods, Inc.
5.850% 1/10/96..................... 10,000,000 9,984,491
Tyson Foods, Inc.
5.870% 1/11/96..................... 7,175,000 7,162,434
Tyson Foods, Inc.
5.910% 1/5/96...................... 8,945,000 8,938,956
VF Corporation
5.850% 2/9/96...................... 5,500,000 5,463,947
Xerox Corporation
5.630% 2/13/96..................... 10,150,000 10,076,519
------------ ------------
Total Short-Term Investments
(Cost $582,413,954)......................... $586,349,000 582,150,249
============ ------------
<CAPTION>
<S> <C> <C>
Total Investments -
(Cost $1,477,928,523) (a) 102.61% 1,870,663,578
Other Assets - 1.25 22,784,224
Liabilities - (3.86) (70,306,872)
------- --------------
Net Assets - 100.00% $1,823,140,930
======= ==============
</TABLE>
<TABLE>
<CAPTION>
Table of Open Forward Commitment Contracts
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ----------- ------------
<S> <C> <C> <C> <C>
United States of America
6.500% due 8/15/05 $51,200,000 February 1996 $ 1,388,372
------------
Total Forward Commitment
Contracts $ 1,388,372
===========
</TABLE>
(a) Federal Income Tax Information: At
December 31, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,531,480,367 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......................................... $ 400,196,547
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value.......................................... (6,519,128)
---------------
Net unrealized appreciation......................... $ 393,677,419
===============
See Notes to Financial Statements.
21
<PAGE>
MML SERIES INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
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 December 31, 1995,
was the beneficial owner of 1.1% 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. Distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to the deferral of wash sale losses, and
paydowns on certain mortgage-backed securities. As a result, net investment
income (loss) and net realized gain (loss) on investment transactions for a
reporting period may differ significantly from distributions during such
period. Accordingly, the Funds may periodically make reclassifications among
certain of their capital accounts without impacting the net asset value of
the Funds.
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 liquid high quality 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 December 31, 1995, the cost (value) of forward commitments to
purchase securities amounted to $53,105,836 ($54,494,208) for the MML Blend
Fund.
E. ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
3. CAPITAL LOSS CARRYFORWARD
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $9,734 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, $5,364 expires December 31,
2002 and $841 expires December 31, 2003.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $840,829 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 manage 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, 1997, 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 year ended December
31, 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
For the Year Ended Acquisition from Sales
December 31, 1995 Cost and Maturities
------------------ -------------- --------------
<S> <C> <C>
Investments
-----------
MML EQUITY FUND
Equities....................................... $ 229,128,687 $ 111,920,115
Short-term investments......................... 1,173,976,609 1,111,406,690
MML MONEY MARKET FUND
Short-term investments......................... 655,453,234 644,100,630
MML MANAGED BOND FUND
Bonds and notes................................ 49,417,797 31,634,617
U.S. Government investments - long term........ 66,464,380 60,934,135
Short-term investments......................... 535,089,316 540,413,398
MML BLEND FUND
Equities....................................... 117,991,665 171,211,503
Bonds and notes................................ 55,930,726 27,095,542
U.S. Government investments - long term........ 176,774,268 197,430,879
Short-term investments......................... 2,401,405,335 2,275,579,310
Cost
Forward Commitments of Contracts
------------------- -------------
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward
Commitment Contracts:
Contracts opened............................. $ 14,301,523
Contracts closed............................. 21,317,004
Outstanding at December 31, 1995........... --
MML BLEND FUND
U.S. Treasury and GNMA Forward
Commitment Contracts:
Contracts opened............................. 218,072,828
Contracts closed............................. 224,132,699
Outstanding at December 31, 1995........... 53,105,836
</TABLE>
6. NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
For the Year Ended Equity Market Bond Blend
December 31, 1995 Fund Fund Fund Fund
------------------ ----------- ---------- ----------- ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends.... 1,621,795 5,376,748 763,489 5,184,192
Sales of shares.............. 8,464,024 92,327,266 2,219,273 6,885,480
Redemptions of shares........ (1,909,273) (80,569,846) (1,113,390) (4,944,135)
------------- ------------ ------------ -------------
Net increase................. 8,176,546 17,134,168 1,869,372 7,125,537
============= ============ ============ =============
Amount
Reinvestment of dividends....$ 33,282,252 $ 5,376,748 $ 8,979,443 $ 96,495,329
Sales of shares.............. 203,078,940 92,327,266 26,776,179 135,128,246
135,128,246
Redemptions of shares........ (45,862,370) (80,569,846) (13,296,001) (96,681,499)
------------- ------------ ------------ -------------
Net increase.................$ 190,498,822 $ 17,134,168 $ 22,459,621 $ 134,942,076
============= ============ ============ =============
<CAPTION>
MML Money Managed MML
For the Year Ended Equity Market Bond Blend
December 31, 1994 Fund Fund Fund Fund
------------------ ----------- ---------- ----------- ------------
Shares
Reinvestment of dividends 1,956,594 2,918,570 930,847 5,115,478
Sales of shares 7,668,310 63,560,555 1,691,878 9,445,934
Redemptions of shares (1,955,939) (48,352,100) (2,151,153) (3,664,257)
------------- ------------ ------------ -------------
Net increase 7,668,965 18,127,025 471,572 10,897,155
============= ============ ============ =============
Amount
Reinvestment of dividends $ 40,128,959 $ 2,918,570 $ 11,006,790 $ 92,494,374
Sales of shares 159,968,984 63,560,555 19,994,563 171,986,353
Redemptions of shares (40,585,464) (48,352,100) (25,360,820) (66,659,536)
------------- ------------ ------------ -------------
Net increase $159,512,479 $ 18,127,025 $ 5,640,533 $ 197,821,191
============= ============ ============ =============
</TABLE>
24
<PAGE>
Report Of Independent Accountants
To the Board of Trustees and Shareholders of
MML Series Investment Fund
We have audited the accompanying statement of assets and liabilities of each of
the Funds which comprise the MML Series Investment Fund (a Massachusetts
business trust), including the schedules of investments, as of December 31,
1995, and the related statement of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the ten years in the period then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Funds as of December 31, 1995, the results of their respective operations
for the year then ended, the changes in their respective net assets for each of
the two years in the period then ended, and the financial highlights for each of
the ten years in the period then ended, in conformity with generally accepted
accounting principles.
Coopers & Lybrand L.L.P.
Springfield, Massachusetts
February 2, 1996
25
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
Statements of Assets and Liabilities
DECEMBER 31, 1995
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL OPPENHEIMER GLOBAL STRATEGIC
APPRECIATION GROWTH SECURITIES BOND
FUND FUND FUND FUND
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost *)
(including repurchase
agreements **) -- see accompanying
statements:
Unaffiliated companies................... $335,795,407 $117,817,530 $361,259,286 $ 59,245,209
Affiliated companies..................... -- -- 1,368,000 --
Unrealized appreciation on forward
foreign currency
exchange contracts -- Note 5............. -- -- 150,274 --
Cash...................................... 59,048 49,380 136,798 162,525
Receivables:
Dividends and interest................... 96,851 106,959 352,962 1,179,469
Shares of beneficial interest sold....... 324,174 364,845 202,710 200,211
Investments sold......................... -- 595,258 4,677,263 578,483
Other..................................... 2,162 5,982 9,300 3,735
------------ ------------ ------------ ------------
Total assets............................. 336,277,642 118,939,954 368,156,593 61,369,632
============ ============ ============ ============
LIABILITIES:
Options written, at value (premiums
received ***) -- see accompanying
statements -- Note 4..................... -- -- -- 13,900
Unrealized depreciation on forward
foreign currency exchange
contracts -- Note 5...................... -- -- -- 11,657
Payables and other liabilities:
Investments purchased.................... 7,783,979 970,555 6,654,962 1,156,926
Shares of beneficial interest redeemed... 3,038,804 231,518 367,884 68,024
Other.................................... 50,768 27,991 154,914 21,512
------------ ------------ ------------ ------------
Total liabilities........................ 10,873,551 1,230,064 7,177,760 1,272,019
------------ ------------ ------------ ------------
NET ASSETS................................ $325,404,091 $117,709,890 $360,978,833 $ 60,097,613
============ ============ ============ ============
COMPOSITION OF NET ASSETS:
Paid-in capital........................... $240,344,897 $ 84,252,418 $363,343,602 $ 59,420,799
Undistributed (distributions in excess
of) net investment income................ 1,115,939 1,290,629 (1,068) 483,938
Accumulated net realized gain (loss)
from investments and foreign
currency transactions.................... 20,967,908 8,548,920 (26,173,952) (1,648,175)
Net unrealized appreciation on
investments and
translation of assets and liabilities
denominated in foreign currencies........ 62,975,347 23,617,923 23,810,251 1,841,051
------------ ------------ ------------ ------------
NET ASSETS................................ $325,404,091 $117,709,890 $360,978,833 $ 60,097,613
============ ============ ============ ============
SHARES OF BENEFICIAL INTEREST
OUTSTANDING............................... 9,512,651 4,997,725 24,067,821 12,250,929
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE.................. $34.21 $23.55 $15.00 $4.91
*Cost:
Unaffiliated companies.................. $272,820,061 $ 94,199,607 $337,580,583 $ 57,397,784
Affiliated companies.................... $ -- $ -- $ 1,401,000 $ --
**Repurchase Agreements................... $ 35,600,000 $ 23,470,000 $ 17,300,000 $ 500,000
***Premiums Received...................... $ -- $ -- $ -- $ 14,299
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
Statements of Operations
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL OPPENHEIMER GLOBAL STRATEGIC
APPRECIATION GROWTH SECURITIES BOND
FUND FUND FUND FUND
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest.................................. $ 2,664,312 $ 1,001,964 $ 1,031,404 $ 3,754,007
Dividends:
Unaffiliated companies (net of
withholding taxes of *)................. 330,943 992,690 4,699,083 79,325
Affiliated companies (net of
withholding taxes of *)................. -- -- 62,163 --
------------ ------------ ------------ ------------
Total income............................. 2,995,255 1,994,654 5,792,650 3,833,332
------------ ------------ ------------ ------------
EXPENSES:
Management fees -- Note 6................. 1,790,785 664,977 2,451,556 281,335
Custodian fees and expenses............... 27,791 -- 457,420 15,150
Shareholder reports....................... 11,912 3,864 11,015 3,111
Legal and auditing fees................... 12,215 12,202 17,395 7,000
Insurance expenses........................ -- 3,525 7,400 2,621
Trustees' fees and expenses............... 1,699 1,901 1,631 286
Registration and filing fees.............. 24,486 8,881 -- 8,457
Other..................................... 2,916 1,585 720 867
------------ ------------ ------------ ------------
Total expenses........................... 1,871,804 696,935 2,947,137 318,827
------------ ------------ ------------ ------------
NET INVESTMENT INCOME..................... 1,123,451 1,297,719 2,845,513 3,514,505
------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments:
Unaffiliated companies.................... 22,379,477 8,674,291 (31,891,633) (826,576)
Affiliated companies...................... -- -- 1,000,520 --
Closing and expiration of options
written -- Note 4......................... -- -- -- (47,991)
Foreign currency transactions.............. -- -- 5,123,230 5,391
Net change in unrealized appreciation
or depreciation on:
Investments............................... 47,042,428 16,396,856 33,819,559 2,876,481
Translation of assets and liabilities
denominated in foreign currencies........ -- -- (2,166,551) 862
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN........... 69,421,905 25,071,147 5,885,125 2,008,167
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.................. $ 70,545,356 $ 26,368,866 $ 8,730,638 $ 5,522,672
============ ============ ============ ============
*Dividends:
Unaffiliated companies.................... $ 999 $ 9,674 $ 381,116 $ --
Affiliated companies...................... $ -- $ -- $ 7,446 $ --
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL OPPENHEIMER GLOBAL STRATEGIC
APPRECIATION GROWTH SECURITIES BOND
FUND FUND FUND FUND
------------------------- ------------------------- ------------------------ ------------------------
1995 1994 1995 1994 1995 1994 1995 1994
------------ ------------ ------------ ----------- ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income....... $ 1,123,451 $ 769,034 $ 1,297,719 $ 824,976 $ 2,845,513 $ 1,162,074 $ 3,514,505 $ 1,286,157
Net realized gain (loss).... 22,379,477 (1,045,951) 8,674,291 1,441,127 (25,767,883) 385,837 (869,176) (796,115)
Net change in unrealized
appreciation/depreciation.. 47,042,428 (10,016,034) 16,396,856 (1,915,053) 31,653,008 (24,015,375) 2,877,343 (1,120,872)
------------ ------------ ------------ ----------- ------------ ------------ ------------ ------------
Net increase (decrease)
in net assets resulting
from operations............ 70,545,356 (10,292,951) 26,368,866 351,050 8,730,638 (22,467,464) 5,522,672 (630,830)
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income.......... (719,183) (218,275) (821,641) (516,871) -- (359,955) (3,151,540) (1,161,570)
Distributions from net
realized gain.............. (363,458) (17,112,748) (973,385) (127,540) (8,174,158) (2,441,859) -- --
Distributions in excess of
net realized gain.......... -- -- -- -- -- -- -- (16,802)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase in net assets
resulting from beneficial
interest transactions --
Note 2..................... 70,167,835 76,512,412 29,852,876 6,875,487 62,580,432 226,686,688 37,406,166 12,242,999
------------ ------------ ------------ ----------- ------------ ------------ ------------ ------------
Total increase.............. 139,630,550 48,888,438 54,426,716 6,582,126 63,136,912 201,417,410 39,777,298 10,433,797
NET ASSETS:
Beginning of the year....... 185,773,541 136,885,103 63,283,174 56,701,048 297,841,921 96,424,511 20,320,315 9,886,518
------------ ------------ ------------ ----------- ------------ ------------ ------------ ------------
End of the year............. $325,404,091 $185,773,541 $117,709,890 $63,283,174 $360,978,833 $297,841,921 $60,097,613 $20,320,315
============ ============ ============ =========== ============ ============ ============ ============
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA FOR EACH FUND'S SHARE OUTSTANDING THROUGHOUT EACH YEAR
ENDED DECEMBER 31:
<TABLE>
<CAPTION>
OPPENHEIMER CAPITAL APPRECIATION FUND
--------------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986/(1)/
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of period $25.95 $31.64 $26.04 $23.24 $15.24 $20.40 $16.31 $14.39 $13.12 $16.21
Income (loss) from
investment operations:
Net investment income .11 .10 .05 .06 .08 .32 .50 .33 .21 .12
Net realized and
unrealized gain (loss)
on investments 8.29 (2.22) 6.71 3.43 8.18 (3.54) 3.93 1.60 1.67 (1.24)
-------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 8.40 (2.12) 6.76 3.49 8.26 (3.22) 4.43 1.93 1.88 (1.12)
-------------------------------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (.09) (.04) (.06) (.14) (.26) (.53) (.34) -- (.34) (.21)
Distributions from net
realized gain on
investments (.05) (3.53) (1.10) (.55) -- (1.41) -- (.01) (.27) (1.76)
-------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.14) (3.57) (1.16) (.69) (.26) (1.94) (.34) (.01) (.61) (1.97)
-------------------------------------------------------------------------------------------------------
Net asset value, end of
period $34.21 $25.95 $31.64 $26.04 $23.24 $15.24 $20.40 $16.31 $14.39 $13.12
========================================================================================================
TOTAL RETURN, AT NET ASSET
VALUE/(2)/ 32.52% (7.59)% 27.32% 15.42% 54.72% (16.82)% 27.57% 13.41% 14.34% (1.65)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $325,404 $185,774 $136,885 $83,335 $49,371 $23,295 $27,523 $13,667 $9,692 $4,549
Average net assets (in
thousands) $240,730 $153,832 $ 98,228 $56,371 $34,887 $24,774 $21,307 $13,239 $8,598 $3,099
Ratios to average net
assets:
Net investment income .47% .50% .23% .30% .81% 1.93% 3.27% 2.13% 1.68% 2.36%/(3)/
Expenses .78% .57% .47% .54% .63% .71% .68% .73% .75% 1.01%/(3)/
Portfolio turnover
rate/(4)/ 125.5% 96.5% 122.8% 78.9% 122.3% 222.0% 130.5% 128.7% 138.7% 100.1%
Average brokerage
commission rate/(5)/ $0.18 -- -- -- -- -- -- -- -- --
</TABLE>
1. For the six months ended December 31, 1986. Operating results prior to August
15, 1986 were achieved by Centennial Capital Appreciation Fund, a separate
investment company acquired by OCAP on August 14, 1986.
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.
5. Total brokerage commissions paid on purchases and sales of portfolio
securities for the period divided by the total number of related shares
purchased and sold.
See accompanying Notes to Financial Statements
4
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER GROWTH FUND
---------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of
period $17.68 $17.70 $16.96 $15.17 $12.54 $16.38 $13.64 $11.21 $12.53 $10.95
Income (loss) from investment
operations:
Net investment income .25 .22 .46 .16 .30 .56 .66 .29 .20 .13
Net realized and unrealized
gain (loss) on investments 6.10 (.05) .74 1.99 2.82 (1.79) 2.50 2.19 .24 1.76
---------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 6.35 .17 1.20 2.15 3.12 (1.23) 3.16 2.48 .44 1.89
---------------------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment
income (.22) (.15) (.14) (.36) (.49) (.62) (.35) -- (.34) (.15)
Distributions from net
realized gain on
investments and foreign
currency transactions (.26) (.04) (.32) -- -- (1.99) (.07) (.05) (1.42) (.16)
---------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.48) (.19) (.46) (.36) (.49) (2.61) (.42) (.05) (1.76) (.31)
---------------------------------------------------------------------------------------------------
Net asset value, end of period $ 23.55 $ 17.68 $ 17.70 $ 16.96 $ 15.17 $ 12.54 $ 16.38 $ 13.64 $ 11.21 $12.53
===================================================================================================
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 36.65% .97% 7.25% 14.53% 25.54% (8.21)% 23.59% 22.09% 3.32% 17.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands) $117,710 $63,283 $56,701 $36,494 $22,032 $15,895 $19,301 $17,746 $14,692 $8,287
Average net assets (in
thousands) $ 88,803 $59,953 $46,389 $25,750 $18,810 $17,235 $18,596 $15,585 $15,121 $3,744
Ratios to average net assets:
Net investment income 1.46% 1.38% 1.13% 1.36% 2.82% 4.09% 3.72% 2.39% 1.56% 2.62%
Expenses .79% .58% .50% .61% .70% .71% .70% .70% .75% .75%
Portfolio turnover rate/(2)/ 58.2% 53.8% 12.6% 48.7% 133.9% 267.9% 148.0% 132.5% 191.0% 100.9%
Average brokerage commission
rate/(3)/ $0.07 -- -- -- -- -- -- -- -- --
</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. 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.
3. Total brokerage commissions paid on purchases and sales of portfolio
securities for the period divided by the total number of related shares
purchased and sold.
See accompanying Notes to Financial Statements.
5
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER GLOBAL SECURITIES FUND
-----------------------------------------------------------------------
1995 1994 1993 1992 1991 1990/(1)/
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $15.09 $16.30 $9.57 $10.38 $10.04 $10.00
Income (loss) from investment operations:
Net investment income .12 .04 (.02) .07 .04 --
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .19 (.96) 6.75 (.80) .30 .04
-----------------------------------------------------------------------
Total income (loss) from investment operations .31 (.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 $15.00 $15.09 $16.30 $9.57 $10.38 $10.04
-----------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 2.24% (5.72)% 70.32% (7.11)% 3.39% .40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $360,979 $297,842 $96,425 $13,537 $7,339 $ 432
Average net assets (in thousands) $332,336 $214,545 $31,696 $11,181 $3,990 $ 263
Ratios to average net assets:
Net investment income .86% .54% .72% 1.04% .75% .08%/(3/)
Expenses .89% .91% .92% 1.06% 1.32% 6.84%/(3)/
Portfolio turnover rate/(4)/ 131.3% 70.4% 65.1% 34.1% 29.5% 0.0%
Average brokerage commission rate/(5)/ $0.01 -- -- -- -- --
</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.
5. Total brokerage commissions paid on purchases and sales of portfolio
securities for the period divided by the total number of related shares
purchased and sold.
See accompanying Notes to Financial Statements.
6
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER STRATEGIC BOND FUND
-----------------------------------------------
1995 1994 1993/(1)/
---------- ---------- ----------
<S> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $4.60 $5.12 $5.00
Income (loss) from investment operations:
Net investment income .38 .35 .10
Net realized and unrealized gain (loss) on investments,
options written and foreign currency transactions .30 (.54) .11
---------- ---------- ----------
Total income (loss) from investment operations .68 (.19) .21
---------- ---------- ----------
Dividends and distributions to shareholders:
Dividends from net investment income (.37) (.32) (.09)
Distributions from net realized gain on investments -- -- --
Distributions in excess of net realized gain on investments,
options written and foreign currency transactions -- (.01) --
---------- ---------- ----------
Total dividends and distributions to shareholders (.37) (.33) (.09)
---------- ---------- ----------
Net asset value, end of period $4.91 $4.60 $5.12
---------- ---------- ----------
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 15.33% (3.78)% 4.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $60,098 $20,320 $9,887
Average net assets (in thousands) $37,698 $15,389 $4,259
Ratios to average net assets:
Net investment income 9.32% 8.36% 5.67%/(3)/
Expenses .85% .87% .96%/(3)/
Portfolio turnover rate/(4)/ 87.0% 136.6% 10.9%
---------- ---------- ----------
</TABLE>
1. For the period from May 3, 1993 (commencement of operations) to December
31, 1993.
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.
7
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
--------- ------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS AND NOTES -- 1.1%
Danka Business Systems PLC, 6.75%
Cv. Sub. Nts., 4/1/02........................ $ 800,000 $ 1,122,000
PerSeptive Biosystems, Inc., 8.25% Cv.
Sub. Debs., 8/15/01 /(1)/.................... 850,000 709,750
Telxon Corp., 5.75% Cv. Debs.,
1/1/03 /(1)/................................. 1,500,000 1,627,500
------------
Total Convertible Corporate Bonds and
Notes (Cost $3,150,000)....................... 3,459,250
------------
<CAPTION>
SHARES
------
<S> <C> <C>
COMMON STOCKS -- 91.2%
BASIC MATERIALS -- 0.2%
Paper -- 0.2%
Visioneer, Inc. /(2)/......................... 27,300 607,425
------------
CONSUMER CYCLICALS -- 24.4%
Autos & Housing -- 1.2%
ITI Technologies, Inc. /(2)/.................. 80,000 2,380,000
NHP, Inc. /(2)/............................... 100,000 1,850,000
------------
4,230,000
------------
Leisure & Entertainment -- 7.1%
Apple South, Inc.............................. 121,100 2,603,650
Applebee's International, Inc................. 75,000 1,706,250
CKE Restaurants, Inc.......................... 190,000 3,040,000
Consolidated Products, Inc.................... 44,000 649,000
Department 56, Inc./(2)/...................... 60,300 2,314,012
La Quinta Inns, Inc........................... 85,000 2,326,875
Landry's Seafood Restaurants, Inc./(2)/....... 100,000 1,706,250
Lone Star Steakhouse & Saloon/(2)/............ 50,000 1,918,750
Morrow Snowboards, Inc./(2)/.................. 59,500 966,875
Play By Play Toys & Novelties, Inc./(2)/...... 63,800 933,075
Quality Dining, Inc./(2)/..................... 94,500 2,291,625
Sonic Corp.................................... 95,000 1,805,000
Studio Plus Hotels, Inc./(2)/................. 37,500 965,625
------------
23,226,987
------------
Media -- 0.8%
SFX Broadcasting, Inc., Cl. A/(2)/............ 55,100 1,666,775
Sinclair Broadcast Group, Inc.,
Cl. A/(2)/................................... 50,000 862,500
------------
2,529,275
------------
Retail: General -- 4.9%
Donnkenny, Inc................................ 140,000 2,537,500
Fila Holding SpA, ADR......................... 58,000 2,639,000
Marisa Christina, Inc./(2)/................... 46,700 793,900
Nautica Enterprises, Inc...................... 52,500 2,296,875
Tommy Hilfiger Corp........................... 71,700 3,038,287
Warnaco Group, Inc. (The), Cl. A.............. 67,500 1,687,500
Wolverine World Wide, Inc..................... 89,000 2,803,500
------------
15,796,562
------------
Retail: Specialty -- 10.4%
adidas AG, ADS /(1)/(2)/...................... 24,000 637,500
Boise Cascade Office Products
Corp./(2)/................................... 50,000 2,137,500
Copart, Inc./(2)/............................. 103,100 2,706,375
Corporate Express, Inc........................ 82,500 2,485,312
CUC International, Inc........................ 59,000 2,013,375
Discount Auto Parts, Inc./(2)/................ 60,000 1,867,500
General Nutrition Cos., Inc./(2)/............. 218,800 5,032,400
Hollywood Entertainment Corp.................. 87,500 732,812
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: Specialty (Continued)
Men's Wearhouse, Inc./(2)/.................... 130,100 $ 3,350,075
Moovies, Inc./(2)/............................ 137,200 1,852,200
MSC Industrial Direct Co., Inc., Cl.
A/(2)/....................................... 35,000 962,500
Nike, Inc., Cl. B............................. 22,000 1,531,750
OfficeMax, Inc./(2)/.......................... 45,750 1,023,656
Petco Animal Supplies, Inc./(2)/.............. 80,000 2,340,000
Rocky Mountain Chocolate Factory,
Inc./(2)/.................................... 35,000 420,000
Staples, Inc.................................. 67,500 1,645,312
Viking Office Products, Inc./(2)/............. 65,000 3,022,500
------------
33,760,767
------------
Consumer Non-Cyclicals -- 21.3%
Beverages -- 0.3%
Boston Beer Co., Inc., Cl. A/(2)/............. 9,800 232,750
Canandaigua Wine Co., Inc., Cl. A/(2)/........ 20,000 652,500
------------
885,250
------------
Education -- 0.2%
National Education Corp./(2)/................. 80,000 650,000
Food -- 1.1%
Opta Food Ingredients, Inc./(2)/.............. 35,200 453,200
Safeway, Inc./(2)/............................ 60,000 3,090,000
------------
3,543,200
------------
Healthcare/Drugs -- 5.0%
Agouron Pharmaceuticals, Inc./(2)/............ 40,000 1,310,000
Bio-Vascular, Inc./(2)/....................... 47,900 562,825
Dura Pharmaceuticals, Inc./(2)/............... 75,000 2,606,250
Elan Corp. PLC, ADR/(2)/...................... 45,000 2,188,125
Ethical Holdings PLC, Sponsored
ADR/(2)/..................................... 50,000 450,000
Gilead Sciences, Inc./(2)/.................... 49,300 1,577,600
Martek Biosciences Corp./(2)/................. 40,000 1,010,000
Matrix Pharmaceutical, Inc./(2)/.............. 30,400 570,000
Northfield Laboratories, Inc./(2)/............ 50,000 943,750
Protein Design Labs, Inc...................... 7,500 173,437
Watson Pharmaceuticals, Inc./(2)/............. 100,000 4,900,000
------------
16,291,987
------------
Healthcare/Supplies & Services -- 14.3%
AHI Healthcare Systems, Inc./(2)/............. 138,500 796,375
AmeriSource Health Corp., Cl. A/(2)/.......... 115,500 3,811,500
ARV Assisted Living, Inc./(2)/................ 150,000 1,762,500
Compdent Corp./(2)/........................... 50,000 2,075,000
Emeritus Corp./(2)/........................... 100,000 1,162,500
Guidant Corp.................................. 85,000 3,591,250
Gulf South Medical Supply, Inc................ 73,400 2,220,350
HealthCare COMPARE Corp./(2)/................. 50,000 2,175,000
HemaSure, Inc./(2)/........................... 36,000 459,000
Horizon/CMS Healthcare Corp./(2)/............. 63,700 1,608,425
Lincare Holdings, Inc./(2)/................... 59,200 1,480,000
National Surgery Centers, Inc./(2)/........... 14,500 333,500
Omnicare, Inc................................. 76,800 3,436,800
OrNda Healthcorp/(2)/......................... 105,000 2,441,250
Owen Healthcare, Inc.......................... 63,000 1,740,375
Pediatrix Medical Group, Inc./(2)/............ 120,000 3,300,000
PhyCor, Inc................................... 65,000 3,286,562
Physician Reliance Network, Inc./(2)/......... 40,000 1,590,000
Physicians Resource Group, Inc./(2)/.......... 75,000 1,490,625
Quorum Health Group, Inc./(2)/................ 56,000 1,232,000
Renal Treatment Centers, Inc./(2)/............ 50,000 2,200,000
</TABLE>
8
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Healthcare/Supplies & Services (Continued)
Total Renal Care Holdings, Inc./(2)/........... 52,600 $ 1,551,700
U.S. Healthcare, Inc........................... 30,000 1,395,000
United Dental Care, Inc./(2)/.................. 30,000 1,237,500
------------
46,377,212
------------
Household Goods -- 0.4%
Ultralife Batteries, Inc./(2)/................. 60,000 1,440,000
------------
Energy -- 3.4%
Energy Services & Producers -- 2.9%
Core Laboratories NV/(2)/...................... 50,300 603,600
Cross Timbers Oil Co........................... 30,800 542,850
Diamond Offshore Drilling, Inc./(2)/........... 56,900 1,920,375
Energy Ventures, Inc./(2)/..................... 75,200 1,898,800
Nabors Industries, Inc./(2)/................... 150,000 1,668,750
Newfield Exploration Co./(2)/.................. 20,000 540,000
NUMAR Corp./(2)/............................... 36,000 400,500
Stone Energy Corp./(2)/........................ 35,000 538,125
Weatherford Enterra, Inc./(2)/................. 50,000 1,443,750
------------
9,556,750
------------
Oil-Integrated -- 0.5%
Valero Energy Corp............................. 60,000 1,470,000
------------
Financial -- 2.0%
Diversified Financial -- 0.5%
Advanta Corp., Cl. B........................... 40,000 1,455,000
------------
Insurance -- 1.5%
Berkley (W.R.) Corp............................ 40,000 2,150,000
CapMAC Holdings, Inc./(2)/..................... 70,600 1,773,825
First Commonwealth, Inc./(2)/.................. 18,000 468,000
Prudential Reinsurance Holdings, Inc........... 24,900 582,037
------------
4,973,862
------------
Industrial -- 10.6%
Industrial Materials -- 0.5%
Kennametal, Inc................................ 52,000 1,651,000
------------
Industrial Services -- 8.3%
CIBER, Inc./(2)/............................... 73,500 1,718,062
CKS Group, Inc./(2)/........................... 11,600 452,400
Computer Horizons Corp......................... 60,000 2,280,000
CORT Business Services Corp./(2)/.............. 93,800 1,547,700
Danka Business System PLC,
Sponsored ADR................................. 70,000 2,590,000
DST Systems, Inc./(2)/......................... 83,500 2,379,750
Kent Electronics Corp.......................... 33,300 1,943,888
META Group, Inc./(2)/.......................... 40,000 1,225,000
PMT Services, Inc./(2)/........................ 58,000 1,754,500
Sitel Corp./(2)/............................... 59,300 1,816,063
Stewart Enterprises, Inc....................... 50,000 1,850,000
Transaction Network Services, Inc./(2)/........ 60,000 1,500,000
Transaction Systems Architects, Inc.,
Cl. A/(2)/.................................... 60,000 2,025,000
United Waste Systems, Inc./(2)/................ 30,000 1,117,500
USA Waste Services, Inc./(2)/.................. 151,300 2,855,788
------------
27,055,651
------------
Manufacturing -- 1.0%
American Standard Cos., Inc./(2)/.............. 50,000 1,400,000
Cincinnati Milacron, Inc....................... 30,000 787,500
Harnischfeger Industries, Inc.................. 30,000 997,500
------------
3,185,000
------------
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial (Continued)
Transportation -- 0.8%
Airborne Freight Corp.......................... 100,000 $ 2,662,500
------------
Technology -- 29.3%
Computer Hardware -- 4.5%
Adaptec, Inc./(2)/............................. 50,300 2,062,300
Cisco Systems, Inc./(2)/....................... 55,000 4,104,375
Citrix Systems, Inc./(2)/...................... 15,500 503,750
Data Translation, Inc.......................... 117,000 1,901,250
In Focus Systems, Inc./(2)/.................... 70,000 2,528,750
Lexmark International Group, Inc., Cl.
A/(2)/........................................ 73,400 1,339,550
Network Appliance, Inc./(2)/................... 13,200 529,650
Sun Microsystems, Inc./(2)/.................... 40,000 1,825,000
------------
14,794,625
------------
Computer Software -- 12.4%
7th Level, Inc./(2)/........................... 40,000 560,000
Adept Technology, Inc./(2)/.................... 112,700 1,183,350
AMISYS Managed Care Systems, Inc............... 18,700 355,300
Arbor Software Corp./(2)/...................... 13,500 637,875
Cheyenne Software, Inc./(2)/................... 110,000 2,873,750
Computervision Corp./(2)/...................... 190,500 2,928,938
Computron Software, Inc./(2)/.................. 50,000 900,000
Enterprise Systems, Inc./(2)/.................. 34,100 1,040,050
First Data Corp................................ 58,788 3,931,448
GT Interactive Software Corp./(2)/............. 25,000 350,000
HBO & Co....................................... 40,000 3,065,000
IDX Systems Corp./(2)/......................... 11,200 389,200
IMNET Systems, Inc./(2)/....................... 48,000 1,152,000
Inference Corp., Cl. A/(2)/.................... 25,000 475,000
Informix Corp./(2)/............................ 85,000 2,550,000
Legato Systems, Inc./(2)/...................... 40,000 1,240,000
Mecon, Inc./(2)/............................... 110,000 1,746,250
MetaTools, Inc./(2)/........................... 15,000 390,000
NetManage, Inc................................. 60,000 1,395,000
Network General Corp./(2)/..................... 35,000 1,168,125
Novadigm, Inc./(2)/............................ 39,100 1,109,463
Open Environment Corp./(2)/.................... 72,500 996,875
Oracle Corp./(2)/.............................. 80,000 3,390,000
Pinnacle Systems, Inc./(2)/.................... 39,800 985,050
Project Software & Development, Inc............ 64,500 2,249,438
Spacetec IMC Corp./(2)/........................ 30,000 352,500
SQA, Inc./(2)/................................. 12,500 240,625
Summit Medical Systems, Inc./(2)/.............. 55,000 1,182,500
Sync Research, Inc./(2)/....................... 30,800 1,393,700
------------
40,231,437
------------
Electronics -- 0.9%
Photon Dynamics, Inc./(2)/..................... 78,500 628,000
SDL, Inc./(2)/................................. 95,000 2,280,000
------------
2,908,000
------------
Telecommunications-Technology -- 11.5%
ADC Telecommunications, Inc.................... 60,000 2,190,000
Allen Group, Inc............................... 60,000 1,342,500
Arch Communications Group, Inc./(2)/........... 140,000 3,360,000
Comverse Technology, Inc./(2)/................. 60,000 1,200,000
Davox Corp./(2)/............................... 80,000 950,000
DSC Communications Corp./(2)/.................. 75,000 2,765,625
Glenayre Technologies, Inc..................... 31,750 1,976,438
Inter-Tel, Inc./(2)/........................... 56,300 865,613
L.M. Ericsson Telephone Co., Cl. B,
ADR........................................... 90,000 1,755,000
LCI International, Inc./(2)/................... 132,600 2,718,300
</TABLE>
9
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Technology (Continued)
Telecommunications-Technology (Continued)
Metrocall, Inc./(2)/........................... 34,200 $ 654,075
MobileMedia Corp., Cl. A/(2)/.................. 125,000 2,781,250
Pairgain Technologies, Inc./(2)/............... 40,000 2,190,000
Periphonics Corp./(2)/......................... 85,400 2,369,850
ProNet, Inc./(2)/.............................. 100,000 2,950,000
Tellabs, Inc................................... 55,000 2,035,000
Teltrend, Inc./(2)/............................ 65,000 3,038,750
VTEL Corp./(2)/................................ 105,500 1,951,750
Westell Technologies, Inc., Cl. A/(2)/......... 14,000 351,750
------------
37,445,901
------------
Total Common Stocks
(Cost $234,017,201)............................ 296,728,391
------------
<CAPTION>
Units
-----
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
Jan Bell Marketing, Inc. Wts., Exp.
12/98......................................... 532 266
Tapistron International, Inc. Wts., Exp.
6/97.......................................... 120,000 7,500
Windmere Corp. Wts., Exp. 1/98................. 381 --
------------
Total Rights, Warrants and
Certificates (Cost $52,860)................... 7,766
------------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
Repurchase Agreement -- 10.9%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $35,623,338 on 1/2/96,
collateralized by U.S. Treasury Nts.,
5.125%-8.75%, 12/31/96-11/5/04, with a
value of $19,323,938, U.S. Treasury Bonds,
6.25%-11.25%, 8/15/03-8/15/23, with a
value of $11,710,771, and U.S. Treasury
Bills maturing 11/14/96, with a value of
$5,310,666 (Cost $35,600,000)................. $ 35,600,000 35,600,000
------------
Total Investments, at Value
(Cost $272,820,061)............................. 103.2% 335,795,407
----- ------------
Liabilities in Excess of Other Assets........... (3.2) (10,391,316)
----- ------------
Net Assets...................................... 100.0% $325,404,091
===== ============
</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 $2,974,750 or 0.91% of the Fund's
net assets,at December 31, 1995.
(2) Non-income producing security.
See Accompanying Notes to Financial Statements.
10
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND
STATEMENT OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS -- 80.1%
BASIC MATERIALS -- 6.3%
Chemicals -- 4.5%
FMC Corp./(1)/.............................. 4,000 $ 270,500
Georgia Gulf Corp........................... 19,000 584,250
IMC Global, Inc............................. 16,000 654,000
Morton International, Inc................... 29,000 1,040,375
PPG Industries, Inc......................... 18,000 823,500
Sterling Chemicals, Inc./(1)/............... 80,600 654,875
Terra Industries, Inc....................... 46,000 649,750
Union Carbide Corp.......................... 17,000 637,500
------------
5,314,750
------------
Metals -- 0.3%
Reynolds Metals Co.......................... 7,000 396,375
------------
Paper -- 1.5%
Boise Cascade Corp.......................... 17,000 588,625
Bowater, Inc................................ 5,000 177,500
Federal Paper Board Co...................... 7,000 363,125
Willamette Industries, Inc.................. 11,000 618,750
------------
1,748,000
------------
CONSUMER CYCLICALS -- 10.7%
Autos & Housing -- 1.4%
Pulte Corp.................................. 17,000 571,625
Toll Brothers, Inc./(1)/.................... 46,000 1,058,000
------------
1,629,625
------------
Leisure & Entertainment -- 3.3%
Applebee's International, Inc............... 18,000 409,500
Callaway Golf Co............................ 25,000 565,625
ITT Corp. (New)............................. 5,000 265,000
McDonald's Corp............................. 11,000 496,375
Walt Disney Co.............................. 25,000 1,475,000
Wendy's International, Inc.................. 33,800 718,250
------------
3,929,750
------------
Media -- 0.2%
Viacom, Inc., Cl. B/(1)/.................... 3,667 173,724
------------
Retail: General -- 3.2%
Jones Apparel Group, Inc./(1)/.............. 17,100 673,312
May Department Stores Co.................... 6,000 253,500
Nautica Enterprises, Inc.................... 10,200 446,250
Tommy Hilfiger Corp......................... 22,500 953,437
Wal-Mart Stores, Inc........................ 26,000 581,750
Warnaco Group, Inc. (The), Cl. A............ 33,000 825,000
------------
3,733,249
------------
Retail: Specialty -- 2.6%
Bed Bath & Beyond, Inc./(1)/................ 9,000 349,312
Gap, Inc. (The)............................. 10,000 420,000
General Nutrition Cos., Inc./(1)/........... 40,000 920,000
Home Depot, Inc............................. 24,000 1,149,000
OfficeMax, Inc./(1)/........................ 8,000 179,000
------------
3,017,312
------------
CONSUMER NON-CYCLICALS -- 17.6%
Beverages -- 1.4%
Boston Beer Co., Inc., Cl. A/(1)/........... 6,600 156,750
Coca-Cola Co. (The)......................... 10,000 742,500
PepsiCo, Inc................................ 10,000 558,750
Whitman Corp................................ 8,000 186,000
------------
1,644,000
------------
Food -- 3.1%
ConAgra, Inc................................ 4,000 165,000
H.J. Heinz Co............................... 15,000 496,875
IBP, Inc.................................... 20,000 1,010,000
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
CONSUMER NON-CYCLICALS (Continued)
Food (Continued)
Kroger Co./(1)/............................. 14,000 $ 525,000
Safeway, Inc./(1)/.......................... 16,000 824,000
Smithfield Foods, Inc./(1)/................. 21,000 666,750
------------
3,687,625
------------
Healthcare/Drugs -- 5.6%
Abbott Laboratories......................... 27,000 1,127,250
Amgen, Inc.................................. 8,000 475,000
Bristol-Myers Squibb Co..................... 6,500 558,187
Johnson & Johnson........................... 12,000 1,027,500
Pfizer, Inc................................. 26,500 1,669,500
Schering-Plough Corp........................ 16,000 876,000
Warner-Lambert Co........................... 6,000 582,750
Watson Pharmaceuticals, Inc./(1)/........... 6,000 294,000
------------
6,610,187
------------
Healthcare/Supplies & Services -- 4.2%
Columbia/HCA Healthcare Corp................ 12,000 609,000
Cordis Corp./(1)/........................... 2,000 201,000
HealthCare COMPARE Corp./(1)/............... 20,000 870,000
Lincare Holdings, Inc./(1)/................. 35,000 875,000
Medtronic, Inc.............................. 34,000 1,899,750
Nellcor Puritan Bennett, Inc./(1)/.......... 8,800 510,400
------------
4,965,150
------------
Household Goods -- 0.9%
Procter & Gamble Co......................... 13,000 1,079,000
Tobacco -- 2.4%
Philip Morris Cos., Inc..................... 16,000 1,448,000
UST, Inc.................................... 41,000 1,368,375
------------
2,816,375
------------
ENERGY -- 1.5%
Oil-Integrated -- 1.5%
Mobil Corp.................................. 6,000 672,000
Royal Dutch Petroleum Co.................... 3,500 493,938
USX-Marathon Group.......................... 25,000 487,500
YPF Sociedad Anonima, Sponsored
ADR........................................ 5,000 108,125
------------
1,761,563
------------
FINANCIAL -- 13.7%
Banks -- 4.3%
Bank of Boston Corp......................... 23,000 1,063,750
Chase Manhattan Corp........................ 6,000 363,750
Chemical Banking Corp....................... 9,000 528,750
First Interstate Bancorp.................... 6,500 887,250
Midlantic Corp.............................. 12,000 787,500
NationsBank Corp............................ 10,000 696,250
State Street Boston Corp.................... 16,600 747,000
------------
5,074,250
------------
Diversified Financial -- 7.4%
Advanta Corp., Cl. A........................ 15,000 573,750
Donaldson, Lufkin & Jenrette, Inc./(1)/..... 6,200 193,750
Federal Home Loan Mortgage Corp............. 8,000 668,000
Federal National Mortgage Assn.............. 8,000 993,000
First USA, Inc.............................. 25,000 1,109,375
Green Tree Financial Corp................... 56,000 1,477,000
Money Store, Inc. (The)..................... 23,000 359,375
Morgan Stanley Group, Inc................... 3,000 241,875
Price (T. Rowe) Associates.................. 20,400 1,004,700
Schwab (Charles) Corp. (The)................ 29,000 583,625
Travelers Group, Inc........................ 24,000 1,509,000
------------
8,713,450
------------
</TABLE>
11
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND
Statement of Investments (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
FINANCIAL (Continued)
Insurance -- 2.0%
AFLAC, Inc.................................. 5,250 $ 227,719
ITT Hartford Group, Inc..................... 5,000 241,875
MGIC Investment Corp........................ 14,100 764,925
SunAmerica, Inc............................. 24,000 1,140,000
------------
2,374,519
------------
INDUSTRIAL -- 7.1%
Electrical Equipment -- 2.2%
Emerson Electric Co......................... 17,500 1,430,625
General Electric Co......................... 13,000 936,000
Honeywell, Inc.............................. 2,000 97,250
Kemet Corp.................................. 6,000 143,250
------------
2,607,125
------------
Industrial Materials -- 1.6%
Ball Corp................................... 10,000 275,000
Centex Corp................................. 14,000 486,500
Fluor Corp.................................. 8,000 528,000
Rayonier, Inc............................... 19,400 647,475
------------
1,936,975
------------
Industrial Services -- 1.0%
Danka Business System PLC,
Sponsored ADR.............................. 21,000 777,000
Manpower, Inc............................... 12,500 351,563
------------
1,128,563
------------
Manufacturing -- 0.8%
ITT Industries, Inc......................... 5,000 120,000
Kulicke & Soffa Industries, Inc............. 20,000 465,000
Varity Corp./(1)/........................... 9,000 334,125
------------
919,125
------------
Transportation -- 1.5%
Burlington Northern Santa Fe Corp........... 7,000 546,000
Canadian Pacific Ltd........................ 47,000 851,875
Illinois Central Corp....................... 10,000 383,750
------------
1,781,625
------------
TECHNOLOGY -- 22.1%
Aerospace/Defense -- 0.7%
Goodrich (B.F.) Co.......................... 12,000 817,500
------------
Computer Hardware -- 5.3%
3Com Corp./(1)/............................. 10,000 466,250
Adaptec, Inc./(1)/.......................... 20,000 820,000
Cabletron Systems, Inc./(1)/................ 22,000 1,782,000
Cisco Systems, Inc./(1)/.................... 7,000 522,375
Compaq Computer Corp./(1)/.................. 22,000 1,056,000
EMC Corp./(1)/.............................. 36,000 553,500
Gateway 2000, Inc./(1)/..................... 22,000 539,000
Sun Microsystems, Inc./(1)/................. 12,000 547,500
------------
6,286,625
------------
Computer Software -- 9.6%
Automatic Data Processing, Inc.............. 19,000 1,410,750
BMC Software, Inc./(1)/..................... 30,000 1,282,500
Cheyenne Software, Inc./(1)/................ 41,000 1,071,125
Computer Associates International, Inc...... 6,000 341,250
First Data Corp............................. 20,000 1,337,500
Informix Corp./(1)/......................... 35,000 1,050,000
Microsoft Corp./(1)/........................ 30,000 2,632,500
Oracle Corp./(1)/........................... 33,600 1,423,800
Sterling Software, Inc./(1)/................ 12,000 748,500
------------
11,297,925
------------
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
TECHNOLOGY -- (Continued)
Electronics -- 3.8%
Arrow Electronics, Inc./(1)/................ 11,000 $ 474,375
Cypress Semiconductor Corp./(1)/............ 50,000 637,500
General Instrument Corp./(1)/............... 15,000 350,625
Intel Corp.................................. 26,000 1,475,500
Motorola, Inc............................... 15,000 855,000
Phillips Electronics NV, ADR................ 19,000 681,625
------------
4,474,625
------------
Telecommunications-Technology -- 2.7%
AT&T Corp................................... 18,000 1,165,500
Hong Kong Telecommunications Ltd.,
Sponsored ADR.............................. 5,000 88,750
L.M. Ericsson Telephone Co., Cl. B,
ADR........................................ 33,000 643,500
Telecom Corp. of New Zealand Ltd.,
Sponsored ADR.............................. 7,000 485,625
Tellabs, Inc................................ 21,800 806,600
------------
3,189,975
------------
UTILITIES -- 1.1%
Telephone Utilities -- 1.1%
BellSouth Corp.............................. 5,000 217,500
Cincinnati Bell, Inc........................ 17,000 590,750
Telefonos de Mexico SA, Sponsored
ADR........................................ 13,500 430,313
------------
1,238,563
------------
Total Common Stocks (Cost
$70,729,607)............................... 94,347,530
------------
<CAPTION>
PRINCIPAL
AMOUNT
---------
REPURCHASE AGREEMENTS -- 19.9%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $18,011,800 on 1/2/96,
collateralized by U.S. Treasury Nts., 5.125%-
8.75%, 12/31/96-11/5/04, with a value of
$9,770,530, U.S. Treasury Bonds, 6.25%-
11.25%, 8/15/03-8/15/23, with a value of
$5,921,176, and U.S. Treasury Bills maturing
11/14/96, with a value of $2,685,168....... $18,000,000 18,000,000
------------
Repurchase agreement with PaineWebber, Inc.,
5.90%, dated 12/29/95, to be repurchased
at $5,473,586 on 1/2/96, collateralized by
U.S. Treasury Nts., 6.875%, 8/31/99, with
a value of $1,954,613, and U.S. Treasury
Bonds, 7.125%-7.625%, 11/15/22-2/15/23,
with a value of $3,682,864................. 5,470,000 5,470,000
------------
Total Repurchase Agreements
(Cost $23,470,000)......................... 23,470,000
------------
TOTAL INVESTMENTS, AT VALUE (COST
$94,199,607)................................ 100.0% 117,817,530
------ ------------
LIABILITIES IN EXCESS OF OTHER ASSETS........ 0.0 (107,640)
------ ------------
NET ASSETS................................... 100.0% $117,709,890
====== ============
</TABLE>
/(1)/ Non-income producing security.
See accompanying Notes to Financial Statements.
12
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
STATEMENT OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS - 95.7%
BASIC MATERIALS - 1.4%
Chemicals - 0.4%
Minerals Technologies, Inc.................... 40,000 $ 1,460,000
-----------
Gold - 0.4%
Newmont Mining Corp........................... 33,000 1,493,250
-----------
Metals - 0.3%
Freeport-McMoRan Copper & Gold,
Inc., Cl. B.................................. 37,000 1,040,625
-----------
Paper - 0.3%
Aracruz Celulose SA, Sponsored ADR,
Cl. B........................................ 125,000 968,750
-----------
CONSUMER CYCLICALS - 8.7%
Autos & Housing - 2.7%
Ciadea SA..................................... 199,998 1,040,195
General Motors Corp........................... 19,000 1,004,625
Mahindra & Mahindra Ltd., GDR/(1)//(2)/....... 200,000 1,183,020
Mitsubishi Motors Corp........................ 400,000 3,261,217
Volkswagen AG................................. 10,000 3,360,635
-----------
9,849,692
-----------
Leisure & Entertainment - 0.6%
Filmes Lusomundo SA........................... 205,200 2,197,808
Media - 1.4%
Grupo Televisa SA, Sponsored ADR/(2)/......... 10,900 245,250
News Corp. Ltd., ADR.......................... 150,000 3,206,250
United International Holdings, Inc., Cl.
A/(1)/....................................... 97,000 1,430,750
-----------
4,882,250
-----------
Retail: General - 1.7%
Ito-Yokado Co., Ltd........................... 55,000 3,391,123
Wal-Mart Stores, Inc.......................... 120,000 2,685,000
-----------
6,076,123
-----------
Retail: Specialty - 2.3%
FamilyMart Co................................. 45,000 2,032,929
Giordano International Ltd.................... 1,700,000 1,451,125
Jurong Shipyard Ltd........................... 140,000 1,078,852
Jusco Co...................................... 85,000 2,216,639
Moebel Walther AG, Preference................. 7,312 240,110
Prodega AG.................................... 960 1,209,750
-----------
8,229,405
-----------
CONSUMER NON-CYCLICALS - 20.9%
Beverages - 2.7%
Allied Domecq PLC............................. 274,400 2,236,675
Cadbury Schweppes PLC......................... 400,000 3,300,827
Hellenic Bottling Co., SA..................... 28,300 927,095
LVMH Moet Hennessy Louis Vuitton.............. 15,000 3,128,593
-----------
9,593,190
-----------
Food - 3.7%
Groupe Danone................................. 20,000 3,304,449
Molinos Rio de la Plata SA, Cl. B............. 301,343 2,471,490
Nestle SA..................................... 4,000 4,435,750
PT Indofood Sukses Makmur/(1)/................ 417,750 2,009,795
Universal Robina Corp......................... 2,500,000 1,239,079
-----------
13,460,563
-----------
Healthcare/Drugs - 9.0%
Amgen, Inc.................................... 40,000 2,375,000
Astra AB Free, Series A....................... 100,000 3,998,669
Ciba-Geigy AG................................. 10,000 8,821,093
Genzyme Corp./(1)/............................ 60,000 3,742,500
Johnson & Johnson............................. 11,500 984,687
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
CONSUMER NON-CYCLICALS (Continued)
Healthcare/Drugs (Continued)
Pharmavit GDS/(5)/............................ 114,000 $ 1,368,000
Plant Genetics Systems/(1)//(3)/.............. 89,104 1,061,140
Sankyo Co. Ltd................................ 140,000 3,148,761
Sanofi SA..................................... 77,998 5,006,479
Taisho Pharmaceutical Co...................... 100,000 1,977,670
-----------
32,483,999
-----------
Healthcare/Supplies & Services - 3.6%
Olympus Optical Co., Ltd...................... 200,000 1,938,892
Pharmacia & Upjohn, Inc./(1)/................. 25,500 988,125
Rhoen Klinikum AG, Non-vtg.
Preference................................... 7,920 691,690
Stryker Corp.................................. 19,000 997,500
U.S. Healthcare, Inc.......................... 60,000 2,790,000
United Healthcare Corp........................ 65,000 4,257,500
United States Surgical Corp................... 60,000 1,282,500
-----------
12,946,207
-----------
Household Goods - 0.9%
Kao Corp...................................... 250,000 3,102,228
-----------
Tobacco - 1.0%
B.A.T. Industries PLC......................... 400,000 3,524,401
-----------
ENERGY - 3.3%
Energy Services & Producers - 3.0%
Baker Hughes, Inc............................. 80,000 1,950,000
Coflexip SA, Sponsored ADR.................... 105,000 1,981,875
Compagnie Generale de Geophysique
SA/(1)/...................................... 24,060 792,098
Global Marine, Inc./(1)/...................... 117,500 1,028,125
Transocean AS/(1)/............................ 292,360 5,067,135
-----------
10,819,233
-----------
Oil-Integrated - 0.3%
Unocal Corp................................... 34,000 990,250
-----------
FINANCIAL - 17.4%
Banks - 4.9%
Banco Bradesco SA, Preference................. 150,000,000 1,311,839
Banco de Galicia Y Buenos Aires, ADR.......... 71,000 1,464,375
Banco Frances del Rio de la Plata SA,
ADR.......................................... 55,000 1,478,125
Banco Wiese, Sponsored ADR.................... 60 375
Chase Manhattan Corp.......................... 50,000 3,031,250
Citicorp...................................... 45,000 3,026,250
HSBC Holdings PLC............................. 126,101 1,908,166
Northern Trust Corp........................... 18,700 1,047,200
Skandinaviska Enskilda Banken Group........... 250,000 2,074,781
Turkiye Garanti Bankasi AS (New)/(2)/......... 288,000 2,411,885
-----------
17,754,246
-----------
Diversified Financial - 5.1%
ABN Amro Holding NV........................... 70,000 3,192,162
American Express Co........................... 24,500 1,013,687
First NIS Regional Fund/(2)//(4)/............. 180,000 1,080,000
Internationale Nederlanden Groep NV........... 35,000 2,340,627
IRSA Inversiones y Representaciones,
SA........................................... 1,028,807 2,593,094
MBNA Corp..................................... 50,000 1,843,750
Nomura Securities Co. Ltd..................... 300,000 6,543,762
-----------
18,607,082
-----------
</TABLE>
13
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
Statement of Investments (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
FINANCIAL (Continued)
Insurance - 7.4%
American International Group, Inc............. 35,000 $ 3,237,500
Mapfre Vida Seguros........................... 25,000 1,483,727
Marschollek, Lautenschlaeger und
Partner AG................................... 5,587 3,864,472
National Mutual Asia Ltd...................... 2,634,000 2,384,656
Reinsurance Australia Corp. Ltd............... 4,500,200 9,975,702
Skandia Forsakrings AB........................ 100,000 2,708,532
Swiss Reinsurance............................. 2,500 2,915,741
-----------
26,570,330
-----------
INDUSTRIAL - 17.8%
Electrical Equipment - 2.9%
Murata Mfg. Co. Ltd........................... 140,000 5,157,454
Ushio, Inc.................................... 100,000 1,192,419
Yokogawa Electric Corp........................ 425,000 4,021,263
-----------
10,371,136
-----------
Industrial Services - 6.5%
BIS SA/(1)/................................... 81,025 6,014,276
IHC Caland NV................................. 80,000 2,694,965
JGC Corp...................................... 300,000 3,170,089
Plettac AG.................................... 10,000 2,480,303
VBH-Vereinigter Baubeschlag Handel
AG........................................... 24,700 6,902,927
WMX Technologies, Inc......................... 80,000 2,390,000
-----------
23,652,560
-----------
Manufacturing - 7.5%
Bobst Bearers AG.............................. 2,000 3,128,664
Gildemeister AG/(1)/.......................... 13,862 1,259,057
Measurex Corp................................. 63,800 1,802,350
Mitsubishi Heavy Industries Ltd............... 250,000 1,994,635
Mori Seiki Co. Ltd............................ 160,000 3,614,095
Powerscreen International PLC................. 1,330,100 8,002,313
Traub AG/(1)/................................. 33,750 3,065,444
Valmet Corp., Cl. A........................... 170,000 4,267,612
-----------
27,134,170
-----------
Transportation - 0.9%
Brambles Industries Ltd....................... 180,000 2,008,441
Lisnave-Estaleiros Navais de Lisbona
SA/(1)/...................................... 450,950 1,267,856
-----------
3,276,297
-----------
TECHNOLOGY - 20.3%
Computer Hardware - 4.4%
Cabletron Systems, Inc./(1)/.................. 45,000 3,645,000
Digital Equipment Corp./(1)/.................. 60,000 3,847,500
International Business Machines Corp.......... 35,000 3,211,250
Olivetti & C. SpA/(1)/........................ 5,000,000 4,012,231
QUALCOMM, Inc./(1)/........................... 25,000 1,075,000
-----------
15,790,981
-----------
Computer Software - 5.5%
Baan Co. NV/(1)/.............................. 30,000 1,357,500
CSK Corp...................................... 50,000 1,565,656
First Data Corp............................... 87,118 5,826,016
Ines Corp./(1)/............................... 60,000 1,099,352
Nintendo Co. Ltd.............................. 110,000 8,371,167
Novell, Inc./(1)/............................. 119,800 1,707,150
-----------
19,926,841
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
TECHNOLOGY (Continued)
Electronics - 6.5%
General Motors Corp., Cl. H................... 40,000 $ 1,965,000
Intel Corp.................................... 20,000 1,135,000
Keyence Corp.................................. 25,000 2,884,102
Matsushita Electric Industrial Co.
Ltd./(1)/.................................... 180,000 2,931,605
National Semiconductor Corp./(1)/............. 150,000 3,337,500
Philips Electronics NV........................ 100,000 3,618,241
Rohm Co....................................... 45,000 2,543,342
SGS-Thomson Microelectronics NV/(1)/.......... 129,400 5,208,350
-----------
23,623,140
-----------
Telecommunications-Technology - 3.9%
Airtouch Communications, Inc./(1)/............ 70,000 1,977,500
Hong Kong Telecommunications Ltd.............. 1,176,400 2,099,645
Korea Mobile Telecommunications Corp.......... 3,000 3,380,740
Millicom International Cellular SA/(1)/....... 121,678 3,711,179
Millicom, Inc./(1)/........................... 25,000 --
Petersburg Long Distance, Inc./(1)/........... 187,000 888,250
Technology Resources Industries
Berhad/(1)/.................................. 650,000 1,920,121
-----------
13,977,435
-----------
UTILITIES - 5.9%
Electric Utilities - 0.5%
Korea Electric Power Co....................... 50,000 1,985,240
Gas Utilities - 1.3%
Hong Kong & China Gas......................... 2,000,000 3,220,410
Transportadora de Gas del Sur SA.............. 99,300 1,278,488
-----------
4,498,898
-----------
Telephone Utilities - 4.1%
Compania de Telefonos de Chile SA............. 27,500 2,279,063
Tele Danmark AS, B Shares..................... 30,000 1,640,261
Telecom Italia Mobile SpA/(1)/................ 669,600 1,179,736
Telecom Italia SpA............................ 1,446,000 2,251,401
Telecomunicacoes Brasileiras SA,
Preference................................... 5,800,000 279,283
Telefonica del Peru SA, Cl. B................. 3,400,031 7,291,810
-----------
14,921,554
-----------
Total Common Stocks (Cost
$321,681,583)................................. 345,207,884
-----------
<CAPTION>
UNITS
-----
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES - 0.0%
American Satellite Network, Inc. Wts.,
Exp. 6/99.................................... 6,250 --
Banco Bradesco SA Rts., Exp. 1/96............. 3,507,301 --
Plant Genetics, Inc. Wts., Exp.
12/99/(3)/................................... 60,000 119,402
-----------
Total Rights, Warrants and
Certificates (Cost $0)....................... 119,402
-----------
</TABLE>
14
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND
Statement of Investments (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------ ------------
<S> <C> <C>
REPURCHASE AGREEMENT - 4.8%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $17,311,341 on 1/2/96,
collateralized by U.S. Treasury Nts., 5.125%-
8.75%, 12/31/96-11/5/04, with a value of
$9,390,565, U.S. Treasury Bonds, 6.25%-
11.25%, 8/15/03-8/15/23, with a value of
$5,690,908, and U.S. Treasury Bills
maturing 11/14/96, with a value of
$2,580,745 (Cost $17,300,000)................ $17,300,000 $ 17,300,000
----------- -------------
TOTAL INVESTMENTS, AT VALUE (COST
$338,981,583)................................. 100.5% 362,627,286
------ ------------
LIABILITIES IN EXCESS OF OTHER ASSETS.......... (0.5) (1,648,453)
------ ------------
NET ASSETS..................................... 100.0% $360,978,833
====== ============
</TABLE>
/(1)/ Non-income producing security.
/(2)/ 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 $4,920,155 or 1.36% of the
Fund's net assets, at December 31, 1995.
/(3)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(4)/ First NIS Regional Fund, a closed end fund listed on the Luxembourg Stock
Exchange, is offered in installments. The Fund has entered the first and
second installments (70% of the total commitment). The third installment
is provisional and may be postponed indefinitely at the discretion of the
Board of NIS Fund.
/(5)/ 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 December
31, 1995. The aggregate fair value of all securities of affiliated
companies as of December 31, 1995 amounted to $1,368,000. 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 DECEMBER 31, 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 $1,200,230 -- $ $46,900
Pharmavit GDS........ 100,000 1,300,000 24,000 216,000 10,000 115,000 114,000 1,401,000 15,263
---------- -------- ---------- ---------- -------
$2,500,236 $216,000 $1,315,230 $1,401,000 $62,163
========== ======== ========== ========== =======
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.8%
Canadian Imperial Bank CD, Zero
Coupon, 28.674%, 2/8/96/(2)//(3)/ HUF... $ 33,025,000 $ 235,034
Citibank CD:
13%, 5/6/96/(2)/ CLP..................... 74,934,666 184,279
27.40%, 3/22/96/(2)/) HUF................ 34,877,500 255,278
CS First Boston, Inc. CD, 15.75%,
6/11/96/(2)//(4)/ IDR................... 667,200,000 291,809
Indonesia (Republic of) Bank Negara
CD, Zero Coupon, 15.914%,
6/17/96/(2)//(3)/ IDR................... 500,000,000 201,253
Krungthai Thanakit CD, Zero Coupon:
11.533%, 2/29/96/(2)//(3)/ THB........... 6,500,000 251,931
11.668%, 2/29/96/(2)//(3)/ THB........... 3,500,000 135,655
11.292%, 3/13/96/(2)//(3)/ THB........... 19,000,000 736,565
-------------
Total Certificates of Deposit
(Cost $2,323,164)........................ 2,291,804
-------------
MORTGAGE-BACKED OBLIGATIONS -- 5.8%
GOVERNMENT AGENCY -- 3.9%
FHLMC/FNMA/Sponsored -- 2.6%
Federal Home Loan Mortgage Corp.,
Series 176, Cl. F, 8.95%, 3/15/20....... 40,342 40,720
Federal National Mortgage Assn.:
7.50%, 8/1/25............................ 1,175,762 1,204,780
Collateralized Mtg. Obligations, Series
1992-103, Cl. JB, 10.50%, 11/25/20...... 130,000 154,821
Series 1994-83, Cl. Z, 7.50%, 6/25/24.... 178,988 175,296
-------------
1,575,617
-------------
GNMA/Guaranteed -- 1.3%
Government National Mortgage Assn.,
6%, 11/20/25............................ 747,956 755,436
-------------
PRIVATE -- 1.9%
Commercial -- 1.5%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-G,
8.70%, 9/25/25/(4)/..................... 153,594 160,170
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, Cl. D, 8.06%, 6/15/21/(5)/..... 496,835 509,644
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1991-M6, Cl. B4, 7.477%,
6/25/21/(5)/............................ 37,880 37,869
Series 1992-CHF, Cl. D, 8.25%,
12/25/20................................ 126,259 130,383
Series 1993-C1, Cl. D, 9.45%, 5/25/24.... 91,000 96,773
-------------
934,839
-------------
MULTI-FAMILY -- 0.4%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25............. 236,608 223,299
-------------
Total Mortgage-Backed Obligations
(Cost $3,324,532)........................ 3,489,191
-------------
U.S. GOVERNMENT OBLIGATIONS -- 29.0%
TREASURY -- 29.0%
U.S. Treasury Bonds:
11.625%, 11/15/02........................ 4,300,000 5,799,625
13.125%, 5/15/01......................... 2,800,000 3,796,623
6.875%, 8/15/25.......................... 1,200,000 1,354,124
8.125%, 8/15/19.......................... 163,000 205,024
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
U.S. GOVERNMENT OBLIGATIONS (Continued)
TREASURY (Continued)
U.S. Treasury Nts.:
8.75%, 8/15/00........................... $ 2,125,000 $ 2,415,194
9.25%, 1/15/96........................... 3,500,000 3,509,842
9.375%, 4/15/96.......................... 318,000 321,875
-------------
Total U.S. Government Obligations
(Cost $16,639,999)........................ 17,402,307
-------------
FOREIGN GOVERNMENT OBLIGATIONS -- 30.1%
Argentina -- 0.5%
Argentina (Republic of):
Medium-Term Nts., 8%, 8/9/97 NLG......... 400,000 247,662
Bonds, Bonos del Tesoro, Series II,
5.898%, 9/1/97/(5)/..................... 30,000 28,984
-------------
276,646
-------------
Australia -- 2.3%
New South Wales Treasury Corp. Gtd.
Exch. Bonds, 12%, 12/1/01 AUD........... 140,000 123,469
Queensland Treasury Corp. Gtd. Nts.,
8%, 8/14/01 AUD.......................... 1,068,000 795,672
Treasury Corp. of Victoria Gtd. Bonds,
10.25%, 11/15/06 AUD..................... 90,000 75,095
Western Australia Treasury Corp. Gtd.
Bonds, 10%, 7/15/05 AUD.................. 450,000 368,968
-------------
1,363,204
-------------
Brazil -- 1.4%
Brazil (Federal Republic of):
Eligible Interest Bonds, 6.812%,
4/15/06/(5)/............................ 500,000 343,750
Interest Due and Unpaid Bonds,
6.688%, 1/1/01/(5)/..................... 522,500 450,003
Petroquimica do Nordeste Sr. Unsec.
Unsub. Nts., 9.50%, 10/19/01............ 50,000 46,437
-------------
840,190
-------------
Bulgaria -- 0.8%
Bulgaria (Republic of) Interest Arrears
Bonds, 6.75%, 7/28/11/(5)//(6)/......... 1,000,000 463,750
-------------
Canada -- 3.2%
Canada (Government of) Bonds:
10.25%, 12/1/98 CAD...................... 320,000 260,206
10.25%, 3/1/96 CAD....................... 180,000 133,274
9%, 12/1/04 CAD.......................... 460,000 380,792
Series A33, 11.50%, 9/1/00 CAD........... 1,170,000 1,027,961
9.75%, 10/1/97 CAD....................... 180,000 140,585
-------------
1,942,818
-------------
Colombia - 0.4%
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.875%,
7/1/01/(5)//(7)/........................ 257,160 239,159
-------------
Costa Rica -- 0.5%
Central Bank of Costa Rica Principal
Bonds, Series A, 6.25%, 5/21/10......... 500,000 310,000
-------------
Denmark -2.0%
Denmark (Kingdom of) Bonds:
7%, 11/10/24 DKK......................... 1,600,000 257,534
8%, 3/15/06 DKK.......................... 1,000,000 190,281
8%, 5/15/03 DKK.......................... 4,000,000 767,332
-------------
1,215,147
-------------
</TABLE>
16
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
--------------- -------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
Ecuador -- 0.7%
Ecuador (Republic of) Disc. Bonds,
6.812%, 2/28/25/(5)/........................ $ 800,000 $ 407,000
-----------
France -- 0.2%
France (Government of) Obligation
Assimilable du Tresor Debs.:
8.50%, 10/25/08 FRF......................... 200,000 46,782
8.50%, 4/25/03 FRF.......................... 200,000 45,722
-----------
92,504
-----------
Germany -- 1.2%
Germany (Republic of) Bonds:
7.75%, 10/1/04 DEM.......................... 480,000 368,465
Series 86, 6%, 6/20/16 DEM.................. 100,000 64,327
Series 94, 7.50%. 11/11/04 DEM.............. 400,000 307,809
-----------
740,601
-----------
Great Britain -- 1.5%
United Kingdom:
Treasury Nts., 9.50%, 4/18/05 GBP........... 70,000 123,286
GILT, 10%, 9/8/03 GBP....................... 425,000 765,432
-----------
888,718
-----------
Italy -- 2.7%
Italy (Republic of) Treasury Bonds, Buoni
del Tesoro Poliennali:
10.50%, 7/15/00 ITL......................... 315,000,000 200,151
11.50%, 3/1/03 ITL.......................... 965,000,000 634,757
10.50%, 7/15/98 ITL......................... 1,260,000,000 800,129
-----------
1,635,037
-----------
Jamaica -- 0.1%
Jamaica (Government of) 1990
Refinancing Agreement Nts., Tranche A,
6.75%, 10/16/00/(5)//(7)/.................. 87,500 78,750
-----------
Jordan -- 0.9%
Hashemite Kingdom of Jordan:
Disc. Bonds, 6.437%, 12/23/23/(5)/.......... 500,000 310,000
Par Bonds, 4%, 12/23/23/(8)/................ 500,000 241,875
-----------
551,875
-----------
Mexico -- 1.6%
Banco Nacional de Comercio Exterior SNC:
International Finance BV Gtd. Bonds,
10.875%, 6/23/97/(4)//(5)/................. 250,000 254,687
Zero Coupon, 10.58%, 6/5/96/(3)//(4)/....... 200,000 190,700
United Mexican States:
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.
MatadorBonds, 7.50%, 7/1/00................ 235,000 202,100
Combined Facility 3, Loan Participation
Agreement, Tranche A, 6.50%,
9/20/97/(5)//(7)/.......................... 123,840 93,809
Petroleos Mexicanos Gtd. Medium-Term
Nts., 7.60%, 6/15/00....................... 100,000 89,750
Petroleos Mexicanos Gtd. Unsec. Unsub.
Nts., 7.875%, 3/2/99 CAD................... 200,000 138,213
-----------
969,259
-----------
Morocco -- 1.3%
Morocco (Kingdom of) Loan Participation
Agreement:
Tranche A, 6.594%, 1/1/09/(5)/.............. 1,100,000 732,875
Tranche B, 6.521%, 1/1/04/(5)/.............. 50,000 37,625
-----------
770,500
-----------
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
--------------- -------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
New Zealand -- 1.9%
New Zealand (Republic of) Bonds:
10%, 3/15/02 NZD............................ $ 1,385,000 $ 1,024,323
10%, 7/15/97 NZD............................ 155,000 104,140
-----------
1,128,463
-----------
Norway -- 0.7%
Norwegian Government Bonds:
5.75%, 11/30/04 NOK......................... 1,160,000 175,473
9.50%, 10/31/02 NOK......................... 1,435,000 268,859
-----------
444,332
-----------
Panama -- 0.4%
Panama (Republic of) Debs., 6.75%,
5/10/02/(5)/................................ 250,000 214,219
-----------
Poland -- 0.3%
Poland (Republic of) Treasury Bills,
Zero Coupon, 24.959%, 4/17/96/(3)/ PLZ...... 500,000 188,298
-----------
Spain -- 3.0%
Spain (Kingdom of):
Bills, Letras del Tesoro, Zero Coupon,
9.426%, 9/6/96/(3)/ ESP.................... 10,000,000 76,720
Bonds, Bonos y Obligacion del Estado,
10.90%, 8/30/03 ESP........................ 173,600,000 1,509,962
Gtd. Bonds, Bonos y Obligacion del
Estado, 10.55%, 11/30/96 ESP............... 25,600,000 213,340
-----------
1,800,022
-----------
Supranational -- 0.4%
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD................................ 325,000 226,281
-----------
Sweden -- 1.1%
Sweden (Kingdom of) Bonds:
Series 1030, 13%, 6/15/01 SEK............... 300,000 54,485
Series 1033, 10.25%, 5/5/03 SEK............. 3,700,000 615,899
-----------
670,384
-----------
Trinidad & Tobago -- 0.5%
Trinidad & Tobago Loan Participation
Agreement, Tranche A, 1.563%,
9/30/00/(5)//(7)/ JPY...................... 39,999,998 328,642
-----------
Venezuela -- 0.5%
Venezuela (Republic of) Disc. Bonds,
Series DL, 6.563%, 12/18/07/(5)/........... 500,000 276,250
-----------
Total Foreign Government Obligations
(Cost $17,588,999).......................... 18,062,049
-----------
CORPORATE BONDS AND NOTES -- 25.8%
BASIC INDUSTRY -- 1.9%
Chemicals -- 0.2%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03............................. 100,000 107,250
-----------
Metals/Mining -- 0.0%
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05.......................... 10,000 11,425
-----------
</TABLE>
17
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
BASIC INDUSTRY (Continued)
Paper -- 1.4%
Domtar, Inc., 11.25% Debs., 9/15/17.... $ 100,000 $ 106,500
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05/(9)/........ 200,000 197,000
Repap New Brunswick, Inc., 9.25%
First Priority Sr. Sec. Nts.,
7/15/00/(5)/.......................... 200,000 201,000
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00..................... 100,000 106,875
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02.................... 190,000 198,550
-----------
809,925
-----------
Steel -- 0.3%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00.......................... 50,000 46,250
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03........................ 150,000 143,625
-----------
189,875
-----------
CONSUMER RELATED -- 6.3%
Consumer Products -- 1.2%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 12.575%,
5/27/98/(3)/.......................... 50,000 40,000
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02............. 150,000 165,750
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03/(9)/......... 400,000 212,000
Tag-Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05/(4)/.............. 200,000 200,750
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04.......................... 100,000 100,000
-----------
718,500
-----------
Food/Beverages/Tobacco -- 0.7%
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(9)/ 200,000 160,000
Pulsar Internacional SA de CV, 11.80%
Nts., 9/19/96/(7)/.................... 250,000 251,875
-----------
411,875
-----------
Healthcare -- 2.0%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(10)/......................... 87,579 96,775
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02......................... 200,000 239,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(4)/............... 200,000 217,000
IVAC Corp., 9.25% Sr. Nts., 12/1/02.... 150,000 154,500
Quorum Health Group, Inc., 8.75% Sr.
Sub. Nts., 11/1/05.................... 150,000 155,813
Tenet Healthcare Corp., 10.125% Sr.
Sub. Nts., 3/1/05..................... 100,000 111,250
Total Renal Care, Inc., 0%/12% Sr. Sub.
Disc. Nts., 8/15/04/(9)/.............. 205,000 197,825
-----------
1,172,913
-----------
Hotel/Gaming -- 1.6%
Bally's Casino Holdings, Inc., Zero
Coupon Sr. Disc. Nts., 9.897%,
6/15/98/(3)/.......................... $ 200,000 $ 161,000
Grand Casinos, Inc., 10.125% Gtd. First
Mtg. Nts., 12/1/03.................... 250,000 261,875
HMC Acquisition Properties, Inc., 9%
Sr. Nts., 12/15/07/(4)/............... 150,000 150,750
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
CONSUMER RELATED (Continued)
Hotel/Gaming (Continued)
Mohegan Tribal Gaming Authority,
13.50% Sr. Sec. Nts., 11/15/02/(4)/... $ 100,000 $ 108,500
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03.......................... 100,000 98,500
Trump Plaza Funding, Inc., 10.875% Gtd.
Mtg. Nts., 06/15/01.................... 150,000 156,000
-----------
936,625
-----------
Restaurants -- 0.3%
Carrols Corp., 11.50% Sr. Nts., 8/15/03. 100,000 101,500
Foodmaker, Inc., 9.25% Sr. Nts., 3/1/99. 100,000 96,250
-----------
197,750
-----------
Textile/Apparel -- 0.5%
PT Polysindo Eka Perkasa, Zero
Coupon Promissory Nts., 17.90%,
10/23/96/(3)/ IDR...................... 300,000,000 110,084
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02.................... 200,000 197,000
-----------
307,084
-----------
ENERGY -- 1.3%
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02........................... 150,000 157,875
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05.............. 100,000 112,000
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99.......................... 100,000 104,000
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 10.493%, 11/1/97/(3)/. 100,000 86,750
United Meridian Corp., 10.375% Gtd. Sr.
Sub. Nts., 10/15/05.................... 200,000 212,500
Vintage Petroleum, Inc., 9% Sr. Sub.
Nts., 12/15/05......................... 100,000 101,250
-----------
774,375
-----------
FINANCIAL SERVICES -- 1.5%
Banks & Thrifts -- 0.9%
Banco Bamerindus do Brasil SA:
10.50% Debs., 6/23/97................... 100,000 92,000
11% Sr. Unsub. Unsec. Bonds, 10/6/97.... 100,000 92,000
Banco Ganadero SA, Zero Coupon:
Nts., 9.931%, 7/1/96/(3)//(4)/.......... 100,000 95,404
Sr. Unsub. Unsec. Nts., 9.931%,
6/15/96/(3)//(4)/...................... 50,000 47,904
Banco Mexicano SA, 8% Sr. Unsub.
Unsec. Exchangeable Medium-Term Nts.,
11/4/98................................ 200,000 168,500
Morgan Stanley Group, 14.25% Indian
Rupee Indexed Nts., 6/26/96 INR........ 1,570,500 44,662
-----------
540,470
-----------
Diversified Financial -- 0.4%
Banco del Atlantico SA, 7.875%
Eurobonds, 11/5/98..................... 200,000 170,000
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00................................. 100,000 109,500
-----------
279,500
-----------
Insurance -- 0.2%
Terra Nova Insurance (UK) Holdings
PLC, 10.75% Sr. Nts., 7/1/05........... 100,000 109,500
-----------
HOUSING RELATED -- 0.6%
Building Materials -- 0.1%
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03................................. 100,000 94,875
</TABLE>
18
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
HOUSING RELATED (Continued)
Homebuilders/Real Estate -- 0.5%
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02................................. $ 100,000 $ 102,500
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(4)/............ 250,000 186,250
-----------
288,750
-----------
MANUFACTURING -- 1.0%
Aerospace/Electronics/Computers -- 0.5%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03......... 50,000 56,250
Communications & Power Industries,
Inc., 12% Sr. Sub. Nts., 8/1/05........ 100,000 103,250
Rohr, Inc., 11.625% Sr. Nts., 5/15/03... 100,000 109,500
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(5)/...................... 50,000 47,750
-----------
316,750
-----------
Automotive -- 0.5%
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02............... 200,000 193,000
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04................................. 150,000 126,000
-----------
319,000
-----------
MEDIA -- 6.0%
Broadcasting -- 0.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03.................... 50,000 50,375
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03......... 50,000 46,500
Paxson Communications Corp., 11.625%
Sr. Sub. Nts., 10/1/02/(4)/............ 250,000 252,500
Sinclair Broadcast Group, Inc., 10% Sr.
Sub. Nts., 12/15/03.................... 100,000 102,500
-----------
451,875
-----------
Cable Television -- 3.7%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(9)/........... 322,737 223,495
Australis Media Ltd., Units (each unit
consists of $1,000 principal amount of
0%/14% sr. sub. disc. nts., 5/15/03 and
one warrant to purchase 57.721
ordinary shares)/(9)//(11)/............ 300,000 219,000
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(9)/............... 100,000 71,375
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04..................... 100,000 106,250
Continental Cablevision, Inc., 11% Sr.
Sub. Debs., 6/1/07..................... 300,000 336,000
Fundy Cable Ltd., 11% Sr. Sec. Second
Priority Nts., 11/15/05................ 100,000 105,000
Marcus Cable Co. LP/Marcus Cable
Capital Corp., 0%/14.25% Sr. Disc. Nts.,
12/15/05/(9)/.......................... 200,000 137,000
Marcus Cable Operating Co.
LP/Marcus Cable Capital Corp.,
0%/13.50% Gtd. Sr. Sub. Disc. Nts.,
Series II, 8/1/04/(9)/................. 200,000 149,250
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07......... 300,000 320,250
TeleWest PLC, 0%/11% Sr. Disc. Debs.,
10/1/07/(9)/........................... 300,000 181,875
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23 200,000 217,233
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
MEDIA (Continued)
Cable Television (Continued)
Time Warner, Inc., 9.125% Debs.,
1/15/13................................ $ 50,000 $ 56,385
United International Holdings, Inc., Zero
Coupon Sr. Sec. Disc. Nts., 12.544%,
11/15/99/(3)/.......................... 200,000 125,000
-----------
2,248,113
-----------
Diversified Media -- 1.2%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03....... 200,000 214,000
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(9)/. 100,000 67,500
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03.......................... 150,000 156,000
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03................................ 100,000 97,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00............ 150,000 159,375
-----------
694,375
-----------
Entertainment/Film -- 0.3%
Imax Corp., 7% Sr. Nts., 3/1/01/(8)/.... 200,000 197,000
-----------
OTHER -- 0.6%
Conglomerates -- 0.4%
MacAndrews & Forbes Holdings, Inc.,
13% Sub. Debs., 3/1/99................. 175,000 177,625
Talley Industries, Inc., 0%/12.25% Sr.
Disc. Debs., 10/15/05/(9)/............. 100,000 74,500
-----------
252,125
-----------
Services -- 0.2%
Borg-Warner Security Corp., 9.125% Sr.
Sub. Nts., 5/1/03...................... 100,000 91,500
-----------
RETAIL -- 0.7%
Specialty Retailing -- 0.2%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03...................... 70,000 65,450
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03........................... 100,000 98,000
-----------
163,450
-----------
Supermarkets -- 0.5%
Grand Union Co., 12% Sr. Nts., 9/1/04... 200,000 174,000
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99................. 100,000 110,750
-----------
284,750
-----------
TRANSPORTATION -- 0.9%
Air Transportation -- 0.7%
American International Group, Inc.,
11.70% Unsec. Unsub. Bonds,
12/4/01 ITL............................ 270,000,000 179,345
Atlas Air, Inc., 12.25% Pass-Through
Certificates, 12/1/02.................. 250,000 256,250
-----------
435,595
-----------
Railroads -- 0.2%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(9)/................ 200,000 133,000
-----------
UTILITIES -- 5.0%
Electric Utilities -- 0.7%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17.. 199,000 170,304
</TABLE>
19
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
UTILITIES (Continued)
Electric Utilities (Continued)
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13/(12)/........... $ 100,000 $ 67,873
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14.. 200,000 204,312
----------- -----------
442,489
----------- -----------
Telecommunications -- 4.3%
A+ Network, Inc., 11.875% Sr. Sub. Nts.,
11/1/05.................................. 200,000 202,500
Call-Net Enterprises, Inc., 0%/13.25% Sr.
Disc. Nts., 12/01/04/(9)/................. 200,000 144,000
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(4)//(9)/........................ 150,000 106,500
Cellular Communications International,
Inc., Zero Coupon Sr. Disc. Nts.,
11.44%, 8/15/00/(3)/..................... 300,000 180,750
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(9)/........................ 50,000 40,063
Cencall Communications Corp.,
0%/10.125% Sr. Disc. Nts., 1/15/04/(9)/.. 300,000 169,500
Comunicacion Celular SA, Units (each
unit consists of $1,000 principal
0%/13.125% sr. deferred coupon bond,
11/15/03 and one warrant to purchase
12,860 shares of common stock at
$1.32 per 1,000 shares)/(4)//(9)//(11)/.. 200,000 114,000
Geotek Communications, Inc., 0%/15%
Sr. Sec. Disc. Nts., 7/15/05/(9)/........ 250,000 113,750
GST Telecommunications, Inc., Units
(each unit consists of eight
0%/13.875% sr. disc. nts., 12/15/05 and
one 0%/13.875% cv. sr. sub. disc. nt.,
12/15/05)/(4)//(9)//(11)/................ 225,000 117,500
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00/(9)/................. 250,000 213,750
In-Flight Phone Corp., 0%/14% Sr. Disc.
Nts., 5/15/02/(9)/....................... 200,000 67,000
IntelCom Group (USA), Inc.,
0%/13.50% Sr. Disc. Nts.,
9/15/05/(4)//(9)/........................ 250,000 144,375
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(9)/............. 200,000 161,000
Nextel Communications, Inc., 0%/11.50%
Sr. Disc. Nts., 9/1/03/(9)/.............. 300,000 185,625
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(9)/........... 300,000 264,000
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04.................... 150,000 176,250
WinStar Communications, Inc., Units
(each unit consists of two $1,000
principal amount of 0%/14% sr. disc.
nts.,10/15/05 and one cv. sr. sub. disc.
nts., 10/15/05)/(4)//(9)//(11)/.......... 100,000 158,500
-----------
2,559,063
-----------
Total Corporate Bonds and Notes
(Cost $15,112,269)........................ 15,539,777
-----------
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
------ ------------
<S> <C> <C>
COMMON STOCKS -- 0.1%
Celcaribe SA/(4)//(13)/................... 24,390 $ 29,024
EchoStar Communications Corp., Cl. A...... 600 10,913
United International Holdings, Inc., Cl.
A/(13)/................................... 1,000 14,750
--------
Total Common Stocks
(Cost $45,399)............................ 54,687
--------
PREFERRED STOCKS -- 1.5%
BankAmerica Corp., 8.375%, Series K....... 7,000 181,125
California Federal Bank, 10.625% Non-
Cum., Series B........................... 2,000 217,000
First Nationwide Bank, 11.50% Non-
Cum...................................... 2,000 224,750
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E................... 1,000 45,250
Prime Retail, Inc., $19.00 Cv., Series.B.. 6,000 106,500
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)//(11)/................. 375 108,750
--------
Total Preferred Stocks
(Cost $865,020)........................... 883,375
--------
<CAPTION>
UNITS
-----
RIGHTS, WARRANTS AND CERTIFICATES -- 0.1%
American Telecasting, Inc. Wts., Exp.
6/99..................................... 1,500 9,000
Cellular Communications International,
Inc. Wts., Exp. 8/03..................... 300 6,750
Eye Care Centers of America, Inc.
Wts., Exp. 10/03/(4)/.................... 70 350
Geotek Communications, Inc. Wts., Exp.
7/05/(4)/................................ 7,500 15,000
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(4)/............................... 200 5,000
In-Flight Phone Corp. Wts., Exp.
8/02/(4)/................................ 200 --
IntelCom Group, Inc. Wts., Exp.
9/05/(4)/................................ 825 3,300
Terex Corp. Rts., Exp. 7/96/(4)/.......... 36 2
United International Securities Ltd.
Wts., Exp. 11/99......................... 200 5,712
--------
Total Rights, Warrants and Certificates
(Cost $11,014)........................... 45,114
--------
<CAPTION>
DATE STRIKE CONTRACTS
---- ------ ---------
PUT OPTIONS PURCHASED -- 0.0%
Brazil (Federal Republic of) Eligible
Interest Bonds, 6.812%, 4/15/06,
Put Opt. (Cost $9,750)................ Jan. $64.75 500 --
</TABLE>
20
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S> <C> <C>
STRUCTURED INSTRUMENTS -- 1.6%
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, 5.742%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust]/(7)/....................... $234,782 $ 229,500
Salomon Brothers, Inc., Zero Coupon
Brazilian Credit Linked Nts.:
11.318%, 2/15/96 (indexed to the Nota
Do Tesouro Nacional, Zero Coupon,
2/15/96)/(3)/................................... 250,000 246,250
11.136%, 3/5/96 (indexed to the Nota
Do Tesouro Nacional, Zero Coupon,
3/4/96)/(3)/.................................... 200,000 195,680
United Mexican States, Linked Nts.
(indexed to the greater of Cetes Option
Amount or USD LIBOR Option
Amount, 11/27/96)/(4)/.......................... 300,000 305,475
-----------
Total Structured Instruments
(Cost $977,638)................................... 976,905
-----------
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT /(1)/ (NOTE 1)
------------- -------------
<S>............................................... <C> <C>
REPURCHASE AGREEMENT -- 0.8%
Repurchase agreement with PaineWebber,
Inc., 5.90%, dated 12/29/95, to be
repurchased at $500,328 on 1/2/96,
collateralized by U.S. Treasury Nts., 6.875%,
8/31/99, with a value of $178,667, and U.S.
Treasury Bonds, 7.125%-7.625%,
11/15/22-2/15/23, with a value of
$336,642 (Cost $500,000)........................ $500,000 $ 500,000
------------
TOTAL INVESTMENTS, AT VALUE
(COST $57,397,784)............................... 98.6% 59,245,209
------ ------------
OTHER ASSETS NET OF LIABILITIES................... 1.4 852,404
------ ------------
NET ASSETS........................................ 100.0% $60,097,613
====== ============
</TABLE>
(1) Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
AUD - Australian Dollar INR - Indian Rupee
CAD - Canadian Dollar ITL - Italian Lira
CLP - Chilean Peso JPY - Japanese Yen
DEM - German Deutsche Mark NLG - Netherlands Guilder
DKK - Danish Krone NOK - Norwegian Krone
ESP - Spanish Peseta NZD - New Zealand Dollar
FRF - French Franc PLZ - Polish Zloty
GBP - British Pound SterlingSEK - Swedish Krona
HUF - Hungarian Forint THB - Thai Baht
IDR - Indonesian Rupiah
(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) For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
(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 $3,264,200 or 5.43% of the
Fund's net assets, at December 31, 1995.
(5) Represents the current interest rate for a variable rate security.
(6) A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
FACE
SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE
TO CALL DATE PRICE RECEIVED SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Bulgaria (Republic of) Interest Arrears
Bonds, 6.75%, 7/28/11.................. 1,000,000 1/96 $45 $14,300 $13,900
</TABLE>
(7) Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
(8) Represents the current interest rate for an increasing rate security.
(9) Denotes a step bond: a zero coupon bond that converts to a fixed rate of
interest at a designated future date.
(10) Interest or dividend is paid in kind.
(11) Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. For units
which represent debt securities, face amount disclosed represents total
underlying principal.
(12) Non-income producing - issuer is in default of interest payment.
(13) Non-income producing security.
See accompanying Notes to Financial Statements.
21
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements
1. Significant Accounting Policies
Oppenheimer Capital Appreciation Fund (OCAP), Oppenheimer Growth Fund (OGF),
Oppenheimer Global Securities Fund (OGSF) and Oppenheimer Strategic Bond Fund
(OSBF) (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 Funds, Inc. (the Manager). The
following is a summary of significant accounting policies consistently
followed by the Funds.
The Funds' objectives are as follows:
Oppenheimer Capital Appreciation Fund seeks to achieve capital appreciation
by investing in "growth-type" companies.
Oppenheimer Growth Fund seeks to achieve capital appreciation by investing in
securities of well-known established companies.
Oppenheimer Global Securities Fund seeks long-term capital appreciation by
investing a substantial portion of assets in securities of foreign issuers,
"growth-type" companies, cyclical industries and special institutions which
are considered to have appreciation possibilities.
Oppenheimer Strategic Bond Fund seeks a high level of current income
principally derived from interest on debt securities and seeks to enhance
such income by writing covered call options on: (i) debt securities, (ii)
U.S. Government securities, and (iii) lower-rated high yield domestic debt
securities.
A. Investment Valuation.
Portfolio securities of OCAP, OGF, OGSF and OSBF are valued at the close
of the New York Stock Exchange 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 and short-term "non-money market" debt
securities are valued by a portfolio pricing service approved by the
Board of Trustees. Such 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
are valued under consistently applied procedures established by the
Board of Trustees to determine fair value in good faith. Short-term
"money market type" 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 are valued based on
the closing prices of the forward currency contract rates in the London
foreign exchange markets on a daily basis as provided by a reliable bank
or dealer.
B. Securities Purchased on a When-Issued Basis.
Delivery and payment for securities that have been purchased by OSBF on
a forward commitment or when-issued basis can take place a month or more
after the transaction date. During the period, such securities do not
earn interest, are subject to market fluctuation and may increase or
decrease in value prior to their delivery. OSBF maintains, in a
segregated account with its custodian, assets with a market value equal
to the amount of its purchase commitments. The purchase of securities on
a when-issued or forward commitment basis may increase the volatility of
OSBF's net asset value to the extent the Fund makes such purchases while
remaining substantially fully invested.
In connection with its ability to purchase securities on a when-issued
or forward commitment basis, OSBF may enter into mortgage "dollar-rolls"
in which the Fund sells securities for delivery in the current month and
simultaneously contracts with the same counterparty to repurchase
similar (same type, coupon and maturity) but not identical securities on
a specified future date. The Fund records each dollar-roll as a sale and
a new purchase transaction.
22
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
C. Security Credit Risk.
OSBF 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 December
31, 1995, securities with an aggregate market value of $67,873,
representing 0.11% of the Fund's net assets, were in default.
D. Foreign Currency Translation.
The accounting records of the Funds are maintained in U.S. dollars.
Prices of securities purchased by OGSF and OSBF 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.
For OGSF and OSBF the effect of changes in foreign currency exchange
rates on investments is separately identified from the fluctuations
arising from changes in market values of securities held and reported
with all other foreign currency gains and losses in the Funds'
Statements of Operations.
E. 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.
F. 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. At December 31, 1995, the following Funds had available for
federal income tax purposes unused capital loss carryovers expiring in
2002 and 2003:
OGSF-- $17,569,501
OSBF-- $ 1,609,951
G. Distributions to Shareholders.
Dividends and distributions to shareholders of OCAP, OGF, OGSF and
OSBF are recorded on the ex-dividend date.
23
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
H. 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) was recorded by the Funds. Changes in classification made
during the fiscal year ended December 31, 1995 are shown below:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Adjustments for the Fiscal Year Ended December 31, 1995
-------------------------------------------------------------------------------------
Undistributed Net Undistributed Net Realized Gain Paid-in
Investment Income (Loss) (Loss) on Investments Capital
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Capital Appreciation Fund -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Growth Fund -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Global Securities Fund (2,845,512) 6,264,762 (3,419,250)
- --------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Strategic Bond Fund 9,220 (9,220) --
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
I. 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 OCAP, OGF,
OGSF and OSBF 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.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities of the
date of the financial statements and the reported amounts of income
and expenses during the reporting period. Actual results could differ
from those estimates.
24
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
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 Capital Appreciation Fund
--------------------------------------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
--------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 8,882,212 $260,650,476 7,912,557 $173,453,586
Dividends and distributions
reinvested 40,594 1,082,642 614,575 17,331,023
Redeemed (6,567,729) (191,565,283) (5,695,411) (114,272,197)
--------------------------------------------------------------------------------------------------
Net increase 2,355,077 $ 70,167,835 2,831,721 $ 76,512,412
==================================================================================================
<CAPTION>
Oppenheimer Growth Fund
--------------------------------------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
--------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 4,302,304 $89,007,340 2,577,268 $45,230,951
Dividends and distributions
reinvested 95,991 1,795,026 36,305 644,411
Redeemed (2,980,080) (60,949,490) (2,236,767) (38,999,875)
--------------------------------------------------------------------------------------------------
Net increase 1,418,215 $29,852,876 376,806 $ 6,875,487
==================================================================================================
<CAPTION>
Oppenheimer Global Securities Fund Oppenheimer Strategic Bond Fund
---------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, 1995 December 31, 1994 December 31, 1995 December 31, 1994
---------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 11,235,722 $166,766,446 22,151,454 $336,310,887 9,417,090 $44,897,472 3,749,500 $18,415,292
Dividends and
distributions
reinvested 585,961 8,174,158 178,687 2,801,813 661,301 3,151,540 247,485 1,178,372
Redeemed (7,497,205) (112,360,172) (8,503,911) (112,426,012) (2,245,623) (10,642,846) (1,508,782) (7,350,665)
---------------------------------------------------------------------------------------------------------------------
Net increase 4,324,478 $ 62,580,432 13,826,230 $226,686,688 7,832,768 $37,406,166 2,488,203 $12,242,999
=====================================================================================================================
</TABLE>
25
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS AND OPTIONS WRITTEN
At December 31, 1995, net unrealized appreciation or depreciation on
investments and options written consisted of the following:
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer
Capital Oppenheimer Oppenheimer Strategic
Appreciation Growth Global Securities Bond
Fund Fund Fund Fund
------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Gross appreciation $70,829,161 $25,616,239 $ 37,997,341 $2,340,864
Gross depreciation (7,853,814) (1,998,316) (14,351,638) (493,040)
------------------------------------------------------------------------
Net unrealized appreciation $62,975,347 $23,617,923 $ 23,645,703 $1,847,824
------------------------------------------------------------------------
</TABLE>
Purchases and sales of investment securities (excluding short-term
securities) for the year ended December 31, 1995 were as follows:
<TABLE>
<S> <C> <C> <C> <C>
Purchases $318,974,082 $78,667,711 $491,709,775 $67,228,738
------------------------------------------------------------------------
Sales $255,116,481 $41,669,055 $416,155,747 $26,588,452
------------------------------------------------------------------------
</TABLE>
4. Option Activity
The Funds (except OCAP and OGF) 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.
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.
Securities designated to cover outstanding call options are noted in the
Statements of Investments where applicable. 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 Funds pay 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.
26
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
OSBF option activity for the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
---------------------------------------------
Amount of
Number of Options Premiums
---------------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 307 $ 1,600
Options written 3,314 35,871
Options canceled in closing transactions (2,141) (20,467)
Options expired prior to exercise (190) (763)
Options exercised (290) (1,942)
---------------------------------------------
Options outstanding at December 31, 1995 1,000 $14,299
---------------------------------------------
</TABLE>
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 based on the closing prices of the forward
currency contract rates in the London foreign exchange markets on a daily
basis as provided by a reliable bank or dealer. The Funds will realize a
gain or loss upon the closing or settlement of the forward transaction.
Securities held in segregated accounts to cover net exposure on outstanding
forward contracts are noted in the Statements of Investments where
applicable. Unrealized appreciation or depreciation on forward contracts is
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' Statements 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.
27
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
At December 31, 1995, outstanding forward contracts to purchase and sell
foreign currencies were as follows:
Oppenheimer Global Securities Fund
<TABLE>
<CAPTION>
Contract Unrealized
Amount Valuation as of Appreciation
Contracts to Purchase Exchange Date (in 000s) December 31, 1995 (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Hong Kong Dollar (HKD) 1/2/96-1/3/96 8,904 HKD $1,151,601 $ (218)
Italian Lira (ITL) 1/31/96 3,888,129 ITL 2,438,922 (9,912)
Japanese Yen (JPY) 1/4/96-1/5/96 75,155 JPY 728,792 (2,948)
Singapore Dollar (SGD) 1/2/96-1/5/96 830 SGD 586,556 (853)
Greek Drachma (GRD) 1/2/96-1/4/96 49,496 GRD 209,220 432
-------------------
$ (13,499)
-------------------
<CAPTION>
Contracts to Sell
- -----------------------------------
Austrian Schilling (ATS) 1/2/96 17,770 ATS $1,764,559 $ (12,653)
Swiss Franc (CHF) 1/4/96 279 CHF 242,200 (1,139)
Deutsche Mark (DEM) 1/4/96 1,598 DEM 1,116,140 (5,709)
Japanese Yen (JPY) 3/29/96 3,043,800 JPY 29,807,684 192,316
Norwegian Krone (NOK) 1/2/96-1/4/96 8,521 NOK 1,348,728 (9,042)
-------------------
163,773
-------------------
Net Unrealized Appreciation $ 150,274
===================
</TABLE>
Oppenheimer Strategic Bond Fund
<TABLE>
<CAPTION>
Contract Unrealized
Amount Valuation as of Appreciation
Contracts to Purchase Exchange Date (in 000s) December 31, 1995 (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Japanese Yen (JPY) 1/4/96 33,988 JPY $329,572 $ (5,982)
New Zealand Dollar (NZD) 12/18/96 541 NZD 344,380 1,096
-------------------
$ (4,886)
-------------------
<CAPTION>
Contracts to Sell
- -----------------------------------
Australian Dollar (AUD) 1/4/96 22 AUD $16,134 $ (25)
Deutsche Mark (DEM) 2/13/96 1,605 DEM 1,119,976 (5,393)
Japanese Yen (JPY) 12/18/96 33,175 JPY 336,001 7,283
Swiss Franc (CHF) 2/13/96 860 CHF 748,739 (8,636)
-------------------
(6,771)
-------------------
Net Unrealized Depreciation $ (11,657)
===================
</TABLE>
28
<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, OGF, OGSF and OSBF 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 OSBF are .50% of net assets in excess of $1 billion. For OSBF, the
Manager has agreed to limit the management fee charged so that the ordinary
operating expenses of the Fund will not exceed 1.0% of its average net
assets in any fiscal year.
7. ILLIQUID AND RESTRICTED SECURITIES
At December 31, 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 Global Securities Fund
Acquisition Cost Valuation as of
Security Date Per Unit December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Plant Genetics Systems 5/27/92-3/7/95 $ 13.77 $ 11.91
Plant Genetics, Inc. Wts., Exp. 12/99 3/7/95 0.00 1.99
</TABLE>
The aggregate value of illiquid and restricted securities subject to the
10% limitation at December 31, 1995, was $1,180,542, or 0.33% of the Fund's
net assets. Pursuant to the 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.
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Acquisition Cost Valuation as of
Security Date Per Unit December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Colombia (Republic of) 1989-1990 Integrated Loan Facility Bonds, 6.875%,
7/1/01 12/5/95 $ 92.00 $ 93.00
Goldman, Sachs & Co., Argentina Local Market Securities Trust, 11.30%,
4/1/00 8/24/94 100.00 97.75
Jamaica (Government of) 1990 Refinancing Agreement Nts., Tranche A,
6.75%, 10/16/00 8/15/95 89.75 90.00
Pulsar Internacional SA de CV, 11.80% Nts., 9/19/96 9/15/95 100.00 100.75
Trinidad & Tobago Loan Participation Agreement,
Tranche A, 1.563%, 9/30/00 12/13/95-12/18/95 .84 .82
United Mexican States, Combined Facility 3, Loan Participation Agreement,
Tranch A, 6.50%, 9/20/97 10/25/94 89.00 75.75
</TABLE>
The aggregate value of illiquid and restricted securities subject to the
10% limitation at December 31, 1995, was $1,221,735, or 2.03% of the
Fund's net assets. Pursuant to the 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.
29
<PAGE>
Independent Auditors' Report
The Board of Trustees and Shareholders of Oppenheimer Variable Account Funds:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of Oppenheimer Capital Appreciation Fund,
Oppenheimer Growth Fund, Oppenheimer Global Securities Fund and Oppenheimer
Strategic Bond Fund (all of which are series of Oppenheimer Variable Account
Funds) as of December 31, 1995, the related statements of operations for the
year then ended, the statements of changes in net assets for the years ended
December 31, 1995 and 1994, and the financial highlights for the applicable
periods ended December 31, 1995, 1994, 1993, 1992, 1991, 1990, 1989, 1988, 1987
and 1986. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at
December 31, 1995 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Oppenheimer Capital
Appreciation Fund, Oppenheimer Growth Fund, Oppenheimer Global Securities Fund
and Oppenheimer Strategic Bond Fund at December 31, 1995, the results of their
operations, the changes in their net assets, and the financial highlights for
the respective stated periods, in conformity with generally accepted accounting
principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 22, 1996
30
<PAGE>
Federal Income Tax Information (Unaudited)
In early 1996, shareholders will receive information regarding all dividends and
distributions paid to them by the Funds during calendar year 1995. Regulations
of the U.S. Treasury Department require the Funds to report this information to
the Internal Revenue Service.
Certain distributions paid on March 24, 1995 were designated as "capital gain
distributions" for federal income tax purposes. These distributions are shown
in the table below. Whether received in stock or cash, a capital gain
distribution should be treated by shareholders as a gain from the sale of
capital assets held for more than one year (long-term capital gains).
Dividends paid by the Fund during the fiscal year ended December 31, 1995 which
are not designated as capital gain distributions should be multiplied by the
percentages listed below to arrive at the net amount eligible for the corporate
dividend-received deduction.
<TABLE>
<CAPTION>
Long-Term Capital Corporate Dividend-
Gain Distribution Received Deduction
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Capital Appreciation Fund $.047 4.14%
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Growth Fund $.263 18.31%
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Global Securities Fund $.382 --
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Strategic Bond Fund -- 2.18%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
The foregoing information is presented to assist shareholders in reporting
distributions received from the Funds to the Internal Revenue Service. Because
of the complexity of the federal regulations which may affect your individual
tax return and the many variations in the state and local tax regulations, we
recommend that you consult your tax advisor for specific guidance.
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