-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BWmUAwE++bWieF8FgPTPf7/sxC4eKw3dCdxjSs1+Lj583q6LjoFoGhTyY2i0ghFV zuGtSOBiPuh+qlDbW6bxvQ== 0000928816-02-000202.txt : 20020415 0000928816-02-000202.hdr.sgml : 20020415 ACCESSION NUMBER: 0000928816-02-000202 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20011231 FILED AS OF DATE: 20020308 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM VARIABLE TRUST CENTRAL INDEX KEY: 0000822671 IRS NUMBER: 042986134 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05346 FILM NUMBER: 02570739 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002551581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM CAPITAL MANAGER TRUST /MA/ DATE OF NAME CHANGE: 19920703 N-30D 1 pvt1.txt PUTNAM VARIABLE TRUST ANNUAL REPORT December 31, 2001 Putnam Variable Trust * Putnam VT American Government Income Fund * Putnam VT Asia Pacific Growth Fund * Putnam VT Capital Appreciation Fund * Putnam VT Diversified Income Fund * Putnam VT The George Putnam Fund of Boston * Putnam VT Global Asset Allocation Fund * Putnam VT Global Growth Fund * Putnam VT Growth and Income Fund * Putnam VT Growth Opportunities Fund * Putnam VT Health Sciences Fund * Putnam VT High Yield Fund * Putnam VT Income Fund * Putnam VT International Growth Fund * Putnam VT International Growth and Income Fund * Putnam VT International New Opportunities Fund * Putnam VT Investors Fund * Putnam VT Money Market Fund * Putnam VT New Opportunities Fund * Putnam VT New Value Fund * Putnam VT OTC & Emerging Growth Fund * Putnam VT Research Fund * Putnam VT Small Cap Value Fund * Putnam VT Technology Fund * Putnam VT Utilities Growth and Income Fund * Putnam VT Vista Fund * Putnam VT Voyager Fund * Putnam VT Voyager Fund II A series of mutual fund portfolios for variable insurance investors [SCALE LOGO OMITTED] To the shareholders of Putnam Variable Trust There has hardly been a time in recent memory when investments across the asset-class spectrum have been under as much duress as during the 12 months ended December 31, 2001. A widespread downturn in the global economy and the resulting edginess of investors brought declines in virtually all but the safest investments. While equity markets floundered, many bond markets enjoyed renewed strength as investors took flight to high-quality fixed-income investments. Inflation remained low, and many central banks lowered interest rates in an effort to stimulate growth. Putnam's research analysts and portfolio managers did their best to mitigate risk, however, the economic downturn was swift and severe. Among equities, U.S. stocks again led international issues, while U.S. Treasuries led the world's fixed-income markets. EQUITIES * United States The stock markets, which were already volatile in the face of continued economic weakness, were unable to sustain a brief rally over the spring, as corporate earnings disappointments continued. Technology and telecommunications stocks led the decline, while defensive sectors including health care, financials, and utilities held up better. The unprecedented events of September 11 forced U.S. equity markets to close for four consecutive days -- the longest hiatus since the Great Depression. Value outperformed growth until the market's rebound in October, when growth -- along with technology and telecommunications -- began returning to positive territory. * Europe European markets were especially hard hit by the U.S. economic slowdown and by weakness in the euro and other foreign currencies. At first, the weak euro gave European companies a price advantage versus international competitors. Later on, the general deterioration in international trade took its toll, and large exporting countries, including Germany and Italy, began to slump. Europe's technology sector is relatively small; however, its large telecommunications sector was troubled by the huge debts taken on by national telecom service providers. Stocks from the United Kingdom also underperformed considerably. European electricity providers offered one bright spot, as European markets began to open to cross-border competition. * Asia and emerging markets Most emerging markets suffered considerably as a result of the global economic slowdown and falling commodity prices. Latin American markets also had Argentina's instability clouding their performance. Asian markets were hard hit by the global slump in technology and telecommunications equipment spending, and then by a broader economic slowdown in the United States and Europe. Japan continued to struggle with economic weakness, although its equities performed better than many other Asian issues. Australian equities performed well, however. South Korea recovered at the end of the period, and other Asian markets were showing signs of recovery as well. FIXED INCOME * United States For most of the period, declining interest rates and a steepening yield curve provided a favorable backdrop for the U.S. bond market. In addition, the U.S. Treasury elected to use part of the budget surplus to buy back its own bonds, which helped push bond prices higher. As a result, all fixed-income sectors performed well. Following the September 11 terrorist attacks, investors bid up the price of U.S. Treasuries sharply higher in a massive flight to quality. As fears receded and investors began to anticipate recovery, Treasuries sold off sharply and higher-risk parts of the bond market began to outperform. * Global As was the case in the United States, demand for lower-risk investments increased in other world markets over the period. The result was solid performance in many of the world's bond markets, pushing valuations to unreasonable levels. Japan's bond market suffered under credit-rating downgrades of the country's sovereign debt and bank securities amid a dismal economic climate. Latin American markets labored under the fear of debt default in Argentina, although excessive reaction created select opportunities in some countries. * High yield Significant volatility, high default rates, and economic weakness provided numerous challenges for high-yield securities over the period. It was also a time of dramatic interest rate reductions, and positive returns for high-yield bonds. Telecommunications bonds, which had dominated the market a few years ago, provided significant negative returns as industry over expansion and a severe industry slowdown took their toll. Historically wide credit spreads following the terrorist attacks of September 11 pushed down high-yield bond prices before fears abated and high-yield bonds began to outperform once again in October and November. The views expressed here are exclusively those of Putnam Management. They are not meant as investment advice and are subject to change.
PERFORMANCE SUMMARY - -------------------------------------------------------------------------------------------------------------------------------- Total return at net asset value (as of 12/31/01) Five years 10 years Life Putnam VT -- Class IA shares 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized - -------------------------------------------------------------------------------------------------------------------------------- American Government Income Fund 6.82% --% --% --% --% 19.76%[m] 9.85% ................................................................................................................................ Asia Pacific Growth Fund -23.84 -28.87 -6.59 -- -- -20.61[g] -3.40 ................................................................................................................................ Capital Appreciation Fund -13.69 -- -- -- -- -21.80[o] -17.73 ................................................................................................................................ Diversified Income Fund 3.82 11.99 2.29 -- -- 42.22[e] 4.34 ................................................................................................................................ The George Putnam Fund of Boston 0.74 -- -- -- -- 14.30[i] 3.71 ................................................................................................................................ Global Asset Allocation Fund -8.42 32.32 5.76 132.28 8.79 243.34[b] 9.27 ................................................................................................................................ Global Growth Fund -29.66 21.11 3.90 114.50 7.93 129.91[c] 7.39 ................................................................................................................................ Growth and Income Fund -6.16 47.67 8.11 209.75 11.97 447.28[b] 13.00 ................................................................................................................................ Growth Opportunities Fund -31.92 -- -- -- -- -46.90[m] -28.08 ................................................................................................................................ Health Sciences Fund -19.53 -- -- -- -- 17.78[i] 4.56 ................................................................................................................................ High Yield Fund 4.00 8.56 1.66 104.22 7.40 178.91[b] 7.65 ................................................................................................................................ Income Fund[a] 7.53 33.76 5.99 90.86 6.68 182.18[b] 7.74 ................................................................................................................................ International Growth Fund -20.41 -- -- -- -- 59.09[h] 9.75 ................................................................................................................................ International Growth and Income Fund -20.67 -- -- -- -- 33.14[h] 5.90 ................................................................................................................................ International New Opportunities Fund -28.52 -- -- -- -- 2.90[h] 0.57 ................................................................................................................................ Investors Fund -24.61 -- -- -- -- -6.69[i] -1.87 ................................................................................................................................ Money Market Fund 3.99 27.97 5.06 56.77 4.60 106.66[b] 5.36 ................................................................................................................................ New Opportunities Fund -29.99 34.38 6.09 -- -- 132.07[f] 11.60 ................................................................................................................................ New Value Fund 3.53 -- -- -- -- 59.02[h] 9.74 ................................................................................................................................ OTC & Emerging Growth Fund -45.57 -- -- -- -- -39.05[i] -12.62 ................................................................................................................................ Research Fund -18.62 -- -- -- -- 21.80[j] 6.24 ................................................................................................................................ Small Cap Value Fund 18.42 -- -- -- -- 52.69[l] 17.18 ................................................................................................................................ Technology Fund -39.11 -- -- -- -- -57.50[n] -42.42 ................................................................................................................................ Utilities Growth and Income Fund -22.11 32.92 5.86 -- -- 127.88[d] 8.89 ................................................................................................................................ Vista Fund -33.34 -- -- -- -- 44.06[h] 7.59 ................................................................................................................................ Voyager Fund -22.24 61.81 10.10 240.34 13.03 564.19[b] 14.58 ................................................................................................................................ Voyager Fund II -30.64 -- -- -- -- -50.20[o] -42.49 - -------------------------------------------------------------------------------------------------------------------------------- Past performance is not indicative of future results. More recent returns may be less or more than those shown. Investment returns and principal value fluctuate and involve risk of loss. All total return figures are at net asset value. The charges and expenses at the insurance company separate account level are not reflected. [a] Prior to April 9, 1999, the underlying fund operated as Putnam VT U.S. Government and High Quality Bond Fund. [b] Commencement of operations: February 1, 1988. [c] Commencement of operations: May 1, 1990. [d] Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992. [e] Commencement of operations: September 15, 1993. [f] Commencement of operations: May 2, 1994. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [g] Commencement of operations: May 1,1995. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [h] Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period; without the limitations, total returns would have been lower. [i] Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund and OTC & Emerging Growth Fund during the period; without the limitations, total returns would have been lower. [j] Commencement of operations: September 30, 1998. An expense limitation was in effect for this fund during the period; without the limitation, total return would have been lower. [k] Commencement of operations: April 6, 1998. [l] Commencement of operations: April 30, 1999. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [m] Commencement of operations: February 1, 2000. An expense limitation was in effect for American Government Income Fund during the period; without the limitation, total return would have been lower. [n] Commencement of operations: June 14, 2000. [o] Commencement of operations: September 29, 2000.
PERFORMANCE SUMMARY - ----------------------------------------------------------------------------------------------------------------------------- Total return at net asset value (as of 12/31/01) Five years 10 years Life Putnam VT -- Class IB shares 1 year Cumulative Annualized Cumulative Annualized Cumulative Annualized - ----------------------------------------------------------------------------------------------------------------------------- American Government Income Fund 6.64% --% --% --% --% 19.42%[m] 9.68% ............................................................................................................................. Asia Pacific Growth Fund -24.00 -29.47 -6.74 -- -- -21.45[g] -3.55 ............................................................................................................................. Capital Appreciation Fund -13.91 -- -- -- -- -22.00[o] -17.90 ............................................................................................................................. Diversified Income Fund 3.51 10.94 2.10 -- -- 40.15[e] 4.16 ............................................................................................................................. The George Putnam Fund of Boston 0.46 -- -- -- -- 13.71[i] 3.56 ............................................................................................................................. Global Asset Allocation Fund -8.58 31.83 5.68 129.66 8.67 237.59[b] 9.14 ............................................................................................................................. Global Growth Fund -29.76 20.20 3.75 111.28 7.77 125.88[c] 7.23 ............................................................................................................................. Growth and Income Fund -6.39 46.47 7.93 205.07 11.80 435.89[b] 12.83 ............................................................................................................................. Growth Opportunities Fund -32.09 -- -- -- -- -47.10[m] -28.23 ............................................................................................................................. Health Sciences Fund -19.75 -- -- -- -- 17.15[i] 4.41 ............................................................................................................................. High Yield Fund 3.78 7.89 1.53 101.42 7.25 173.70[b] 7.51 ............................................................................................................................. Income Fund[a] 7.30 32.77 5.83 88.09 6.52 176.58[b] 7.59 ............................................................................................................................. International Growth Fund -20.61 -- -- -- -- 57.83[h] 9.58 ............................................................................................................................. International Growth and Income Fund -20.81 -- -- -- -- 32.31[h] 5.77 ............................................................................................................................. International New Opportunities Fund -28.68 -- -- -- -- 2.14[h] 0.42 ............................................................................................................................. Investors Fund -24.78 -- -- -- -- -7.29[i] -2.04 ............................................................................................................................. Money Market Fund 3.76 27.16 4.92 54.17 4.42 103.19[b] 5.23 ............................................................................................................................. New Opportunities Fund -30.14 33.28 5.91 -- -- 129.34[f] 11.43 ............................................................................................................................. New Value Fund 3.32 -- -- -- -- 57.93[h] 9.59 ............................................................................................................................. OTC & Emerging Growth Fund -45.69 -- -- -- -- -39.36[i] -12.74 ............................................................................................................................. Research Fund -18.83 -- -- -- -- 21.08[j] 6.04 ............................................................................................................................. Small Cap Value Fund 18.13 -- -- -- -- 51.96[l] 16.97 ............................................................................................................................. Technology Fund -39.17 -- -- -- -- -57.60[n] -42.51 ............................................................................................................................. Utilities Growth and Income Fund -22.28 32.00 5.71 -- -- 124.71[d] 8.73 ............................................................................................................................. Vista Fund -33.50 -- -- -- -- 43.08[h] 7.44 ............................................................................................................................. Voyager Fund -22.41 60.56 9.93 235.16 12.86 550.50[b] 14.41 ............................................................................................................................. Voyager Fund II -30.78 -- -- -- -- -50.30[o] -42.59 - ----------------------------------------------------------------------------------------------------------------------------- Past performance is not indicative of future results. More recent returns may be less or more than those shown. Investment returns and principal value fluctuate and involve risk of loss. Periods and performance for Class IB shares before their inception are derived from the historical performance of Class IA shares. See financial highlights for Class IB commencement of operations. All total return figures are at net asset value. The charges and expenses at the insurance company separate account level are not reflected. [a] Prior to April 9, 1999, the underlying fund operated as Putnam VT U.S. Government and High Quality Bond Fund. [b] Commencement of operations: February 1, 1988. [c] Commencement of operations: May 1, 1990. [d] Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992. [e] Commencement of operations: September 15, 1993. [f] Commencement of operations: May 2, 1994. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [g] Commencement of operations: May 1,1995. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [h] Commencement of operations: January 2, 1997. Expense limitations were in effect for these funds during the period; without the limitations, total returns would have been lower. [i] Commencement of operations: April 30, 1998. Expense limitations were in effect for The George Putnam Fund of Boston, Health Sciences Fund, Investors Fund and OTC & Emerging Growth Fund during the period; without the limitations, total returns would have been lower. [j] Commencement of operations: September 30, 1998. An expense limitation was in effect for this fund during the period; without the limitation, total return would have been lower. [k] Commencement of operations: April 6, 1998. [l] Commencement of operations: April 30, 1999. An expense limitation was in effect during the period; without the limitation, total return would have been lower. [m] Commencement of operations: February 1, 2000. An expense limitation was in effect for American Government Income Fund during the period; without the limitation, total return would have been lower. [n] Commencement of operations: June 14, 2000. [o] Commencement of operations: September 29, 2000.
Putnam VT American Government Income Fund The renewed investor rush to high-quality securities in the wake of the tragic events of September 11 presented a bittersweet conclusion to Putnam VT American Government Fund's year. The period began with a shift from economic growth to stagnation. Within this challenging environment, management sought to take advantage of opportunities that arose within the high-quality bond sectors as they benefited from the ensuing uncertainty. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of 6.82% at net asset value. The fund began the year in a relatively defensive position, low on mortgage-backed holdings and with an overweighting in longer-term Treasury securities. Management had believed the economy would continue to grow once the election issue was resolved and that a sustained budget surplus would encourage the federal government to continue buying back longer-term government bonds. When the Federal Reserve Board chose to ease interest rates early in 2001, the move dampened fund performance. Once it became clear that the Fed would continue an aggressive program of short-term rate cuts to stimulate the economy, the team moved the portfolio's Treasury focus down the yield curve to 5- and 10-year notes in order to take advantage of rising bond prices in that range. As 2001 progressed, they increased the weighting in mortgage-backed securities in the belief that the market had priced in more aggressive prepayment activity than anticipated. The flight to quality after September 11 caused the values of mortgage-backed securities to fall to their most attractive level relative to Treasuries since the savings and loan crisis in the 1990s. In response, management moved the fund almost fully into mortgage-backed investments, continuing to believe that prepayment fears were exaggerated. This strategy produced solid returns toward the end of the year. Meanwhile, the small Treasury portion of the portfolio performed very well in October before underperforming in November and staying relatively flat in December. For the time being, the fund will retain its emphasis on mortgage-backed securities. Management believes the combination of monetary and fiscal stimulus by the federal government will be enough to lift the economy back into positive-growth territory at some point in 2002. Given their current yields relative to Treasuries, mortgage-backed investments appear to have strong performance potential over the near term. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Current income consistent with preservation of capital - ------------------------------------------------------------------------ PORTFOLIO U.S. Treasury securities and mortgage-backed securities - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $11.62 Class IB $11.59 December 31, 2001 - ------------------------------------------------------------------------ Government securities guarantee principal and interest; mutual funds that invest in these securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Putnam VT Asia Pacific Growth Fund The past 12 months were difficult for stocks around the world, including Asia. The region was hard hit, first by the global slump in technology and telecommunications equipment spending, and then by a broader economic slump in the United States and Europe. The September terrorist attacks in the United States depressed Asian markets further by sparking new political and economic uncertainties. Under these conditions, Putnam VT Asia Pacific Fund declined in value in line with world markets. For the 12 months ended December 31, 2001, its class IA shares provided a total return of -23.84% at net asset value. Weak economic conditions in Asia had already pushed stock prices down before the September 11 attacks, but the subsequent increase in uncertainty caused an additional drop. However, indices in the region subsequently rebounded strongly on the back of rapid monetary easing by central banks around the world. In light of the arduous conditions facing Asian markets for much of the period, management sought to position the fund in companies they believed could maintain stable cash flow and earnings. Holdings in the technology sector boosted performance, especially at the end of the year, and the fund's underweight position in Japanese banks also helped performance. In terms of markets, management increased exposure to Japan, where they saw stock valuations improving. Despite the fund's increased exposure to Japanese equities, the portfolio remained underweighted versus the benchmark over the period. While Japanese equities sank significantly, they still outperformed many smaller markets. In comparison with the fund's benchmark index, we maintained an overweight position in Australia. In particular, Australian banks have been attractive because they are well managed and undervalued compared with their Asia Pacific counterparts. The fund also had some exposure to Australia's natural-resource sector along with the media sector, which underperformed. South Korea, where the fund was overweighted, was another strong market, especially with regard to the fund's holdings in the electronics, utilities, and basic materials sectors, all of which rebounded toward the end of the period. Looking ahead, the management team believes the portfolio is positioned in the strongest Asian markets and stocks and that careful stock selection should help the fund limit risk and pursue improved performance in 2002. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of companies located in Asia and the Pacific Basin - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $5.22 Class IB $5.18 December 31, 2001 - ------------------------------------------------------------------------ International investments involve certain risks, such as currency fluctuations, economic instability, and political developments. The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. Putnam VT Capital Appreciation Fund The past year has been difficult for U.S. financial markets and Putnam VT Capital Appreciation Fund. Although the fund's performance improved somewhat in the final few months of the period, a number of its holdings were negatively affected by the September 11 terrorist attacks. Despite volatile conditions, the management team remains focused on the long term, using a disciplined investment process to identify small, medium, and large companies that should benefit when the U.S. economy rebounds. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -13.69% at net asset value. The tragic events of September 11 exacerbated problems already brewing in the U.S. economy and financial markets around the world. The economic slowdown in the United States had already produced market volatility, reduced spending by businesses, and negative earnings forecasts from companies in many industries. This took its toll on stocks across all market sectors. Prior to September, management had already positioned the fund defensively, reducing investments in technology stocks and shifting assets into industries including health care and financials, which tend to be less affected by market volatility. In the immediate aftermath of the terrorist attacks, this defensive positioning helped reduce losses. During the period, consumer staples stocks provided strength to the portfolio. The team's emphasis on stocks in health care also helped cushion the fund during the period. Unfortunately, some fund holdings, particularly those of smaller companies, were directly affected by the September 11 tragedy. The fund has since sold some of these holdings, including travel and leisure stocks and some media holdings. While September delivered its share of challenges for many fund holdings, it is important to note that management did not make any significant shifts in the portfolio following the attacks. Management's focus on individual stocks rather than overall economic trends, continued to be an advantage in the turbulent environment. In fact, the market weakness over the period has enabled management to find a number of companies whose low stock prices were especially attractive in relation to their long-term worth. While the U.S. economy's downturn in September and October was certainly severe, there appears to be a growing consensus that it will be neither as steep nor as long as was once anticipated. In the months ahead, the team will continue to search for opportunities while keeping the fund well-positioned for an expected rebound. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks selected on the basis of their underlying worth, without a style bias toward either growth or value. - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $7.82 Class IB $7.80 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Diversified Income Fund Putnam VT Diversified Income Fund faced a challenging environment over the past 12 months, as the U.S. economy entered a recession and equity markets declined. Higher-quality bonds performed well, while results from the lower-quality sectors and in emerging markets were weaker. International bonds were hurt by a stronger U.S. dollar. The fund benefited from an increase in demand for fixed income securities. For the 12 months ended December 31, 2001, its class IA shares provided a total return of 3.82% at net asset value. Throughout the first half of 2001, world markets showed continued volatility amid fears that the U.S. economy might enter a recession, which it in fact did in March. The bond market generally benefited from lower interest rates, however, the Fed's monetary stimulus raised investors' expectations for a rapid recovery. By late spring, equity markets stabilized and higher quality bonds lost their appeal. Despite some poor returns in the telecommunications bonds, the high-yield sector performed relatively well over the first six months of the year. U.S. government securities and corporate investment-grade bonds also showed positive results during this period. International bonds in developed markets faced pressure from the U.S. dollar, while emerging markets holdings struggled amid concerns about economic conditions in Argentina. In the wake of September 11, investors rushed to the relative security of government bonds. The tragic events wreaked havoc on the lower-rated fixed-income sectors, such as high-yield and emerging markets, while deteriorating economic and corporate fundamentals further dampened performance through the end of September. As the year came to a close, waning investor risk aversion and anticipation of economic recovery caused higher quality fixed income sectors to sell off. Lower quality sectors bounced back as investors rotated into riskier asset classes and the high yield market regained nearly all of its post-September 11 losses. The emerging-bond market remained weighted down by Argentina's political and financial woes, although spillover into other countries was limited. Management's emphasis on mortgage-backed securities was one of the largest positive contributors to results. Within the fund's emerging market holdings, limited exposure to Argentina also helped. Management will continue to monitor the fixed-income universe closely and look for positive fundamentals and attractive valuations in each sector. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE High current income consistent with preservation of capital - ------------------------------------------------------------------------ PORTFOLIO A managed asset allocation portfolio spread across three sectors of the bond market -- U.S. government and other investment-grade securities, high-yield corporate bonds, and international instruments - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $8.81 Class IB $8.75 December 31, 2001 - ------------------------------------------------------------------------ Lower rated bonds may offer higher yields in return for more risk. International investments involves certain risks, such as currency fluctuations, economic instability, and political developments. Government securities guarantee principal and interest; mutual funds that invest in these securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Putnam VT The George Putnam Fund of Boston Prior to the tragic events of September 11, the value investing style favored by this fund had reestablished its dominance in the marketplace. Indeed, for the first time since 1993, investors favored stocks' valuations over their growth prospects as a determining factor when making investment decisions. Following September 11, growth stocks once again began to outperform value stocks, although successful stock selection helped keep the fund's performance in positive territory. For the 12 months ended December 31, 2001, Putnam VT The George Putnam Fund of Boston's class IA shares provided a total return of 0.74% at net asset value. With its objective of providing growth and income through a balanced portfolio, this fund typically invests 60% of assets in value stocks and 40% of its assets in a combination of U.S. Treasuries, corporate bonds, and mortgage-backed securities. The year began with a one-percentage-point rate cut by the Federal Reserve Board, resulting in a flurry of investing activity in growth-oriented sectors, including technology and telecommunications. This shift to growth hurt fund performance somewhat early in the year, as some value sectors declined. The fund maintained a slightly defensive posture for much of the period, emphasizing utilities, energy, consumer staples, and health-care sectors in its stock portion and higher quality high-yield bonds in its fixed income portfolio. California utilities holdings had been eliminated before the period began, avoiding the fallout from that state's supply-related problems. Elsewhere in the utilities sector, regional Bell operating companies provided solid returns until October, when defensive stocks gave up ground. In late fall, stocks began to recover from the aftermath of the September 11 attacks and continued to rally through the end of the year. The rally was accompanied by volatility, which provided valuation opportunities for the fund. Management gradually increased the equity portion of the portfolio to 63.5%, emphasizing technology, consumer cyclicals, retailers, and basic materials. Pharmaceutical holdings detracted from performance somewhat, as defensive names underperformed. The fund's emphasis on higher-quality high-yield bonds detracted from performance after September 11, when credit spreads widened to historic levels. The fund's Treasury holdings performed well, however, as investors sought their relative safety. Once the economic recession is fully reflected in stock prices, management expects to begin transitioning to a slightly more aggressive portfolio in order to position the fund for eventual recovery. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth and current income - ------------------------------------------------------------------------ PORTFOLIO Value-oriented stocks of large companies and government, corporate, and mortgage-backed bonds - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $10.73 Class IB $10.69 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund In early 2001, Putnam's Global Asset Allocation Committee undertook a strategic restructuring of all Global Asset Allocation portfolios to focus on capital preservation. The new focus did not prevent Putnam VT Global Asset Allocation Fund from showing the effects of the worldwide economic downturn. However, the more conservative positioning, along with management's commitment to diversification, did help soften the blow. For the 12 months ended December 31, 2001, the fund's class IA shares produced a total return of -8.42% at net asset value. Until October, U.S. value stocks outperformed growth stocks. The restructuring allowed management to take advantage of opportunities within the value universe, although growth stocks were hurt by investor lack of interest for much of the period. After the September 11 terrorist attacks, both value and growth stocks declined, hurting performance. Management had increased defensive sectors, including financials and utilities, and these held up fairly well. In the U.S. fixed-income portion of the portfolio, management had positioned allocations to take advantage of anticipated economic recovery. Unfortunately, this positioning proved a bit ahead of its time, and the fixed-income positions underperformed for most of the year. Markets worldwide generally declined as the technology and telecommunications sectors continued to struggle. Europe was hit especially hard by U.S. economic uncertainty as well as by weakness in the euro and other foreign currencies. The fund had been overweighted in U.K equities, and this position hurt performance during the period. Asian markets suffered from the decline in the demand for technology, which resulted in lower exports for the region. Holdings in Japan benefited as the economy there improved from its record lows, though they still underperformed. The one bright spot was Australia, where stocks gained value and where the portfolio had substantial exposure. Most of the non-U.S. fixed-income holdings were in high-quality government bonds. Solid performance from these issues boosted returns, since management hedged away most of the currency exposure from these markets. As market sentiment turned more positive from October through the end of the year, most portfolio positions benefited. Management remains watchful and continues to believe the more conservative focus positions the portfolio well for the coming months. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE A high level of long-term total return consistent with preservation of capital - ------------------------------------------------------------------------ PORTFOLIO A managed asset allocation portfolio spread across domestic and international stock, bond, and cash investments - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $13.37 Class IB $13.37 December 31, 2001 - ------------------------------------------------------------------------ International investments involve certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT Global Growth Fund The past year was one of the most unusual in the history of global equity investing. Putnam VT Global Growth Fund was challenged across both its axes -- as a global fund and as a growth fund. With the technology and telecommunications sectors much diminished in the growth landscape, investors looking for companies capable of long-term, sustainable expansion had to reorient their approach and broaden their scope to consider industries and sectors that had not come across their screens for some time, if ever. Suppressing opportunities across the board was the bleak U.S. economic picture. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of - -29.66% at net asset value. Even before September 11, management was increasingly challenged to identify attractive investments. Then came the terrorist attacks, which tipped the U.S. economy solidly into recession and brought confusion and turmoil to world markets. Management has spent most of the past several periods reducing the fund's technology and telecommunications holdings, which had dominated the portfolio for several years and accounted for the bulk of its positive performance. Also, since fund management aims to invest in the best relative growth opportunities worldwide, the portfolio naturally became more diversified when opportunities developed in non-traditional growth areas like utilities and consumer staples. This said, technology and telecommunications still represent approximately one quarter of the portfolio. Their reduction has opened the fund to a broader array of opportunities and positioned it more solidly for a sustained period of economic weakness. In recent months, some of the fund's better-performing stocks have come from consumer staples and health care, two sectors that are not likely to be severely affected by a recession. Pharmaceuticals contributed strongly until November, when market sentiment shifted away from defensive industries. European utilities companies are another nontraditional sector that has performed well over the period. As European electricity markets have begun to open up to cross-border competition, the fund has identified numerous growth opportunities. Although the current climate is difficult for growth, the team believes the fund is now solidly diversified and will continue to search for what growth opportunities lie hidden throughout the world. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation - ------------------------------------------------------------------------ PORTFOLIO An internationally diversified common stock portfolio of large and midsize companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.34 Class IB $9.27 December 31, 2001 - ------------------------------------------------------------------------ International investments involve certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT Growth and Income Fund Although Putnam VT Growth and Income Fund ended the period in negative territory, as did the broad market, the fund's management team believes its disciplined strategy of investing in undervalued companies with sound fundamentals helped limit what might have been far greater losses. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -6.16% at net asset value. During the year, global economic weakness exacerbated the weakness in domestic markets, as a confluence of negative factors including slowdowns in productivity, downward earnings revisions, and waning consumer confidence served to undermine corporate profitability. While the events of September 11 added to investors' concerns, the tentative recovery of stocks since November belies any long-term market impact of the tragedy. Clearly, industries including transportation, recreation, and lodging have suffered directly and as always, management will remain vigilant and seek to limit the fund's exposure to industry-specific risks. The fund's value-oriented strategy proved rewarding, at least in a relative sense. Stocks with the lowest valuations exhibited a stronger immunity to the free-fall in equity prices. The fund targets stocks of companies that are, in the opinion of the management, not only undervalued, but fundamentally healthy. In the challenging environment of 2001, the best-performing stocks were primarily those of companies and industries that hold up well in an economic slowdown or those that can benefit as the economy recovers. Sectors that helped portfolio returns over the period included consumer staples, health care, energy, basic materials, financials, and consumer cyclicals. Areas that underperformed included technology, telecommunications, utilities, and conglomerates. At the end of a difficult year, several factors provide investors with encouragement. First, sharp declines in interest rates have made borrowing easier, which can encourage capital spending by businesses as well. In addition, the government is pouring billions of dollars into the economy with increased defense spending to fight the war on terrorism. Much of the excess valuation in stock prices has been wrung out, and with lower valuations come attractive investment opportunities. While no one can predict when the positive factors at work will begin to set us firmly on the path to economic recovery, management remains confident that the fund's time-tested strategy can reward investors over the long term. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital growth and current income - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of large companies across an array of industries - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $23.56 Class IB $23.44 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund The past 12 months have not been kind ones for the large-company growth stocks in the portfolio of Putnam VT Growth Opportunities Fund. Slumping investor and consumer confidence, along with cutbacks in business spending, led to sharp declines across most sectors of the stock market, and the tragedies of September 11 exacerbated the problems. Although the picture began to change toward the end of the year as growth stocks once again began to rally, it was not enough to prevent the fund from posting significant losses. For the 12 months ended December 31, 2001, class IA shares provided a total return of -31.92% at net asset value. Throughout the period, management maintained a relatively cautious commitment to the technology sector. The decision to maintain a smaller technology position than that of the fund's benchmark, the Russell 1000 Growth Index, was a prudent move. However, fund performance was hurt as the technology downturn punished even the largest, most well established companies. Because the fund's investment strategy calls for its holdings to be concentrated in large companies, it was unable to take advantage of the relatively solid returns posted by smaller capitalization stocks in 2001. On the other hand, the financial and conglomerate holdings still contributed positively to performance. The year was challenging not just for the speed, severity, and depth of the downturn, but also for the breadth. The ripple effect was felt throughout the economy, including many high-growth sectors beyond technology. Media and advertising, historically one of the strongest areas of the portfolio, is categorized in the consumer staple sector, a traditionally defensive part of the market. However, these industries suffered a setback in the form of lost advertising revenue from dot-com and other companies. On the other hand, other fund holdings in the consumer staples category performed well. During the period, management shifted resources into health care, specifically pharmaceutical companies. Unfortunately, a slowdown in the FDA's approval process for new drugs, the failure of several highly anticipated drugs to meet sales expectations, and then a late-period investor shift back into growth stocks dampened returns from these stocks. Once the stock market began to rebound in October, the fund's technology holdings provided stronger returns. Retail stocks, another cyclical holding, also boosted performance. Going forward, the fund's diversified portfolio of large-cap growth stocks should position it well for economic recovery in 2002. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of large U.S. companies believed to offer strong growth potential - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $5.31 Class IB $5.29 December 31, 2001 - ------------------------------------------------------------------------ The fund concentrates its assets in fewer stocks, which can affect your fund's performance. Putnam VT Health Sciences Fund Historically, the environment of financial market volatility, sharp declines in rapid-growth companies, and economic weakness that characterized the past year is a time of outperformance for health-care stocks. They are usually less sensitive to economic downturns. During the past year, however, the health-care industry faced its own set of challenges, which led to a negative return for Putnam VT Health Sciences Fund. For the 12 months ended December 31, 2001, the fund's class IA shares tallied a total return of -19.53% at net asset value. During the period, the health-care industry had to contend with a slower and more stringent FDA approval process, disappointing sales for several highly anticipated drugs, volatility in the biotechnology sector, and a sharp decline in health-care stocks in January that offset gains from 2000. The Federal Reserve Board's surprise interest-rate cut in January sparked a change in investor sentiment away from more stable sectors such as health care, and back toward the riskier growth stocks which had recently been shunned. After the first few weeks of the year, however, the January effect reversed itself. At the same time, a number of health-care industries faced new challenges. There were bright spots within this difficult year; some health-care industries, such as hospitals, delivered their strongest performance in several years. Medicare reimbursement cuts by the federal government have declined and hospitals have improved their businesses by streamlining and cutting costs. Increased patient volumes have also helped hospitals' bottom line. Several medical technology holdings also performed well over the period, as the aging population has increased demand for innovative medical products. The stocks of large U.S. drug companies, which represent a significant portion of the fund's assets, suffered declines throughout much of the period. Much of this underperformance was due to the increasing number of medicines whose patent protection was about to expire. After experiencing volatility for many months, the biotechnology sector finished the period with strong performance. These stocks benefited from FDA approvals, positive clinical data released at medical meetings, and licensing agreements and equity investments by pharmaceutical companies. The portfolio remains well diversified across many health-care industries and management remains confident of the fund's long-term performance potential once the sector's recent difficulties subside. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of companies in the health sciences industries - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $11.75 Class IB $11.70 December 31, 2001 - ------------------------------------------------------------------------ The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. Putnam VT High Yield Fund A diverse portfolio, effective security selection, and key strategic decisions enabled Putnam VT High Yield Fund to successfully navigate the turbulent conditions that beset the high-yield market during 2001. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of 4.00% at net asset value. The high-yield market of 2001 has been "a tale of two markets," which has included wireline telecommunications on one hand, a sector that has had significant negative returns, and the remaining industry sectors in the high-yield market on the other hand. These other sectors, many of which are more economically cyclical in nature, performed fairly well during this volatile year. Telecommunications has been hurt by a number of factors, including overexpansion, a severe slowdown in the industry, and, as a result, a high default rate among issuers. After having dominated the market a few years ago, the telecom sector now represents a smaller, much less significant weighting within the high-yield universe. As the year began, the fund was positioned somewhat defensively, with relatively low exposure to telecommunications. While this strategy hurt performance when telecom issues rallied in January, it paid off in May and June when the telecom sector completely unraveled. The defensive position and higher credit quality portfolio also helped going into September, when credit spreads widened to historic levels following the terrorist attacks. Fund returns benefited particularly from the performance of health care and wireless holdings. In October and November, management pursued the contrarian strategy of increasing weightings in some beaten-down sectors, including media, cable, broadcast, gaming and lodging. The decision paid off near the end of the period when the market recovered. Management has reduced the number of commercial bank loans in the fund, as the yields on these shorter-term instruments have fallen considerably. These loans have been used successfully to position the fund against major market declines and the strategy worked well -- particularly after September 11. However, with short-term rates at such low levels, the team felt it was time to pare back these loans. In addition, with the market coming off several years of decline, signs of economic strengthening in 2002, and a forecast for stronger returns in the high-yield market, they have begun to position the fund somewhat more aggressively to take advantage of expected market strength next year. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE High current income, with a secondary objective of capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Primarily high-yielding corporate bonds rated below investment-grade. - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $8.08 Class IB $8.06 December 31, 2001 - ------------------------------------------------------------------------ Lower rated bonds may offer higher yields in return for more risk. Putnam VT Income Fund Amid a slowing economy, precipitous interest rate cuts, and the tragic terrorist attacks of September 11, bond investments benefited -- with Putnam VT Income Fund among them. With equity markets experiencing extreme volatility, the bond market witnessed a flight to quality as investors shifted assets into bonds. Under these volatile market conditions, the fund's class IA shares turned in solid performance for the 12 months ended December 31, 2001, posting a total return of 7.53% at net asset value. With the U.S. economy sliding into recession over the period, the Federal Reserve Board embarked on what has proven to be the most aggressive campaign to lower short-term rates in recent memory. All told, the Fed lowered rates 11 times in 2001. As short-term rates were falling, rates on longer-term securities crept upward owing to uncertainty about the economy and concerns that increased consumer and government spending could lead to inflation. The yield curve reached its steepest point in early October before flattening somewhat in November and December. Lower interest rates and a steepening yield curve provided a favorable backdrop for performance of the fund during most of the period. In addition, the Treasury elected to buy back its own bonds, which also helped push bond prices higher. The downside to the bond price rally, however, is that as older bond holdings mature and are called out of the market, the fund must reinvest assets at lower prevailing rates. Early in the year, BB-rated bonds provided strong returns for the fund. However, rising uncertainty in this sector prompted management to substantially reduce the fund's BB-rated holdings, which included bonds of older industrial companies. As expected, deteriorating economic conditions, and then the September 11 tragedy, resulted in lower performance from these bonds. Despite the reduction, these bonds still returned more than 10% over the period. On the whole, the fund maintains a highly diversified portfolio of corporate high-yield bonds, corporate investment-grade bonds, U.S. Treasuries, mortgage-backed securities, asset-backed securities, and collateralized mortgage obligations. This broad diversification gives management the flexibility to benefit from changing market conditions and should remain useful as we enter a period of increasing uncertainty, enabling us to take advantage of changes in yield spreads, and to keep a close eye on the credit risk of individual holdings. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Current income consistent with preservation of capital - ------------------------------------------------------------------------ PORTFOLIO Investment-grade and high-yield bonds, and U.S. government securities - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.65 Class IB $12.60 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT International Growth Fund The global economic slowdown weighed on international equity markets in 2001. Early in the year, weakness was concentrated in the technology and telecommunications sectors. By mid year, it was clear that Asian and European economies were slowing broadly. The tragedies of September 11 also reverberated in international markets. However, although 2001 was the second straight negative year for international equities, markets finished the year well above the lows they reached in September. For the 12 months ended December 31, 2001, Putnam VT International Growth Fund's class IA shares returned -20.41% at net asset value. As the year began, Europe appeared to have the brightest business prospects, while Asian markets were more vulnerable to the U.S. slowdown. Europe withstood the slowdown longer, in part because it enjoyed the benefits of a weak euro, which gave European companies a price advantage versus competitors outside the Continent. As time wore on, however, Europe slumped as exports weakened. In anticipation of this difficult economic environment, management had positioned the portfolio defensively at the beginning of the year. As economic conditions deteriorated through the first half of 2001, the team added further to its defensive positions, particularly in energy, pharmaceuticals, and, to some extent, financials, while maintaining low exposures to technology and telecommunications. Pharmaceutical and energy stocks were among the fund's best performers through September. During the summer, the fund's management team also began adding selectively to undervalued European communication service companies with defensive characteristics. Throughout the year, the fund maintained a significantly underweight position in Japan. Above all, the fund avoided companies dependent on Japan's domestic economy, such as banks and retailers. The fund instead favored high-quality multinational companies with strong exports. At the end of September, management began to build positions across a variety of markets in cyclical and telecommunications stocks, as well as a number of deeply discounted technology stocks. A less defensive stance was also appropriate as interest rate cuts by central banks following the terrorist attacks increased the likelihood of economic recovery. In the fourth quarter, markets rebounded and the fund benefited from holding more economically sensitive stocks. Media, technology, and telecommunications holdings provided particularly strong returns. The fund is positioned less defensively than it was during 2001, with modestly overweight exposures in economically sensitive stocks and communication services. It is positioned to benefit as international economies gradually regain strength. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of large and midsize international companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.42 Class IB $12.36 December 31, 2001 - ------------------------------------------------------------------------ International investments involve certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT International Growth and Income Fund Over the 12 months ended December 31, 2001, increasing economic weakness in Europe, continued stagnation in Japan, and the ripple effects of the U.S. economic slowdown combined to push stock prices lower around the globe. While Putnam VT International Growth and Income Fund's returns for the year were disappointing, several key strategic decisions by the management team and their research analysts helped reduce the impact of the declines in the portfolio. For the 12 months ended December 31, 2001, the fund's class IA shares produced a total return of -20.67% at net asset value. The fund's returns were affected significantly by the slowdown in Europe, which was exacerbated by the slowing U.S. economy, as well as by continued woes in Japan. Europe has been plagued by declining manufacturing, reduced exports, rising energy prices, and the ongoing weakness of the euro. While the fund's European exposure -- its highest geographic concentration by far -- played a larger role in fund performance than its Japanese positions, the influence of Japan's anemic economy was evident this year. The slowdown in the U.S. economy, especially in the technology and telecommunications sectors, has had strong ripple effects on primary trading partners such as Europe, and the stocks of technology and telecommunications companies in Europe and Japan have suffered greatly. Management has made a number of sector and stock selection decisions that helped the fund's relative performance. In terms of sectors, the fund was overweighted in the financial, energy, basic materials, and utilities sectors, all of which performed well. The fund was underweighted in communications services and technology, both of which underperformed. In communications services, not only did the underweighted position help, but also the fund's holdings performed well, so individual stock selection worked to the fund's advantage even in one of the weaker market sectors. Unfortunately, the portfolio was also underweighted in consumer cyclicals and health care, both of which strengthened during the year. Following the tragedy of September 11, the share prices of many companies dropped to very attractive levels. Management began to take advantage of selected opportunities to position the fund for recovery. As the year ended, the team favored some of the more cyclically-oriented markets in Asia and some of the emerging markets. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth. Current income is a secondary objective - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of under-valued companies located outside the United States - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.76 Class IB $9.73 December 31, 2001 - ------------------------------------------------------------------------ International investment involves certain risks, such as currency fluctuations, economic instability, and political developments. Putnam VT International New Opportunities Fund Managing a portfolio of international equities in the wake of a worldwide economic slowdown means facing challenges of truly global proportions. During the past year, deteriorating business conditions in most international markets pushed down stock prices. Although these conditions resulted in disappointing results for the fund, stocks rallied toward the end of the period and management of Putnam VT International New Opportunities Fund expects continued improvement. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -28.52% at net asset value. Over the past year, the growth stock landscape has shifted so that the technology sector no longer had a large concentration of high-quality growth companies achieving rapid growth. This transition led management to trim many positions and redistribute assets into a broader array of sectors. Weightings in financial, consumer staple, and wireless communications stocks were increased. This diversification was beneficial to performance over the period. One of the purposes of international investing is to provide a different source of returns and a different set of risks than an investment in domestic stocks. In this regard, the past year might seem disappointing. However, it is still possible for international businesses with a strong focus on their home markets and a steady demand for their products to generate profits. Several fund holdings fall into this category, including a Mexican beverage company, a Scottish power company, and telecommunications companies in New Zealand and Portugal. The fund's larger telecom holdings in the United Kingdom, France, and Japan achieved growth primarily through wireless services. The management team's stock selection during the past year not only changed the fund's sector weightings, it also modified regional and market weightings. They reduced holdings in Europe and several emerging markets, while increasing the fund's position in Japan and other more developed Asian markets. Despite a dramatic rebound in growth stocks during the fourth quarter 2001, many of the challenges that hurt performance during the past year have not yet abated. Nevertheless, management is optimistic that the quality of the international growth stock universe will improve and expects a recovery in stock prices sometime in the coming year. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of companies located outside the United States with strong growth potential - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.80 Class IB $9.75 December 31, 2001 - ------------------------------------------------------------------------ International investments involve certain risks, such as currency fluctuations, economic instability, and political developments. This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Additional risks may be associated with emerging market securities, including liquidity and volatility. Putnam VT Investors Fund For much of the past year, growth stocks labored under extremely challenging market conditions. A complete change in investor sentiment toward technology companies along with a deteriorating economy caused a sharp decline in growth stock performance. Although Putnam VT Investors Fund's absolute performance was disappointing, a rebound for growth investments during the fourth quarter helped the fund make up some of its losses. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -24.61% at net asset value. Growth stocks were initially affected by reduced earnings expectations for technology companies. In addition, investors began to believe the economy would slow and became increasingly preoccupied with the economy's influence on stock performance. Once investors came to believe the economy would slow, companies and sectors likely to be hurt by a slowdown saw poor stock performance. By contrast, after the Federal Reserve Board cut short-term interest rates several times, investors began looking ahead to recovery and bid up the prices of stocks that might benefit. Fund holdings in retail, media, and advertising benefited from this trend. Despite the general decline in growth stocks, not all market sectors have suffered. The fund has enjoyed solid returns from banking and mortgage-related companies that benefited from lower interest rates, and from strength among several health-care holdings. In the wake of the terrorist attacks of September 11, management took advantage of attractive valuations to add opportunistically to stocks that the fund either did not own due to high valuation, or to add to existing holdings that had experienced undue price pressure. Brokerage firms and selected technology companies were among these additions. In October, growth stocks began to rebound. The fund's technology, health care, and consumer cyclicals holdings all contributed to performance. Semiconductor holdings were particularly strong. As the market shifted back toward growth, however, more defensive sectors including utilities and consumer staples underperformed. The market continued to climb in November and again, technology and consumer cyclicals outperformed. Market strength also broadened to include retail and automotive stocks. In recent months, management has begun to reduce the fund's defensive positioning, scaling back consumer staples and health care while boosting consumer cyclicals exposure and modestly increasing technology. They continue to watch the market and economy carefully, adjusting the portfolio to maximize returns in this difficult environment. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Primarily common stocks of large, well-established companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $9.31 Class IB $9.26 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT Money Market Fund The year 2001 encompassed some of the most compelling events ever seen in financial markets -- producing one of the most dramatic years for Putnam VT Money Market Fund since its inception. From the Federal Reserve Board's aggressive reduction of short-term rates starting in January to the stock market's volatility following the terrorist attacks on September 11, short-term securities offered a welcome sanctuary for uneasy investors. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of 3.99% at net asset value. As investor confidence declined, the Federal Reserve Board embarked on an unprecedented campaign to invigorate the slowing U.S. economy. In fact, the Fed reduced rates 11 times over the course of 2001. Many of the moves came in half-a-percentage point decreases, which underscore the Fed's unwavering commitment to reassuring financial markets. Steadily dropping rates gave efforts to preserve the fund's income stream even greater importance. Management aligned the fund's assets in a barbell strategy, concentrating assets in the short and long ends of the money market maturity range. The barbell configuration helps the fund to take advantage of higher income opportunities while helping to protect the stability of the net asset value. In light of the weakening economic environment, management also placed greater emphasis on strict, fundamental credit analysis. In today's slower-growth environment, many cyclical companies, whose business prospects are tied to the strength of the economy, have been downgraded by the rating agencies to the point that their commercial paper no longer carries money-market eligible ratings. The team believes its research should continue to enable the fund to sidestep such companies and avoid exposure to unnecessary risk. Ironically, increased demand for money market securities over the period pushed yields on securities lower and complicated the team's efforts to find attractive income opportunities. Meanwhile, the supply of short-term securities has not kept pace with demand. As the inverted yield curve moved toward a more normal configuration, short-term rates fell more quickly than long-term rates, which made for a more challenging environment. Throughout it all, the fund maintained a slightly longer days-to-maturity than the average for its peer group, a prudent strategy for locking in income in a climate of falling rates. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Current income consistent with preservation of capital and maintenance of liquidity - ------------------------------------------------------------------------ PORTFOLIO Primarily high-quality short-term fixed-income securities - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $1.00 Class IB $1.00 December 31, 2001 - ------------------------------------------------------------------------ Money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. Although the fund seeks to maintain a constant share price of $1, it is possible to lose money by investing in this fund. Putnam VT New Opportunities Fund Sharp declines in stocks of rapidly growing companies, particularly in the technology sector, produced one of the most challenging years in the history of the Putnam VT New Opportunities Fund. While growth stocks recovered substantially in the final months of the year, the fund's 12-month return reflects the negative effects of a dramatically slowing U.S. economy, slumping investor confidence, and weakness across most sectors of the stock market. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -29.99% at net asset value. While a number of factors contributed to the difficult market environment, perhaps the most significant was the slowdown in economic growth, which began shortly after the beginning of the period. As consumer confidence and business spending declined, many companies, particularly in the technology sector, experienced lower demand and excess inventories. The Federal Reserve Board's numerous short-term interest rate cuts helped stimulate investor sentiment over the summer, and media, retail, and technology stocks staged a modest recovery. Then the September 11 attacks threw the markets into a tailspin, although things began to turn around in October. Technology represented the largest portion of the portfolio, and it was hit hardest by market declines. Nonetheless, management continues to believe that technology remains a major growth trend and the driving force behind productivity and economic growth. This confidence was rewarded in the final months of the period, as technology stocks once again gained strength. Also during the period, management adjusted sector allocations to take advantage of opportunities offered by the market correction. For example, the team significantly increased weightings in health care, consumer staples, and consumer cyclicals stocks. Health-care holdings, especially pharmaceutical companies, provided solid returns throughout the slowdown before lagging once the market began to recover. In the consumer area, strong stock selection among media and specialty retail stocks boosted fund returns. The fund's overweighted position in independent power producers detracted from returns, largely due to the problems at Enron, which clouded the entire sector. Despite disappointing short-term results, management remains focused on the fund's long-term objectives and continues to target stocks that should reward investors over time. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of companies in market sectors with strong long-term growth potential - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $16.67 Class IB $16.55 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT New Value Fund Although the past year has been a difficult one for many investors, Putnam VT New Value Fund has emerged relatively unscathed. The value investing strategies that guide the fund maintained the dominance over growth they had established in 2000. And while the tragedy of September 11 threw the financial markets into disarray, fund management was able to capitalize on resulting opportunities. In fact, careful stock selection in the retail, industrial, and technology sectors drove performance in the closing months of the period. For the 12 months ended December 31, 2001, the fund's class IA shares posted a total return of 3.53% at net asset value. The economic slowdown persisted throughout the past year. As the economy struggled to provide a few bits of good news, the stock market experienced its own difficulties, falling approximately 15% from its highs of early 2000. Although the value stocks in which the fund invests fared much better than the general market, as reflected in the fund's positive performance, they did not escape the downturn altogether. However, the lower stock prices continue to provide numerous opportunities for value investing -- opportunities that have been yielding solid returns. When the stock market was preoccupied with technology issues alone, as in early 2000, management was able to add numerous holdings in high quality, fundamentally healthy companies not typically found in value portfolios. When technology fell out of favor, many of these holdings appreciated. The weak economy provided additional opportunities; many of the fund's acquisitions over the period were among stocks perceived to be at risk because they are related to the stock market itself. In addition to these market-sensitive financial stocks, the management team also found opportunity among consumer cyclicals and even in the out-of-favor telecommunications sector. As demand for high-quality stocks increased steadily over the period, prices of non-technology stocks have risen. While this has been good news for investors, it has also limited opportunities to add high-quality holdings at bargain prices appropriate for this value-oriented portfolio. Consequently, management has continued to selectively seek out lower-quality companies that carry the potential for high returns along with higher levels of debt. Several of these holdings outperformed over the period. Today's widespread economic weakness continues to provide attractive stock valuations across the spectrum. Management is optimistic that during 2002, the economy will recover as the benefits of lower interest rates begin to take hold. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Undervalued common stocks of large and midsize companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $13.47 Class IB $13.42 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT OTC & Emerging Growth Fund Growth stocks faced an extremely difficult environment for much of the past 12 months before staging a modest rebound toward the end of 2001. Although management sharply reduced holdings in the areas that were hardest hit by the market decline -- namely, technology and telecommunica tions -- the slowing U.S. economy cast a pall over growth stocks in general. A late-year rally was not sufficient to offset previous declines, however, and Putnam VT OTC & Emerging Growth Fund's performance reflects them. For the 12 months ended December 31, 2001, the fund's class IA shares produced a total return of -45.57% at net asset value. The fund looks for aggressive growth companies in the most dynamic sectors of the economy. For the better part of the last five years, these companies were routinely found in the technology and telecommunications sectors. Then in 2000, the economy began to slow and these stocks began to decline. In this year's slower growth environment, the types of companies that match the fund's criteria are increasingly found outside of the technology and telecommunications sectors. As a result, the fund's composition now includes a greater emphasis on consumer staples, consumer cyclicals, and health care. Consumer staples companies typically shine when the economy is slowing. These are the products and services that consumers demand in any economic environment: radio and television, recruitment services, and food and beverages, for example. Health care is another sector that has the potential to perform well in volatile economic conditions. In contrast to consumer staples and health care companies, consumer cyclical companies tend to be more vulnerable to the ups and downs of economic cycles. During the recent slowdown, however, consumer spending held up well for quite a while and these holdings performed solidly. In the retail sector, the fund concentrated on stocks of discount and off-price stores that offer attractive value to the consumer. After the tragedies of September 11, the stock market went through a very painful bottoming process. Fortunately, October brought renewed strength and growth stocks began to come back. The fund's technology holdings, currently its largest weighting despite the early reduction, outperformed, with storage and software holdings contributing significantly to returns. Consumer cyclicals, consumer staples, retail, and energy holdings also performed well. While results for the full year remain disappointing, the team believes the portfolio is well positioned to take advantage of a strengthening economy. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks primarily of small and midsize emerging growth companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $6.02 Class IB $5.99 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Research Fund The year 2001 marked the first time in over a quarter of a century the Dow Jones Industrial Average posted losses in consecutive years. The torrid pace of economic growth and the exhilarating stock market returns of the past several years came to an abrupt halt before the year had even begun. For the 12 months ended December 31, 2001, Putnam VT Research fund's class IA shares provided a total return of -18.62% at net asset value. The declines in U.S. stocks began early in the year and continued right through September, when the terrorist attacks exacerbated the problems already affecting the economy and the market. The Federal Reserve Board quickly took action, cutting short-term interest rates 11 times over the period. The federal government pumped money into the defense sector of the economy and Congress began to debate a fiscal stimulus package. In October, some of these positive measures seemed to take hold and the stock market crept upward. While the fund could not sidestep the sharp market declines, the management team attempted to dampen the effects of such a volatile market by focusing more on company fundamentals than overall industry trends. The fund's holdings in the consumer staples sector produced solid returns for the period. Not only did the traditional investments like food, beverage, and tobacco companies perform well, but some media holdings within the sector also benefited returns. Stock selection, even in poorly performing sectors, proved key. Utilities stocks, for example, were some of the year's worst performers, despite being part of a typically defensive sector. The names in the fund's portfolio were carefully scrutinized, however, and the fund's holdings did not detract significantly from performance. An overweight position in Pacific Gas & Electric boosted returns, and the team's avoidance of Enron prevented significant losses. In technology, the fund's stock selections and sector weighting detracted from returns for most of the period. As always, management focused the fund's investments in what they considered to have the most attractive valuations relative to their growth potential within the sector. Unfortunately, the speed and magnitude of the economic slowdown eventually punished even the strongest tech companies. Then, when the tech sector recovered in October, the fund's underweight position hampered performance. Although the period's challenging environment is reflected in the short-term performance of this fund, management remains focused on the long term and their disciplined stock selection process, which they believe will reward investors over time. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of large, U.S.-based companies, including growth and value stocks - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $10.99 Class IB $10.94 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT Small Cap Value Fund Despite market volatility and investors' fears of a continued U.S. economic slowdown, small-cap value stocks outperformed their large-cap brethren for much of 2001. Investors, weary of disappointing results from large-company stocks that had previously captivated the market, sought out more attractively-priced stocks of companies with more predictable profitability, driving up the value of many fund holdings. Although the terrorist attacks of September 11 drove the global financial markets into a state of extreme volatility, small-cap stocks were able to maintain their performance momentum as the year drew to a close. For the 12 months ended December 31, 2001, Putnam VT Small Cap Value Fund's class IA shares provided a total return of 18.42% at net asset value. Throughout the period, the Federal Reserve Board kept up its resolve to keep the U.S. economy from slipping into recession, cutting short-term interest rates 11 times during 2001. However, these efforts did little to assuage investor uncertainty, or, as it turned out, to actually prevent a recession. Corporate earnings disappointments continued to dominate financial headlines, boosting the performance of defensive sectors such as health care and utilities, sectors that were significantly represented in the fund's portfolio. Surprisingly, technology, the current whipping boy of the stock market, contributed to the fund's performance as high quality companies previously too expensive for management's selection criteria suddenly made an appearance in the small-cap value universe. The fund also benefited from acquisitions of a few of its holdings in the energy sector. On the downside, the fund had significant exposure to out-of-favor consumer cyclical and financial stocks that underperformed. This fund's strategy is built on a dedication to long-term fundamentals and style consistency. This long-term focus is important for investors to keep in mind in the aftermath of September 11th's events. The markets have recognized that even a disaster has primarily a short-term impact, and should be viewed with a longer-term perspective. As equity markets continue to calm and investors have the time to assess the impact of the greater monetary and fiscal stimulus being administered by government policymakers, small-cap value stocks should begin to recover. Realistically, it would not be reasonable to expect fund performance to benefit from this recovery until well into calendar 2002. Meanwhile, the fund's value-oriented, small-cap portfolio can provide valuable diversification throughout the current volatility and beyond. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of small, undervalued companies with potential for capital growth - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $15.09 Class IB $15.03 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Technology Fund A dramatically slowing U.S. economy, slumping investor confidence, and sharp declines across most sectors of the financial market continued to take their toll on technology stocks for most of the past 12 months. Putnam VT Technology fund's performance reflects this difficult environment, although technology stocks did begin to recover in the final months of the period. For the 12 months ended December 31, 2001, Putnam VT Technology fund's class IA shares produced a total return of - -39.11% at net asset value. While a number of factors contributed to the difficult market environment over the past year, the economic slowdown was perhaps the most significant. When the first signs of a slowdown emerged in the latter half of 2000, investor confidence faltered and businesses reduced their technology spending. In the months that followed, the deceleration continued at a rapid pace. In an effort to head off and then bring the economy out of recession, the Federal Reserve Board lowered short-term interest rates 11 times during 2001. In late spring, a brief stock rally fizzled as more companies delivered negative earnings reports. Then the events of September 11 threw virtually all financial markets into a tailspin, although the stock market began to recover in October. The fund's management team focused on companies with superior long-term growth potential, strong management, and solid business models. However, the speed and magnitude of the economic decline eventually punished even the strongest technology companies. Holdings of large technology industry leaders with dominant market positions did help limit the fund's losses, although most holdings and sectors experienced sharp declines. Particularly weak were those of telecommunications equipment companies. Fortunately, the fund was underweighted in these stocks, and the companies that management selected were those well positioned to weather current weakness and deliver growth over the long term. Toward the end of the period, technology stocks began to strengthen once again. Many companies have made progress in addressing problems brought on by the changing economic landscape, including cutting jobs and lowering costs. In addition, firms have aggressively worked to reduce their inventories of unsold goods. As 2002 began, fundamentals were beginning to improve. Management believes that as the lower interest rates and the government's spending and tax cut stimulus program finally begin to take hold, the economy is poised to recover in the new year. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks primarily of companies in the technology industries - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $4.25 Class IB $4.24 December 31, 2001 - ------------------------------------------------------------------------ The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Utilities Growth and Income Fund For Putnam VT Utilities Growth and Income Fund, the year just ended was characterized by nervous investors, steadily declining interest rates, and a series of unusual events that turned the utilities sector into one of the year's most complicated and volatile. An early-year rally dissolved in the second quarter and was followed by a major bankruptcy, a politically motivated bailout, and the abrupt collapse of a well-regarded power trading company. Although management worked to take advantage of opportunities created by these events, and sought to cushion the fund against the ensuing volatility, results for the year reflected the sector's struggles. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -22.11% at net asset value. Much of the second-quarter volatility in the power markets was a direct result of the California energy crisis that peaked in the summer of 2000. While no one can be certain of all the long-term ramifications, one thing is clear -- the financial health of the state's largest electric utilities, PG&E and Edison International, was severely compromised. Fortunately for the fund, management anticipated this outcome and had sold the fund's PG&E position and half of the Edison holdings by the end of 2000. Following two emergency electricity rate increases in the summer of 2001, the situation began to improve. The fund reinvested in both companies and benefited from a strong recovery in their stock prices. In previous periods, independent power producers and natural gas and pipeline companies have been strong performers for the fund. One such stock, Enron Corp., delivered outstanding returns over time; however, when the company's CEO unexpectedly resigned, management began reducing the fund's position. While Enron subsequently filed for bankruptcy, causing the fund to sustain a loss, management feels that their early reduction of the position limited the fund's losses. While turmoil continued to beset the telecommunications sector throughout the period, the fund's avoidance of smaller companies in favor of larger, more stable Regional Bell Operating Companies (RBOCs) was a key contributor to performance. In the months ahead, management will remain cautious and selective, maintaining the investment discipline that has led to solid returns over time. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Capital growth and current income - ------------------------------------------------------------------------ PORTFOLIO Common stocks and bonds issued by utility companies - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $12.97 Class IB $12.92 December 31, 2001 - ------------------------------------------------------------------------ The fund concentrates its investments in one region or in one sector and involves more risk than a fund that invests more broadly. Putnam VT Vista Fund For much of the past 12 months, the U.S. economy has been decelerating and the stock market has been in decline. However, management made adjustments to Putnam VT Vista Fund's portfolio that mitigated some losses and by the end of the period, the market had begun to show signs of a turnaround. For the 12 months ended December 31, 2001, the fund's class IA shares provided a total return of -33.34% at net asset value. A halt in capital spending and an ensuing slump in manufacturing, followed by heavy payroll cuts, hit technology companies first but soon spread to other industry sectors. Corporate earnings disappointments were widespread. In response, the Federal Reserve Board moved aggressively to curtail the economic downdraft, cutting short-term interest rates 11 times during 2001. For much of the period, the Fed's action seemed to have no effect. The events of September 11 only exacerbated the difficulties facing investors and the economy. Finally in October, the stock market began to rebound. In building this portfolio, management targets midsize companies with top quality management teams and strong growth prospects. Sometimes this approach can dampen the fund's relative performance, as happened for much of 2001 when investors favored the cheapest stocks regardless of business fundamentals. Management held steady, however, maintaining positions in many biotechnology, software technology, and health-care related stocks whose solid industry positions tend to result in higher relative valuations. As the market began to recover in October, this positioning was rewarded with higher returns from many of these stocks, although health-care holdings continued to lag. For most of the period, the fund was positioned defensively relative to its benchmark, the Russell Mid Cap Growth Index. While maintaining exposure to certain software technology stocks, management decreased the fund's overall technology weighting. The portfolio is well balanced among technology, health-care, and consumer sectors. In the technology sector, the fund is focused on areas like data storage, security, and semiconductors, which were among the first industries to rebound as the broad market began to recover in October. Within health care, holdings are well-diversified among medical technology, life sciences, biotech, and specialty pharmaceuticals. On the consumer side, the portfolio has exposure to media, specialty retail, financial and energy stocks. With its broadly diversified portfolio of mid-size growth company stocks, the fund is well positioned to take advantage of economic recovery in the months ahead. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Common stocks of midsize companies with potential for above-average capital growth - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $11.40 Class IB $11.34 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. Putnam VT Voyager Fund The past year has been a particularly difficult period for stocks, especially for the growth stocks that comprise Putnam VT Voyager Fund. The technology and telecommunications sectors stopped leading the market upward and instead drove it downward. A significant slowdown in economic activity also sapped the earnings strength in several other sectors. While growth stocks did begin to rally toward the end of the year, the negative conditions that dominated the year meant disappointing returns. For the 12 months ended December 31, 2001, the fund's class IA shares posted a total return of -22.24% at net asset value. Management had positioned the fund defensively at the end of 2000, and began adding to the portfolio's technology holdings in the spring of 2001 as the Federal Reserve Board began its aggressive easing policy. In order to make the fund more defensive, the team favored companies in the financial and media sectors. Stocks remained volatile throughout the summer and into the fall, especially following September 11. However, stocks began to rally during the final months of the period. Technology holdings bolstered fund performance and growth stocks once again outperformed their value counterparts. The management team continuously focuses on companies with the potential to generate strong cash flow. Over the course of the year, this tactic meant they favored companies whose growth rates appeared less vulnerable to changes in the overall economy as well as companies that had control of their costs and could cut them if necessary. Many such stocks are in the financial sectors, and the fund enjoyed relatively strong returns from many of these holdings. Although superior stock selection in the consumer cyclicals sector contributed to returns during the fourth quarter, a year-long underweight position detracted from potential returns. The fund's energy holdings performed well early in the period, and then lost ground in the final months. The management team's decisions are based on a thorough analysis of individual companies, not on the market as a whole. The two main forces behind the fund's investments are an attractive valuation and a catalyst for price appreciation. When companies meet both of these criteria, fund management will usually be inclined to purchase the stock. Even amid recent conditions, management has found many companies achieving healthy levels of growth and others offering strong growth potential, and they believe the fund's diversified portfolio can continue to provide solid returns over the long term. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Stocks of large and midsize companies with above-average growth potential - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $28.72 Class IB $28.56 December 31, 2001 - ------------------------------------------------------------------------ Putnam VT Voyager Fund II Except for a recovery in the last quarter, 2001 was an especially challenging year for portfolios that invest in growth stocks. Overall, Putnam VT Voyager Fund II's performance reflected market conditions which, in turn, reflected the deterioration in the U.S. economy and the impact of the slowdown on the earnings of all companies. Growth stocks, which typically carry higher P/E multiples, were particularly affected. During a recession, value or large-cap stocks have historically been favored over growth stocks, which usually have higher relative valuations and are more sensitive to earnings disappointments. Reflecting this environment, for the 12 months ended December 31, 2001, Putnam VT Voyager II Fund's class IA shares returned -30.64% at net asset value. During the first half of 2001, economic conditions slowed significantly as overall demand slowed, inventories accumulated and companies reacted by cutting expenses, especially capital spending. This took a severe toll on many sectors of the economy and continued through the spring. The Federal Reserve continued to aggressively lower interest rates and the team began to see stabilization of various economic indicators by the start of the third quarter. However, the events of September 11th delayed a recovery. Growth stocks continued to underperform but valuations became increasingly attractive and market sentiment turned more positive. The markets then staged a dramatic recovery in the fourth quarter but not enough to offset the prior underperformance. Technology represented the largest sector in the portfolio and was hit hard by the decline in capital spending. Management continues to believe that technology spending will recover as companies need to spend on software, storage and network infrastructure in order to remain productive. Over the course of last year, management took steps to increase the portfolio's weighting in the health-care sector. New pharmaceuticals, medical products and services along with the emerging bio-technology industry were strong relative performers last year. The media sector ended the year on a strong note in anticipation of a better advertising environment in 2002. The fund held stocks of some independent power producers, which negatively impacted the portfolio, because of their association with Enron. Management also increased weightings in specialty retail and discount stores, and in the energy sector where valuations became attractive because of the decline in oil and gas prices. Despite disappointing results in 2001, management remains focused on its objective, which is to invest in growth stocks that over the long term have demonstrated the ability to deliver attractive returns. - ------------------------------------------------------------------------ INVESTMENT OBJECTIVE Long-term capital appreciation - ------------------------------------------------------------------------ PORTFOLIO Stocks of small, midsize, and large companies with very strong growth potential - ------------------------------------------------------------------------ NET ASSET VALUE Class IA $4.98 Class IB $4.97 December 31, 2001 - ------------------------------------------------------------------------ This fund invests all or a portion of its assets in small to medium-sized companies. Such investments increase the risk of greater price fluctuations. [GRAPHIC OMITTED: FUND WORM CHARTS] Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT American Government Income Fund -- since inception (2/1/00) Lehman Intermediate Date Class IA Class IB Treasury Bond Index 2/1/00 10,000 10,000 10,000 3/31/00 10,260 10,301 10,206 6/30/00 10,460 10,502 10,389 9/30/00 10,720 10,763 10,649 12/31/00 11,211 11,243 11,055 3/31/01 11,471 11,493 11,378 6/30/01 11,440 11,473 11,420 9/30/01 12,017 12,042 11,970 12/31/01 $11,957 $11,976 $11,942 Putnam VT American Government Income Fund's underlying portfolio seeks high current income primarily through U.S. government securities with preservation of capital as its secondary objective. The Lehman Intermediate Treasury Bond Index is an unmanaged index of Treasury bonds with maturities between 1 and 9.9 years. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Asia Pacific Growth Fund -- since inception (5/1/95) (subsequent periods ended 12/31) Date Class IA Class IB MSCI Pacific Index 5/1/95 10,000 10,000 10,000 1995 10,230 10,220 10,021 1996 11,161 11,133 9,162 1997 9,525 9,487 6,826 1998 9,003 8,963 6,993 1999 18,687 18,560 11,023 2000 10,425 10,331 8,181 2001 $7,939 $7,855 $6,103 Putnam VT Asia Pacific Growth Fund's underlying portfolio seeks capital appreciation through common stocks of companies located in Asia and in the Pacific Basin. The Morgan Stanley Capital International (MSCI) Pacific Index is an unmanaged index of securities from five Asian countries. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Capital Appreciation Fund -- since inception (9/29/00) Russell 3000 Standard and Poor's Date Class IA Class IB Index 500 [REGISTRATION MARK] Index 9/29/00 10,000 10,000 10,000 10,000 12/31/00 9,078 9,078 9,099 9,218 3/31/00 7,916 7,906 7,993 8,125 6/30/00 8,487 8,477 8,544 8,600 9/30/00 6,934 6,914 7,209 7,338 12/31/01 $7,820 $7,800 $8,057 $8,122 Putnam VT Capital Appreciation Fund's underlying portfolio seeks long-term capital appreciation. The Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies in the Russell universe. It is now the fund's only benchmark because Putnam Management believes it is the most appropriate index against which to compare the fund's performance. Previously, the fund was measured against the Standard & Poor's 500 Index, an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the indexes. It is not possible to invest directly in an index. Putnam VT Diversified Income Fund -- since inception (9/15/93) (subsequent periods ended 12/31) Salomon Bros. Credit Suisse Lehman Non-U.S. First Boston Aggregate World Govt. High Yield Date Class IA Class IB Bond Index Bond Index Index 9/15/93 10,000 10,000 10,000 10,000 10,000 1993 10,230 10,225 10,006 10,019 10,501 1994 9,797 9,778 9,714 10,619 10,398 1995 11,671 11,631 11,508 12,695 12,206 1996 12,699 12,637 11,926 13,213 13,722 1997 13,636 13,548 13,078 12,650 15,455 1998 13,449 13,332 14,214 14,900 15,545 1999 13,673 13,551 14,097 14,144 16,054 2000 13,698 13,542 15,736 13,772 15,218 2001 $14,222 $14,015 $17,064 $13,284 $16,097 Putnam VT Diversified Income Fund's underlying portfolio of U.S. government and other investment-grade, high-yield, and international fixed-income securities seeks high current income consistent with capital preservation. Lehman Aggregate Bond Index is an unmanaged index used as a general measure of fixed-income securities. It is now the fund's only benchmark because Putnam Management believes it is the most appropriate index against which to compare the fund's performance. Previously, the fund was measured against the Salomon Brothers Non-U.S. World Government Bond Index, an unmanaged index of bonds issued by 10 countries. Credit Suisse First Boston (CSFB) High Yield Index is an unmanaged index of lower-rated higher-yielding U.S. corporate bonds. Securities indexes assume reinvestment of all distributions and interest payments and do not take into account brokerage fees or taxes. Securities in the fund do not match those in the indexes and performance of the fund will differ. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT The George Putnam Fund of Boston -- since inception (4/30/98) Standard and Poor's 500 Lehman Govt./Credit [REGISTRATION MARK] Date Class IA Class IB Bond Index Index 4/30/98 10,000 10,000 10,000 10,000 6/98 9,970 9,970 10,210 10,227 12/98 10,369 10,368 10,729 11,171 6/99 10,992 10,991 10,485 12,555 12/99 10,332 10,326 10,498 13,522 6/00 10,259 10,243 10,935 13,465 12/00 11,346 11,319 11,741 12,291 6/01 11,526 11,487 12,153 11,468 12/31/01 $11,430 $11,371 $12,739 $10,830 Putnam VT The George Putnam Fund of Boston's underlying portfolio seeks capital growth and current income through a balanced investment composed of a well-diversified portfolio of stocks and bonds. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The Lehman Govt./Credit Bond Index is an unmanaged index of U.S. fixed-income securities. The fund's portfolio contains securities that do not match those in the indexes. It is not possible to invest directly in an index. Putnam VT Global Asset Allocation Fund -- since 12/31/91 MSCI Date Class IA Class IB World Index 12/31/91 10,000 10,000 10,000 92 10,611 10,629 9,477 93 12,448 12,487 11,610 94 12,121 12,175 12,199 95 15,094 15,183 14,727 96 17,425 17,555 16,712 97 20,821 21,008 19,346 98 23,626 23,837 24,055 99 26,406 26,662 30,053 00 25,122 25,363 26,093 12/31/01 $22,966 $23,228 $21,703 Putnam VT Global Asset Allocation Fund's underlying managed asset allocation portfolio invests in domestic and international stock and bond markets and seeks a high level of long-term total return consistent with preservation of capital. The Morgan Stanley Capital International World Index is an unmanaged index of developed and emerging market securities. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Global Growth Fund -- since 12/31/91 SSB World MSCI All Country Primary World Free Markets Date Class IA Class IB Index Growth Index 12/31/91 10,000 10,000 10,000 10,000 92 9,964 9,949 9,577 9,480 93 13,191 13,152 11,960 10,759 94 13,064 13,006 12,561 11,303 95 15,112 15,021 15,005 14,107 96 17,712 17,579 16,986 16,429 97 20,250 20,068 19,533 19,768 98 26,267 26,019 23,824 26,128 99 43,341 42,816 30,212 35,693 00 30,494 30,078 26,002 28,566 12/31/01 $21,450 $21,128 $21,864 $22,323 Putnam VT Global Growth Fund's underlying internationally diversified common stock portfolio seeks capital appreciation. The Salomon Smith Barney (SSB) World Growth Primary Markets Index is an unmanaged index of mostly large and some small capitalization stocks from developed countries excluding the U.S. chosen for their growth orientation. It is replacing the Morgan Stanley Capital International All-Country World Free Index because Putnam Management believes it is a more appropriate index against which to compare the fund's performance. The Morgan Stanley Capital International All-Country World Free Index is an unmanaged index of global equity securities available to non-domestic investors, with all values expressed in U.S. dollars. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Growth and Income Fund -- since 12/31/91 Standard & Poor's 500 Standard & Poor's [REGISTRATION MARK] Barra/Value Date Class IA Class IB Index Index 12/31/91 10,000 10,000 10,000 10,000 92 10,975 10,959 10,762 11,053 93 12,541 12,503 11,847 13,108 94 12,585 12,528 12,003 13,026 95 17,205 17,102 16,514 17,845 96 20,976 20,819 20,305 21,771 97 26,041 25,807 27,079 28,299 98 30,056 29,754 34,818 32,451 99 30,533 30,189 42,145 36,580 00 33,009 32,581 38,308 38,805 12/31/01 $30,975 $30,507 $33,755 $34,262 Putnam VT Growth and Income Fund's underlying portfolio seeks long-term capital growth and current income. The Standard & Poor's Barra/Value Index is an unmanaged index of capitalization-weighted stocks chosen for their value orientation. It is replacing the Standard & Poor's 500 Index because Putnam Management believes it is a more appropriate index against which to compare the fund's performance. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT Growth Opportunities Fund -- since inception (2/1/00) Standard & Poor's 500 Russell 1000 [REGISTRATION MARK] Date Class IA Class IB Growth Index Index 2/1/00 10,000 10,000 10,000 10,000 3/00 11,052 11,052 11,019 10,657 6/00 10,328 10,319 10,721 10,374 9/00 9,942 9,932 10,145 10,274 12/00 7,529 7,519 7,979 9,470 3/01 5,454 5,444 6,312 8,347 6/01 5,917 5,898 6,843 8,836 9/01 4,527 4,517 5,515 7,539 12/01 $5,310 $5,290 $6,350 $8,344 Putnam VT Growth Opportunities Fund's underlying portfolio seeks long-term capital appreciation. The Russell 1000[REGISTRATION MARK] Growth Index is an unmanaged index of those companies in the Russell 1000 chosen for their growth orientation. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Health Sciences Fund -- since inception (4/30/98) Standard & Poor's 500 [REGISTRATION MARK] Date Class IA Class IB Index 4/30/98 10,000 10,000 10,000 6/98 10,070 10,070 10,227 12/98 10,951 10,940 11,171 6/99 10,200 10,199 12,555 12/99 10,520 10,513 13,522 6/00 13,766 13,738 13,465 12/00 14,638 14,599 12,291 6/01 12,310 12,256 11,468 12/31/01 $11,778 $11,715 $10,830 Putnam VT Health Sciences Fund's underlying portfolio seeks long-term capital appreciation. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT High Yield Fund -- since 12/31/91 Credit Suisse First Boston High Yield Date Class IA Class IB Index 12/31/90 10,000 10,000 10,000 92 11,898 11,880 11,666 93 14,226 14,183 13,872 94 14,093 14,030 13,737 95 16,675 16,575 16,125 96 18,811 18,670 18,128 97 21,508 21,315 20,417 98 20,248 20,057 20,535 99 21,448 21,222 21,209 00 19,636 19,416 20,104 12/31/01 $20,422 $20,142 $21,267 Putnam VT High Yield Fund's underlying portfolio seeks high current income, with a secondary objective of capital growth. The Credit Suisse First Boston (CSFB) High Yield Bond Index is an unmanaged index of high-yield debt securities. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Income Fund -- since 12/31/91 Lehman Aggregate Date Class IA Class IB Bond Index 12/31/90 10,000 10,000 10,000 92 10,749 10,733 10,740 93 11,961 11,926 11,787 94 11,568 11,516 11,443 95 13,933 13,850 13,558 96 14,270 14,163 14,050 97 15,502 15,363 15,406 98 16,781 16,623 16,745 99 16,434 16,263 16,607 00 17,750 17,530 18,538 12/31/01 $19,086 $18,809 $20,103 Putnam VT Income Fund's underlying portfolio seeks a high level of income consistent with a prudent level of risk. The Lehman Aggregate Bond Index is an unmanaged index used as a general measure of fixed-income securities. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT International Growth Fund -- since inception (1/2/97) MSCI EAFE Date Class IA Class IB Index 1/2/97 10,000 10,000 10,000 12/31/97 11,613 11,595 10,178 12/31/98 13,783 13,737 12,213 12/31/99 22,082 21,994 15,506 12/31/00 19,989 19,881 13,309 12/31/01 $15,909 $15,783 $10,455 Putnam VT International Growth Fund's underlying portfolio seeks capital appreciation by primarily investing in a diversified portfolio of equity securities of companies located mainly outside the United States. The Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged index of international stocks from Europe, Australasia, and the Far East. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT International Growth and Income Fund -- since inception (1/2/97) MSCI EAFE MSCI World Date Class IA Class IB Index Ex U.S. Index 1/2/97 10,000 10,000 10,000 10,000 12/31/97 11,943 11,926 10,178 10,227 12/31/98 13,290 13,262 12,213 12,146 12/31/99 16,558 16,490 15,506 15,538 12/31/00 16,783 16,709 13,309 13,461 12/31/01 $13,314 $13,231 $10,455 $10,580 Putnam VT International Growth and Income Fund's underlying portfolio seeks capital growth primarily through investing in common stocks of foreign companies, with current income as a secondary objective. The Morgan Stanley Capital International (MSCI) World Ex U.S. Index is an unmanaged index of developed and emerging markets outside the U.S. It is replacing the Morgan Stanley Capital International (MSCI) EAFE Index because Putnam Management believes it is a more appropriate index against which to compare the fund's performance. The Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged index of stocks from Europe, Australasia, and the Far East. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT International New Opportunities Fund -- since inception (1/2/97) SSB World MSCI EAFE Ex U.S. Date Class IA Class IB Index PMI Growth Index 1/2/97 10,000 10,000 10,000 10,000 12/31/97 9,990 9,975 10,178 10,707 12/31/98 11,546 11,513 12,213 12,966 12/31/99 23,432 23,348 15,506 17,756 12/31/00 14,396 14,321 13,309 14,612 12/31/01 $10,290 $10,214 $10,455 $11,039 Putnam VT International New Opportunities Fund's underlying portfolio seeks long-term capital appreciation primarily through investing in international equities. The Salomon Smith Barney (SSB) World Ex U.S. Growth Primary Markets Index is an unmanaged index of mostly large and some small capitalization stocks from developed countries excluding the U.S. chosen for their growth orientation. It is replacing the Morgan Stanley Capital International (MSCI) EAFE Index because Putnam Management believes it is a more appropriate index against which to compare the fund's performance. The Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged index of stocks from Europe, Australasia, and the Far East. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Investors Fund -- since inception (4/30/98) Standard and Poor's 500 [REGISTRATION MARK] Date Class IA Class IB Index 4/30/98 10,000 10,000 10,000 6/98 10,590 10,590 10,227 12/98 11,666 11,654 11,171 6/99 12,807 12,795 12,555 12/99 15,181 15,148 13,522 6/00 14,760 14,717 13,465 12/00 12,377 12,325 12,291 6/01 10,514 10,472 11,468 12/01 $9,331 $9,271 $10,830 Putnam VT Investors Fund's underlying portfolio seeks long-term capital appreciation. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT New Opportunities Fund -- since inception (5/2/94) (subsequent periods ended 12/31) Russell 2000 Russell Mid-Cap Date Class IA Class IB Index Growth Index 5/2/94 10,000 10,000 10,000 10,000 1994 10,820 10,809 9,969 10,121 1995 15,675 15,636 12,805 13,561 1996 17,270 17,201 14,918 15,930 1997 21,291 21,174 18,254 19,521 1998 26,482 26,304 17,789 23,009 1999 44,848 44,478 21,570 34,811 2000 33,147 32,824 20,919 30,721 2001 $23,207 $22,934 $21,439 $24,530 Putnam VT New Opportunities Fund's underlying portfolio seeks long-term capital appreciation. The Russell Mid Cap Growth Index is an unmanaged index of all medium and medium/small companies in the Russell 1000 Growth Index chosen for their growth orientation. It is now the fund's only benchmark because Putnam Management believes it is the most appropriate index against which to compare the fund's performance. Previously, the fund was compared to the Russell 2000 Index, an unmanaged index of common stocks that generally measure performance of small to midsize companies within the Russell 3000 Index. The fund's portfolio contains securities that do not match those in the indexes. It is not possible to invest directly in an index. Putnam VT New Value Fund -- since inception (1/2/97) Russell 3000 Date Class IA Class IB Value Index 1/2/97 10,000 10,000 10,000 12/31/97 11,760 11,742 13,549 12/31/98 12,496 12,460 15,378 12/31/99 12,529 12,492 16,401 12/31/00 15,359 15,287 17,719 12/31/01 $15,902 $15,793 $16,951 Putnam VT New Value Fund's underlying portfolio seeks long-term capital appreciation. The Russell 3000 Value Index is an unmanaged index of those companies in the Russell 3000 Index chosen for their value orientation. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT OTC & Emerging Growth Fund -- since inception (4/30/98) Standard and Poor's 500 Russell 2500 [REGISTRATION MARK] Date Class IA Class IB Growth Index Index 4/30/98 10,000 10,000 10,000 10,000 6/98 10,230 10,230 9,427 10,227 12/98 10,094 10,082 9,193 11,171 6/99 11,925 11,923 10,624 12,555 12/99 22,866 22,831 14,293 13,522 6/00 20,139 20,094 15,321 13,465 12/00 11,198 11,166 11,993 12,291 6//01 7,725 7,694 11,647 11,468 12/31/01 $6,095 $6,064 $10,694 $10,830 Putnam VT OTC & Emerging Growth Fund's underlying portfolio seeks capital appreciation. The Russell 2500 Growth Index is an unmanaged index of the smallest 2500 companies in the Russell 3000 chosen for their growth orientation. The fund's portfolio contains securities that do not match those in the indexes. It is not possible to invest directly in an index. Putnam VT Research Fund -- since inception (9/30/98) Standard and Poor's 500 [REGISTRATION MARK] Date Class IA Class IB Index 9/30/98 10,000 10,000 10,000 12/98 11,951 11,919 12,130 6/99 13,409 13,386 13,632 12/99 15,247 15,219 14,682 6/00 15,949 15,910 14,620 12/00 14,966 14,918 13,345 6//01 13,421 13,370 12,452 12/31/01 $12,180 $12,108 $11,759 Putnam VT Research Fund's underlying portfolio seeks long-term capital appreciation. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT Small Cap Value Fund -- since inception (4/30/99) Russell 2000 Date Class IA Class IB Value Index 4/30/99 10,000 10,000 10,000 6/99 10,990 10,990 10,681 9/99 9,910 9,910 9,845 12/99 10,347 10,337 9,996 3/00 11,090 11,070 10,378 6/00 11,070 11,050 10,581 9/00 11,873 11,842 11,357 12/00 12,894 12,863 12,278 3/01 13,074 13,032 12,397 6/01 15,006 14,953 13,840 9/01 12,871 12,820 11,994 12/31/01 $15,269 $15,196 $14,000 Putnam VT Small Cap Value Fund's underlying portfolio seeks capital growth over the long term. The Russell 2000 Value Index is an unmanaged index of those companies in the Russell 2000 chosen for their value orientation. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Technology Fund -- since inception (6/14/00) Standard and Poor's Goldman-Sachs 500 Technology [REGISTRATION MARK] Date Class IA Class IB Indexes Index 6/14/00 10,000 10,000 10,000 10,000 6/00 10,457 10,457 10,217 9,895 9/00 10,525 10,516 9,224 9,799 12/00 6,790 6,780 6,011 9,032 3/01 4,601 4,591 4,355 7,962 6/01 4,932 4,922 4,993 8,428 9/01 3,123 3,103 3,217 7,191 12/31/01 $4,250 $4,240 $4,293 $7,959 Putnam VT Technology Fund's underlying portfolio seeks capital appreciation through investments in common stocks of U.S. companies in the technology industries. The Goldman Sachs Technology Indexes are an unmanaged series of benchmarks that measure the technology sector. The Standard & Poor's 500 Index is an unmanaged index of common stock performance. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Utilities Growth and Income Fund -- since inception (5/1/92) (subsequent periods ended 12/31) Standard and Poor's Date Class IA Class IB Utilities Index 5/1/92 10,000 10,000 10,000 92 10,710 10,699 11,250 93 12,148 12,117 12,864 94 11,295 11,250 11,852 95 14,805 14,724 16,809 96 17,144 17,024 17,330 97 21,790 21,605 21,578 98 25,040 24,815 24,726 99 24,875 24,620 22,547 00 29,255 28,915 35,970 2001 $22,788 $22,471 $25,104 Putnam VT Utilities Growth and Income Fund's underlying portfolio of stocks and bonds issued by utility companies seeks capital growth and current income. The Standard & Poor's Utilities Index is an unmanaged index of common stocks issued by utility companies. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam VT Vista Fund -- since inception (1/2/97) Russell Mid Cap Date Class IA Class IB Growth Index 1/2/97 10,000 10,000 10,000 12/31/97 12,321 12,303 12,420 12/31/98 14,721 14,702 14,639 12/31/99 22,508 22,433 22,147 12/31/00 21,612 21,516 19,545 12/31/01 $14,406 $14,308 $15,607 Putnam VT Vista Fund's underlying portfolio seeks long-term capital appreciation. The Russell Mid Cap Growth Index is an unmanaged index of all medium and medium/small companies in the Russell 1000 Index chosen for their growth orientation. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Cumulative total returns of a $10,000 investment in class IA and class IB shares at net asset value Putnam VT Voyager Fund-- since 12/31/91 Russell 1000 Russell Mid-Cap Date Class IA Class IB Growth Index Growth Index 12/31/91 10,000 10,000 10,000 10,000 92 11,036 11,019 10,499 10,871 93 13,100 13,061 10,801 12,088 94 13,236 13,176 11,084 11,826 95 18,619 18,508 15,204 15,845 96 21,034 20,877 18,720 18,614 97 26,611 26,372 24,427 22,810 98 33,094 32,752 33,882 26,885 99 52,362 51,753 45,117 40,674 00 43,768 43,195 35,000 35,896 12/31/01 $34,035 $33,515 $27,852 $28,662 Putnam VT Voyager Fund's underlying portfolio seeks long-term capital appreciation. The Russell 1000[R] Growth Index is an unmanaged index of those companies in the Russell 1000 Index chosen for their growth orientation. It is now the fund's only benchmark because Putnam Management believes it is the most appropriate index against which to compare the fund's performance. Previously, the fund was measured against the Russell Mid Cap Growth Index, an unmanaged index of all medium and medium/small companies in the Russell 1000 Index chosen for their growth orientation. The fund's portfolio contains securities that do not match those in the indexes. It is not possible to invest directly in an index. Putnam VT Voyager Fund II -- since inception (9/29/00) Russell Mid Cap Date Class IA Class IB Growth Index 9/29/00 10,000 10,000 10,000 12/31/00 7,144 7,144 7,675 3/31/01 5,164 5,164 5,750 6/30/01 5,930 5,930 6,680 9/30/01 4,050 4,040 4,823 12/31/01 $4,980 $4,970 $6,129 Putnam VT Voyager II Fund's underlying portfolio seeks long-term growth of capital. The Russell Mid Cap Growth Index is an unmanaged index of all medium and medium/small companies in the Russell 1000 chosen for their growth orientation. The fund's portfolio contains securities that do not match those in the index. It is not possible to invest directly in an index. Putnam Fund Management Teams American Government Income Fund: Core Fixed-Income Team Asia Pacific Growth Fund: International Core Team Capital Appreciation Fund: Small- and Mid-Cap Core Team and U.S. Large-Cap Core Team Diversified Income Fund: Core Fixed-Income Team The George Putnam Fund of Boston: Large-Cap Value Team and Core Fixed-Income Team Global Asset Allocation Fund: Global Asset Allocation Team Global Growth Fund: Global Growth Team Growth and Income Fund: Large-Cap Value Team Growth Opportunities Fund: Large-Cap Growth Team Health Sciences Fund: Health Sciences Team High Yield Fund: Core Fixed-Income High-Yield Team Income Fund: Core Fixed-Income Team International Growth Fund: International Core Team International Growth and Income Fund: International Value Team International New Opportunities Fund: International Growth Team Investors Fund: Large-Cap Growth Team and U.S. Large-Cap Core Team Money Market Fund: Core Fixed-Income Team New Opportunities Fund: Specialty Growth Team and Large-Cap Growth Team New Value Fund: Large-Cap Value Team OTC & Emerging Growth Fund: Specialty Growth Team Research Fund: Global Equity Research Team and U.S. Large-Cap Core Team Small Cap Value Fund: Small- and Mid-Cap Value Team Technology Fund: Technology Team Utilities Growth and Income Fund: Utilities Team Vista Fund: Specialty Growth Team Voyager Fund: Large-Cap Growth Team and U.S. Large-Cap Core Team Voyager Fund II: Specialty Growth Team and Large-Cap Growth Team An investment's past performance should not be taken as an assurance of future results. Report of independent accountants To the Trustees and Shareholders of Putnam Variable Trust In our opinion, the accompanying statements of assets and liabilities, including the funds' portfolios, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of each of the twenty-seven funds constituting the Putnam Variable Trust (the "trust"), at December 31, 2001, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of investments owned at December 31, 2001 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Boston, Massachusetts February 15, 2002
Putnam VT American Government Fund The fund's portfolio December 31, 2001 U.S. GOVERNMENT AND AGENCY OBLIGATIONS (98.9%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... U.S. Government Agency Mortgage Obligations (57.5%) .......................................................................................................................... Federal Farm Credit Bank .......................................................................................................................... $10,000,000 5 3/4s, January 18, 2011 $9,909,400 .......................................................................................................................... 5,000,000 4 1/4s, July 1, 2003 5,102,350 .......................................................................................................................... Federal Home Loan Bank .......................................................................................................................... 4,850,000 5.8s, September 2, 2008 4,959,901 .......................................................................................................................... 11,000,000 5 3/8s, May 15, 2006 11,218,240 .......................................................................................................................... Federal Home Loan Mortgage Association .......................................................................................................................... 7,108,167 7 1/2s, with due dates from October 1, 2014 to July 1, 2031 7,354,863 .......................................................................................................................... 3,500,000 Federal Home Loan Mortgage Corporation 6s, June 15, 2011 3,556,875 .......................................................................................................................... Freddie Mac Strip .......................................................................................................................... 10,012,576 Ser. 204, Class IO, 6s, May 1, 2029 2,562,594 .......................................................................................................................... 13,058,902 Ser. 212, Class IO, 6s, May 1, 2031 3,587,117 .......................................................................................................................... Federal National Mortgage Association Pass-Through Certificates .......................................................................................................................... 14,290,221 7 1/2s, with due dates from August 1, 2029 to August 1, 2031 14,755,721 .......................................................................................................................... 4,680,000 7 1/4s, May 15, 2030 5,272,301 .......................................................................................................................... 3,286,823 7s, with due dates from April 1, 2015 to September 1, 2016 3,404,690 .......................................................................................................................... 13,716,782 6 1/2s, with due dates from March 1, 2016 to April 1, 2031 13,989,650 .......................................................................................................................... 17,292,731 6s, with due dates from February 1,2031 to September 1, 2031 16,932,523 .......................................................................................................................... Government National Mortgage Association Pass-Through Certificates .......................................................................................................................... 1,266,761 7 1/2s, with due dates from September 15, 2029 to October 15, 2030 1,312,231 .......................................................................................................................... 16,719,770 6 1/2s, with due dates from January 15, 2029 to December 15, 2031 16,816,746 - -------------------------------------------------------------------------------------------------------------------------- 120,735,202 - -------------------------------------------------------------------------------------------------------------------------- U.S. Government and Agency Obligations - -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Obligations (41.4%) .......................................................................................................................... Principal Amount Value .......................................................................................................................... U.S. Treasury Bonds .......................................................................................................................... $1,170,000 10 5/8s, August 15, 2015 $1,735,625 .......................................................................................................................... 1,865,000 8s, November 15, 2021 2,360,978 .......................................................................................................................... 3,715,000 6 1/4s, May 15, 2030 4,020,336 .......................................................................................................................... 2,250,000 6s, February 15, 2026 2,315,048 .......................................................................................................................... 3,135,000 5 3/8s, February 15, 2031 3,089,448 .......................................................................................................................... 12,520,000 5 1/4s, February 15, 2029 11,721,850 .......................................................................................................................... U.S. Treasury Notes .......................................................................................................................... 1,075,000 6 1/2s, February 15, 2010 1,179,985 .......................................................................................................................... 16,860,000 6 1/8s, August 15, 2007 18,124,500 .......................................................................................................................... 29,685,000 5s, August 15, 2011 29,592,086 .......................................................................................................................... 2,560,000 5s, February 15, 2011 2,550,400 .......................................................................................................................... 9,925,000 3 1/2s, November 15, 2006 9,565,219 .......................................................................................................................... 550,000 Tennessee Valley Auth Bonds, Series G, 5 3/8s, November 13, 2008 548,279 - -------------------------------------------------------------------------------------------------------------------------- 86,803,754 - -------------------------------------------------------------------------------------------------------------------------- Total U.S. Government and Agency Obligations (cost $206,101,858) $207,538,956 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (7.3%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $5,200,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $5,200,520 for an effective yield of 1.80% $5,200,000 .......................................................................................................................... 5,206,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Goldman Sachs and Co., Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $5,206,518 for an effective yield of 1.79% 5,206,000 .......................................................................................................................... 4,824,000 Interest in $750,000,000 joint tri-party repurchase agreement dated December 31, 2001 with S.B.C. Warburg, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $4,824,482 for an effective yield of 1.80% 4,824,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $15,230,000) $15,230,000 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $221,331,858) (b) $222,768,956 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Asia Pacific Growth Fund The fund's portfolio December 31, 2001 COMMON STOCKS (98.9%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Australia (13.7%) .......................................................................................................................... 134,829 AMP, Ltd. $1,272,461 .......................................................................................................................... 37,700 Australia & New Zealand Banking Group, Ltd. 343,622 .......................................................................................................................... 235,245 BHP Billiton, Ltd. 1,264,183 .......................................................................................................................... 68,386 Brambles Industries, Ltd. 364,000 .......................................................................................................................... 57,299 Commonwealth Bank of Australia 878,009 .......................................................................................................................... 230,147 Foster's Brewing Group, Ltd. 572,456 .......................................................................................................................... 45,505 National Australia Bank, Ltd. 742,002 .......................................................................................................................... 27,729 News Corp., Ltd. (The) 221,703 .......................................................................................................................... 32,598 News Corp., Ltd. (The) ADR 1,036,942 .......................................................................................................................... 134,468 Telstra Corporation, Ltd. 374,385 .......................................................................................................................... 144,079 Westpac Banking Corp. 1,161,768 .......................................................................................................................... 41,702 Woodside Petroleum, Ltd. 285,805 .......................................................................................................................... 121,605 Woolworths, Ltd. 699,549 - -------------------------------------------------------------------------------------------------------------------------- 9,216,885 - -------------------------------------------------------------------------------------------------------------------------- China (0.5%) .......................................................................................................................... 1,886,000 Aluminum Corporation of China, Ltd. (NON) 328,938 - -------------------------------------------------------------------------------------------------------------------------- Hong Kong (9.0%) .......................................................................................................................... 96,000 Cheung Kong Holdings, Ltd. 997,217 .......................................................................................................................... 98,500 China Mobile, Ltd. (NON) 346,746 .......................................................................................................................... 136,100 CLP Holdings, Ltd. 519,252 .......................................................................................................................... 623,000 CNOOC, Ltd. 587,231 .......................................................................................................................... 32,900 Hang Seng Bank, Ltd. 361,796 .......................................................................................................................... 435,700 Hong Kong and China Gas Co., Ltd. 533,611 .......................................................................................................................... 88,500 Hong Kong Electric Holdings, Ltd. 329,136 .......................................................................................................................... 62,600 Hutchison Whampoa, Ltd. 604,108 .......................................................................................................................... 320,500 Johnson Electric Holdings, Ltd. 337,035 .......................................................................................................................... 292,000 Li & Fung, Ltd. 327,661 .......................................................................................................................... 50,000 Sun Hung Kai Properties, Ltd. 403,965 .......................................................................................................................... 126,500 Swire Pacific, Ltd. 689,466 - -------------------------------------------------------------------------------------------------------------------------- 6,037,224 - -------------------------------------------------------------------------------------------------------------------------- Japan (57.1%) .......................................................................................................................... 4,900 Acom Co., Ltd. 357,118 .......................................................................................................................... 4,000 Acom Co., Ltd. 144A 291,525 .......................................................................................................................... 3,800 Aiful Corp. 245,919 .......................................................................................................................... 86,000 Asahi Chemical Industry Co., Ltd. 301,904 .......................................................................................................................... 47,000 Canon,Inc. 1,617,659 .......................................................................................................................... 23,000 Denso Corp. 304,712 .......................................................................................................................... 163 East Japan Railway Co. 787,416 .......................................................................................................................... 6,700 Fast Retailing Co., Ltd. 596,192 .......................................................................................................................... 22,000 Fuji Photo Film Co., Ltd. 785,744 .......................................................................................................................... 29,700 Honda Motor Co., Ltd. 1,185,416 .......................................................................................................................... 6,200 ITO EN, Ltd. 260,236 .......................................................................................................................... 40 Japan Tobacco, Inc. 251,841 .......................................................................................................................... 70,000 KAO Corp. 1,455,718 .......................................................................................................................... 1,900 Keyence Corp. 315,954 .......................................................................................................................... 24,500 Kinden Corp. 114,614 .......................................................................................................................... 80,000 Kirin Brewery Co., Ltd. 572,061 .......................................................................................................................... 71,000 Konica Corp. 417,759 .......................................................................................................................... 16,000 Kyorin Pharmaceutical Co., Ltd. 415,156 .......................................................................................................................... 93,000 Matsushita Electric Industrial Co. 1,194,482 .......................................................................................................................... 78,000 Matsushita Electric Works, Ltd. 642,286 .......................................................................................................................... 102,000 Mitsui Sumitomo Insurance Co., Ltd. 478,727 .......................................................................................................................... 11,400 Murata Manufacturing Co., Ltd. 683,817 .......................................................................................................................... 52,000 NEC Corp. 530,576 .......................................................................................................................... 119,000 Nikko Securities Co., Ltd. 531,270 .......................................................................................................................... 6,200 Nintendo Co., Ltd. 1,085,893 .......................................................................................................................... 108 Nippon Telegraph and Telephone Corp. (NTT) 351,937 .......................................................................................................................... 81 Nippon Unipac Holding 361,621 .......................................................................................................................... 180,000 Nissan Motor Co., Ltd. 954,707 .......................................................................................................................... 26,700 Nissin Food Products 521,632 .......................................................................................................................... 75,000 Nomura Securites Co., Ltd. 961,575 .......................................................................................................................... 130 NTT DoCoMo, Inc. 1,527,836 .......................................................................................................................... 89 NTT DoCoMo, Inc. 144A 1,045,980 .......................................................................................................................... 3,600 Obic Company, Ltd. 714,313 .......................................................................................................................... 35,000 Olympus Optical Co., Ltd. 503,491 .......................................................................................................................... 17,800 Omron Corp. 237,723 .......................................................................................................................... 11,900 Orix Corp. 1,066,173 .......................................................................................................................... 33,000 Ricoh Co., Ltd. 614,492 .......................................................................................................................... 8,600 Rohm Co., Ltd. 1,116,389 .......................................................................................................................... 18,000 Sankyo Co., Ltd. 308,391 .......................................................................................................................... 34,000 Seven-Eleven Japan Co., Ltd. 1,240,279 .......................................................................................................................... 18,100 Shin-Etsu Chemical Co. 650,597 .......................................................................................................................... 36,400 Sony Corp. 1,663,952 .......................................................................................................................... 125,000 Sumitomo Chemical Co., Ltd. 424,505 .......................................................................................................................... 93,000 Sumitomo Corp. 426,550 .......................................................................................................................... 400 Sumitomo Mitsui Banking Corp. 1,694 .......................................................................................................................... 38,000 Taisho Pharmaceutical Co., Ltd. 597,398 .......................................................................................................................... 32,000 Takeda Chemical Industries 1,448,163 .......................................................................................................................... 6,180 Takefuji Corp. 447,105 .......................................................................................................................... 62,000 Tokio Marine & Fire Insurance Co., Ltd. (The) 453,283 .......................................................................................................................... 24,400 Tokyo Electric Power Co. 519,525 .......................................................................................................................... 237,000 Tokyo Gas Co., Ltd. 634,846 .......................................................................................................................... 46,000 Toppan Printing Co., Ltd. 424,421 .......................................................................................................................... 120,900 Toyota Motor Corp. 3,063,214 .......................................................................................................................... 8,200 Yamada Denki Co., Ltd. 575,724 - -------------------------------------------------------------------------------------------------------------------------- 38,281,511 - -------------------------------------------------------------------------------------------------------------------------- Singapore (4.4%) .......................................................................................................................... 46,800 DBS Group Holdings, Ltd. 144A 349,859 .......................................................................................................................... 17,500 Flextronics International, Ltd. (NON) 419,825 .......................................................................................................................... 65,000 Singapore Airlines, Ltd. 387,324 .......................................................................................................................... 42,000 Singapore Press Holdings, Ltd. 495,991 .......................................................................................................................... 147,000 United Overseas Bank, Ltd. 1,011,322 .......................................................................................................................... 41,500 Venture Manufacturing, Ltd. 298,998 - -------------------------------------------------------------------------------------------------------------------------- 2,963,319 - -------------------------------------------------------------------------------------------------------------------------- South Korea (8.6%) .......................................................................................................................... 16,900 Hyundai Motor Co., Ltd. 346,132 .......................................................................................................................... 14,942 Kookmin Bank 566,545 .......................................................................................................................... 25,060 Korea Electric Power Corp. 414,041 .......................................................................................................................... 29,120 Korea Telecom Corp. ADR 592,010 .......................................................................................................................... 50,400 Korea Tobacco & Ginseng Corp. 144A GDR (NON) 390,600 .......................................................................................................................... 3,960 Pohang Iron & Steel Co., Ltd. 367,839 .......................................................................................................................... 9,323 Samsung Electronics Co., Ltd. 1,980,445 .......................................................................................................................... 9,200 Samsung Securities Co., Ltd. (NON) 335,176 .......................................................................................................................... 35,300 SK Telecom Co., Ltd. ADR 763,186 - -------------------------------------------------------------------------------------------------------------------------- 5,755,974 - -------------------------------------------------------------------------------------------------------------------------- Taiwan (5.1%) .......................................................................................................................... 31,200 ASE Test, Ltd. (NON) 434,616 .......................................................................................................................... 81,750 Asustek Computer, Inc. GDR 357,569 .......................................................................................................................... 671,096 Chinatrust Commercial Bank 402,888 .......................................................................................................................... 350,000 Compal Electronics, Inc. 442,253 .......................................................................................................................... 118,416 Hon Hai Precision Industry 541,640 .......................................................................................................................... 165,082 Taiwan Semiconductor Manufacturing Co. (NON) 412,941 .......................................................................................................................... 561,800 United Microelectronics Corp. (NON) 819,091 - -------------------------------------------------------------------------------------------------------------------------- 3,410,998 - -------------------------------------------------------------------------------------------------------------------------- Thailand (0.5%) .......................................................................................................................... 336,000 Advanced Info Service Public Co., Ltd. 309,704 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $78,325,255) $66,304,553 - -------------------------------------------------------------------------------------------------------------------------- UNITS (1.0%)(a) (NON) (cost $620,834) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 7,749 Infosys Technologies, Ltd. 144A Structured Call Warrants (Issued by UBS AG), expiration 7/16/02 (India) $656,517 - -------------------------------------------------------------------------------------------------------------------------- PURCHASED OPTIONS OUTSTANDING (0.5%) (a) (cost $353,523) - -------------------------------------------------------------------------------------------------------------------------- Expiration Contract Amount Date Value .......................................................................................................................... 90 Fuji Television Network, Inc. Dec. 02 $363,338 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (1.6%)(a)(cost $1,088,546) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $1,089,952 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $1,088,546 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $80,388,158) (b) $68,412,954 - -------------------------------------------------------------------------------------------------------------------------- The fund had the following industry group concentration greater than 10% at December 31, 2001 (as a percentage of net assets): Electronics 11.4% - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Capital Appreciation Fund The fund's portfolio December 31, 2001 COMMON STOCKS (90.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (0.7%) .......................................................................................................................... 1,040 Omnicom Group, Inc. $92,924 .......................................................................................................................... 1,733 Valassis Communications, Inc. (NON) 61,729 - -------------------------------------------------------------------------------------------------------------------------- 154,653 - -------------------------------------------------------------------------------------------------------------------------- Aerospace and Defense (1.1%) .......................................................................................................................... 1,865 Lockheed Martin Corp. 87,040 .......................................................................................................................... 3,200 Raytheon Co. 103,904 .......................................................................................................................... 1,680 United Defense Industries, Inc. (NON) 35,364 - -------------------------------------------------------------------------------------------------------------------------- 226,308 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.3%) .......................................................................................................................... 300 BorgWarner Automotive, Inc. 15,675 .......................................................................................................................... 969 Lear Corp. (NON) 36,958 - -------------------------------------------------------------------------------------------------------------------------- 52,633 - -------------------------------------------------------------------------------------------------------------------------- Banking (5.9%) .......................................................................................................................... 4,410 Bank of America Corp. 277,610 .......................................................................................................................... 2,848 Bank of New York Company, Inc. (The) 116,198 .......................................................................................................................... 2,000 Comerica, Inc. 114,600 .......................................................................................................................... 760 Greater Bay Bancorp 21,721 .......................................................................................................................... 1,863 M&T Bank Corp. 135,720 .......................................................................................................................... 6,084 Sovereign Bancorp, Inc. 74,468 .......................................................................................................................... 562 TCF Financial Corp. 26,965 .......................................................................................................................... 11,000 U.S. Bancorp 230,230 .......................................................................................................................... 927 UnionBanCal Corp. 35,226 .......................................................................................................................... 4,235 Wells Fargo & Co. 184,011 - -------------------------------------------------------------------------------------------------------------------------- 1,216,749 - -------------------------------------------------------------------------------------------------------------------------- Beverage (1.9%) .......................................................................................................................... 1,770 Anheuser-Busch Companies, Inc. 80,022 .......................................................................................................................... 3,585 Coca-Cola Co. (The) 169,033 .......................................................................................................................... 3,133 PepsiCo, Inc. 152,546 - -------------------------------------------------------------------------------------------------------------------------- 401,601 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (0.5%) .......................................................................................................................... 1,375 Amgen, Inc. (NON) 77,605 .......................................................................................................................... 751 Cell Therapeutics, Inc. (NON) 18,129 .......................................................................................................................... 1,335 Sangamo BioSciences, Inc. (NON) 12,469 - -------------------------------------------------------------------------------------------------------------------------- 108,203 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (2.1%) .......................................................................................................................... 5,834 Clear Channel Communications, Inc. (NON) 297,009 .......................................................................................................................... 1,115 Cox Radio, Inc. Class A (NON) 28,410 .......................................................................................................................... 2,563 Emmis Communications Corp. Class A (NON) 60,589 .......................................................................................................................... 4,402 Sinclair Broadcast Group, Inc. (NON) 41,643 - -------------------------------------------------------------------------------------------------------------------------- 427,651 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (1.2%) .......................................................................................................................... 2,170 Adelphia Communications Corp. Class A (NON) 67,661 .......................................................................................................................... 2,000 Comcast Corp. Class A (NON) 72,000 .......................................................................................................................... 1,695 Cox Communications, Inc. (NON) 71,037 .......................................................................................................................... 2,053 Mediacom Communications Corp. (NON) 37,488 - -------------------------------------------------------------------------------------------------------------------------- 248,186 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.2%) .......................................................................................................................... 1,300 Dow Chemical Co. (The) 43,914 .......................................................................................................................... 200 Solutia, Inc. 2,804 - -------------------------------------------------------------------------------------------------------------------------- 46,718 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.5%) .......................................................................................................................... 750 Sabre Holdings Corp. (NON) 31,763 .......................................................................................................................... 4,571 ServiceMaster Co. (The) 63,080 .......................................................................................................................... 210 West Corp. (NON) 5,237 - -------------------------------------------------------------------------------------------------------------------------- 100,080 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (2.2%) .......................................................................................................................... 2,900 Avaya, Inc. (NON) 35,235 .......................................................................................................................... 16,410 Cisco Systems, Inc. (NON) 297,185 .......................................................................................................................... 1,250 Nokia OYJ ADR (Finland) 30,663 .......................................................................................................................... 1,365 QUALCOMM, Inc. (NON) 68,933 .......................................................................................................................... 800 Talx Corp. 19,984 - -------------------------------------------------------------------------------------------------------------------------- 452,000 - -------------------------------------------------------------------------------------------------------------------------- Computers (3.0%) .......................................................................................................................... 1,857 Avocent Corp. (NON) 45,032 .......................................................................................................................... 5,400 Dell Computer Corp. (NON) 146,772 .......................................................................................................................... 2,700 EMC Corp. (NON) 36,288 .......................................................................................................................... 2,030 Hewlett-Packard Co. 41,696 .......................................................................................................................... 2,050 IBM Corp. 247,968 .......................................................................................................................... 1,546 RadiSys Corp. (NON) 30,394 .......................................................................................................................... 2,516 SBS Technologies, Inc. (NON) 36,658 .......................................................................................................................... 3,330 Sun Microsystems, Inc. (NON) 40,959 - -------------------------------------------------------------------------------------------------------------------------- 625,767 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (5.3%) .......................................................................................................................... 12,547 General Electric Co. 502,884 .......................................................................................................................... 10,000 Tyco International, Ltd. (Bermuda) 589,000 - -------------------------------------------------------------------------------------------------------------------------- 1,091,884 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.2%) .......................................................................................................................... 910 MBNA Corp. 32,032 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (2.0%) .......................................................................................................................... 2,560 Colgate-Palmolive Co. 147,840 .......................................................................................................................... 3,425 Gillette Co. (The) 114,395 .......................................................................................................................... 2,000 Procter & Gamble Co. 158,260 - -------------------------------------------------------------------------------------------------------------------------- 420,495 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.4%) .......................................................................................................................... 1,029 Arbitron, Inc. (NON) 35,140 .......................................................................................................................... 2,034 Heidrick & Struggles International, Inc. (NON) 36,917 .......................................................................................................................... 967 Korn/Ferry International (NON) 10,299 - -------------------------------------------------------------------------------------------------------------------------- 82,356 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (1.3%) .......................................................................................................................... 5,813 Entergy Corp. 227,346 .......................................................................................................................... 2,273 Sierra Pacific Resources 34,209 - -------------------------------------------------------------------------------------------------------------------------- 261,555 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.3%) .......................................................................................................................... 1,200 Emerson Electric Co. 68,520 - -------------------------------------------------------------------------------------------------------------------------- Electronics (5.5%) .......................................................................................................................... 1,900 Altera Corp. (NON) 40,318 .......................................................................................................................... 5,129 APW, Ltd. (NON) 8,565 .......................................................................................................................... 500 Belden, Inc. 11,775 .......................................................................................................................... 900 Broadcom Corp. Class A (NON) 36,783 .......................................................................................................................... 2,290 Flextronics International, Ltd. (Singapore) (NON) 54,937 .......................................................................................................................... 13,875 Intel Corp. 436,369 .......................................................................................................................... 1,313 Lattice Semiconductor Corp. (NON) 27,008 .......................................................................................................................... 740 Maxim Integrated Products, Inc. (NON) 38,857 .......................................................................................................................... 1,680 Merix Corp. (NON) 28,980 .......................................................................................................................... 1,500 Micron Technology, Inc. (NON) 46,500 .......................................................................................................................... 3,575 Motorola, Inc. 53,697 .......................................................................................................................... 1,268 PerkinElmer, Inc. 44,405 .......................................................................................................................... 653 Plexus Corp. (NON) 17,344 .......................................................................................................................... 2,395 Sipex Corp. (NON) 30,776 .......................................................................................................................... 1,200 Sipex Corp. (private) (NON) 15,420 .......................................................................................................................... 2,800 Texas Instruments, Inc. 78,400 .......................................................................................................................... 1,124 Thermo Electron Corp. (NON) 26,819 .......................................................................................................................... 1,300 Xilinx, Inc. (NON) 50,765 .......................................................................................................................... 7,707 Zarlink Semiconductor, Inc. (Canada) (NON) 86,704 - -------------------------------------------------------------------------------------------------------------------------- 1,134,422 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.6%) .......................................................................................................................... 1,500 GlobalSantaFe Corp. 42,780 .......................................................................................................................... 1,210 National-Oilwell, Inc. (NON) 24,938 .......................................................................................................................... 1,215 Schlumberger, Ltd. 66,764 - -------------------------------------------------------------------------------------------------------------------------- 134,482 - -------------------------------------------------------------------------------------------------------------------------- Engineering & Construction (0.2%) .......................................................................................................................... 1,421 Insituform Technologies, Inc. Class A (NON) 36,349 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (1.5%) .......................................................................................................................... 2,962 Six Flags, Inc. (NON) 45,556 .......................................................................................................................... 6,052 Viacom, Inc. Class B (NON) 267,196 - -------------------------------------------------------------------------------------------------------------------------- 312,752 - -------------------------------------------------------------------------------------------------------------------------- Financial (4.1%) .......................................................................................................................... 10,365 Citigroup, Inc. 523,225 .......................................................................................................................... 1,175 Fannie Mae 93,413 .......................................................................................................................... 3,630 Freddie Mac 237,402 - -------------------------------------------------------------------------------------------------------------------------- 854,040 - -------------------------------------------------------------------------------------------------------------------------- Food (1.2%) .......................................................................................................................... 971 Dean Foods Co. (NON) 66,222 .......................................................................................................................... 5,560 Kraft Foods, Inc. Class A 189,207 - -------------------------------------------------------------------------------------------------------------------------- 255,429 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (0.2%) .......................................................................................................................... 515 Gtech Holdings Corp. (NON) 23,324 .......................................................................................................................... 2,300 Park Place Entertainment Corp. (NON) 21,091 - -------------------------------------------------------------------------------------------------------------------------- 44,415 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (3.4%) .......................................................................................................................... 7,100 HCA, Inc. 273,634 .......................................................................................................................... 840 Pediatrix Medical Group, Inc. (NON) 28,493 .......................................................................................................................... 3,315 Tenet Healthcare Corp. (NON) 194,657 .......................................................................................................................... 819 Trigon Healthcare, Inc. (NON) 56,880 .......................................................................................................................... 1,050 Unilab Corp. (NON) 26,355 .......................................................................................................................... 1,686 UnitedHealth Group, Inc. 119,318 - -------------------------------------------------------------------------------------------------------------------------- 699,337 - -------------------------------------------------------------------------------------------------------------------------- Insurance (2.3%) .......................................................................................................................... 4,084 American International Group, Inc. 324,270 .......................................................................................................................... 725 Everest Re Group, Ltd. (Barbados) 51,258 .......................................................................................................................... 1,282 Fidelity National Financial, Inc. 31,794 .......................................................................................................................... 1,270 IPC Holdings, Ltd. (Bermuda) 37,592 .......................................................................................................................... 108 Market Corp. (NON) 19,402 .......................................................................................................................... 1,069 Odyssey Re Holdings Corp. 18,921 - -------------------------------------------------------------------------------------------------------------------------- 483,237 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (2.9%) .......................................................................................................................... 1,128 A.G. Edwards, Inc. 49,824 .......................................................................................................................... 2,529 Goldman Sachs Group, Inc. (The) 234,565 .......................................................................................................................... 2,164 Merrill Lynch & Company, Inc. 112,788 .......................................................................................................................... 2,200 Morgan Stanley Dean Witter & Co. 123,068 .......................................................................................................................... 2,398 Waddell & Reed Financial, Inc. 77,216 - -------------------------------------------------------------------------------------------------------------------------- 597,461 - -------------------------------------------------------------------------------------------------------------------------- Leisure (0.2%) .......................................................................................................................... 2,378 Brunswick Corp. 51,745 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.5%) .......................................................................................................................... 200 Four Seasons Hotels, Inc. (Canada) 9,352 .......................................................................................................................... 1,735 Orient-Express Hotels, Ltd. Class A (Bermuda) (NON) 31,404 .......................................................................................................................... 4,431 Royal Caribbean Cruises, Ltd. 71,782 - -------------------------------------------------------------------------------------------------------------------------- 112,538 - -------------------------------------------------------------------------------------------------------------------------- Machinery (0.9%) .......................................................................................................................... 707 Briggs & Stratton 30,189 .......................................................................................................................... 800 Caterpillar, Inc. 41,800 .......................................................................................................................... 1,900 Deere (John) & Co. 82,954 .......................................................................................................................... 764 Kennametal, Inc. 30,766 - -------------------------------------------------------------------------------------------------------------------------- 185,709 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.5%) .......................................................................................................................... 2,995 Pentair, Inc. 109,347 - -------------------------------------------------------------------------------------------------------------------------- Media (0.7%) .......................................................................................................................... 3,105 AOL Time Warner, Inc. (NON) 99,671 .......................................................................................................................... 1,600 USA Networks, Inc. (NON) 43,696 - -------------------------------------------------------------------------------------------------------------------------- 143,367 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (2.8%) .......................................................................................................................... 3,890 Baxter International, Inc. 208,621 .......................................................................................................................... 1,058 Charles River Laboratories International, Inc. (NON) 35,422 .......................................................................................................................... 1,700 Guidant Corp. (NON) 84,660 .......................................................................................................................... 3,000 Medtronic, Inc. 153,630 .......................................................................................................................... 1,250 Natus Medical, Inc. (NON) 7,875 .......................................................................................................................... 1,292 St. Jude Medical, Inc. (NON) 100,324 - -------------------------------------------------------------------------------------------------------------------------- 590,532 - -------------------------------------------------------------------------------------------------------------------------- Metals (0.3%) .......................................................................................................................... 2,751 AK Steel Holding Corp. 31,306 .......................................................................................................................... 2,595 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 34,747 - -------------------------------------------------------------------------------------------------------------------------- 66,053 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.2%) .......................................................................................................................... 1,500 Dynegy, Inc. Class A 38,250 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (3.6%) .......................................................................................................................... 1,665 EOG Resources, Inc. 65,118 .......................................................................................................................... 10,330 Exxon Mobil Corp. 405,969 .......................................................................................................................... 2,079 Noble Drilling Corp. (NON) 70,769 .......................................................................................................................... 3,890 Ocean Energy, Inc. 74,688 .......................................................................................................................... 997 Pioneer Natural Resources Co. (NON) 19,202 .......................................................................................................................... 3,050 Unocal Corp. 110,014 - -------------------------------------------------------------------------------------------------------------------------- 745,760 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (0.2%) .......................................................................................................................... 800 Weyerhaeuser Co. 43,264 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (7.3%) .......................................................................................................................... 500 Allergan, Inc. 37,525 .......................................................................................................................... 3,400 American Home Products Corp. 208,624 .......................................................................................................................... 803 Cambrex Corp. 35,011 .......................................................................................................................... 1,295 ICN Pharmaceuticals, Inc. 43,383 .......................................................................................................................... 7,130 Johnson & Johnson 421,383 .......................................................................................................................... 792 Noven Pharmaceuticals, Inc. (NON) 14,058 .......................................................................................................................... 11,354 Pfizer, Inc. 452,457 .......................................................................................................................... 7,040 Pharmacia Corp. 300,256 - -------------------------------------------------------------------------------------------------------------------------- 1,512,697 - -------------------------------------------------------------------------------------------------------------------------- Publishing (0.1%) .......................................................................................................................... 1,300 Belo Corp. Class A 24,375 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.9%) .......................................................................................................................... 2,800 CSX Corp. 98,140 .......................................................................................................................... 4,450 Norfolk Southern Corp. 81,569 - -------------------------------------------------------------------------------------------------------------------------- 179,709 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (0.8%) .......................................................................................................................... 650 Arden Realty, Inc. (R) 17,225 .......................................................................................................................... 4,600 Equity Office Properties Trust (R) 138,368 .......................................................................................................................... 551 Pan Pacific Retail Properties, Inc. (R) 15,825 - -------------------------------------------------------------------------------------------------------------------------- 171,418 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (2.3%) .......................................................................................................................... 7,445 SBC Communications, Inc. 291,621 .......................................................................................................................... 3,800 Verizon Communications, Inc. 180,348 - -------------------------------------------------------------------------------------------------------------------------- 471,969 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.2%) .......................................................................................................................... 1,394 RARE Hospitality International, Inc. (NON) 31,421 - -------------------------------------------------------------------------------------------------------------------------- Retail (5.9%) .......................................................................................................................... 954 AnnTaylor Stores Corp. (NON) 33,390 .......................................................................................................................... 971 Barnes & Noble, Inc. (NON) 28,742 .......................................................................................................................... 800 Cost Plus, Inc. (NON) 21,200 .......................................................................................................................... 1,853 Dollar Tree Stores, Inc. (NON) 57,276 .......................................................................................................................... 790 Duane Reade, Inc. (NON) 23,977 .......................................................................................................................... 3,500 Home Depot, Inc. (The) 178,535 .......................................................................................................................... 1,270 J. Jill Group, Inc. (NON) 27,343 .......................................................................................................................... 100 J. Jill Group, Inc. (private) 2,153 .......................................................................................................................... 3,400 Lowe's Companies, Inc. 157,758 .......................................................................................................................... 2,863 Pier 1 Imports, Inc. 49,644 .......................................................................................................................... 1,260 Regis Corp. 32,483 .......................................................................................................................... 12,361 Rite Aid Corp. (NON) 62,547 .......................................................................................................................... 800 Target Corp. 32,840 .......................................................................................................................... 7,630 TJX Companies, Inc. (The) 304,132 .......................................................................................................................... 3,720 Wal-Mart Stores, Inc. 214,086 - -------------------------------------------------------------------------------------------------------------------------- 1,226,106 - -------------------------------------------------------------------------------------------------------------------------- Schools (0.3%) .......................................................................................................................... 840 DeVry, Inc. (NON) 23,898 .......................................................................................................................... 1,391 Learning Tree International, Inc. (NON) 38,809 - -------------------------------------------------------------------------------------------------------------------------- 62,707 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (1.2%) .......................................................................................................................... 800 Applied Films Corp. (NON) 25,000 .......................................................................................................................... 1,900 Applied Materials, Inc. (NON) 76,190 .......................................................................................................................... 1,558 Cognex Corp. (NON) 39,900 .......................................................................................................................... 2,047 Credence Systems Corp. (NON) 38,013 .......................................................................................................................... 2,810 Mykolis Corp. (NON) 44,960 .......................................................................................................................... 1,117 Nanometrics, Inc. (NON) 21,670 - -------------------------------------------------------------------------------------------------------------------------- 245,733 - -------------------------------------------------------------------------------------------------------------------------- Software (4.2%) .......................................................................................................................... 1,300 Adobe Systems, Inc. 40,365 .......................................................................................................................... 400 Borland Software Corp. (NON) 6,264 .......................................................................................................................... 8,905 Microsoft Corp. (NON) 589,956 .......................................................................................................................... 1,848 Network Associates, Inc. (NON) 47,771 .......................................................................................................................... 9,060 Oracle Corp. (NON) 125,119 .......................................................................................................................... 1,275 Rational Software Corp. (NON) 24,863 .......................................................................................................................... 1,400 Siebel Systems, Inc. (NON) 39,172 - -------------------------------------------------------------------------------------------------------------------------- 873,510 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (0.7%) .......................................................................................................................... 1,200 Convergys Corp. (NON) 44,988 .......................................................................................................................... 1,129 F.Y.I., Inc. (NON) 37,822 .......................................................................................................................... 1,890 Interactive Data Corp. 26,725 .......................................................................................................................... 2,783 KPMG Consulting, Inc. (NON) 46,114 - -------------------------------------------------------------------------------------------------------------------------- 155,649 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (1.3%) .......................................................................................................................... 11,600 Nextel Communications, Inc. Class A (NON) 127,136 .......................................................................................................................... 6,000 Sprint Corp. (PCS Group) (NON) 146,460 - -------------------------------------------------------------------------------------------------------------------------- 273,596 - -------------------------------------------------------------------------------------------------------------------------- Textiles (0.9%) .......................................................................................................................... 1,500 Nike, Inc. 84,360 .......................................................................................................................... 3,365 Reebok International, Ltd. (NON) 89,173 - -------------------------------------------------------------------------------------------------------------------------- 173,533 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (1.5%) .......................................................................................................................... 6,950 Philip Morris Companies, Inc. 318,658 - -------------------------------------------------------------------------------------------------------------------------- Toys (0.8%) .......................................................................................................................... 5,646 Hasbro, Inc. 91,635 .......................................................................................................................... 4,525 Mattel, Inc. 77,830 - -------------------------------------------------------------------------------------------------------------------------- 169,465 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.8%) .......................................................................................................................... 5,555 Waste Management, Inc. 177,260 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $17,977,748) $18,723,686 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (10.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $533,476 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $532,788 .......................................................................................................................... 115,000 U.S. Treasury Bills with effective yields of 1.74% to 1.81% maturing June 13, 2002 (SEG) 114,087 .......................................................................................................................... 785,000 Interest in $221,765,000 joint repurchase agreement dated December 31, 2001 with Lehman Brothers, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $785,077 for an effective yield of 1.77% 785,000 .......................................................................................................................... 750,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $750,075 for an effective yield of 1.80% - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $2,181,875) $2,181,875 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $20,159,623) (b) $20,905,561 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - -------------------------------------------------------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation .......................................................................................................................... Russell 2000 (Long) $1,467,901 $1,443,401 Mar-02 $24,500 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Diversified Income Fund The fund's portfolio December 31, 2001 CORPORATE BONDS AND NOTES (47.5%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. Basic Materials (6.0%) .................................................................................................. $750,000 Acetex Corp. sr. notes 10 7/8s, 2009 (Canada) $746,250 .................................................................................................. 270,000 Airgas, Inc. company guaranty 9 1/8s, 2011 284,850 .................................................................................................. 940,000 AK Steel Corp. company guaranty 7 7/8s, 2009 925,900 .................................................................................................. 230,000 AK Steel Corp. sr. notes 9 1/8s, 2006 235,750 .................................................................................................. 207,665 Anker Coal Group, Inc. company guaranty Ser. B, 14 1/4s, 2007 (PIK) 89,296 .................................................................................................. 490,000 Appleton Papers, Inc. 144A sr. sub. notes 12 1/2s, 2008 465,500 .................................................................................................. 1,430,000 ARCO Chemical Co. deb. 9.8s, 2020 1,329,900 .................................................................................................. 250,000 Armco, Inc. sr. notes 9s, 2007 255,000 .................................................................................................. 320,000 Avecia Group PLC company guaranty 11s, 2009 (United Kingdom) 304,000 .................................................................................................. 1,080,000 Better Minerals & Aggregates Co. company guaranty 13s, 2009 918,000 .................................................................................................. 340,000 Bowater Canada Finance 144A notes 7.95s, 2011 (Canada) 342,499 .................................................................................................. 480,000 Centaur Mining & Exploration company guaranty 11s, 2007 (Australia) (In default) (NON) 24,000 .................................................................................................. 550,000 Compass Minerals Group, Inc. 144A sr. sub. notes 10s, 2011 570,625 .................................................................................................. 790,000 Doe Run Resources Corp. company guaranty Ser. B, 11 1/4s, 2005 158,000 .................................................................................................. 120,000 Doe Run Resources Corp. company guaranty Ser. B (a), 11 1/4s, 2005 33,600 .................................................................................................. 270,000 Doe Run Resources Corp. company guaranty FRN Ser. B, 9.38s, 2003 48,600 .................................................................................................. 300,000 Doman Industries, Ltd. company guaranty 12s, 2004 (Canada) 255,750 .................................................................................................. 1,030,000 Doman Industries, Ltd. sr. notes 8 3/4s, 2004 (Canada) 195,700 .................................................................................................. 1,600,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 1,616,000 .................................................................................................. 230,000 Ferro Corp. sr. notes 9 1/8s, 2009 231,150 .................................................................................................. 860,000 Four M Corp. sr. notes Ser. B, 12s, 2006 842,800 .................................................................................................. 10,000 Gaylord Container Corp. sr. notes Ser. B, 9 3/4s, 2007 8,400 .................................................................................................. 500,000 Gaylord Container Corp. sr. notes Ser. B, 9 3/8s, 2007 420,000 .................................................................................................. 130,000 Gaylord Container Corp. sr. sub. notes 9 7/8s, 2008 51,675 .................................................................................................. 150,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 156,750 .................................................................................................. 1,410,000 Hercules, Inc. company guaranty 11 1/8s, 2007 1,452,300 .................................................................................................. 250,000 Huntsman Corp. 144A sr. sub. notes 9 1/2s, 2007 46,875 .................................................................................................. 550,000 Huntsman Corp. 144A sr. sub. notes FRN 5.231s, 2007 104,500 .................................................................................................. 1,520,000 Huntsman ICI Chemicals, Inc. company guaranty 10 1/8s, 2009 1,444,000 .................................................................................................. 330,000 IMC Global, Inc. company guaranty Ser. B, 11 1/4s, 2011 354,951 .................................................................................................. 750,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 800,790 .................................................................................................. 1,340,000 ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 1,407,000 .................................................................................................. 420,000 ISP Chemco, Inc. 144A sr. sub. notes 10 1/4s, 2011 441,000 .................................................................................................. 180,000 ISP Holdings, Inc. sr. notes Ser. B, 9s, 2003 182,700 .................................................................................................. 60,000 Kaiser Aluminum & Chemical Corp. sr. notes Ser. B, 10 7/8s, 2006 54,600 .................................................................................................. 1,520,000 Kaiser Aluminum & Chemical Corp. sr. sub. notes 12 3/4s, 2003 1,107,700 .................................................................................................. 1,040,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 10,400 .................................................................................................. 1,380,000 Lyondell Petrochemical Co. notes Ser. A, 9 5/8s, 2007 1,386,900 .................................................................................................. EUR 190,000 Messer Griesheim Holdings AG sr. notes 10 3/8s, 2011 (Germany) 174,212 .................................................................................................. $1,080,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 1,112,400 .................................................................................................. 790,000 Morrison Knudsen Corp. 144A sr. notes 11s, 2010 (In default) (NON) 79,000 .................................................................................................. 390,000 National Steel Corp. 1st mtge. Ser. D, 9 7/8s, 2009 140,400 .................................................................................................. 160,000 Norske Skog Canada, Ltd. 144A sr. notes 8 5/8s, 2011 (Canada) 165,600 .................................................................................................. 320,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 332,800 .................................................................................................. 510,000 OM Group, Inc. 144A sr. sub. notes 9 1/4s, 2011 515,100 .................................................................................................. 240,000 Oregon Steel Mills 1st mtge. 11s, 2003 234,000 .................................................................................................. 298,000 P&L Coal Holdings Corp. company guaranty Ser. B, 9 5/8s, 2008 318,860 .................................................................................................. 880,000 Pacifica Papers, Inc. sr. notes 10s, 2009 (Canada) 946,000 .................................................................................................. 1,090,000 PCI Chemicals & Pharmaceuticals company guaranty 9 1/4s, 2007 (Canada) (In default) (NON) 436,000 .................................................................................................. 670,000 Pioneer Americas Acquisition company guaranty 9 1/4s, 2007 (In default) (NON) 187,600 .................................................................................................. 250,000 Polymer Group, Inc. company guaranty Ser. B, 9s, 2007 72,500 .................................................................................................. 60,000 Polymer Group, Inc. company guaranty Ser. B, 8 3/4s, 2008 17,700 .................................................................................................. 770,000 Potlatch Corp. 144A sr. sub. notes 10s, 2011 799,568 .................................................................................................. 1,040,000 Premium Standard Farms, Inc. sr. notes 9 1/4s, 2011 1,063,400 .................................................................................................. 1,890,000 Riverwood International Corp. company guaranty 10 7/8s, 2008 1,918,350 .................................................................................................. 75,000 Riverwood International Corp. company guaranty 10 5/8s, 2007 78,000 .................................................................................................. 740,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 481,000 .................................................................................................. 410,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 3,686 .................................................................................................. 780,000 Sterling Chemicals, Inc. company guaranty Ser. B, 12 3/8s, 2006 (In default) (NON) 655,200 .................................................................................................. 696,290 Stone Container Corp. bank term loan FRN Ser. F, 5 3/8s, 2006 (acquired 10/19/01, cost $691,068) (RES) 697,083 .................................................................................................. 110,000 Stone Container Corp. sr. notes 12.58s, 2016 116,050 .................................................................................................. 1,390,000 Stone Container Corp. sr. notes 9 3/4s, 2011 1,494,250 .................................................................................................. 300,000 Stone Container Corp. sr. notes 9 1/4s, 2008 316,500 .................................................................................................. 280,000 Stone Container Corp. 144A company guaranty 11 1/2s, 2006 (Canada) 299,600 .................................................................................................. 930,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 960,225 .................................................................................................. 560,000 Tembec Industries, Inc. company guaranty 8 1/2s, 2011 (Canada) 576,800 .................................................................................................. 170,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 139,400 .................................................................................................. 710,000 United States Steel, LLC 144A company guaranty 10 3/4s, 2008 688,700 .................................................................................................. 670,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 350,075 .................................................................................................. 70,000 Weirton Steel Corp. 144A sr. notes 10 3/4s, 2005 7,350 .................................................................................................. 820,000 Wheeling-Pittsburgh Steel Corp. sr. notes 9 1/4s, 2007 (In default) (NON) 23,575 .................................................................................................. 360,000 WHX Corp. sr. notes 10 1/2s, 2005 180,000 - -------------------------------------------------------------------------------------------------- 34,884,695 - -------------------------------------------------------------------------------------------------- Capital Goods (3.6%) .................................................................................................. 780,000 AEP Industries, Inc. sr. sub. notes 9 7/8s, 2007 737,100 .................................................................................................. 414,129 Allied Waste Industries, Inc. bank term loan FRN, Ser. B, 4.688s, 2006 (acquired 10/22/01, cost $405,329) (RES) 409,683 .................................................................................................. 3,990,000 Allied Waste Industries, Inc. company guaranty Ser. B, 10s, 2009 4,089,750 .................................................................................................. 160,000 Applied Extrusion Technologies, Inc. company guaranty Ser. B, 10 3/4s, 2011 169,200 .................................................................................................. 540,000 Argo-Tech Corp. company guaranty Ser. D, 8 5/8s, 2007 345,600 .................................................................................................. 810,000 Argo-Tech Corp. 144A company guaranty 8 5/8s, 2007 518,400 .................................................................................................. 475,000 BE Aerospace, Inc. sr. sub. notes 9 1/2s, 2008 412,063 .................................................................................................. 1,180,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 988,250 .................................................................................................. 1,440,000 Blount, Inc. company guaranty 13s, 2009 640,800 .................................................................................................. 350,000 Briggs & Stratton company guaranty 8 7/8s, 2011 364,095 .................................................................................................. 1,140,000 Browning-Ferris deb. 7.4s, 2035 912,000 .................................................................................................. 30,000 Case Corp. notes 7 1/4s, 2016 23,400 .................................................................................................. 140,000 Case Corp. notes 7 1/4s, 2005 121,800 .................................................................................................. 820,000 Decrane Aircraft Holdings Co. company guaranty Ser. B, 12s, 2008 766,700 .................................................................................................. 968,548 Flowserve Corp. bank term loan FRN Ser. B, 5.793s, 2006 (acquired 12/01/00, cost $968,548) (RES) 971,009 .................................................................................................. 616,000 Flowserve Corp. company guaranty 12 1/4s, 2010 689,920 .................................................................................................. 680,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 380,800 .................................................................................................. 410,000 Insilco Holding Co. sr. disc. notes stepped- coupon zero % (14s, 8/15/03), 2008 (STP) 61,500 .................................................................................................. 400,000 L-3 Communications Corp. company guaranty Ser. B, 8s, 2008 414,000 .................................................................................................. 320,000 L-3 Communications Corp. sr. sub. notes 8 1/2s, 2008 332,800 .................................................................................................. 440,000 L-3 Communications Corp. sr. sub. notes Ser. B, 10 3/8s, 2007 470,800 .................................................................................................. 250,000 L-3 Communications Corp. 144A Structured Notes (Issued by Credit and Repackaged Securities) 8 1/2s, 2006 (Cayman Islands) 257,813 .................................................................................................. 370,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 376,475 .................................................................................................. 1,350,000 Motors and Gears, Inc. sr. notes Ser. D, 10 3/4s, 2006 1,174,500 .................................................................................................. 700,000 Owens-Illinois, Inc. debs. 7.8s, 2018 588,000 .................................................................................................. 240,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 217,200 .................................................................................................. 350,000 Pliant Corp. company guaranty 13s, 2010 364,875 .................................................................................................. 590,000 Roller Bearing Company of America company guaranty Ser. B, 9 5/8s, 2007 516,250 .................................................................................................. 1,300,000 Sequa Corp. sr. notes 9s, 2009 1,196,000 .................................................................................................. 380,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 349,600 .................................................................................................. 940,000 Tekni-Plex, Inc. company guaranty Ser. B, 12 3/4s, 2010 925,900 .................................................................................................. 140,000 Terex Corp. company guaranty 8 7/8s, 2008 139,825 .................................................................................................. 300,000 Terex Corp. company guaranty Ser. B, 10 3/8s, 2011 315,000 .................................................................................................. 230,000 Terex Corp. company guaranty Ser. D, 8 7/8s, 2008 227,700 .................................................................................................. 442,258 U.S. Can Corp. bank term loan FRN, Ser. B, 6.85s, 2008 (acquired 10/17/01, cost $408,812) (RES) 352,701 .................................................................................................. 440,000 U.S. Can Corp. company guaranty Ser. B, 12 3/8s, 2010 233,200 - -------------------------------------------------------------------------------------------------- 21,054,709 - -------------------------------------------------------------------------------------------------- Communication Services (5.3%) .................................................................................................. 960,000 360Networks, Inc. sr. notes 13s, 2008 (Canada) (In default) (NON) 9,600 .................................................................................................. 175,000 Airgate PCS, Inc. sr. sub. notes stepped-coupon zero % (13 1/2s, 10/1/04), 2009 (STP) 132,125 .................................................................................................. 490,000 Alamosa Delaware, Inc. company guaranty 13 5/8s, 2011 514,500 .................................................................................................. 100,000 Alamosa Delaware, Inc. company guaranty 12 1/2s, 2011 103,000 .................................................................................................. 340,000 Alamosa PCS Holdings, Inc. company guaranty stepped-coupon zero % (12 7/8s, 2/15/05), 2010 (STP) 207,400 .................................................................................................. 447,766 American Cellular Corp. bank term loan FRN Ser. B, 5 1/2s, 2008 (acquired 2/29/00, cost $447,766) (RES) 438,404 .................................................................................................. 960,000 American Cellular Corp. company guaranty 9 1/2s, 2009 940,800 .................................................................................................. 1,620,000 American Tower Corp. sr. notes 9 3/8s, 2009 1,283,850 .................................................................................................. 340,000 Arch Communications, Inc. sr. notes 13 3/4s, 2008 (In default) (NON) 2,125 .................................................................................................. 300,000 Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) 105,000 .................................................................................................. 170,000 AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 181,203 .................................................................................................. 410,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 82,000 .................................................................................................. 430,000 Call-Net Enterprises, Inc. sr. notes 8s, 2008 (Canada) 137,600 .................................................................................................. 920,000 Celcaribe SA sr. notes 13 1/2s, 2004 (Colombia) 552,000 .................................................................................................. 460,000 Colo.com, Inc. 144A sr. notes 13 7/8s, 2010 (In default) (NON) 73,600 .................................................................................................. 300,000 Crown Castle International Corp. sr. disc. notes stepped-coupon zero % (11 1/4s, 8/1/04), 2011 (STP) 192,000 .................................................................................................. 300,000 Crown Castle International Corp. sr. notes 10 3/4s, 2011 292,500 .................................................................................................. 930,000 Crown Castle International Corp. sr. notes 9 3/8s, 2011 855,600 .................................................................................................. 840,000 Dobson/Sygnet Communications, Inc. sr. notes 12 1/4s, 2008 890,400 .................................................................................................. 580,000 Econophone, Inc. company guaranty 13 1/2s, 2007 (In default) (NON) 11,600 .................................................................................................. 280,000 Esprit Telecom Group PLC sr. notes 11 1/2s, 2007 (United Kingdom) (In default) (NON) 1,400 .................................................................................................. 100,000 FLAG Telecom Holdings, Ltd. sr. notes 11 5/8s, 2010 (Bermuda) 43,000 .................................................................................................. 520,000 Flag, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) 353,600 .................................................................................................. 80,000 Global Crossing Holdings, Ltd. company guaranty 9 5/8s, 2008 (Bermuda) 8,000 .................................................................................................. 130,000 Global Crossing Holdings, Ltd. company guaranty 9 1/2s, 2009 (Bermuda) 13,000 .................................................................................................. 1,900,000 Global Crossing Holdings, Ltd. company guaranty 8.7s, 2007 (Bermuda) 161,500 .................................................................................................. 920,000 Horizon PCS, Inc. company guaranty stepped-coupon zero % (14s, 10/1/05), 2010 (STP) 478,400 .................................................................................................. 310,000 Horizon PCS, Inc. 144A sr. notes 13 3/4s, 2011 306,900 .................................................................................................. 140,000 Hyperion Telecommunications Corp., Inc. sr. disc. notes Ser. B, 13s, 2003 4,550 .................................................................................................. 1,100,000 Hyperion Telecommunications Corp., Inc. sr. sub. notes 12s, 2007 44,000 .................................................................................................. 310,000 ICG Holdings, Inc. company guaranty 12 1/2s, 2006 (In default) (NON) 21,700 .................................................................................................. 2,520,000 ICG Services, Inc. sr. disc. notes stepped- coupon zero % (9 7/8s, 5/1/03), 2008 (STP) 201,600 .................................................................................................. 330,000 ICG Services, Inc. sr. disc. notes stepped- coupon zero % (10s, 2/15/03), 2008 (STP) 25,988 .................................................................................................. 60,000 Intermedia Communications, Inc. sr. notes Ser. B, 8.6s, 2008 60,900 .................................................................................................. 400,000 Intermedia Communications, Inc. sr. notes Ser. B, 8 1/2s, 2008 404,000 .................................................................................................. 690,000 Intermedia Communications, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (12 1/4s, 3/1/04), 2009 (STP) 614,100 .................................................................................................. 790,000 iPCS, Inc. sr. disc. notes stepped-coupon zero % (14s, 7/15/05), 2010 (STP) 525,350 .................................................................................................. 680,000 IWO Holdings, Inc. company guaranty 14s, 2011 714,000 .................................................................................................. 1,230,000 KMC Telecommunications Holdings, Inc. sr. disc. notes stepped-coupon zero % (12 1/2s, 2/15/03), 2008 (STP) 36,900 .................................................................................................. 440,000 Leap Wireless International, Inc. company guaranty 12 1/2s, 2010 334,400 .................................................................................................. 280,000 Leap Wireless International, Inc. company guaranty stepped-coupon zero % (14 1/2s, 4/15/05), 2010 (STP) 102,200 .................................................................................................. 106,000 Level 3 Communications, Inc. sr. disc. notes stepped-coupon zero % (10 1/2s, 12/1/03), 2008 (STP) 33,125 .................................................................................................. 540,000 Madison River Capital Corp. sr. notes 13 1/4s, 2010 388,800 .................................................................................................. 1,230,000 McCaw International, Ltd. sr. disc. notes stepped-coupon zero % (13s, 4/15/02), 2007 (STP) 61,500 .................................................................................................. 550,000 McLeodUSA, Inc. sr. notes 11 3/8s, 2009 126,500 .................................................................................................. 1,120,000 McLeodUSA, Inc. sr. notes 9 1/2s, 2008 240,800 .................................................................................................. 190,000 Metrocall, Inc. sr. sub. notes 11s, 2008 (In default) (NON) 1,900 .................................................................................................. 150,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 1,500 .................................................................................................. 160,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 (In default) (NON) 1,600 .................................................................................................. 330,000 Metromedia Fiber Network, Inc. sr. notes 10s, 2009 97,350 .................................................................................................. 920,000 Metromedia Fiber Network, Inc. sr. notes Ser. B, 10s, 2008 271,400 .................................................................................................. 530,000 Microcell Telecommunications sr. disc. notes Ser. B, 14s, 2006 (Canada) 455,800 .................................................................................................. 520,000 Millicom International Cellular SA sr. disc. notes 13 1/2s, 2006 (Luxembourg) 343,200 .................................................................................................. 1,130,000 Nextel Communications, Inc. sr. notes 12s, 2008 985,925 .................................................................................................. 2,100,000 Nextel Communications, Inc. sr. notes 9 1/2s, 2011 1,627,500 .................................................................................................. 660,000 Nextel Partners, Inc. sr. notes 11s, 2010 534,600 .................................................................................................. 90,000 Nextel Partners, Inc. sr. notes 11s, 2010 72,900 .................................................................................................. 300,000 Nextel Partners, Inc. 144A sr. notes 12 1/2s, 2009 267,000 .................................................................................................. 470,000 Nextlink Communications, Inc. sr. disc. notes stepped-coupon zero % (12 1/8s, 12/1/04), 2009 (STP) 37,013 .................................................................................................. 40,000 Nextlink Communications, Inc. sr. notes 9 5/8s, 2007 (In default) (NON) 4,750 .................................................................................................. 520,000 NorthEast Optic Network, Inc. sr. notes 12 3/4s, 2008 114,400 .................................................................................................. 500,000 Orbital Imaging Corp. sr. notes Ser. B, 11 5/8s, 2005 (In default) (NON) 100,000 .................................................................................................. 60,000 Orbital Imaging Corp. sr. notes Ser. D, 11 5/8s, 2005 (In default) (NON) 12,000 .................................................................................................. 360,000 Orion Network Systems, Inc. sr. notes 11 1/4s, 2007 183,600 .................................................................................................. 1,075,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 1,126,063 .................................................................................................. 90,000 Rhythms Netconnections, Inc. sr. notes Ser. B, 14s, 2010 (In default) (NON) 5,400 .................................................................................................. 110,000 Rogers Cablesystems, Ltd. debs. 10 1/8s, 2012 (Canada) 116,050 .................................................................................................. 110,000 Rogers Cablesystems, Ltd. notes 11s, 2015 (Canada) 118,250 .................................................................................................. 500,000 Rogers Cablesystems, Ltd. sr. notes Ser. B, 10s, 2005 (Canada) 540,000 .................................................................................................. 570,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 550,050 .................................................................................................. 500,000 Rogers Wireless, Inc. sec. notes 9 5/8s, 2011 (Canada) 517,500 .................................................................................................. 500,000 RSL Communications PLC company guaranty stepped-coupon zero % (10 1/8s, 3/1/03), 2008 (Bermuda) (STP) 16,875 .................................................................................................. 797,000 RSL Communications, Ltd. company guaranty 12 1/4s, 2006 (Bermuda) (In default) (NON) 26,899 .................................................................................................. 672,935 Rural Cellular Corp. bank term loan FRN Ser. C, 5.73s, 2009 (acquired 4/23/01, cost $655,438) (RES) 651,064 .................................................................................................. 300,000 Rural Cellular Corp. sr. sub. notes Ser. B, 9 5/8s, 2008 303,000 .................................................................................................. 760,000 SBA Communications Corp. sr. notes 10 1/4s, 2009 642,200 .................................................................................................. 850,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 4/15/04), 2009 (STP) 233,750 .................................................................................................. 1,130,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12 7/8s, 3/15/05), 2010 (STP) 276,850 .................................................................................................. 830,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 16,600 .................................................................................................. 250,000 Tele1 Europe B.V. sr. notes 13s, 2009 (Netherlands) 87,500 .................................................................................................. 1,220,000 Telecorp PCS, Inc. company guaranty 10 5/8s, 2010 1,415,200 .................................................................................................. 370,000 Time Warner Telecom, Inc. sr. notes 9 3/4s, 2008 294,150 .................................................................................................. 860,000 Tritel PCS, Inc. company guaranty 10 3/8s, 2011 973,950 .................................................................................................. 50,000 Triton PCS, Inc. company guaranty 9 3/8s, 2011 51,500 .................................................................................................. 80,000 Triton PCS, Inc. company guaranty zero % (11s, 5/1/03), 2008 (STP) 72,200 .................................................................................................. 530,000 Triton PCS, Inc. 144A sr. sub. notes 8 3/4s, 2011 530,000 .................................................................................................. 1,420,000 UbiquiTel Operating Co. company guaranty stepped-coupon zero % (14s, 4/15/05), 2010 (STP) 759,700 .................................................................................................. 1,005,000 US UnWired, Inc. company guaranty stepped-coupon Ser. B, zero % (13 3/8s, 11/1/04), 2009 (STP) 723,600 .................................................................................................. 40,000 USA Mobile Communications, Inc. sr. notes 9 1/2s, 2004 (In default) (NON) 2,000 .................................................................................................. 440,000 Versatel Telecom B.V. sr. notes 13 1/4s, 2008 (Netherlands) 154,000 .................................................................................................. 170,000 Versatel Telecom B.V. sr. notes 13 1/4s, 2008 (Netherlands) 59,500 .................................................................................................. 730,000 Viatel, Inc. sr. disc. notes stepped-coupon zero % (12 1/2s, 4/15/03), 2008 (STP) 1,825 .................................................................................................. 1,340,000 Viatel, Inc. sr. notes 11 1/4s, 2008 (In default) (NON) 3,350 .................................................................................................. 1,228,000 Voicestream Wireless Corp. sr. notes 10 3/8s, 2009 1,402,339 .................................................................................................. 790,000 WebLink Wireless, Inc. sr. disc. notes stepped-coupon zero % (11 1/4s, 2/1/03), 2008 (STP) 1,975 .................................................................................................. 1,000,000 Western Wireless Corp. bank term loan FRN Ser. B, 4.755s, 2008 (acquired 4/24/00, cost $1,000,000) (RES) 973,125 .................................................................................................. 260,000 Western Wireless Corp. 144A sr. sub. notes 10 1/2s, 2007 267,800 .................................................................................................. 620,000 Williams Communications Group, Inc. sr. notes 11 7/8s, 2010 265,050 .................................................................................................. 1,060,000 Williams Communications Group, Inc. sr. notes 11.7s, 2008 434,600 .................................................................................................. 180,000 Williams Communications Group, Inc. sr. notes 10.7s, 2007 76,950 .................................................................................................. 3,296,000 WinStar Communications, Inc. sr. disc. notes stepped-coupon zero % (14 3/4s, 4/15/05), 2010 (STP) 16,480 .................................................................................................. 850,000 WinStar Communications, Inc. sr. notes 12 3/4s, 2010 (In default) (NON) 4,250 .................................................................................................. 90,000 WinStar Communications, Inc. sr. notes 12 1/2s, 2008 (In default) (NON) 450 .................................................................................................. 775,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 7,750 .................................................................................................. 580,000 XO Communications, Inc. sr. disc. notes stepped-coupon zero % (9.45s, 4/15/03), 2008 (STP) 51,475 - -------------------------------------------------------------------------------------------------- 31,195,228 - -------------------------------------------------------------------------------------------------- Consumer Cyclicals (10.4%) .................................................................................................. 520,000 Adams Outdoor Advertising bank term loan FRN, Ser. B, 5.41s, 2008 (acquired 8/1/01, cost $519,350) (RES) 521,625 .................................................................................................. 1,340,000 Affinity Group Holdings sr. notes 11s, 2007 1,085,400 .................................................................................................. 870,000 Aftermarket Technology Corp. sr. sub. notes 12s, 2004 887,400 .................................................................................................. 80,000 Aftermarket Technology Corp. sr. sub. notes Ser. D, 12s, 2004 81,600 .................................................................................................. 420,000 Aladdin Gaming Holdings, LLC sr. disc. notes stepped-coupon Ser. B, zero % (13 1/2s, 3/1/03), 2010 (STP) 21,000 .................................................................................................. 440,000 Amazon.com, Inc. sr. sub. notes stepped-coupon zero % (10s, 5/1/03), 2008 (STP) 306,900 .................................................................................................. 1,350,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 1,350,000 .................................................................................................. 500,000 Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 540,000 .................................................................................................. 570,000 Argosy Gaming Co. company guaranty 10 3/4s, 2009 629,850 .................................................................................................. 80,000 Argosy Gaming Co. sr. sub. notes 9s, 2011 83,800 .................................................................................................. 220,000 Atrium Companies, Inc. company guaranty Ser. B, 10 1/2s, 2009 202,400 .................................................................................................. 680,000 Autonation, Inc. 144A sr. notes 9s, 2008 693,600 .................................................................................................. 410,000 Autotote Corp. company guaranty Ser. B, 12 1/2s, 2010 451,000 .................................................................................................. 490,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 504,700 .................................................................................................. 290,000 Building Materials Corp. company guaranty 8s, 2008 216,050 .................................................................................................. 1,330,000 Coinmach Corp. sr. notes Ser. D, 11 3/4s, 2005 1,373,225 .................................................................................................. 311,770 Collins & Aikman Products, Inc. bank term loan FRN Ser. B, 5.914s, 2005 (acquired 12/20/01, cost $308,652) (RES) 313,329 .................................................................................................. 260,000 Collins & Aikman Products, Inc. company guaranty 11 1/2s, 2006 250,900 .................................................................................................. 570,000 Collins & Aikman Products, Inc. 144A sr. notes 10 3/4s, 2011 575,700 .................................................................................................. 70,000 D.R. Horton, Inc. company guaranty 8s, 2009 69,475 .................................................................................................. 560,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 543,200 .................................................................................................. 100,000 Dana Corp. notes 7s, 2029 68,000 .................................................................................................. 540,000 Dana Corp. notes 6 1/4s, 2004 491,400 .................................................................................................. 1,100,000 Dana Corp. 144A sr. notes 9s, 2011 1,012,000 .................................................................................................. 650,000 Dayton Superior Corp. company guaranty 13s, 2009 669,500 .................................................................................................. 210,000 Del Webb Corp. sr. sub. debs 9 3/4s, 2008 220,238 .................................................................................................. 320,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 336,800 .................................................................................................. 140,000 Delco Remy International, Inc. company guaranty 11s, 2009 142,800 .................................................................................................. 40,000 Delco Remy International, Inc. company guaranty 10 5/8s, 2006 39,400 .................................................................................................. 525,173 Derby Cycle Corp. (The) sr. notes 10s, 2008 (In default) (NON) 89,279 .................................................................................................. EUR 1,450,000 Derby Cycle Corp. (The) sr. notes 9 3/8s, 2008 (In default) (NON) 131,994 .................................................................................................. $1,270,000 Dura Operating Corp. company guaranty Ser. D, 9s, 2009 1,181,100 .................................................................................................. 350,000 Exide Corp. sr. notes 10s, 2005 101,500 .................................................................................................. 120,000 Federal Mogul Corp. notes 7 7/8s, 2010 (In default) (NON) 14,700 .................................................................................................. 620,000 Federal Mogul Corp. notes 7 3/4s, 2006 (In default) (NON) 75,950 .................................................................................................. 463,000 Felcor Lodging LP company guaranty 8 1/2s, 2011 (R) 446,795 .................................................................................................. 740,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 740,000 .................................................................................................. 320,000 Felcor Lodging LP 144A company guaranty 9 1/2s, 2008 (R) 320,000 .................................................................................................. 258,062 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 90,322 .................................................................................................. 490,000 Galey & Lord, Inc. company guaranty 9 1/8s, 2008 88,200 .................................................................................................. 380,000 Garden State Newspapers, Inc. sr. sub. notes 8 5/8s, 2011 368,600 .................................................................................................. 280,000 Garden State Newspapers, Inc. sr. sub. notes Ser. B, 8 3/4s, 2009 277,200 .................................................................................................. 500,000 Harrah's Operating Company, Inc. company guaranty 8s, 2011 516,729 .................................................................................................. 590,000 Harrah's Operating Company, Inc. company guaranty 7 1/2s, 2009 596,667 .................................................................................................. 110,000 Hayes Lemmerz International, Inc. company guaranty Ser. B, 9 1/8s, 2007 (In default) (NON) 5,500 .................................................................................................. 180,000 Hayes Lemmerz International, Inc. company guaranty Ser. B, 8 1/4s, 2008 (In default) (NON) 7,200 .................................................................................................. 240,000 Hayes Lemmerz International, Inc. 144A company guaranty 11 7/8s, 2006 (In default) (NON) 112,800 .................................................................................................. 580,000 Herbst Gaming, Inc. 144A secd. notes 10 3/4s, 2008 597,400 .................................................................................................. 3,010,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 2,784,250 .................................................................................................. 320,000 Hollinger International Publishing, Inc. company guaranty 9 1/4s, 2007 315,200 .................................................................................................. 1,120,000 Hollinger Participation Trust 144A sr. notes 12 1/8s, 2010 (Canada) (PIK) 935,200 .................................................................................................. 870,000 Hollywood Casino Corp. company guaranty 11 1/4s, 2007 946,125 .................................................................................................. 160,000 Hollywood Park, Inc. company guaranty Ser. B, 9 1/4s, 2007 138,400 .................................................................................................. 790,000 Horseshoe Gaming Holdings company guaranty 8 5/8s, 2009 813,700 .................................................................................................. 720,017 Interact Operating Co. notes 14s, 2003 (PIK) 72 .................................................................................................. 630,000 International Game Technology sr. notes 8 3/8s, 2009 663,075 .................................................................................................. 1,420,000 International Game Technology sr. notes 7 7/8s, 2004 1,466,150 .................................................................................................. 30,000 Iron Age Holdings Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 5/1/03), 2009 (STP) 2,700 .................................................................................................. 140,000 Isle of Capri Casinos, Inc. company guaranty 8 3/4s, 2009 135,100 .................................................................................................. 580,000 ITT Corp. notes 6 3/4s, 2005 558,575 .................................................................................................. 130,000 John Q. Hammons Hotels, Inc. 1st mtge. 8 7/8s, 2004 123,500 .................................................................................................. 970,000 Jostens, Inc. sr. sub. notes 12 3/4s, 2010 1,076,700 .................................................................................................. 250,000 K mart Corp. debs. 7 3/4s, 2012 162,500 .................................................................................................. 60,000 K mart Corp. notes 9 3/8s, 2006 49,350 .................................................................................................. 280,000 K mart Corp. notes 8 3/8s, 2004 232,400 .................................................................................................. 490,000 K mart Corp. 144A notes 9 7/8s, 2008 392,000 .................................................................................................. 400,000 K. Hovnanian Enterprises, Inc. company guaranty 10 1/2s, 2007 416,000 .................................................................................................. 460,000 Kasper A.S.L., Ltd. sr. notes 12 3/4s, 2004 (In default) (NON) 119,600 .................................................................................................. 800,000 KB Home sr. sub. notes 9 1/2s, 2011 816,000 .................................................................................................. 480,000 Key3media Group, Inc. company guaranty 11 1/4s, 2011 398,400 .................................................................................................. 220,000 Lamar Media Corp. company guaranty 9 5/8s, 2006 231,550 .................................................................................................. 380,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 388,820 .................................................................................................. 975,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 985,696 .................................................................................................. 240,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 264,000 .................................................................................................. 440,000 Lennar Corp. sr. notes 7 5/8s, 2009 444,400 .................................................................................................. 830,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 732,475 .................................................................................................. 70,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 70,700 .................................................................................................. 1,280,000 Majestic Investor Holdings/Majestic Investor Capital Corp. 144A company guaranty 11.653s, 2007 1,216,000 .................................................................................................. 70,000 Mandalay Resort Group sr. notes 9 1/2s, 2008 73,325 .................................................................................................. 700,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 726,250 .................................................................................................. 500,000 Mandalay Resort Group 144A sr. sub. notes 9 3/8s, 2010 496,875 .................................................................................................. 390,000 Meristar Hospitality Corp. company guaranty 9 1/8s, 2011 365,625 .................................................................................................. 170,000 Meristar Hospitality Corp. company guaranty 9s, 2008 160,650 .................................................................................................. 260,000 MeriStar Hospitality Operating Partnership/MeriStar Hospitality Finance Corp. 144A sr. notes 10 1/2s, 2009 (R) 261,300 .................................................................................................. 1,480,000 MGM Mirage, Inc. company guaranty 8 1/2s, 2010 1,471,549 .................................................................................................. 460,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 472,650 .................................................................................................. 680,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 710,600 .................................................................................................. 110,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/8s, 2011 114,125 .................................................................................................. 60,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 55,800 .................................................................................................. 40,000 NCI Building Systems, Inc. sr. sub. notes Ser. B, 9 1/4s, 2009 38,450 .................................................................................................. 320,000 Nortek, Inc. sr. notes Ser. B, 8 7/8s, 2008 316,800 .................................................................................................. 80,000 Nortek, Inc. sr. sub. notes Ser. B, 9 7/8s, 2011 79,200 .................................................................................................. 180,000 Nortek, Inc. 144A sr. notes Ser. B, 9 1/8s, 2007 183,150 .................................................................................................. 738,000 Oxford Automotive, Inc. company guaranty Ser. D, 10 1/8s, 2007 110,700 .................................................................................................. 610,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 591,700 .................................................................................................. 980,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 992,250 .................................................................................................. 540,000 Penn National Gaming, Inc. company guaranty Ser. B, 11 1/8s, 2008 572,400 .................................................................................................. 570,000 Perry-Judd company guaranty 10 5/8s, 2007 513,000 .................................................................................................. 540,000 Petco Animal Supplies, Inc. 144A sr. sub. notes 10 3/4s, 2011 558,900 .................................................................................................. 870,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 778,650 .................................................................................................. 320,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 280,000 .................................................................................................. 680,000 PRIMEDIA, Inc. company guaranty Ser. B, 8 1/2s, 2006 625,600 .................................................................................................. 510,000 Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) 306,000 .................................................................................................. 330,000 Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) 351,450 .................................................................................................. 580,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 614,800 .................................................................................................. 110,000 Ryland Group, Inc. sr. sub. notes 8 1/4s, 2008 107,250 .................................................................................................. 1,740,000 Saks, Inc. company guaranty 8 1/4s, 2008 1,596,450 .................................................................................................. 1,600,000 Samsonite Corp. sr. sub. notes 10 3/4s, 2008 1,120,000 .................................................................................................. 250,000 Sealy Corp. bank term loan FRN Ser. B, 4.145s, 2004 (acquired 12/17/01, cost $250,781) (RES) 248,594 .................................................................................................. 250,000 Sealy Corp. bank term loan FRN Ser. C, 4.395s, 2005 (acquired 12/17/01, cost $250,781) (RES) 248,594 .................................................................................................. 250,000 Sealy Corp. bank term loan FRN Ser. D, 4.395s, 2005 (acquired 12/17/01, cost $250,781) (RES) 248,594 .................................................................................................. 1,000,000 Sealy Corp. company guaranty stepped- coupon Ser. B, zero % (10 7/8s, 12/15/02), 2007 (STP) 855,000 .................................................................................................. 220,000 Sealy Corp. sr. sub. notes Ser. B, 9 7/8s, 2007 217,800 .................................................................................................. 300,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 298,500 .................................................................................................. 310,000 Starwood Hotels & Resorts Worldwide, Inc. bank term loan FRN 4.894s, 2003 (acquired 11/14/01, cost $305,931) (RES) 309,923 .................................................................................................. 640,000 Station Casinos, Inc. sr. notes 8 3/8s, 2008 652,800 .................................................................................................. 120,000 Station Casinos, Inc. sr. sub. notes 9 7/8s, 2010 121,500 .................................................................................................. 180,000 Station Casinos, Inc. 144A sr. sub. notes 9 3/4s, 2007 183,150 .................................................................................................. 310,000 Tenneco, Inc. company guaranty 11 5/8s, 2009 155,000 .................................................................................................. 400,000 Toll Corp. company guaranty 8 1/8s, 2009 395,000 .................................................................................................. 140,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 138,600 .................................................................................................. 200,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 198,000 .................................................................................................. 920,000 Trump Atlantic City Associates company guaranty 11 1/4s, 2006 577,300 .................................................................................................. 670,000 Trump Castle Funding, Inc. sr. sub. notes 11 3/4s, 2003 502,500 .................................................................................................. 2,010,000 Trump Castle Funding, Inc. sub. notes 10 1/4s, 2003 2,035,125 .................................................................................................. 690,000 Venetian Casino, Inc. company guaranty 12 1/4s, 2004 690,000 .................................................................................................. 170,000 Venture Holdings Trust 144A sr. notes Ser. B, 9 1/2s, 2005 127,500 .................................................................................................. 177,815 Von Hoffman Press, Inc. 144A sr. sub. notes 13 1/2s, 2009 142,252 .................................................................................................. 160,000 Von Hoffman Press, Inc. 144A sr. sub. notes 10 3/8s, 2007 150,400 .................................................................................................. 1,150,000 Westpoint Stevens, Inc. sr. notes 7 7/8s, 2005 370,875 .................................................................................................. 280,000 Wheeling Island Gaming, Inc. 144A sr. notes 10 1/8s, 2009 284,200 .................................................................................................. 490,000 William Carter Holdings Co. (The) 144A sr. sub. notes 10 7/8s, 2011 526,750 - -------------------------------------------------------------------------------------------------- 60,645,322 - -------------------------------------------------------------------------------------------------- Consumer Staples (9.8%) .................................................................................................. $880,000 Acme Television company guaranty 10 7/8s, 2004 $844,800 .................................................................................................. 1,210,000 Adelphia Communications Corp. sr. notes 10 7/8s, 2010 1,222,100 .................................................................................................. 960,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2011 955,200 .................................................................................................. 1,980,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 1,940,400 .................................................................................................. 1,060,000 Adelphia Communications Corp. sr. notes Ser. B, 7 3/4s, 2009 957,975 .................................................................................................. 830,000 Albecca, Inc. company guaranty 10 3/4s, 2008 929,600 .................................................................................................. 260,000 Allbritton Communications Co. sr. sub. notes Ser. B, 8 7/8s, 2008 265,200 .................................................................................................. 320,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2009 312,800 .................................................................................................. 317,900 AMFM Operating, Inc. debs. 12 5/8s, 2006 (PIK) 339,358 .................................................................................................. 600,000 Archibald Candy Corp. company guaranty 10 1/4s, 2004 336,000 .................................................................................................. 370,000 Armkel, LLC/Armkel Finance 144A sr. sub. notes 9 1/2s, 2009 386,650 .................................................................................................. 230,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 220,800 .................................................................................................. 700,000 Aurora Foods, Inc. 144A sr. sub. notes Ser. D, 9 7/8s, 2007 672,000 .................................................................................................. 10,795 Australis Media, Ltd. sr. disc. notes 15 3/4s, 2003 (Australia) (In default) (NON) (PIK) 1 .................................................................................................. 510,000 Belo Corp. sr. notes 7 1/8s, 2007 503,926 .................................................................................................. 340,000 Belo Corp. sr. unsub. notes 8s, 2008 345,783 .................................................................................................. 540,000 Benedek Communications Corp. sr. disc. notes 13 1/4s, 2006 (In default) (NON) 383,400 .................................................................................................. 1,260,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 1,208,995 .................................................................................................. 330,000 Century Communications Corp. sr. notes 8 7/8s, 2007 315,150 .................................................................................................. 1,560,000 Chancellor Media Corp. company guaranty 8s, 2008 1,622,400 .................................................................................................. 620,000 Charter Communications Holdings, LLC bank term loan FRN, Ser. B, 4.87s, 2008 (acquired 10/22/01, cost $606,050) (RES) 608,264 .................................................................................................. 30,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (13 1/2s, 1/15/06), 2011 (STP) 19,575 .................................................................................................. 1,160,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP) 713,400 .................................................................................................. 560,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (9.92s, 4/1/04), 2011 (STP) 403,200 .................................................................................................. 1,520,000 Charter Communications Holdings, LLC sr. notes 11 1/8s, 2011 1,611,200 .................................................................................................. 150,000 Charter Communications Holdings, LLC sr. notes 10 3/4s, 2009 156,750 .................................................................................................. 500,000 Charter Communications Holdings, LLC sr. notes 10s, 2009 510,000 .................................................................................................. 1,380,000 Charter Communications Holdings, LLC sr. notes 8 5/8s, 2009 1,317,900 .................................................................................................. 450,000 Charter Communications Holdings, LLC sr. notes 8 1/4s, 2007 429,750 .................................................................................................. 720,000 Cinemark USA, Inc. sr. sub. notes Ser. B, 9 5/8s, 2008 691,200 .................................................................................................. 140,000 Constellation Brands, Inc. company guaranty 8 1/2s, 2009 141,400 .................................................................................................. 550,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 552,750 .................................................................................................. 190,000 Cott Corp. sr. notes 8 1/2s, 2007 (Canada) 195,225 .................................................................................................. 30,000 CSC Holdings, Inc. deb. 7 5/8s, 2018 28,385 .................................................................................................. 510,000 CSC Holdings, Inc. sr. sub. deb. 10 1/2s, 2016 561,000 .................................................................................................. 230,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 243,800 .................................................................................................. 200,000 Del Monte Corp. company guaranty Ser. B, 9 1/4s, 2011 208,000 .................................................................................................. 2,250,000 Diamond Cable Communication PLC sr. disc. notes stepped-coupon zero % (10 3/4s, 2/15/02), 2007 (United Kingdom) (STP) 686,250 .................................................................................................. 1,656,000 Diva Systems Corp. sr. disc. notes stepped-coupon Ser. B, zero % (12 5/8s, 3/1/03), 2008 (STP) 264,960 .................................................................................................. 550,000 Doane Pet Care Co. sr. sub. deb. 9 3/4s, 2007 470,250 .................................................................................................. 310,000 Domino's, Inc. company guaranty Ser. B, 10 3/8s, 2009 328,600 .................................................................................................. 480,000 Doskocil Manufacturing Company, Inc. sr. sub. notes 10 1/8s, 2007 (In default) (NON) 57,600 .................................................................................................. 305,000 Eagle Family Foods company guaranty Ser. B, 8 3/4s, 2008 210,450 .................................................................................................. 2,760,000 Echostar Broadband Corp. sr. notes 10 3/8s, 2007 2,884,200 .................................................................................................. 1,260,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 1,291,500 .................................................................................................. 740,000 Echostar DBS Corp. 144A sr. notes 9 1/8s, 2009 741,850 .................................................................................................. 310,000 Elizabeth Arden, Inc. sec. notes Ser. B, 11 3/4s, 2011 319,300 .................................................................................................. 390,000 Emmis Communications Corp. bank term loan FRN Ser. B, 5.633s, 2009 (acquired 10/23/01, cost $378,300) (RES) 389,573 .................................................................................................. 360,000 Emmis Communications Corp. sr. disc. notes stepped-coupon zero % (12 1/2s, 3/15/06), 2011 (STP) 208,800 .................................................................................................. 510,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 527,850 .................................................................................................. 260,000 Fleming Companies, Inc. company guaranty Ser. B, 10 1/2s, 2004 260,000 .................................................................................................. 10,000 Fleming Companies, Inc. 144A sr. sub. notes 10 5/8s, 2007 9,575 .................................................................................................. 790,000 Fox Family Worldwide, Inc. sr. disc. notes stepped-coupon zero % (10 1/4s, 11/1/02), 2007 (STP) 790,000 .................................................................................................. 1,164,000 Fox Family Worldwide, Inc. sr. notes 9 1/4s, 2007 1,268,760 .................................................................................................. 300,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 312,000 .................................................................................................. 150,000 French Fragrances, Inc. company guaranty Ser. D, 10 3/8s, 2007 142,500 .................................................................................................. 580,000 Granite Broadcasting Corp. sr. sub. notes 9 3/8s, 2005 446,600 .................................................................................................. 230,000 Great Atlantic & Pacific Tea Co. notes 7 3/4s, 2007 218,500 .................................................................................................. 210,000 Home Interiors & Gifts, Inc. company guaranty 10 1/8s, 2008 155,400 .................................................................................................. 530,000 Insight Communications Company, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 2/15/06), 2011 (STP) 310,050 .................................................................................................. 140,000 Insight Midwest LP/Insight Capital, Inc. bank term loan 5 1/2s, 2009 (acquired 11/5/01, cost $139,737) (RES) 139,615 .................................................................................................. 630,000 Insight Midwest LP/Insight Capital, Inc. sr. notes 10 1/2s, 2010 678,825 .................................................................................................. 930,000 International Cabletel, Inc. sr. disc. notes 11 1/2s, 2006 297,600 .................................................................................................. 55,000 Knology Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 7/8s, 10/15/02), 2007 (STP) 24,681 .................................................................................................. 420,000 Land O'Lakes, Inc. 144A sr. notes 8 3/4s, 2011 405,300 .................................................................................................. 450,000 Leiner Health Products sr. sub. notes 9 5/8s, 2007 (In default) (NON) 62,438 .................................................................................................. 230,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 147,200 .................................................................................................. 110,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 61,600 .................................................................................................. 1,020,000 LIN Television Corp. company guaranty 8 3/8s, 2008 963,900 .................................................................................................. 350,000 NBTY, Inc. sr. sub. notes Ser. B, 8 5/8s, 2007 337,750 .................................................................................................. 170,000 News America, Inc. sr. notes 6 5/8s, 2008 170,347 .................................................................................................. 915,000 North Atlantic Trading Co. company guaranty Ser. B, 11s, 2004 832,650 .................................................................................................. 960,000 NTL, Inc. sr. notes Ser. A, 12 3/4s, 2005 302,400 .................................................................................................. 110,000 NTL Communications Corp. sr. notes Ser. B, 11 7/8s, 2010 35,750 .................................................................................................. 460,000 NTL Communications Corp. sr. notes stepped-coupon Ser. B, zero % (12 3/8s, 10/1/03), 2008 (STP) 113,850 .................................................................................................. 360,000 ONO Finance PLC sr. notes 14s, 2011 (United Kingdom) 280,800 .................................................................................................. 170,000 ONO Finance PLC sr. notes 13s, 2009 (United Kingdom) 134,300 .................................................................................................. 20,000 Pegasus Communications Corp. sr. notes 12 1/2s, 2007 19,600 .................................................................................................. 170,000 Pegasus Communications Corp. sr. notes Ser. B, 9 3/4s, 2006 153,000 .................................................................................................. 610,000 Pegasus Satellite sr. notes 12 3/8s, 2006 610,000 .................................................................................................. 490,000 Playtex Products, Inc. company guaranty 9 3/8s, 2011 514,500 .................................................................................................. 380,000 Polaroid Corp. sr. notes 11 1/2s, 2006 (In default) (NON) 32,300 .................................................................................................. 580,000 Premier International Foods PLC sr. notes 12s, 2009 (United Kingdom) 626,400 .................................................................................................. 1,660,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,676,600 .................................................................................................. 1,710,656 Quorum Broadcast Holdings, LLC notes stepped-coupon zero % (15s, 5/15/06), 2009 (acquired 5/15/01, cost $679,757) (RES) (STP) 679,815 .................................................................................................. 790,000 RAB Enterprises, Inc. company guaranty 10 1/2s, 2005 316,000 .................................................................................................. 330,000 RCN Corp. sr. disc. notes stepped-coupon Ser. B, zero % (9.8s, 2/15/03), 2008 (STP) 88,688 .................................................................................................. 101,104 Regal Cinemas, Inc. bank term loan FRN Ser. A, 9.22s, 2006 (acquired 3/14/01, cost $90,614) (RES) 105,401 .................................................................................................. 111,889 Regal Cinemas, Inc. bank term loan FRN Ser. B, 6s, 2006 (acquired various dates between 3/14/01 and 4/17/01, cost $99,359) (RES) 116,764 .................................................................................................. 1,006,648 Regal Cinemas, Inc. bank term loan FRN Ser. C, 6 1/4s, 2006 (acquired 3/26/01, cost $905,983) (RES) 1,050,509 .................................................................................................. 1,000 Regal Cinemas, Inc. sr. sub. notes 9 1/2s, 2008 (In default) (NON) 185 .................................................................................................. 120,000 Revlon Consumer Products sr. notes 9s, 2006 82,500 .................................................................................................. 720,000 Revlon Consumer Products sr. sub. notes 8 5/8s, 2008 333,000 .................................................................................................. 570,000 Sbarro, Inc. company guaranty 11s, 2009 541,500 .................................................................................................. 410,000 Scotts Co. (The) company guaranty 8 5/8s, 2009 420,250 .................................................................................................. 670,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s, 2005 (In default) (NON) 67 .................................................................................................. 420,000 Sinclair Broadcast Group, Inc. bank term loan FRN Ser. B, 5.93s, 2009 (acquired 10/23/01, cost $412,387) (RES) 420,131 .................................................................................................. 640,000 Sinclair Broadcast Group, Inc. company guaranty 9s, 2007 643,200 .................................................................................................. 30,000 Sinclair Broadcast Group, Inc. sr. sub. notes 10s, 2005 30,975 .................................................................................................. 390,000 Sinclair Broadcast Group, Inc. sr. sub. notes 8 3/4s, 2007 389,025 .................................................................................................. 260,000 Sinclair Broadcast Group, Inc. 144A sr. sub. notes 8 3/4s, 2011 260,000 .................................................................................................. 150,000 Six Flags, Inc. sr. notes 9 1/2s, 2009 151,313 .................................................................................................. 950,000 Six Flags Entertainment Corp. company guaranty 8 7/8s, 2006 973,750 .................................................................................................. 220,000 Smithfield Foods, Inc. 144A sr. notes 8s, 2009 225,500 .................................................................................................. 850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 794,181 .................................................................................................. 623,000 Suiza Foods Corp. bank term loan FRN Ser. B, 5.85s, 2008 (acquired 12/10/01, cost $627,283) (RES) 624,713 .................................................................................................. 480,000 Supercanal Holdings SA 144A sr. notes 11 1/2s, 2005 (Argentina) (In default) (NON) 9,600 .................................................................................................. 160,000 TeleWest Communications PLC deb. 11s, 2007 (United Kingdom) 113,600 .................................................................................................. 220,000 TeleWest Communications PLC deb. 9 5/8s, 2006 (United Kingdom) 152,900 .................................................................................................. 220,000 TeleWest Communications PLC Structured Notes (Issued by DLJ International Capital) 10 7/8s, 2005 (United Kingdom) 161,612 .................................................................................................. 80,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 84,800 .................................................................................................. 920,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 924,600 .................................................................................................. 510,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 515,100 .................................................................................................. 692,889 United Artists Theatre bank term loan FRN, 6.08s, 2005 (acquired various dates between 2/2/01 and 6/4/01, cost $945,712) (RES) 684,889 .................................................................................................. 1,340,000 United Pan-Europe NV sr. disc. notes 12 1/2s, 2009 (Netherlands) 134,000 .................................................................................................. 2,700,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (13 3/4s, 2/1/05), 2010 (Netherlands) (STP) 270,000 .................................................................................................. 220,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (12 1/2s, 8/1/04), 2009 (Netherlands) (STP) 22,000 .................................................................................................. 260,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 278,200 .................................................................................................. 770,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 169,400 .................................................................................................. 1,320,000 XM Satellite Radio Holdings, Inc. sec. notes 14s, 2010 1,023,000 .................................................................................................. 1,510,000 Young Broadcasting, Inc. company guaranty 10s, 2011 1,411,850 .................................................................................................. 140,000 Young Broadcasting, Inc. company guaranty Ser. B, 8 3/4s, 2007 127,750 - -------------------------------------------------------------------------------------------------- 57,401,079 - -------------------------------------------------------------------------------------------------- Energy (2.7%) .................................................................................................. 620,000 Belco Oil & Gas Corp. sr. sub. notes Ser. B, 8 7/8s, 2007 638,600 .................................................................................................. 490,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 509,600 .................................................................................................. 80,000 BRL Universal Equipment 144A sec. notes 8 7/8s, 2008 83,200 .................................................................................................. 1,200,000 Chesapeake Energy Corp. company guaranty 8 1/8s, 2011 1,170,000 .................................................................................................. 340,000 Chesapeake Energy Corp. 144A sr. notes 8 3/8s, 2008 336,600 .................................................................................................. 330,000 Dresser, Inc. company guaranty 9 3/8s, 2011 341,550 .................................................................................................. 390,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 393,900 .................................................................................................. 260,000 Forest Oil Corp. company guaranty 10 1/2s, 2006 277,550 .................................................................................................. 460,000 Forest Oil Corp. sr. notes 8s, 2008 461,150 .................................................................................................. 260,000 Forest Oil Corp. 144A sr. notes 8s, 2011 260,000 .................................................................................................. 260,000 Grant Prideco, Inc. company guaranty Ser. B, 9 5/8s, 2007 258,050 .................................................................................................. 290,000 Hanover Equipment Trust 144A sec. notes 8 3/4s, 2011 300,150 .................................................................................................. 330,000 Hanover Equipment Trust 144A sec. notes 8 1/2s, 2008 343,200 .................................................................................................. 330,000 Key Energy Services, Inc. company guaranty Ser. B, 8 3/8s, 2008 330,442 .................................................................................................. 500,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 530,000 .................................................................................................. 620,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 622,325 .................................................................................................. 520,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 1/2s, 2008 485,550 .................................................................................................. 280,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 3/8s, 2010 261,450 .................................................................................................. 1,000,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 1,046,020 .................................................................................................. 600,000 Parker Drilling Corp. company guaranty Ser. D, 9 3/4s, 2006 594,000 .................................................................................................. 1,580,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 1,749,850 .................................................................................................. 260,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 263,900 .................................................................................................. 80,000 Port Arthur Finance Corp. company guaranty 12 1/2s, 2009 81,600 .................................................................................................. 700,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 730,625 .................................................................................................. 280,000 Seven Seas Petroleum, Inc. sr. notes Ser. B, 12 1/2s, 2005 165,200 .................................................................................................. 510,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 533,037 .................................................................................................. 190,000 Stone Energy Corp. company guaranty 8 3/4s, 2007 191,900 .................................................................................................. 360,000 Stone Energy Corp. 144A sr. sub. notes 8 1/4s, 2011 360,900 .................................................................................................. 60,000 Triton Energy, Ltd. sr. notes 9 1/4s, 2005 (Cayman Islands) 65,434 .................................................................................................. 350,000 Triton Energy, Ltd. sr. notes 8 7/8s, 2007 (Cayman Islands) 383,233 .................................................................................................. 970,000 Vintage Petroleum, Inc. sr. sub. notes 9 3/4s, 2009 1,035,475 .................................................................................................. 320,000 Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 318,400 .................................................................................................. 330,000 Westport Resources Corp. 144A sr. sub. notes 8 1/4s, 2011 333,300 .................................................................................................. 200,000 XCL, Ltd. 144A company guaranty 13 1/2s, 2004 (In default) (NON) 60,000 .................................................................................................. 230,000 XTO Energy, Inc. 144A sr. sub. notes Ser. B, 8 3/4s, 2009 240,637 - -------------------------------------------------------------------------------------------------- 15,756,828 - -------------------------------------------------------------------------------------------------- Financial (2.2%) .................................................................................................. 1,240,000 Advanta Corp. 144A company guaranty Ser. B, 8.99s, 2026 694,400 .................................................................................................. 640,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A, 10s, 2004 (In default) (NON) 198,400 .................................................................................................. 110,000 Chevy Chase Savings Bank, Inc. sub. deb. 9 1/4s, 2008 111,100 .................................................................................................. 315,000 Chevy Chase Savings Bank, Inc. sub. deb. 9 1/4s, 2005 318,150 .................................................................................................. 525,000 Colonial Capital II 144A company guaranty 8.92s, 2027 476,467 .................................................................................................. 100,000 Comdisco, Inc. notes 7 1/4s, 2001 (In default) (NON) (DEF) 76,000 .................................................................................................. 300,000 Comdisco, Inc. notes 5.95s, 2002 (In default) (NON) 228,000 .................................................................................................. 370,000 Conseco, Inc. sr. notes 10 3/4s, 2008 170,200 .................................................................................................. 160,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 30,400 .................................................................................................. 400,000 Conseco Financial Corp. sr. sub. notes 10 1/4s, 2002 348,000 .................................................................................................. 65,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 70,552 .................................................................................................. 1,584,000 Finova Group, Inc. notes 7 1/2s, 2009 665,280 .................................................................................................. 330,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 325,802 .................................................................................................. 200,000 Green Tree Financial notes Ser. A, 6 1/2s, 2002 162,000 .................................................................................................. 1,070,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,066,704 .................................................................................................. 1,380,000 Hanvit Bank 144A sub. notes 11 3/4s, 2010 (South Korea) 1,514,550 .................................................................................................. 268,000 Imperial Credit Industries, Inc. sec. notes 12s, 2005 99,160 .................................................................................................. 630,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 633,150 .................................................................................................. 370,000 Nationwide Credit, Inc. sr. notes Ser. A, 10 1/4s, 2008 103,600 .................................................................................................. 100,000 North Fork Capital Trust I company guaranty 8.7s, 2026 96,820 .................................................................................................. 320,000 Ocwen Capital Trust I company guaranty 10 7/8s, 2027 246,400 .................................................................................................. 370,000 Ocwen Federal Bank sub. deb. 12s, 2005 366,300 .................................................................................................. 85,000 Ocwen Financial Corp. notes 11 7/8s, 2003 84,788 .................................................................................................. 575,000 Outsourcing Solutions, Inc. sr. sub. notes Ser. B, 11s, 2006 460,000 .................................................................................................. 120,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 108,455 .................................................................................................. 365,000 Provident Capital Trust company guaranty 8.6s, 2026 315,024 .................................................................................................. 814,000 Reliance Group Holdings, Inc. sr. notes 9s, 2000 (In default) (NON) (DEF) 89,540 .................................................................................................. 680,000 Resource America, Inc. 144A sr. notes 12s, 2004 659,600 .................................................................................................. 160,000 Riggs Capital Trust 144A bonds 8 5/8s, 2026 113,954 .................................................................................................. 1,880,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 2,030,400 .................................................................................................. 540,000 Superior Financial Corp. 144A sr. notes 8.65s, 2003 554,176 .................................................................................................. 220,000 Webster Capital Trust I 144A bonds 9.36s, 2027 187,484 .................................................................................................. 300,000 Willis Corroon Corp. 144A company guaranty 9s, 2009 309,000 - -------------------------------------------------------------------------------------------------- 12,913,856 - -------------------------------------------------------------------------------------------------- Health Care (2.9%) .................................................................................................. 470,000 ALARIS Medical, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 8/1/03), 2008 (STP) 282,000 .................................................................................................. 90,000 ALARIS Medical Systems, Inc. 144A company guaranty 9 3/4s, 2006 83,925 .................................................................................................. 720,000 ALARIS Medical Systems, Inc. 144A sec. notes 11 5/8s, 2006 777,600 .................................................................................................. 510,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 527,850 .................................................................................................. 330,000 Beverly Enterprises, Inc. sr. notes 9 5/8s, 2009 345,675 .................................................................................................. 320,000 Bio-Rad Labs Corp. sr. sub. notes 11 5/8s, 2007 352,800 .................................................................................................. 800,000 Conmed Corp. company guaranty 9s, 2008 808,000 .................................................................................................. 33,800 Genesis Health Ventures, Inc. sec. notes FRN 7.59s, 2007 33,462 .................................................................................................. 430,000 Hanger Orthopedic Group, Inc. sr. sub. notes 11 1/4s, 2009 399,900 .................................................................................................. 280,000 HCA, Inc. deb. 7.19s, 2015 275,800 .................................................................................................. 140,000 HCA, Inc. med. term notes 6.63s, 2045 141,343 .................................................................................................. 1,880,000 HCA, Inc. notes 8 3/4s, 2010 2,053,900 .................................................................................................. 210,000 HCA, Inc. notes 8.36s, 2024 206,850 .................................................................................................. 960,000 HCA, Inc. notes 7s, 2007 964,800 .................................................................................................. 420,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 461,475 .................................................................................................. 370,000 Insight Health Services Corp. 144A sr. sub. notes 9 7/8s, 2011 382,950 .................................................................................................. 680,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/2s, 2007 (In default) (NON) 68 .................................................................................................. 430,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 43 .................................................................................................. 250,000 Kinetic Concepts, Inc. bank term loan FRN Ser. C, 5.56s, 2005 (acquired 11/5/01, cost $250,312) (RES) 248,750 .................................................................................................. 660,000 Kinetic Concepts, Inc. company guaranty Ser. B, 9 5/8s, 2007 656,700 .................................................................................................. 120,000 Lifepoint Hospital Holdings company guaranty Ser. B, 10 3/4s, 2009 135,600 .................................................................................................. 420,000 Loewen Group, Inc. (The) notes 12 1/4s, 2008 461,475 .................................................................................................. 110,000 Loewen Group International, Inc. 144A company guaranty Ser. 4, 8 1/4s, 2003 (In default) (NON) 72,325 .................................................................................................. 1,300,000 Magellan Health Services, Inc. sr. sub. notes 9s, 2008 1,170,000 .................................................................................................. 120,000 Magellan Health Services, Inc. 144A sr. notes 9 3/8s, 2007 121,800 .................................................................................................. 1,395,000 Mariner Post-Acute Network, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 13,950 .................................................................................................. 280,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (STP) 1,400 .................................................................................................. 760,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 7,600 .................................................................................................. 495,000 Mediq, Inc. deb. stepped-coupon zero % (13s, 6/1/03), 2009 (STP) 50 .................................................................................................. 1,465,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 147 .................................................................................................. 480,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 499,200 .................................................................................................. 800,000 Paracelsus Healthcare Corp. sr. sub. notes 10s, 2006 (In default) (NON) 320,000 .................................................................................................. 120,000 Service Corp. International debs. 7 7/8s, 2013 99,600 .................................................................................................. 70,000 Service Corp. International notes 7.7s, 2009 60,550 .................................................................................................. 690,000 Service Corp. International notes 6s, 2005 595,988 .................................................................................................. 650,000 Stewart Enterprises, Inc. notes 10 3/4s, 2008 711,750 .................................................................................................. 745,000 Sun Healthcare Group, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 75 .................................................................................................. 720,000 Sun Healthcare Group, Inc. 144A sr. sub. notes 9 3/8s, 2008 (In default) (NON) 72 .................................................................................................. 605,000 Tenet Healthcare Corp. sr. notes Ser. B, 8 1/8s, 2008 648,493 .................................................................................................. 997,273 Triad Hospitals, Inc. bank term loan FRN Ser. B, 5.11s, 2008 (acquired 4/24/01, cost $996,275) (RES) 1,007,375 .................................................................................................. 130,000 Triad Hospitals, Inc. company guaranty Ser. B, 8 3/4s, 2009 135,850 .................................................................................................. 1,500,000 Triad Hospitals Holdings company guaranty Ser. B, 11s, 2009 1,642,500 .................................................................................................. 500,000 Vanguard Health Systems, Inc. 144A sr. sub. notes 9 3/4s, 2011 512,500 - -------------------------------------------------------------------------------------------------- 17,222,191 - -------------------------------------------------------------------------------------------------- Technology (1.2%) .................................................................................................. 320,000 Amkor Technology, Inc. sr. notes 9 1/4s, 2008 302,400 .................................................................................................. 330,000 Amkor Technology, Inc. Structured Note (Issued by STEERS Credit Linked Trust 2000) 12.58s, 2005 306,900 .................................................................................................. 1,940,000 Cybernet Internet Services International, Inc. 144A sr. disc. notes stepped-coupon zero % (13s, 8/15/04), 2009 (Denmark) (STP) 19,400 .................................................................................................. 750,000 Equinix, Inc. sr. notes 13s, 2007 240,000 .................................................................................................. 230,000 Exodus Communications, Inc. sr. notes 11 5/8s, 2010 (In default) (NON) 42,550 .................................................................................................. 480,000 Exodus Communications, Inc. sr. notes 10 3/4s, 2009 (In default) (NON) 88,800 .................................................................................................. 645,000 Fairchild Semiconductor International, Inc. sr. sub. notes 10 1/8s, 2007 662,738 .................................................................................................. 1,250,000 Firstworld Communication Corp. sr. disc. notes stepped-coupon zero % (13s, 4/15/03), 2008 (STP) 62,500 .................................................................................................. 1,310,000 Globix Corp. sr. notes 12 1/2s, 2010 301,300 .................................................................................................. 650,000 Intira Corp. bonds stepped-coupon zero % (13s, 2/1/05), 2010 (acquired 1/31/00, cost $346,391) (RES) (STP) 65 .................................................................................................. 160,000 Iron Mountain, Inc. company guaranty 8 3/4s, 2009 167,200 .................................................................................................. 240,000 Iron Mountain, Inc. company guaranty 8 1/8s, 2008 (Canada) 243,300 .................................................................................................. 1,590,000 Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011 1,621,800 .................................................................................................. 60,000 Lucent Technologies, Inc. deb. 6 1/2s, 2028 39,600 .................................................................................................. 1,160,000 Lucent Technologies, Inc. deb. 6.45s, 2029 765,600 .................................................................................................. 1,000,000 Micron Technology, Inc. cv. 6 1/2s, 2005 922,500 .................................................................................................. 150,000 PSINet, Inc. sr. notes 11 1/2s, 2008 (In default) (NON) 11,625 .................................................................................................. 925,000 PSINet, Inc. sr. notes 11s, 2009 (In default) (NON) 71,667 .................................................................................................. 110,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 (In default) (NON) 8,525 .................................................................................................. 330,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 115,500 .................................................................................................. 130,000 Seagate Technology, Inc. 144A company guaranty 12 1/2s, 2007 (Cayman Islands) 148,200 .................................................................................................. 490,000 Telecommunications Techniques, Inc. company guaranty 9 3/4s, 2008 147,000 .................................................................................................. 360,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (STP) 36 .................................................................................................. 270,000 Telex Communications, Inc. company guaranty 10 1/2s, 2007 (In default) (NON) 27,000 .................................................................................................. 226,282 United Defense Industries, Inc. bank term loan FRN Ser. B, 5.09s, 2009 (acquired 10/19/01, cost $226,282) (RES) 226,353 .................................................................................................. 470,000 Viasystems, Inc. sr. notes Ser. B, 9 3/4s, 2007 141,000 .................................................................................................. 40,000 Xerox Credit Corp. sr. notes 6.1s, 2003 36,600 - -------------------------------------------------------------------------------------------------- 6,720,159 - -------------------------------------------------------------------------------------------------- Transportation (1.1%) .................................................................................................. 60,000 Air Canada Corp. sr. notes 10 1/4s, 2011 (Canada) 37,200 .................................................................................................. 860,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 902,165 .................................................................................................. 370,000 American Airlines, Inc. bonds Ser. 01-2, Class B, 8.608s, 2011 370,422 .................................................................................................. 180,000 American Airlines, Inc. 144A pass-through certificates Ser. 01-2, Class A-2, 7.858s, 2011 179,624 .................................................................................................. 880,000 Calair, LLC/Calair Captial Corp. company guaranty 8 1/8s, 2008 651,200 .................................................................................................. 280,000 Continental Airlines, Inc. pass thru certificates Ser. D, 7.568s, 2006 212,800 .................................................................................................. 630,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 686,700 .................................................................................................. 210,000 Kitty Hawk, Inc. company guaranty 9.95s, 2004 (In default) (NON) 27,300 .................................................................................................. 270,000 Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 283,500 .................................................................................................. 630,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 620,550 .................................................................................................. 110,000 Newport News Shipbuilding, Inc. sr. notes 8 5/8s, 2006 116,600 .................................................................................................. 90,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 74,700 .................................................................................................. 500,000 Northwest Airlines, Inc. company guaranty 7 5/8s, 2005 385,000 .................................................................................................. 700,000 RailAmerica Transportation company guaranty 12 7/8s, 2010 721,000 .................................................................................................. 130,000 Transportation Manufacturing Operations, Inc. company guaranty 11 1/4s, 2009 72,800 .................................................................................................. 170,000 Travel Centers of America, Inc. company guaranty 12 3/4s, 2009 180,200 .................................................................................................. 1,120,000 US Air, Inc. pass-through certificates Ser. 93A2, 9 5/8s, 2003 873,600 .................................................................................................. 170,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 105,400 - -------------------------------------------------------------------------------------------------- 6,500,761 - -------------------------------------------------------------------------------------------------- Utilities (2.3%) .................................................................................................. 450,000 AES Corp. (The) notes 8 3/4s, 2008 396,000 .................................................................................................. 1,710,000 AES Corp. (The) sr. notes 9 3/8s, 2010 1,513,350 .................................................................................................. 230,000 Azurix Corp. sr. notes Ser. B, 10 3/4s, 2010 161,000 .................................................................................................. 210,000 Azurix Corp. sr. notes Ser. B, 10 3/8s, 2007 147,000 .................................................................................................. 1,030,000 Calpine Canada Energy Finance company guaranty 8 1/2s, 2008 (Canada) 932,150 .................................................................................................. 310,000 Calpine Corp. sr. notes 10 1/2s, 2006 279,000 .................................................................................................. 30,000 Calpine Corp. sr. notes 8 3/4s, 2007 27,150 .................................................................................................. 700,000 Calpine Corp. sr. notes 8 5/8s, 2010 626,500 .................................................................................................. 550,000 Calpine Corp. sr. notes 8 1/2s, 2011 492,250 .................................................................................................. 670,000 Calpine Corp. sr. notes 7 7/8s, 2008 596,300 .................................................................................................. 20,000 Calpine Corp. sr. notes 7 3/4s, 2009 17,700 .................................................................................................. 710,000 CMS Energy Corp. pass-through certificates 7s, 2005 685,008 .................................................................................................. 210,000 CMS Energy Corp. sr. notes 8.9s, 2008 213,150 .................................................................................................. 280,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 277,424 .................................................................................................. 380,000 CMS Energy Corp. sr. notes 7 5/8s, 2004 376,884 .................................................................................................. 330,000 Edison Mission Energy sr. notes 10s, 2008 336,600 .................................................................................................. 1,825,000 Midland Funding Corp. II debs. Ser. A, 11 3/4s, 2005 1,955,068 .................................................................................................. 660,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 732,600 .................................................................................................. 467,249 Northeast Utilities notes Ser. A, 8.58s, 2006 496,788 .................................................................................................. 161,333 Northeast Utilities notes Ser. B, 8.38s, 2005 169,043 .................................................................................................. 320,000 Pacific Gas & Electric Co. 144A sr. notes 7 3/8s, 2005 (In default) (NON) 336,000 .................................................................................................. 840,000 Southern California Edison Co. notes 8.95s, 2003 842,100 .................................................................................................. 80,000 Southern California Edison Co. notes 6 3/8s, 2006 73,600 .................................................................................................. 780,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 705,900 .................................................................................................. 982,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 932,900 - -------------------------------------------------------------------------------------------------- 13,321,465 - -------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $327,181,979) $277,616,293 - -------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS AND NOTES (14.8%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $2,794,220 Argentina (Republic of) bonds 2.89s, 2018 (In default) (NON) $670,613 .................................................................................................. 614,800 Argentina (Republic of) bonds 2.67s, 2031 (In default) (NON) 135,256 .................................................................................................. 2,270,000 Brazil (Federal Republic of) bonds 12 1/4s, 2030 1,952,200 .................................................................................................. 1,935,000 Brazil (Federal Republic of) unsub. notes 11s, 2040 1,485,113 .................................................................................................. CAD 1,800,000 Canada (Government of) bonds 5 1/2s, 2010 1,141,128 .................................................................................................. CAD 585,000 Canada (Government of) bonds Ser. WL43, 5 3/4s, 2029 371,306 .................................................................................................. $1,380,000 Colombia (Republic of) bonds 11 3/4s, 2020 1,373,100 .................................................................................................. 850,000 Ecuador (Republic of) bonds Ser. REGS, 12s, 2012 624,750 .................................................................................................. 230,000 Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 5s (6s, 8/15/02), 2030 (STP) 108,675 .................................................................................................. EUR 13,845,000 France (Government of) bonds 5 1/2s, 2010 12,719,213 .................................................................................................. EUR 920,000 France (Government of) deb. 4s, 2009 770,254 .................................................................................................. EUR 2,600,000 Germany (Federal Republic of) bonds Ser. 00, 5 1/2s, 2031 2,343,452 .................................................................................................. EUR 5,715,000 Germany (Federal Republic of) bonds Ser. 97, 6s, 2007 5,441,074 .................................................................................................. EUR 4,690,000 Germany (Federal Republic of) bonds Ser. 99, 4s, 2009 3,953,761 .................................................................................................. EUR 3,000,000 Italy (Government of) sr. unsub. 4 1/4s, 2002 2,670,066 .................................................................................................. EUR 3,240,000 Italy (Government of) treasury bonds 5 1/4s, 2011 2,898,958 .................................................................................................. EUR 1,630,000 Italy (Government of) treasury bonds 4 3/4s, 2006 1,466,842 .................................................................................................. EUR 2,350,000 Italy (Government of) treasury bonds 3 1/4s, 2004 2,068,958 .................................................................................................. NZD 4,080,000 New Zealand (Government of) bonds Ser. 709, 7s, 2009 1,724,831 .................................................................................................. $1,045,000 Philippines (Republic of) bonds 9 7/8s, 2019 989,093 .................................................................................................. 2,100,000 Philippines (Republic of) notes 10 5/8s, 2025 2,055,900 .................................................................................................. 2,310,000 Russia (Federation of) bonds 12 3/4s, 2028 2,494,800 .................................................................................................. 3,630,000 Russia (Federation of) unsub. 8 1/4s, 2010 3,136,320 .................................................................................................. 5,720,000 Russia (Federation of) unsub. stepped- coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 3,268,980 .................................................................................................. 7,390,625 Russia (Federation of) 144A unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 4,223,742 .................................................................................................. SEK 68,810,000 Sweden (Government of) bonds Ser. 1044, 3 1/2s, 2006 6,193,825 .................................................................................................. $690,000 Turkey (Republic of) bonds 11 3/4s, 2010 676,200 .................................................................................................. GBP 2,510,000 United Kingdom Treasury bonds 10s, 2003 3,961,193 .................................................................................................. GBP 810,000 United Kingdom Treasury bonds 5s, 2012 1,172,818 .................................................................................................. GBP 1,340,000 United Kingdom Treasury bonds Ser. 85, 9 3/4s, 2002 2,021,142 .................................................................................................. GBP 1,785,000 United Kingdom Treasury bonds 8 1/2s, 2005 2,907,937 .................................................................................................. $1,665,000 United Mexican States bonds 11 3/8s, 2016 2,046,285 .................................................................................................. 2,720,000 United Mexican States bonds Ser. MTN, 8.3s, 2031 2,662,880 .................................................................................................. 1,680,000 United Mexican States bonds Ser. XW, 10 3/8s, 2009 1,917,720 .................................................................................................. 1,940,000 United Mexican States notes Ser. A, 9 7/8s, 2010 2,153,400 .................................................................................................. 740,000 Venezuela (Republic of) bonds 9 1/4s, 2027 461,760 - -------------------------------------------------------------------------------------------------- Total Foreign Government Bonds and Notes (cost $84,883,223) $86,263,545 - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (14.0%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. U.S. Government Agency Mortgage Obligations (3.1%) .................................................................................................. Federal National Mortgage Association .................................................................................................. $1,960,000 6 5/8s, September 15, 2009 $2,088,929 .................................................................................................. 6,320,000 5 1/2s, February 15, 2006 6,511,559 .................................................................................................. Federal National Mortgage Association Pass-Through Certificates .................................................................................................. 3,233,227 7 1/2s, with due dates from September 1, 2022 to June 1, 2031 3,338,783 .................................................................................................. 199,864 6 1/2s, August 1, 2010 205,584 .................................................................................................. 187,862 6s, with due dates from May 1, 2031 to August 1, 2031 183,949 .................................................................................................. 276,496 5 1/2s, August 15, 2014 274,442 .................................................................................................. Government National Mortgage Association Pass-Through Certificates .................................................................................................. 578,492 8s, with due dates from January 15, 2022 to September 15, 2025 614,132 .................................................................................................. 2,339,676 7s, with due dates from November 15, 2026 to December 15, 2028 2,405,046 .................................................................................................. 2,705,775 6 1/2s, with due dates from February 15, 2027 to January 15, 2029 2,725,183 - -------------------------------------------------------------------------------------------------- 18,347,607 - -------------------------------------------------------------------------------------------------- U.S. Treasury Obligations (10.9%) .................................................................................................. 13,495,000 U.S. Treasury Bonds 5 3/8s, February 15, 2031 13,298,918 .................................................................................................. U.S. Treasury Notes .................................................................................................. 29,905,000 6 1/2s, February 15, 2010 (SEG) 32,825,522 .................................................................................................. 5,870,000 5 3/4s, August 15, 2010 6,157,982 .................................................................................................. 6,350,000 5s, August 15, 2011 6,330,125 .................................................................................................. 4,850,000 3 1/8s, December 31, 2003 4,867,412 - -------------------------------------------------------------------------------------------------- 63,479,959 - -------------------------------------------------------------------------------------------------- Total U.S. Government and Agency Obligations (cost $80,587,400) $81,827,566 - -------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS (10.7%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $3,540,000 Amresco Commercial Mortgage Funding I Ser. 97-C1, Class F, 7.64s, 2029 $3,632,372 .................................................................................................. 3,349,368 Banc of America Commercial Mortgage, Inc. Ser. 01-PB1, Class XC, Interest Only (IO), 0.834s, 2035 148,105 .................................................................................................. 5,763,027 Bank of America Mortgage Securities Ser. 01-10, Class 1A11, IO, 0.211s, 2031 477,251 .................................................................................................. 490,000 Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class G, 6.887s, 2019 402,566 .................................................................................................. 8,442,175 Citicorp Mortgage Securities, Inc. Ser. 01-15, Class A3A, IO, 0.343s, 2031 513,786 .................................................................................................. 1,415,000 Commercial Mortgage Acceptance Corp. Ser. 97-ML1, Class D, 6.975s, 2010 1,345,577 .................................................................................................. 44,397,728 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 1.17s, 2020 2,554,604 .................................................................................................. 1,575,000 Countrywide Home Loan Ser. 98-3, Class A5, 6 3/4s, 2028 1,606,008 .................................................................................................. 1,980,000 Countrywide Mortgage Backed Securities, Inc. Ser. 93-C, Class A8, 6 1/2s, 2024 1,946,340 .................................................................................................. CS First Boston Mortgage Securities Corp. .................................................................................................. 465,000 Ser. 01-CF2, Class E, 7.29s, 2011 475,463 .................................................................................................. 485,000 Ser. 01-CF2, Class G, 6.93s, 2011 467,419 .................................................................................................. 26,285,555 Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.22s, 2023 1,096,600 .................................................................................................. Euro Loan Conduit 144A .................................................................................................. GBP 450,000 FRN Ser. 7A, Class E, 8.493s, 2006 (United Kingdom) 617,596 .................................................................................................. GBP 450,000 FRN Ser. 7A, Class D, 6.743s, 2006 (United Kingdom) 648,701 .................................................................................................. Fannie Mae .................................................................................................. $5,062 Ser. 92-15, Class L, IO, 10.37s, 2022 140,670 .................................................................................................. 451,628 Ser. 93-245, Class SD, 18.435s, 2023 460,519 .................................................................................................. 137,431 Ser. 99-28, Class SC, 14.6s, 2028 133,609 .................................................................................................. 612,447 Ser. 98-63, Class S, 14.448s, 2026 587,566 .................................................................................................. 915,100 Ser. 98-1, Class SA, IO, 11s, 2024 335,275 .................................................................................................. 2,465,118 Ser. 01-55, Class CZ, 6 1/2s, 2031 2,335,314 .................................................................................................. 3,126,100 Ser. 01-62, Class PI, IO, 6 1/2s, 2025 536,322 .................................................................................................. 1,558,913 Ser. 302, Class 2, IO, 6s, 2029 408,728 .................................................................................................. 1,595,551 Ser. 01-62, Class BI, IO, 6s, 2026 304,401 .................................................................................................. 2,280,869 Ser. 01-35, Class S, IO, 5.97s, 2031 240,917 .................................................................................................. 23,090,026 Ser. 01-59, Class S, IO, 5.97s, 2031 2,316,218 .................................................................................................. 6,204,958 Ser. 01-65, Class S, IO, 5.97s, 2031 678,667 .................................................................................................. 19,839,923 Ser. 00-T6, IO, 0.724s, 2030 426,995 .................................................................................................. 966,029 Ser. 01-41, Class KO, Principal Only (PO), zero %, 2031 697,956 .................................................................................................. 778,504 Ser. 99-52, Class MO, PO, zero %, 2026 690,436 .................................................................................................. 397,454 Ser. 97-92, PO, zero %, 2025 376,836 .................................................................................................. 15,899,905 FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.716s, 2027 1,391,242 .................................................................................................. Freddie Mac .................................................................................................. 1,440,525 Ser. 2319, Class S, 20.61s, 2031 1,344,865 .................................................................................................. 1,584,600 Ser. 2360, Class SC, 16.131s, 2031 1,432,825 .................................................................................................. 746,801 Ser. 2286, Class LR, 15.37s, 2024 716,345 .................................................................................................. 3,172,245 Ser. 2191, Class MS, IO, 6.504s, 2027 239,901 .................................................................................................. 703,031 Ser. 1717, Class L, 6 1/2s, 2024 722,008 .................................................................................................. 5,479,681 Ser. 2353, Class SJ, IO, 6.054s, 2031 546,256 .................................................................................................. 4,936,158 Ser. 212, IO, 6s, 2031 1,355,901 .................................................................................................. 1,395,506 Ser. 211, IO, 6s, 2029 373,734 .................................................................................................. 4,063,380 Ser. 2324, Class S, IO, 5.354s, 2031 362,530 .................................................................................................. 1,211,848 Ser. 2044, Class SG, IO, 3.97s, 2023 86,606 .................................................................................................. 3,365,249 Ser. 215, PO, zero %, 2031 2,898,320 .................................................................................................. 359,875 Ser. 2302, Class LO, PO, zero %, 2031 300,833 .................................................................................................. 527,759 Ser. 2304, PO, zero %, 2031 427,814 .................................................................................................. 351,879 Ser. 2317, PO, zero %, 2031 259,951 .................................................................................................. 405,518 Ser. 2324, Class EO, PO, zero %, 2031 294,761 .................................................................................................. 424,937 Ser. 2337, PO, zero %, 2031 305,423 .................................................................................................. 839,086 Ser. 2351, Class EO, PO, zero %, 2031 604,142 .................................................................................................. 521,523 Ser. 188, PO, zero %, 2027 426,997 .................................................................................................. Freddie Mac .................................................................................................. 491,556 Ser. 2078, Class KC, PO, zero %, 2023 401,233 .................................................................................................. 757,611 Ser. 2190, PO, zero %, 2014 697,830 .................................................................................................. 495,000 GE Capital Commercial Mortgage Corp. Ser. 01-1, Class G, 7.04s, 2011 492,486 .................................................................................................. 925,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 924,519 .................................................................................................. Government National Mortgage Association .................................................................................................. 10,741,285 Ser. 99-42, Class SB, IO, 6.554s, 2027 805,596 .................................................................................................. 6,938,631 Ser. 99-34, Class SB, IO, 6.104s, 2027 483,536 .................................................................................................. 4,645,176 Ser. 99-31, Class MP, PO, zero %, 2029 3,928,077 .................................................................................................. 829,296 Ser. 98-2, Class EA, PO, zero %, 2028 671,730 .................................................................................................. 955,000 Granite Mortgages PLC FRN Ser. 01-1, Class 1C, 3.79s, 2041 (United Kingdom) 952,613 .................................................................................................. 4,410,000 Holmes Financing PLC FRB Ser. 1, Class 2C, 3.58s, 2040 4,383,540 .................................................................................................. Merrill Lynch Mortgage Investors, Inc. .................................................................................................. 915,000 Ser. 96-C2, Class E, 6.96s, 2028 859,635 .................................................................................................. 11,818,129 Ser. 96-C2, IO, 2.074s, 2028 740,480 .................................................................................................. 13,915,131 Ser. 98-C2, IO, 1.53s, 2030 890,895 .................................................................................................. 4,705,756 Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.361s, 2027 258,081 .................................................................................................. 53,747 Prudential Home Mortgage Securities Ser. 93-57, Class A4, 5.9s, 2023 54,718 .................................................................................................. GBP 16,200,000 Residential Funding Mortgage Securities, Inc. Ser. 01-S26, Class A9, IO, 5.47s, 2031 1,037,812 .................................................................................................. $1,000,000 Residential Mortgage Securities 144A FRB Ser. 8, Class M, 4.986s, 2038 1,447,924 .................................................................................................. 417,177 Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026 427,686 .................................................................................................. 2,125,000 Starwood Asset Receivables Trust FRB Ser. 00-1, Class E, 4.68s, 2022 2,123,938 - -------------------------------------------------------------------------------------------------- Total Collateralized Mortgage Obligations (cost $61,635,220) $62,275,600 - -------------------------------------------------------------------------------------------------- BRADY BONDS (3.2%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $11,525,998 Brazil (Federal Republic of) bonds 8s, 2014 $8,817,388 .................................................................................................. 930,000 Brazil (Federal Republic of) govt. guaranty FRB 3 1/4s, 2012 655,650 .................................................................................................. 1,180,000 Bulgaria (Government of) coll. FLIRB, Ser. A, 4.563s, 2012 1,064,950 .................................................................................................. 1,070,000 Bulgaria (Government of) coll. FRB Ser. A, 4.563s, 2024 951,016 .................................................................................................. 1,935,450 Bulgaria (Government of) debs. FRB Ser. PDI, 4.563s, 2011 1,693,519 .................................................................................................. 450,450 Bulgaria (Government of) debs. FRB Ser. RPDI, 4.563s, 2011 394,144 .................................................................................................. 2,040,000 Peru (Republic of) FLIRB 3 3/4s, 2017 1,428,000 .................................................................................................. 2,805,000 United Mexican States bonds Ser. B, 6 1/4s, 2019 2,584,106 .................................................................................................. 1,857,115 Venezuela (Republic of) debs. FRB Ser. DL, 2.875s, 2007 1,339,537 - -------------------------------------------------------------------------------------------------- Total Brady Bonds (cost $18,093,754) $18,928,310 - -------------------------------------------------------------------------------------------------- PREFERRED STOCKS (1.9%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 15,133 AmeriKing, Inc. $3.25 cum. pfd. (PIK) $151 .................................................................................................. 46,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. 1,149,540 .................................................................................................. 25,980 Chevy Chase Capital Corp. Ser. A, $5.188 pfd. (PIK) 1,441,890 .................................................................................................. 2,110 Chevy Chase Savings Bank, Inc. $3.25 pfd. 54,860 .................................................................................................. 210,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 232,050 .................................................................................................. 15,773 CSC Holdings, Inc. Ser. M, $11.125 cum. pfd. (PIK) 1,679,825 .................................................................................................. 1,170 Delta Financial Corp. Ser. A, $10.00 cum. pfd. 14,625 .................................................................................................. 22,720 Diva Systems Corp. Ser. C, 6.00% cum. pfd. 227 .................................................................................................. 34,000 Diva Systems Corp. 144A Ser. D, zero % pfd. 340 .................................................................................................. 12,000 Doane Pet Care Co. $7.125 pfd. 360,000 .................................................................................................. 39 Dobson Communications Corp. 13.00% pfd. 38,220 .................................................................................................. 808 Dobson Communications Corp. 12.25% pfd. (PIK) 791,360 .................................................................................................. 310 First Republic Capital Corp. 144A 10.50% pfd. 302,250 .................................................................................................. 10,600 Fitzgeralds Gaming Corp. zero % cum. pfd. 106 .................................................................................................. 360 Fresenius Medical Capital Trust II company guaranty 7.875% pfd. (Germany) 360,000 .................................................................................................. 1,763 Granite Broadcasting Corp. 12.75% cum. pfd. (PIK) 669,940 .................................................................................................. 453 ICG Holdings, Inc. 14.25% pfd. (Canada) (In default) (NON) 5 .................................................................................................. 601 ICG Holdings, Inc. 14.00% pfd. (Canada) (In default) (NON) (PIK) 6 .................................................................................................. 1,053 Intermedia Communications, Inc. Ser. B, 13.50% pfd. (PIK) 1,089,855 .................................................................................................. 147 Nextel Communications, Inc. Ser. D, 13.00% cum. pfd. (PIK) 83,790 .................................................................................................. 312 Nextel Communications, Inc. Ser. E, 11.125% pfd. (PIK) 159,120 .................................................................................................. 251 Paxson Communications Corp. 13.25% cum. pfd. (PIK) 2,133,500 .................................................................................................. 936 Rural Cellular Corp. 12.25% pfd. (PIK) 776,681 - -------------------------------------------------------------------------------------------------- Total Preferred Stocks (cost $13,580,291) $11,338,341 - -------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (1.5%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $960,000 Conseco Finance Securitizations Corp. Ser. 00-6, Class M2, 8.2s, 2032 $964,955 .................................................................................................. 4,173,000 Conseco Finance Securitizations Corp. Ser. 00-4, Class A6, 8.31s, 2032 4,478,151 .................................................................................................. 912,000 Conseco Finance Securitizations Corp. Ser. 01-4, Class B1, 9.4s, 2010 870,746 .................................................................................................. 565,453 Mid-State Trust Ser. 10, Class B, 7.54s, 2036 535,060 .................................................................................................. 380,000 Morgan Stanley Dean Witter Capital I Ser. 01-NC3, Class B1, FRN, 4.38s, 2031 380,000 .................................................................................................. 1,473,000 Morgan Stanley Dean Witter Capital I Ser. 01-NC4, Class B1, FRN, 4.426s, 2032 1,436,175 - -------------------------------------------------------------------------------------------------- Total Asset-Backed Securities (cost $8,384,590) $8,665,087 - -------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (0.7%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $430,000 American Tower Corp. cv. notes 5s, 2010 $259,978 .................................................................................................. 830,000 DaVita, Inc. cv. sub. notes 7s, 2009 847,347 .................................................................................................. 70,000 Echostar Communications Corp. 144A cv. sub. notes 5 3/4s, 2008 62,650 .................................................................................................. 1,120,000 Exide Corp. 144A cv. sr. sub. notes 2.9s, 2005 75,600 .................................................................................................. 450,000 Healthsouth Corp. cv. sub. deb. 3 1/4s, 2003 426,938 .................................................................................................. 99,000 Hexcel Corp. cv. sub. notes 7s, 2003 54,079 .................................................................................................. 1,410,000 Nextel Communications, Inc. cv. sr. notes 5 1/4s, 2010 847,762 .................................................................................................. 120,000 Rogers Communications cv. debs. 2s, 2005 (Canada) 97,200 .................................................................................................. 830,000 Solectron Corp. cv. Liquid Yield Option Notes (LYON) zero %, 2020 439,900 .................................................................................................. 60,000 Spectrasite Holdings, Inc. cv. sr. notes 6 3/4s, 2010 24,888 .................................................................................................. 1,080,000 Telewest Finance Corp. cv. sub. notes 6s, 2005 (United Kingdom) 677,700 - -------------------------------------------------------------------------------------------------- Total Convertible Bonds and Notes (cost $4,413,532) $3,814,042 - -------------------------------------------------------------------------------------------------- COMMON STOCKS (0.3%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 200 AmeriKing, Inc. (NON) $2 .................................................................................................. 28,114 Arch Wireless, Inc. (NON) 380 .................................................................................................. 12,220 Aurora Foods, Inc. (NON) 61,711 .................................................................................................. 143,564 Celcaribe SA (Colombia) (NON) 17,946 .................................................................................................. 2,321,451 Contifinancial Corp. Liquidating Trust units 139,287 .................................................................................................. 30,000 Contour Energy Co. (NON) 27,750 .................................................................................................. 11,059 Covad Communications Group, Inc. 144A (NON) 31,629 .................................................................................................. 1,170 Delta Funding Residual Exchange Co., LLC 277,875 .................................................................................................. 1,170 Delta Funding Residual Management, Inc. 12 .................................................................................................. 20,830 Fitzgerald Gaming Corp. (NON) 208 .................................................................................................. 119,276 Focal Communications Corp. (NON) 72,758 .................................................................................................. 8,093 Genesis Health Ventures, Inc. (NON) 174,000 .................................................................................................. 10,535 Intira Corp. 1 .................................................................................................. 9,181 MPower Holdings Corp. 144A (NON) 4,131 .................................................................................................. 61 Premium Holdings (L.P.) 144A 978 .................................................................................................. 528 PSF Holdings LLC Class A 844,960 .................................................................................................. 151 Quorum Broadcast Holdings, Inc. Class E (acquired 5/15/01, cost $150,680) (RES) 150,550 .................................................................................................. 22,399 United Artists Theatre Co. (NON) 179,192 .................................................................................................. 1,335 Vast Solutions, Inc. Class B1 (NON) 4,005 .................................................................................................. 1,335 Vast Solutions, Inc. Class B2 (NON) 4,005 .................................................................................................. 1,335 Vast Solutions, Inc. Class B3 (NON) 4,005 - -------------------------------------------------------------------------------------------------- Total Common Stocks (cost $4,464,120) $1,995,385 - -------------------------------------------------------------------------------------------------- UNITS (0.1%) (a) - -------------------------------------------------------------------------------------------------- Number of Units Value .................................................................................................. 840 Australis Media, Ltd. units 15 3/4s, 2003 (Australia) (In default) (NON) $84 .................................................................................................. 350 Mikohn Gaming Corp. 144A units 11 7/8s, 2008 339,500 .................................................................................................. 760 Pegasus Shipping 144A units stepped-coupon zero % (14 1/2s, 6/20/03), 2008 (Bermuda) (STP) 26,600 .................................................................................................. 650 XCL, Ltd. 144A units 13 1/2s, 2004 (In default) (NON) 195,000 .................................................................................................. 2,800 XCL, Ltd. 144A units cv. cum. pfd. 9.5s (In default) (NON) (PIK) 1,400 - -------------------------------------------------------------------------------------------------- Total Units (cost $3,941,173) $562,584 - -------------------------------------------------------------------------------------------------- WARRANTS (0.1%) (a) (NON) - -------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .................................................................................................. 6 Anker Coal Group, Inc. 144A 10/28/09 $1 .................................................................................................. 410 Bestel SA de CV (Mexico) 5/15/05 49,200 .................................................................................................. 410 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 41 .................................................................................................. 36,500 CGA Group, Ltd. 144A 2/11/07 365 .................................................................................................. 460 Colo.com, Inc. 144A 3/15/10 5 .................................................................................................. 1,100 Comunicacion Cellular 144A (Colombia) 11/15/03 2,200 .................................................................................................. 890 Dayton Superior Corp. 6/15/09 17,800 .................................................................................................. 1,320 Decrane Aircraft Holdings Co. 9/30/08 1 .................................................................................................. 12,402 Delta Financial Corp. 12/21/10 1 .................................................................................................. 877 Diva Systems Corp. 5/15/06 8 .................................................................................................. 4,971 Diva Systems Corp. 144A 3/1/08 50 .................................................................................................. 6,372 Genesis Health Ventures, Inc. 10/1/02 30,267 .................................................................................................. 300 Globalstar Telecommunications 2/15/04 3 .................................................................................................. 920 Horizon PCS, Inc. 10/1/10 36,800 .................................................................................................. 5,181 ICG Communications, Inc. 10/15/05 52 .................................................................................................. 16,667 Imperial Credit Industries, Inc. 8/1/08 17 .................................................................................................. 650 Interact Systems, Inc. 8/1/03 1 .................................................................................................. 650 Interact Systems, Inc. 144A 12/15/09 7 .................................................................................................. 63,257 Intira Corp. Class B 9/29/10 6 .................................................................................................. 790 iPCS, Inc. 144A 7/15/10 19,750 .................................................................................................. 650 Iridium World Com 144A 7/15/05 1 .................................................................................................. 520 IWO Holdings, Inc. 1/15/11 36,400 .................................................................................................. 970 Jostens, Inc. 5/1/10 9,700 .................................................................................................. 1,750 KMC Telecommunications Holdings, Inc. 144A 4/15/08 17 .................................................................................................. 1,035 Knology Holdings, Inc. 10/22/07 26 .................................................................................................. 486 Leap Wireless International, Inc. 144A 4/15/10 14,580 .................................................................................................. 1,660 McCaw International, Ltd. 4/15/07 17 .................................................................................................. 495 Mediq, Inc. 144A 6/1/09 5 .................................................................................................. 360 ONO Finance PLC 144A (United Kingdom) 2/15/11 7,200 .................................................................................................. 500 Orbital Imaging Corp. 144A 3/1/05 1 .................................................................................................. 585 Orion Network Systems, Inc. 1/15/07 15 .................................................................................................. 460 Pagemart, Inc. 144A 12/31/03 4 .................................................................................................. 960 Paxson Communications Corp. 144A 6/30/03 3,840 .................................................................................................. 350 Pliant Corp. 144A 6/1/10 700 .................................................................................................. 395 Raintree Resort 144A 12/1/04 4 .................................................................................................. 950 Startec Global Communications Corp. 5/15/08 10 .................................................................................................. 235 Sterling Chemicals Holdings 8/15/08 141 .................................................................................................. 360 Telehub Communications Corp. 144A 7/31/05 1 .................................................................................................. 330 Travel Centers of America, Inc. 144A 5/1/09 3 .................................................................................................. 1,420 Ubiquitel, Inc. 144A 4/15/10 71,000 .................................................................................................. 1,390 UIH Australia/Pacific, Inc. 144A 5/15/06 14 .................................................................................................. 12,984 United Artists Theatre 3/2/08 103,872 .................................................................................................. 650 Veraldo Holdings, Inc. 144A 4/15/08 6 .................................................................................................. 30 Versatel Telecom NV (Netherlands) 5/15/08 15 .................................................................................................. 500 XM Satellite Radio Holdings, Inc. 144A 3/15/10 500 - -------------------------------------------------------------------------------------------------- Total Warrants (cost $1,728,727) $404,647 - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.1%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 88 Anker Coal Group, Inc. 14.25% cv. pfd. $440 .................................................................................................. 50 Genesis Health Ventures, Inc. $6.00 cv. pfd. (PIK) 5,500 .................................................................................................. 650 Interact Systems, Inc. 144A 14.00% cv. pfd. (In default) (NON) 7 .................................................................................................. 4,200 LTV Corp. (The) 144A $4.125 cv. pfd. (In default) (NON) 8,925 .................................................................................................. 40 Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK) 348,000 .................................................................................................. 108 World Access, Inc. 144A Ser. D, zero % cv. pfd. 27 .................................................................................................. 553 XCL, Ltd. 144A Ser. A, 9.50% cum. cv. pfd. (In default) (NON) (PIK) 277 - -------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $912,079) $363,176 - -------------------------------------------------------------------------------------------------- PURCHASED OPTIONS OUTSTANDING (--%) (a) - -------------------------------------------------------------------------------------------------- Expiration Date/ Contract Amount Strike Price Value .................................................................................................. $8,126,075 Brazil (Federal Republic of) C Brady Bond, 4/15/14 (Lehman Brothers) (Call) Feb. 02/ 76.188 USD $4,063 .................................................................................................. 4,030,000 Russia (Federation of) Global Bond, 5s, 3/31/30 (Lehman Brothers) (Call) Feb. 02/ 56.50 USD 8,221 .................................................................................................. 3,978,000 United Mexican States Global Bond, 11.5s, 5/15/26 (Lehman Brothers) (Call) Feb. 02/ 127.30 USD 1,671 - -------------------------------------------------------------------------------------------------- Total Purchased Options Outstanding (cost $229,488) $13,955 - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (3.2%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $2,909 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $2,905 .................................................................................................. 18,477,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Goldman Sachs & Co. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $18,478,837 for an effective yield of 1.79% 18,477,000 - -------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $18,479,905) $18,479,905 - -------------------------------------------------------------------------------------------------- Total Investments (cost $628,515,481) (b) $572,548,436 - -------------------------------------------------------------------------------------------------- Forward Currency Contracts to Buy at December 31, 2001 (aggregate face value $38,459,746) - -------------------------------------------------------------------------------------------------- Unrealized Market Aggregate Delivery Appreciation/ Value Face Value Date (Depreciation) .................................................................................................. Australian Dollars $10,327,543 $10,449,362 3/20/02 $(121,819) .................................................................................................. British Pounds 4,790,691 4,755,011 3/20/02 35,680 .................................................................................................. Canadian Dollars 3,612,548 3,616,779 3/20/02 (4,231) .................................................................................................. Danish Krone 633,316 629,877 3/20/02 3,439 .................................................................................................. Euro 4,752,164 4,795,344 3/20/02 (43,180) .................................................................................................. Japanese Yen 13,224,859 13,897,866 3/20/02 (673,007) .................................................................................................. Swiss Francs 313,432 315,507 3/20/02 (2,075) - -------------------------------------------------------------------------------------------------- $(805,193) - -------------------------------------------------------------------------------------------------- Forward Currency Contracts to Sell at December 31, 2001 (aggregate face value $33,229,186) - -------------------------------------------------------------------------------------------------- Unrealized Market Aggregate Delivery Appreciation/ Value Face Value Date (Depreciation) .................................................................................................. British Pounds $9,978,471 $9,833,933 3/20/02 $(144,538) .................................................................................................. Canadian Dollars 1,476,961 1,502,798 3/20/02 25,837 .................................................................................................. Euro 14,555,605 14,537,717 3/20/02 (17,888) .................................................................................................. New Zealand Dollars 1,641,415 1,634,445 3/20/02 (6,970) .................................................................................................. Swedish Krona 5,732,195 5,720,293 3/20/02 (11,902) - -------------------------------------------------------------------------------------------------- $(155,461) - -------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - -------------------------------------------------------------------------------------------------- Unrealized Total Aggregate Expiration Appreciation/ Value Face Value Date (Depreciation) .................................................................................................. Euro-Bobl (Long) $16,940,053 $17,214,833 Mar-02 $(274,780) .................................................................................................. Euro Bund 10 yr (Long) 665,451 675,573 Mar-02 (10,122) .................................................................................................. Euro 90 day (Long) 1,901,300 1,923,834 Jun-02 (22,534) .................................................................................................. Euro 90 day (Short) 1,960,500 1,957,166 Mar-02 (3,334) .................................................................................................. Gilt (Long) 2,626,810 2,708,408 Mar-02 (81,598) .................................................................................................. Japanese Government Bond 10 yr-Simex (Long) 1,687,488 1,681,945 Mar-02 5,543 .................................................................................................. U.S. Treasury (Long) 7,817,906 8,040,143 Mar-02 (222,237) .................................................................................................. U.S. Treasury 10 yr (Long) 7,464,984 7,463,787 Mar-02 1,197 - -------------------------------------------------------------------------------------------------- $(607,865) - -------------------------------------------------------------------------------------------------- TBA Sales Commitments at December 31, 2001 (proceeds receivable $2,534,602) - -------------------------------------------------------------------------------------------------- Principal Settlement Market Agency Amount Date Value .................................................................................................. FNMA, 7 1/2s, December 1, 2031 $2,450,000 1/14/02 $2,528,106 - -------------------------------------------------------------------------------------------------- Swap Contracts outstanding at December 31, 2001 Notional Termination Unrealized Amount Date Appreciation .................................................................................................. Agreement with Merrill Lynch Capital Services dated October 27, 2000 to receive semi-annually the notional amount multiplied by 6.74% and pay quarterly the notional amount multiplied by three month USD LIBOR adjusted by a specified spread. $5,600,000 Oct-05 $398,796 - -------------------------------------------------------------------------------------------------- Diversification by Country .................................................................................................. Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) .................................................................................................. Brazil 2.3% .................................................................................................. Canada 2.1 .................................................................................................. France 2.4 .................................................................................................. Germany 2.1 .................................................................................................. Italy 1.6 .................................................................................................. Mexico 2.0 .................................................................................................. Russia 2.3 .................................................................................................. Sweden 1.1 .................................................................................................. Other 3.6 .................................................................................................. United Kingdom 2.9 .................................................................................................. United States 77.6 .................................................................................................. Total 100.0% .................................................................................................. See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT The George Putnam Fund of Boston The fund's portfolio December 31, 2001 COMMON STOCKS (59.9%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (0.2%) .......................................................................................................................... 33,300 Interpublic Group of Companies, Inc. $983,682 .......................................................................................................................... 7,600 Valassis Communications, Inc. (NON) 270,712 - -------------------------------------------------------------------------------------------------------------------------- 1,254,394 - -------------------------------------------------------------------------------------------------------------------------- Aerospace and Defense (0.8%) .......................................................................................................................... 24,000 Boeing Co. 930,720 .......................................................................................................................... 42,400 Lockheed Martin Corp. 1,978,808 .......................................................................................................................... 12,700 Northrop Grumman Corp. 1,280,287 - -------------------------------------------------------------------------------------------------------------------------- 4,189,815 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.1%) .......................................................................................................................... 15,300 Delphi Automotive Systems Corp. 208,998 .......................................................................................................................... 38,300 Ford Motor Co. 602,076 - -------------------------------------------------------------------------------------------------------------------------- 811,074 - -------------------------------------------------------------------------------------------------------------------------- Banking (6.5%) .......................................................................................................................... 92,900 Bank of America Corp. 5,848,055 .......................................................................................................................... 83,800 Bank of New York Company, Inc. (The) 3,419,040 .......................................................................................................................... 11,000 BB&T Corp. 397,210 .......................................................................................................................... 117,700 Charter One Financial, Inc. 3,195,555 .......................................................................................................................... 72,600 Comerica, Inc. 4,159,980 .......................................................................................................................... 23,400 FleetBoston Financial Corp. 854,100 .......................................................................................................................... 12,800 M&T Bank Corp. 932,480 .......................................................................................................................... 36,500 Mellon Financial Corp. 1,373,130 .......................................................................................................................... 7,800 Mercantile Bankshares Corp. 335,712 .......................................................................................................................... 10,700 PNC Financial Services Group 601,340 .......................................................................................................................... 16,900 Synovus Financial Corp. 423,345 .......................................................................................................................... 280,300 U.S. Bancorp 5,866,679 .......................................................................................................................... 30,900 Wachovia Corp. 969,024 .......................................................................................................................... 49,900 Washington Mutual, Inc. 1,631,730 .......................................................................................................................... 103,700 Wells Fargo & Co. 4,505,765 .......................................................................................................................... 11,900 Zions Bancorporation 625,702 - -------------------------------------------------------------------------------------------------------------------------- 35,138,847 - -------------------------------------------------------------------------------------------------------------------------- Beverage (1.7%) .......................................................................................................................... 27,600 Anheuser-Busch Cos., Inc. 1,247,796 .......................................................................................................................... 7,890 Brown-Forman Corp. Class B 493,914 .......................................................................................................................... 57,800 Coca-Cola Co. (The) 2,725,270 .......................................................................................................................... 56,000 Coca-Cola Enterprises, Inc. 1,060,640 .......................................................................................................................... 54,800 Fortune Brands, Inc. 2,169,532 .......................................................................................................................... 61,400 Pepsi Bottling Group, Inc. (The) 1,442,900 - -------------------------------------------------------------------------------------------------------------------------- 9,140,052 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.1%) .......................................................................................................................... 13,300 Clear Channel Communications, Inc. (NON) 677,103 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (--%) .......................................................................................................................... 4,900 Comcast Corp. Class A (NON) 176,400 - -------------------------------------------------------------------------------------------------------------------------- Capital Goods (0.2%) .......................................................................................................................... 15,800 Eaton Corp. 1,175,678 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (1.1%) .......................................................................................................................... 29,200 Avery Dennison Corp. 1,650,676 .......................................................................................................................... 22,200 Dow Chemical Co. (The) 749,916 .......................................................................................................................... 20,800 E.I. du Pont de Nemours & Co. 884,208 .......................................................................................................................... 36,800 Engelhard Corp. 1,018,624 .......................................................................................................................... 30,300 PPG Industries, Inc. 1,567,116 .......................................................................................................................... 5,700 Rohm & Haas Co. 197,391 - -------------------------------------------------------------------------------------------------------------------------- 6,067,931 - -------------------------------------------------------------------------------------------------------------------------- Coal (0.2%) .......................................................................................................................... 21,000 Arch Coal, Inc. 476,700 .......................................................................................................................... 28,700 Peabody Energy Corp. 809,053 - -------------------------------------------------------------------------------------------------------------------------- 1,285,753 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (--%) .......................................................................................................................... 13,000 ServiceMaster Co. (The) 179,400 - -------------------------------------------------------------------------------------------------------------------------- Computers (2.6%) .......................................................................................................................... 295,800 Compaq Computer Corp. 2,887,008 .......................................................................................................................... 66,000 Dell Computer Corp. (NON) 1,793,880 .......................................................................................................................... 164,900 Hewlett-Packard Co. 3,387,046 .......................................................................................................................... 39,100 IBM Corp. 4,729,536 .......................................................................................................................... 12,400 Lexmark International, Inc. (NON) 731,600 .......................................................................................................................... 14,900 NCR Corp. (NON) 549,214 - -------------------------------------------------------------------------------------------------------------------------- 14,078,284 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (1.4%) .......................................................................................................................... 530 Berkshire Hathaway, Inc. Class B (NON) 1,338,250 .......................................................................................................................... 31,400 Cooper Industries, Inc. 1,096,488 .......................................................................................................................... 26,000 General Electric Co. 1,042,080 .......................................................................................................................... 33,600 Honeywell International, Inc. 1,136,352 .......................................................................................................................... 53,200 Tyco International, Ltd. (Bermuda) 3,133,480 - -------------------------------------------------------------------------------------------------------------------------- 7,746,650 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.2%) .......................................................................................................................... 16,800 Household International, Inc. 973,392 .......................................................................................................................... 19,200 Providian Financial Corp. 68,160 - -------------------------------------------------------------------------------------------------------------------------- 1,041,552 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.3%) .......................................................................................................................... 24,900 Kimberly-Clark Corp. 1,489,020 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (3.1%) .......................................................................................................................... 71,200 Cinergy Corp. 2,380,216 .......................................................................................................................... 22,800 Constellation Energy Group, Inc. 605,340 .......................................................................................................................... 6,400 Dominion Resources, Inc. 384,640 .......................................................................................................................... 45,595 DPL, Inc. 1,097,928 .......................................................................................................................... 2,800 DTE Energy Co. 117,432 .......................................................................................................................... 17,100 Duke Energy Corp. 671,346 .......................................................................................................................... 20,400 Edison International (NON) 308,040 .......................................................................................................................... 77,300 Entergy Corp. 3,023,203 .......................................................................................................................... 35,600 FirstEnergy Corp. 1,245,288 .......................................................................................................................... 4,300 FPL Group, Inc. 242,520 .......................................................................................................................... 27,200 Northeast Utilities 479,536 .......................................................................................................................... 26,500 PPL Corp. 923,525 .......................................................................................................................... 66,800 Progress Energy, Inc. 3,008,004 .......................................................................................................................... 88,400 Reliant Energy, Inc. 2,344,368 - -------------------------------------------------------------------------------------------------------------------------- 16,831,386 - -------------------------------------------------------------------------------------------------------------------------- Electronics (1.5%) .......................................................................................................................... 6,400 Avnet, Inc. 163,008 .......................................................................................................................... 136,600 Intel Corp. 4,296,070 .......................................................................................................................... 140,000 Motorola, Inc. 2,102,800 .......................................................................................................................... 64,100 Solectron Corp. (NON) 723,048 .......................................................................................................................... 12,900 W.W. Grainger, Inc. 619,200 - -------------------------------------------------------------------------------------------------------------------------- 7,904,126 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.3%) .......................................................................................................................... 5,000 Baker Hughes, Inc. 182,350 .......................................................................................................................... 21,600 Schlumberger, Ltd. 1,186,920 - -------------------------------------------------------------------------------------------------------------------------- 1,369,270 - -------------------------------------------------------------------------------------------------------------------------- Financial (3.8%) .......................................................................................................................... 39,900 American Express Co. 1,424,031 .......................................................................................................................... 271,300 Citigroup, Inc. 13,695,224 .......................................................................................................................... 45,400 Fannie Mae 3,609,300 .......................................................................................................................... 28,100 Freddie Mac 1,837,740 - -------------------------------------------------------------------------------------------------------------------------- 20,566,295 - -------------------------------------------------------------------------------------------------------------------------- Food (0.8%) .......................................................................................................................... 25,900 General Mills, Inc. 1,347,059 .......................................................................................................................... 32,400 H.J. Heinz Co. 1,332,288 .......................................................................................................................... 44,200 Kraft Foods, Inc. Class A 1,504,126 - -------------------------------------------------------------------------------------------------------------------------- 4,183,473 - -------------------------------------------------------------------------------------------------------------------------- Health Care (0.2%) .......................................................................................................................... 24,500 HCA, Inc. 944,230 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (1.4%) .......................................................................................................................... 53,800 Anthem, Inc. (NON) 2,663,100 .......................................................................................................................... 40,200 CIGNA Corp. 3,724,530 .......................................................................................................................... 29,900 McKesson Corp. 1,118,260 - -------------------------------------------------------------------------------------------------------------------------- 7,505,890 - -------------------------------------------------------------------------------------------------------------------------- Household Furniture and Appliances (--%) .......................................................................................................................... 9,000 Newell Rubbermaid, Inc. 248,130 - -------------------------------------------------------------------------------------------------------------------------- Insurance (2.7%) .......................................................................................................................... 104,700 ACE, Ltd. (Bermuda) 4,203,705 .......................................................................................................................... 12,800 AMBAC Financial Group, Inc. 740,608 .......................................................................................................................... 26,299 American International Group, Inc. 2,088,141 .......................................................................................................................... 7,500 Chubb Corp. (The) 517,500 .......................................................................................................................... 14,900 Hartford Financial Services Group, Inc. (The) 936,167 .......................................................................................................................... 5,000 MBIA, Inc. 268,150 .......................................................................................................................... 8,900 PMI Group, Inc. (The) 596,389 .......................................................................................................................... 30,500 Radian Group, Inc. 1,309,975 .......................................................................................................................... 3,500 St. Paul Companies, Inc. (The) 153,895 .......................................................................................................................... 6,500 UnumProvident Corp. 172,315 .......................................................................................................................... 42,100 XL Capital, Ltd. Class A (Bermuda) 3,846,256 - -------------------------------------------------------------------------------------------------------------------------- 14,833,101 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (2.6%) .......................................................................................................................... 18,100 Goldman Sachs Group, Inc. (The) 1,678,775 .......................................................................................................................... 143,500 JPMorgan Chase & Co. 5,216,225 .......................................................................................................................... 10,800 Lehman Brothers Holdings, Inc. 721,440 .......................................................................................................................... 45,200 Merrill Lynch & Company, Inc. 2,355,824 .......................................................................................................................... 75,000 Morgan Stanley Dean Witter & Co. 4,195,500 .......................................................................................................................... 8,100 Prudential Financial, Inc. (NON) 268,839 - -------------------------------------------------------------------------------------------------------------------------- 14,436,603 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.7%) .......................................................................................................................... 106,300 Cendant Corp. (NON) 2,084,543 .......................................................................................................................... 33,600 Marriott International, Inc. Class A 1,365,840 .......................................................................................................................... 18,500 Royal Caribbean Cruises, Ltd. 299,700 - -------------------------------------------------------------------------------------------------------------------------- 3,750,083 - -------------------------------------------------------------------------------------------------------------------------- Machinery (0.1%) .......................................................................................................................... 17,300 Parker-Hannifin Corp. 794,243 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.1%) .......................................................................................................................... 7,600 Illinois Tool Works, Inc. 514,672 - -------------------------------------------------------------------------------------------------------------------------- Media (1.2%) .......................................................................................................................... 152,100 Liberty Media Corp. Class A (NON) 2,129,400 .......................................................................................................................... 32,500 USA Networks, Inc. (NON) 887,575 .......................................................................................................................... 177,351 Walt Disney Co. (The) 3,674,713 - -------------------------------------------------------------------------------------------------------------------------- 6,691,688 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (0.3%) .......................................................................................................................... 18,000 Pall Corp. 433,080 .......................................................................................................................... 32,400 Zimmer Holdings, Inc. (NON) 989,496 - -------------------------------------------------------------------------------------------------------------------------- 1,422,576 - -------------------------------------------------------------------------------------------------------------------------- Metals (0.1%) .......................................................................................................................... 14,300 Alcoa, Inc. 508,365 .......................................................................................................................... 15,300 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 204,867 - -------------------------------------------------------------------------------------------------------------------------- 713,232 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.7%) .......................................................................................................................... 64,541 Dynegy, Inc. Class A 1,645,796 .......................................................................................................................... 15,900 El Paso Corp. 709,299 .......................................................................................................................... 11,800 National Fuel Gas Co. 291,460 .......................................................................................................................... 39,500 NiSource, Inc. 910,870 .......................................................................................................................... 14,000 Williams Companies, Inc. (The) 357,280 - -------------------------------------------------------------------------------------------------------------------------- 3,914,705 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (5.6%) .......................................................................................................................... 11,500 Anadarko Petroleum Corp. 653,775 .......................................................................................................................... 7,500 ChevronTexaco Corp. 672,075 .......................................................................................................................... 43,100 Conoco, Inc. 1,219,730 .......................................................................................................................... 21,400 Devon Energy Corp. 827,110 .......................................................................................................................... 253,500 Exxon Mobil Corp. 9,962,550 .......................................................................................................................... 44,280 Phillips Petroleum Co. 2,668,313 .......................................................................................................................... 195,700 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 9,593,214 .......................................................................................................................... 24,300 TotalFinaElf SA ADR (France) 1,706,832 .......................................................................................................................... 62,300 Unocal Corp. 2,247,161 .......................................................................................................................... 21,200 USX-Marathon Group 636,000 .......................................................................................................................... 4,300 Valero Energy Corp. 163,916 - -------------------------------------------------------------------------------------------------------------------------- 30,350,676 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (1.4%) .......................................................................................................................... 128,700 Abitibi-Consolidated, Inc. (Canada) (Toronto) 937,833 .......................................................................................................................... 91,600 Abitibi-Consolidated, Inc. (Canada) 670,512 .......................................................................................................................... 16,300 Boise Cascade Corp. 554,363 .......................................................................................................................... 57,800 International Paper Co. 2,332,230 .......................................................................................................................... 113,800 Smurfit-Stone Container Corp. (NON) 1,817,386 .......................................................................................................................... 37,400 Sonoco Products Co. 994,092 .......................................................................................................................... 9,100 Weyerhaeuser Co. 492,128 - -------------------------------------------------------------------------------------------------------------------------- 7,798,544 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (5.2%) .......................................................................................................................... 14,400 Abbott Laboratories 802,800 .......................................................................................................................... 115,200 Bristol-Myers Squibb Co. 5,875,200 .......................................................................................................................... 75,400 Johnson & Johnson 4,456,140 .......................................................................................................................... 149,000 Merck & Co., Inc. 8,761,200 .......................................................................................................................... 113,500 Pfizer, Inc. 4,522,975 .......................................................................................................................... 34,788 Pharmacia Corp. 1,483,708 .......................................................................................................................... 68,000 Schering-Plough Corp. 2,435,080 - -------------------------------------------------------------------------------------------------------------------------- 28,337,103 - -------------------------------------------------------------------------------------------------------------------------- Publishing (0.1%) .......................................................................................................................... 14,600 Tribune Co. 546,478 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.7%) .......................................................................................................................... 9,300 CSX Corp. 325,965 .......................................................................................................................... 56,900 Union Pacific Corp. 3,243,300 - -------------------------------------------------------------------------------------------------------------------------- 3,569,265 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (1.0%) .......................................................................................................................... 28,700 Archstone-Smith Trust (R) 754,810 .......................................................................................................................... 28,600 Boston Properties, Inc. (R) 1,086,800 .......................................................................................................................... 33,000 Equity Office Properties Trust (R)) 992,640 .......................................................................................................................... 90,600 Equity Residential Properties Trust (R) 2,601,126 - -------------------------------------------------------------------------------------------------------------------------- 5,435,376 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (2.9%) .......................................................................................................................... 90,200 BellSouth Corp. 3,441,130 .......................................................................................................................... 208,700 SBC Communications, Inc. (SEG) 8,174,766 .......................................................................................................................... 84,300 Verizon Communications, Inc. 4,000,878 - -------------------------------------------------------------------------------------------------------------------------- 15,616,774 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.9%) .......................................................................................................................... 31,100 Darden Restaurants, Inc. 1,100,940 .......................................................................................................................... 129,700 McDonald's Corp. 3,433,159 .......................................................................................................................... 6,100 Tricon Global Restaurants, Inc. (NON) 300,120 - -------------------------------------------------------------------------------------------------------------------------- 4,834,219 - -------------------------------------------------------------------------------------------------------------------------- Retail (1.6%) .......................................................................................................................... 22,400 Federated Department Stores, Inc. (NON) 916,160 .......................................................................................................................... 57,200 J.C. Penney Co., Inc. 1,538,680 .......................................................................................................................... 50,800 Kroger Co. (NON) 1,060,196 .......................................................................................................................... 116,800 Limited, Inc. (The) 1,719,296 .......................................................................................................................... 9,500 May Department Stores Co. 351,310 .......................................................................................................................... 12,700 Office Depot, Inc. (NON) 235,458 .......................................................................................................................... 26,500 Rite Aid Corp. (NON) 134,090 .......................................................................................................................... 6,000 Safeway, Inc. (NON) 250,500 .......................................................................................................................... 36,400 Staples, Inc. (NON) 680,680 .......................................................................................................................... 40,700 TJX Companies, Inc. (The) 1,622,302 - -------------------------------------------------------------------------------------------------------------------------- 8,508,672 - -------------------------------------------------------------------------------------------------------------------------- Software (0.4%) .......................................................................................................................... 124,500 BMC Software, Inc. (NON) 2,038,065 .......................................................................................................................... 12,000 Computer Associates International, Inc. 413,880 - -------------------------------------------------------------------------------------------------------------------------- 2,451,945 - -------------------------------------------------------------------------------------------------------------------------- Technology (0.1%) .......................................................................................................................... 19,900 Flextronics International, Ltd. (Singapore) (NON) 477,401 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.1%) .......................................................................................................................... 17,200 Automatic Data Processing, Inc. 1,013,080 .......................................................................................................................... 44,800 Convergys Corp. (NON) 1,679,552 .......................................................................................................................... 133,000 KPMG Consulting, Inc. (NON) 2,203,810 .......................................................................................................................... 32,800 Unisys Corp. (NON) 411,312 .......................................................................................................................... 46,300 Xerox Corp. 482,446 - -------------------------------------------------------------------------------------------------------------------------- 5,790,200 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (1.6%) .......................................................................................................................... 11,200 ALLTEL Corp. 691,376 .......................................................................................................................... 15,900 AT&T Wireless Services, Inc. (NON) 228,483 .......................................................................................................................... 27,000 Citizens Communications Co. (NON) 287,820 .......................................................................................................................... 6,349 Covad Communications Group, Inc. 144A (NON) 18,158 .......................................................................................................................... 203,000 Qwest Communications International, Inc. 2,868,390 .......................................................................................................................... 150,200 Sprint Corp. (FON Group) 3,016,016 .......................................................................................................................... 102,000 Worldcom, Inc.-WorldCom Group (NON) 1,436,160 - -------------------------------------------------------------------------------------------------------------------------- 8,546,403 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (1.5%) .......................................................................................................................... 173,400 Philip Morris Cos., Inc. 7,950,390 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.8%) .......................................................................................................................... 79,800 Republic Services, Inc. (NON) 1,593,606 .......................................................................................................................... 94,400 Waste Management, Inc. 3,012,304 - -------------------------------------------------------------------------------------------------------------------------- 4,605,910 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $309,986,657) $325,895,012 - -------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS (20.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... U.S. Government Agency Mortgage Obligations (14.7%) .......................................................................................................................... Federal National Mortgage Association Pass-Through Certificates .......................................................................................................................... $169,263 8s, October 1, 2025 $178,762 .......................................................................................................................... 17,598,982 7 1/2s, with due dates from August 1, 2029 to August 1, 2031 18,172,008 .......................................................................................................................... 2,260,000 7 1/4s, May 15, 2030 2,546,026 .......................................................................................................................... 1,838,000 TBA, 7s, December 1, 2016 1,901,190 .......................................................................................................................... 65,000 6 5/8s, November 15, 2030 67,915 .......................................................................................................................... 22,357,522 6 1/2s, with due dates from January 1, 2016 to December 1, 2031 22,434,684 .......................................................................................................................... 8,943,661 6s, with due dates from January 1, 2015 to December 1, 2031 8,808,825 .......................................................................................................................... 8,683,859 TBA, 6s, January 1, 2032 8,491,164 .......................................................................................................................... 2,000,000 TBA, 6s, November 1, 2016 2,005,000 .......................................................................................................................... Government National Mortgage Association Pass-Through Certificates .......................................................................................................................... 3,209,929 8s, with due dates from December 15, 2022 to July 15, 2027 3,384,776 .......................................................................................................................... 471,506 7 1/2s, January 15, 2030 488,692 .......................................................................................................................... 1,573,942 7s, with due dates from August 15, 2023 to December 15, 2028 1,617,136 .......................................................................................................................... 9,763,448 6 1/2s, with due dates from March 15, 2028 to December 15, 2031 9,820,369 - -------------------------------------------------------------------------------------------------------------------------- 79,916,547 - -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Obligations (5.8%) .......................................................................................................................... U.S. Treasury Bonds .......................................................................................................................... 940,000 8s, November 15, 2021 1,189,984 .......................................................................................................................... 1,790,000 6 1/2s, November 15, 2026 1,960,605 .......................................................................................................................... 955,000 6s, February 15, 2026 982,609 .......................................................................................................................... 2,030,000 5 3/8s, February 15, 2031 2,000,504 .......................................................................................................................... U.S. Treasury Notes .......................................................................................................................... 3,230,000 6 5/8s, May 15, 2007 3,547,961 .......................................................................................................................... 10,850,000 3 1/2s, November 15, 2006 10,456,688 .......................................................................................................................... 11,725,000 3 1/8s, December 31, 2003 11,767,093 - -------------------------------------------------------------------------------------------------------------------------- 31,905,444 - -------------------------------------------------------------------------------------------------------------------------- Total U.S. Government and Agency Obligations (cost $112,034,995) $111,821,991 - -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES (10.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... Aerospace and Defense (0.4%) .......................................................................................................................... $560,000 Boeing Co. deb. 6 5/8s, 2038 $520,380 .......................................................................................................................... 260,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 311,043 .......................................................................................................................... 280,000 Raytheon Co. notes 8.3s, 2010 312,239 .......................................................................................................................... 795,000 Raytheon Co. notes 6.15s, 2008 786,152 .......................................................................................................................... 170,000 Sequa Corp. sr. notes 9s, 2009 156,400 - -------------------------------------------------------------------------------------------------------------------------- 2,086,214 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.2%) .......................................................................................................................... 16,730 Continental Airlines, Inc. pass-through certificates Ser. 974C, 6.8s, 2009 13,954 .......................................................................................................................... 110,000 Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008 97,809 .......................................................................................................................... 688,081 Continental Airlines, Inc. pass-through certificates Ser. 981C, 6.541s, 2009 588,880 .......................................................................................................................... 150,000 Northwest Airlines, Inc. company guaranty 8.7s, 2007 112,500 .......................................................................................................................... 90,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 74,700 - -------------------------------------------------------------------------------------------------------------------------- 887,843 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.4%) .......................................................................................................................... 490,000 DaimlerChrysler Corp. company guaranty 8 1/2s, 2031 524,731 .......................................................................................................................... 80,000 Dana Corp. 144A sr. notes 9s, 2011 73,600 .......................................................................................................................... 490,000 Ford Motor Co. bonds 6 5/8s, 2028 407,910 .......................................................................................................................... 895,000 Ford Motor Co. notes 7.45s, 2031 821,189 .......................................................................................................................... 195,000 Visteon Corp. sr. notes 8 1/4s, 2010 201,733 - -------------------------------------------------------------------------------------------------------------------------- 2,029,163 - -------------------------------------------------------------------------------------------------------------------------- Banking (1.8%) .......................................................................................................................... 1,320,000 Bank of America Corp. sub. notes 7.4s, 2011 1,415,885 .......................................................................................................................... 915,000 Bank One Corp. notes 6s, 2008 917,507 .......................................................................................................................... 1,110,000 Bank United Corp. notes Ser. A, 8s, 2009 1,201,619 .......................................................................................................................... 580,000 Citicorp sub. notes 6 3/8s, 2008 594,065 .......................................................................................................................... 215,000 Colonial Bank sub. notes 9 3/8s, 2011 224,604 .......................................................................................................................... 325,000 Colonial Bank sub. notes 8s, 2009 315,159 .......................................................................................................................... 250,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 271,353 .......................................................................................................................... 480,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 478,522 .......................................................................................................................... 510,000 Imperial Bank sub. notes 8 1/2s, 2009 563,940 .......................................................................................................................... 170,000 Merita Bank, Ltd. sub. notes 6 1/2s, 2006 (Finland) 177,232 .......................................................................................................................... 220,000 National City Corp. sub. notes 7.2s, 2005 233,658 .......................................................................................................................... 395,000 NB Capital Trust IV company guaranty 8 1/4s, 2027 417,819 .......................................................................................................................... 1,310,000 Peoples Bank-Bridgeport sub. notes 7.2s, 2006 1,302,795 .......................................................................................................................... 550,000 PNC Funding Corp. company guaranty 5 3/4s, 2006 560,368 .......................................................................................................................... 615,000 Royal Bank of Scotland Group PLC bonds Ser. 2, 8.817s, 2005 (United Kingdom) 666,537 .......................................................................................................................... 420,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 453,600 - -------------------------------------------------------------------------------------------------------------------------- 9,794,663 - -------------------------------------------------------------------------------------------------------------------------- Beverage (0.1%) .......................................................................................................................... 500,000 Pepsi Bottling Group, Inc. (The) sr. notes Ser. B, 7s, 2029 529,975 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.1%) .......................................................................................................................... 30,000 AMFM Operating, Inc. deb. 12 5/8s, 2006 32,025 .......................................................................................................................... 330,000 News America Holdings, Inc. deb. 7.7s, 2025 322,047 - -------------------------------------------------------------------------------------------------------------------------- 354,072 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.1%) .......................................................................................................................... 80,000 Adelphia Communications Corp. sr. notes 7 7/8s, 2009 72,400 .......................................................................................................................... 332,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 351,920 - -------------------------------------------------------------------------------------------------------------------------- 424,320 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.2%) .......................................................................................................................... 180,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 181,800 .......................................................................................................................... 30,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 32,032 .......................................................................................................................... 140,000 Lyondell Petrochemical Co. sec. notes Ser. B, 9 7/8s, 2007 139,650 .......................................................................................................................... 170,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 175,100 .......................................................................................................................... 330,000 Rohm & Haas Co. notes 7.4s, 2009 354,743 - -------------------------------------------------------------------------------------------------------------------------- 883,325 - -------------------------------------------------------------------------------------------------------------------------- Computers (0.1%) .......................................................................................................................... 450,000 IBM Corp. deb. 7 1/8s, 2096 462,938 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (0.1%) .......................................................................................................................... 545,000 Tyco International, Ltd. company guaranty 6 3/8s, 2005 (Luxembourg) 553,235 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.7%) .......................................................................................................................... 930,000 American General Finance notes Ser. F, 5 7/8s, 2006 961,341 .......................................................................................................................... 255,000 Ford Motor Credit Corp. bonds 7 3/8s, 2011 251,634 .......................................................................................................................... 540,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 533,131 .......................................................................................................................... 20,000 Ford Motor Credit Corp. notes 6.55s, 2002 20,369 .......................................................................................................................... 920,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 902,840 .......................................................................................................................... 40,000 General Motors Acceptance Corp. notes 5 3/4s, 2003 40,835 .......................................................................................................................... 385,000 Household Finance Corp. notes 6 1/2s, 2008 385,778 .......................................................................................................................... 460,000 Household Finance Corp. sr. unsub. 5 7/8s, 2009 437,101 - -------------------------------------------------------------------------------------------------------------------------- 3,533,029 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (0.7%) .......................................................................................................................... 170,000 AES Corp. (The) sr. notes 9 3/8s, 2010 150,450 .......................................................................................................................... 100,000 AES Corp. (The) sr. notes 8 7/8s, 2011 86,000 .......................................................................................................................... 160,000 Avista Corp. sr. notes 9 3/4s, 2008 164,160 .......................................................................................................................... 225,000 CILCORP, Inc. sr. notes 8.7s, 2009 220,725 .......................................................................................................................... 200,000 CMS Energy Corp. sr. notes 8.9s, 2008 203,000 .......................................................................................................................... 280,000 CMS Energy Corp. sr. notes Ser. B, 6 3/4s, 2004 274,520 .......................................................................................................................... 500,000 CMS Panhandle Holding Corp. sr. notes 6 1/8s, 2004 504,740 .......................................................................................................................... 695,000 DPL, Inc. 144A bonds 8 1/8s, 2031 667,819 .......................................................................................................................... 880,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 867,530 .......................................................................................................................... 110,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 122,100 .......................................................................................................................... 64,533 Northeast Utilities notes Ser. B, 8.38s, 2005 67,617 .......................................................................................................................... 555,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 562,192 - -------------------------------------------------------------------------------------------------------------------------- 3,890,853 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.1%) .......................................................................................................................... 130,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 135,688 .......................................................................................................................... 590,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 579,292 - -------------------------------------------------------------------------------------------------------------------------- 714,980 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.9%) .......................................................................................................................... 45,000 American General Institute 144A company guaranty 8 1/8s, 2046 50,709 .......................................................................................................................... 150,000 Associates Corp. sr. notes 6 1/4s, 2008 154,613 .......................................................................................................................... 335,000 Associates First Capital Corp. deb. 6.95s, 2018 345,901 .......................................................................................................................... 350,000 Associates First Capital Corp. sub. deb. 8.15s, 2009 390,544 .......................................................................................................................... 730,000 Citigroup, Inc. notes 6 1/2s, 2011 752,024 .......................................................................................................................... 305,000 Conseco Financing Trust II company guaranty 8.7s, 2026 57,950 .......................................................................................................................... 330,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 62,700 .......................................................................................................................... 550,000 Liberty Mutual Insurance 144A notes 7.697s, 2097 423,148 .......................................................................................................................... 220,000 Markel Capital Trust I company guaranty Ser. B, 8.71s, 2046 148,005 .......................................................................................................................... 480,000 Metlife, Inc. sr. notes 5 1/4s, 2006 479,354 .......................................................................................................................... 540,000 Nisource Finance Corp. company guaranty 7 7/8s, 2010 558,473 .......................................................................................................................... 360,000 Principal Financial Group AU 144A notes 7.95s, 2004 (Australia) 386,845 .......................................................................................................................... 450,000 Salomon, Inc. sr. notes 6 3/4s, 2003 469,733 .......................................................................................................................... 770,000 Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049 802,502 .......................................................................................................................... 390,000 TIG Capital Trust I 144A bonds 8.597s, 2027 210,600 - -------------------------------------------------------------------------------------------------------------------------- 5,293,101 - -------------------------------------------------------------------------------------------------------------------------- Food (0.1%) .......................................................................................................................... 845,000 Kraft Foods, Inc. notes 4 5/8s, 2006 826,925 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (0.2%) .......................................................................................................................... 230,000 International Game Technology sr. notes 8 3/8s, 2009 242,075 .......................................................................................................................... 190,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 197,125 .......................................................................................................................... 50,000 MGM Mirage, Inc. company guaranty 9 3/4s, 2007 52,375 .......................................................................................................................... 90,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 88,875 .......................................................................................................................... 170,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 177,650 .......................................................................................................................... 40,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 38,800 .......................................................................................................................... 220,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 228,800 - -------------------------------------------------------------------------------------------------------------------------- 1,025,700 - -------------------------------------------------------------------------------------------------------------------------- Health Care (0.1%) .......................................................................................................................... 140,000 Fresenius Medical Capital Trust II company guaranty 7 7/8s, 2008 140,000 .......................................................................................................................... 150,000 HCA, Inc. med. term notes 6.63s, 2045 151,439 .......................................................................................................................... 170,000 HCA, Inc. sr. notes 7 7/8s, 2011 175,100 - -------------------------------------------------------------------------------------------------------------------------- 466,539 - -------------------------------------------------------------------------------------------------------------------------- Homebuilding (0.1%) .......................................................................................................................... 175,000 D.R. Horton, Inc. company guaranty 8s, 2009 173,688 .......................................................................................................................... 90,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 99,000 - -------------------------------------------------------------------------------------------------------------------------- 272,688 - -------------------------------------------------------------------------------------------------------------------------- Insurance (0.1%) .......................................................................................................................... 425,000 ACE INA Holdings, Inc. company guaranty 8.3s, 2006 461,482 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.2%) .......................................................................................................................... 410,000 Goldman Sachs Group, Inc (The) notes Ser. B, 7.35s, 2009 432,382 .......................................................................................................................... 805,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 823,781 - -------------------------------------------------------------------------------------------------------------------------- 1,256,163 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.1%) .......................................................................................................................... 160,000 Felcor Lodging LP company guaranty 8 1/2s, 2011 (R) 154,400 .......................................................................................................................... 475,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 439,375 - -------------------------------------------------------------------------------------------------------------------------- 593,775 - -------------------------------------------------------------------------------------------------------------------------- Machinery (0.2%) .......................................................................................................................... 30,000 Case Corp. notes 7 1/4s, 2016 23,400 .......................................................................................................................... 920,000 Caterpillar, Inc. notes 6.55s, 2011 949,762 - -------------------------------------------------------------------------------------------------------------------------- 973,162 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.1%) .......................................................................................................................... 405,000 Norsk Hydro ASA notes 6.36s, 2009 (Norway) 405,421 - -------------------------------------------------------------------------------------------------------------------------- Media (0.2%) .......................................................................................................................... 920,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 973,627 - -------------------------------------------------------------------------------------------------------------------------- Metals (--%) .......................................................................................................................... 60,000 AK Steel Corp. company guaranty 7 7/8s, 2009 59,100 .......................................................................................................................... 195,000 AK Steel Corp. sr. notes 9 1/8s, 2006 199,875 - -------------------------------------------------------------------------------------------------------------------------- 258,975 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (1.2%) .......................................................................................................................... 780,000 Burlington Resources Finance Co. 144A notes 5.6s, 2006 (Canada) 765,734 .......................................................................................................................... 360,000 Conoco Funding Co. company guaranty 6.35s, 2011 364,640 .......................................................................................................................... 540,000 Conoco Funding Co. company guaranty 5.45s, 2006 541,447 .......................................................................................................................... 110,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 111,100 .......................................................................................................................... 1,075,000 Kerr-McGee Corp. company guaranty 6 7/8s, 2011 1,081,267 .......................................................................................................................... 100,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 106,000 .......................................................................................................................... 1,100,000 Louis Dreyfus Natural Gas Corp. notes 6 7/8s, 2007 1,137,114 .......................................................................................................................... 855,000 Occidental Petroleum, Corp. structured notes (issued by Steers Credit Linked Trust 2001), 6.019%, 2004 863,550 .......................................................................................................................... 365,000 Phillips Petroleum Co. notes 8 3/4s, 2010 424,860 .......................................................................................................................... 190,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 210,425 .......................................................................................................................... 118,000 Port Arthur Finance Corp. company guaranty 12 1/2s, 2009 120,360 .......................................................................................................................... 450,000 Union Oil Company of California company guaranty 7 1/2s, 2029 465,863 .......................................................................................................................... 135,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 141,477 - -------------------------------------------------------------------------------------------------------------------------- 6,333,837 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (--%) .......................................................................................................................... 40,000 Norampac, Inc. sr. notes 9 1/2s, 2008 (Canada) 41,800 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.1%) .......................................................................................................................... 170,000 Calpine Corp. sr. notes 8 5/8s, 2010 152,150 .......................................................................................................................... 190,000 Calpine Corp. sr. notes 8 1/2s, 2011 170,050 .......................................................................................................................... 70,000 Calpine Corp. sr. notes 7 3/4s, 2009 61,950 - -------------------------------------------------------------------------------------------------------------------------- 384,150 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.3%) .......................................................................................................................... 485,000 Burlington Northern Santa Fe Corp. notes 7 1/8s, 2010 507,271 .......................................................................................................................... 975,000 Norfolk Southern Corp. sr. notes 6 3/4s, 2011 998,966 - -------------------------------------------------------------------------------------------------------------------------- 1,506,237 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (0.1%) .......................................................................................................................... 50,000 EOP Operating LP notes 6 3/8s, 2002 50,050 .......................................................................................................................... 560,000 Simon Property Group LP 144A notes 6 3/8s, 2007 554,254 - -------------------------------------------------------------------------------------------------------------------------- 604,304 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (--%) .......................................................................................................................... 30,000 US West Capital Funding, Inc. company guaranty 6 1/4s, 2005 29,477 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (--%) .......................................................................................................................... 80,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 80,400 - -------------------------------------------------------------------------------------------------------------------------- Retail (0.1%) .......................................................................................................................... 90,000 J.C. Penney Co., Inc. notes 7.6s, 2007 88,200 .......................................................................................................................... 411,000 K mart Corp. notes 8 3/8s, 2004 341,130 .......................................................................................................................... 140,000 Southland Corp. sr. sub. deb. 5s, 2003 134,035 - -------------------------------------------------------------------------------------------------------------------------- 563,365 - -------------------------------------------------------------------------------------------------------------------------- Technology (--%) .......................................................................................................................... 40,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 42,000 .......................................................................................................................... 150,000 Lucent Technologies, Inc. deb. 6.45s, 2029 99,000 - -------------------------------------------------------------------------------------------------------------------------- 141,000 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (--%) .......................................................................................................................... 20,000 Xerox Cap Europe PLC company guaranty 5 7/8s, 2004 (United Kingdom) 18,400 .......................................................................................................................... 30,000 Xerox Corp. notes 5 1/2s, 2003 28,200 .......................................................................................................................... 60,000 Xerox Corp. notes Ser. E, 5 1/4s, 2003 56,100 - -------------------------------------------------------------------------------------------------------------------------- 102,700 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (1.0%) .......................................................................................................................... 510,000 Calpoint Receivable Structured Trust 2001 144A bonds 7.44s, 2006 500,234 .......................................................................................................................... 425,000 Cingular Wireless 144A notes 5 5/8s, 2006 426,284 .......................................................................................................................... 835,000 France Telecom 144A notes 7 3/4s, 2011 (France) 894,218 .......................................................................................................................... 110,000 MCI WorldCom, Inc. sr. notes 6.4s, 2005 112,080 .......................................................................................................................... 545,000 Sprint Capital Corp. company guaranty 5 7/8s, 2004 557,595 .......................................................................................................................... 765,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 818,160 .......................................................................................................................... 1,430,000 Verizon Wireless, Inc. 144A notes 5 3/8s, 2006 1,422,121 .......................................................................................................................... 820,000 Worldcom, Inc.-WorldCom Group notes 7 1/2s, 2011 839,746 - -------------------------------------------------------------------------------------------------------------------------- 5,570,438 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (--%) .......................................................................................................................... 280,000 Philip Morris Companies, Inc. notes 7 1/4s, 2003 289,831 - -------------------------------------------------------------------------------------------------------------------------- Toys (--%) .......................................................................................................................... 60,000 Hasbro, Inc. notes 6.15s, 2008 54,600 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.1%) .......................................................................................................................... 400,000 Browning-Ferris deb. 7.4s, 2035 320,000 .......................................................................................................................... 270,000 Waste Management, Inc. notes 6 5/8s, 2002 274,617 - -------------------------------------------------------------------------------------------------------------------------- 594,617 - -------------------------------------------------------------------------------------------------------------------------- Water Utilities (--%) .......................................................................................................................... 310,000 Azurix Corp. sr. notes Ser. B, 10 3/8s, 2007 217,000 - -------------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $55,107,196) $55,465,924 - -------------------------------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS (3.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $231,786 Arc Net Interest Margin Trust FRN Ser. 01-5A, Class A, 2.63s, 2008 $231,207 .......................................................................................................................... 1,088,170 Banc of America Commercial Mortgage, Inc. Ser. 01-PB1, Class XC, Interest Only (IO) 0.95s, 2035 48,118 .......................................................................................................................... 221,958 Chase Commercial Mortgage Securities Corp. Ser. 98-1, Class A1, 6.34s, 2006 231,114 .......................................................................................................................... 5,034,995 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 0.92s, 2020 289,709 .......................................................................................................................... 100,000 Countrywide Home Loan Ser. 98-A12, Class A14, 8s, 2028 105,063 .......................................................................................................................... CS First Boston Mortgage Securities Corp. .......................................................................................................................... 170,000 Ser. 99-C1, Class E, 7.928s, 2009 180,041 .......................................................................................................................... 291,300 Ser. 01-CK3, Class A1, 5.26s, 2006 297,171 .......................................................................................................................... Fannie Mae .......................................................................................................................... 1,285,814 Ser. 01-T8, Class A1, 7 1/2s, 2031 1,345,684 .......................................................................................................................... 1,792,444 Ser. 01-T4, Class A1, 7 1/2s, 2028 1,875,904 .......................................................................................................................... 314,085 Ser. 00-4, Class SX, 6 1/2s, 2023 314,085 .......................................................................................................................... 12,295,000 Ser. 01-T12, IO, 0.572s, 2041 205,557 .......................................................................................................................... 1,485,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 1,582,756 .......................................................................................................................... First Union National Bank Commercial Mortgage 144A .......................................................................................................................... 115,000 Ser. 01-C4, Class G, 6.937s, 2033 115,582 .......................................................................................................................... 60,000 Ser. 01-C4, Class F, 6.79s, 2033 60,304 .......................................................................................................................... 1,310,000 First Union-Lehman Bros. Commercial Mortgage Trust II Ser. 97-C2, Class A3, 6.65s, 2007 1,357,488 .......................................................................................................................... Freddie Mac .......................................................................................................................... 565,000 Ser. 2028, Class SG, IO, 10.114s, 2023 221,763 .......................................................................................................................... 1,301,036 Ser 204, IO, 6s, 2029 332,984 .......................................................................................................................... 5,289 Ser. 180, Principal Only (PO), zero %, 2026 4,346 .......................................................................................................................... 70,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 69,964 .......................................................................................................................... 978,679 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 4.146s, 2014 978,679 .......................................................................................................................... 84,939 General Growth Properties-Mall Properties Trust 144A Ser. 01-C1A, Class D2, 5.89s, 2011 81,971 .......................................................................................................................... 800,062 Government National Mortgage Association Ser. 99-46, Class SQ, IO, 8s, 2027 57,004 .......................................................................................................................... 535,000 GS Mortgage Securities Corp. II Ser. 01-LIB, Class A2, 6.615s, 2016 524,133 .......................................................................................................................... 1,875,000 GS Mortgage Securities Corp. II 144A Ser. 01-GL3A, Class A2, 6.45s, 2018 1,855,664 .......................................................................................................................... 160,000 LB Commercial Conduit Mortgage Trust Ser. 1999-C2, Class B, 7.425s, 2009 168,669 .......................................................................................................................... 3,940,915 LB-UBS Commercial Mortgage Trust 144A Ser. 01-C7, Class XCL, IO, 7.11s, 2038 156,344 .......................................................................................................................... Merrill Lynch Mortgage Investors, Inc. .......................................................................................................................... 3,401,986 Ser. 98-C2, IO, 1.53s, 2030 217,807 .......................................................................................................................... 160,000 Ser. 96-C2, Class E, 6.96s, 2028 150,319 .......................................................................................................................... 125,537 Ser. 98-C2, Class A1, 6.22s, 2030 128,715 .......................................................................................................................... 1,840,000 Morgan Stanley Capital I Ser. 96-WF1, Class A3, 7.444s, 2006 1,964,488 .......................................................................................................................... Morgan Stanley Dean Witter Capital I .......................................................................................................................... 85,000 Ser. 00, Class B, 7.58s, 2010 91,680 .......................................................................................................................... 370,000 Ser. 00-LIF2, Class A2, 7.2s, 2010 391,362 .......................................................................................................................... 693,000 Ser. 01-IQA, Class A3, 5.72s, 2011 677,949 .......................................................................................................................... Morgan Stanley Dean Witter Capital I 144A .......................................................................................................................... 125,000 FRB Ser. 01-XLF, Class D, 3.6s, 2013 124,788 .......................................................................................................................... 80,000 FRB Ser. 01-XLF, Class E, 3.49s, 2013 79,064 .......................................................................................................................... 215,000 Salomon Brothers Mortgage Securities VII Ser. 00-C1, Class G, 7.52s, 2010 217,083 .......................................................................................................................... 383,393 TIAA Retail Commercial Mortgage Trust Ser. 1999-1, Class A, 7.17s, 2032 401,834 - -------------------------------------------------------------------------------------------------------------------------- Total Collateralized Mortgage Obligations (cost $16,832,698) $17,136,393 - -------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (1.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $165,000 Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028 $175,205 .......................................................................................................................... 3,268,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 02-HEI, Class ATO, 6 1/2s, 2032 372,052 .......................................................................................................................... 1,335,000 Conseco Finance Securitizations Corp. Ser. 00-4, Class A6, 8.31s, 2032 1,432,622 .......................................................................................................................... 655,000 Conseco Finance Securitizations Corp. Ser. 00-5, Class A6, 7.96s, 2032 689,389 .......................................................................................................................... 665,000 Conseco Finance Securitizations Corp. Ser. 01-04, Class A4, 7.36s, 2019 661,675 .......................................................................................................................... 480,000 Conseco Finance Securitizations Corp. Ser. 01-3, Class A4, 6.91s, 2031 466,800 .......................................................................................................................... 300,000 Conseco Finance Securitizations Corp. Ser. 01-4, Class B1, 9.4s, 2010 286,430 .......................................................................................................................... 508,323 First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023 522,222 .......................................................................................................................... 110,000 Lehman Abs Manufactured Housing Contract Ser. 01-B, Class A6, 6.467s, 2028 104,156 .......................................................................................................................... 188,484 Mid-State Trust Ser. 10, Class B, 7.54s, 2026 178,353 .......................................................................................................................... 125,000 Morgan Stanley Dean Witter Capital I Ser. 01-NC3, Class B1, FRN, 4.38s, 2031 125,000 .......................................................................................................................... 490,000 Morgan Stanley Dean Witter Capital I Ser. 01-NC4, Class B1, FRN, 4.42s, 2032 477,750 .......................................................................................................................... 760,037 Xerox Equipment Lease Owner Trust 144A FRB Ser. 01-1, Class A, 3.896s, 2008 763,838 - -------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities (cost $6,228,866) $6,255,492 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.4%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 4,570 Anthem, Inc. $3.00 cv. pfd $293,051 .......................................................................................................................... 6,500 Motorola, Inc. $3.50 cv. pfd. 303,810 .......................................................................................................................... 26,200 TXU Corp. $4.375 cv. pfd 1,355,588 .......................................................................................................................... 2,800 Xerox Corp. 144A $3.50 cv. pfd. 193,172 - -------------------------------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $2,032,134) $2,145,621 - -------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $470,000 Ontario (Province of) sr. unsub. 5 1/2s, 2008 (Canada) $471,452 .......................................................................................................................... 1,335,000 Quebec (Province of) sr. unsub. 5 3/4s, 2009 (Canada) 1,338,685 - -------------------------------------------------------------------------------------------------------------------------- Total Foreign Government Bonds and Notes (cost $1,760,358) $1,810,137 - -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS (0.2%)(a)(cost $795,724) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 840,000 First Union Capital II Ser. A, 7.95% pfd. $866,284 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (0.1%)(a)(cost $792,090) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $780,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 $797,784 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (7.7%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $8,646,747 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $8,635,595 .......................................................................................................................... 8,000,000 Credit Suisse First Boston for an effective yield of 1.81%, January 11, 2002 7,995,978 .......................................................................................................................... 25,281,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Goldman Sachs & Co. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $25,283,514 for an effective yield of 1.79% 25,281,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $41,912,573) $41,912,573 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $547,483,291) (b) $564,107,211 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ------------------------------------------------------------------------ Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ....................................................................... U.S. Treasury 10 yr (Short) $6,203,297 $6,220,101 Mar-02 $16,804 ....................................................................... S&P 500 Index (Long) 4,884,100 4,851,927 Mar-02 32,173 ....................................................................... U.S. Treasury 2 yr (Long) 2,925,782 2,919,901 Mar-02 5,881 - ------------------------------------------------------------------------ $54,858 - ------------------------------------------------------------------------ See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Global Asset Allocation Fund The fund's portfolio December 31, 2001 COMMON STOCKS (62.0%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. Advertising and Marketing Services (0.3%) .................................................................................................. 37,668 Havas Advertising SA (France) $272,616 .................................................................................................. 2,200 Interpublic Group of Companies, Inc. 64,988 .................................................................................................. 10,953 Publicis SA (France) 290,073 .................................................................................................. 3,500 Valassis Communications, Inc. (NON) 124,670 .................................................................................................. 108,378 WPP Group PLC (United Kingdom) 1,198,609 - -------------------------------------------------------------------------------------------------- 1,950,956 - -------------------------------------------------------------------------------------------------- Aerospace and Defense (0.8%) .................................................................................................. 15,600 AAR Corp. 140,556 .................................................................................................. 3,900 Alliant Techsystems, Inc. (NON) 301,080 .................................................................................................. 67,920 BAE Systems PLC (United Kingdom) 305,901 .................................................................................................. 11,900 Boeing Co. 461,482 .................................................................................................. 11,492 Diagnostic Retrieval Systems, Inc. (NON) 409,690 .................................................................................................. 5,500 Engineered Support Systems, Inc. 188,155 .................................................................................................. 1,000 General Dynamics Corp. 79,640 .................................................................................................. 600 Goodrich Corp. 15,972 .................................................................................................. 9,800 Innovative Solutions & Support, Inc. (NON) 76,146 .................................................................................................. 100 L-3 Communications Holdings, Inc. (NON) 9,000 .................................................................................................. 32,700 Lockheed Martin Corp. 1,526,109 .................................................................................................. 12,522 Northrop Grumman Corp. 1,262,337 .................................................................................................. 4,900 Raytheon Co. 159,103 .................................................................................................. 1,600 Rockwell Collins, Inc. 31,200 - -------------------------------------------------------------------------------------------------- 4,966,371 - -------------------------------------------------------------------------------------------------- Airlines (--%) .................................................................................................. 2,400 AMR Corp. (NON) 53,208 .................................................................................................. 4,800 Atlantic Coast Airlines, Inc. (NON) 111,792 .................................................................................................. 300 Continental Airlines, Inc. Class B (NON) 7,863 .................................................................................................. 300 Delta Air Lines, Inc. 8,778 .................................................................................................. 1,300 FedEx Corp. (NON) 67,444 .................................................................................................. 4,000 Singapore Airlines, Ltd. (Singapore) 23,835 - -------------------------------------------------------------------------------------------------- 272,920 - -------------------------------------------------------------------------------------------------- Automotive (0.8%) .................................................................................................. 700 Autoliv, Inc. 14,217 .................................................................................................. 33,589 Bayerische Motoren Werke (BMW) AG (Germany) 1,182,582 .................................................................................................. 5,000 CLARCOR, Inc. 135,750 .................................................................................................. 1,200 Dana Corp. 16,656 .................................................................................................. 9,600 Delphi Automotive Systems Corp. 131,136 .................................................................................................. 26,600 Ford Motor Co. 418,152 .................................................................................................. 4,500 General Motors Corp. 218,700 .................................................................................................. 700 Genuine Parts Co. 25,690 .................................................................................................. 5,300 Group 1 Automotive, Inc. (NON) 151,103 .................................................................................................. 28,700 Honda Motor Co., Ltd. (Japan) 1,145,503 .................................................................................................. 1,300 Johnson Controls, Inc. 104,975 .................................................................................................. 600 Lear Corp. (NON) 22,884 .................................................................................................. 2,408 Safety Components International, Inc. (acquired 7/21/97, cost $45,000) (RES) (NON) 11,438 .................................................................................................. 68,700 Toyota Motor Corp. (Japan) 1,740,634 - -------------------------------------------------------------------------------------------------- 5,319,420 - -------------------------------------------------------------------------------------------------- Banking (5.0%) .................................................................................................. 25,642 Abbey National PLC (United Kingdom) 365,680 .................................................................................................. 5,927 ABN AMRO Holdings NV (Netherlands) 95,447 .................................................................................................. 42,131 Allied Irish Banks PLC (Ireland) 487,565 .................................................................................................. 7,300 AMCORE Financial, Inc. 163,155 .................................................................................................. 1,200 AmSouth Bancorporation 22,680 .................................................................................................. 9,000 Astoria Financial Corp. 238,140 .................................................................................................. 7,166 Banco Popular Espanol (Spain) 235,264 .................................................................................................. 31,900 Bank of America Corp. 2,013,288 .................................................................................................. 36,100 Bank of New York Company, Inc. (The) 1,472,880 .................................................................................................. 6,400 Bank One Corp. 249,920 .................................................................................................. 33,300 BankAtlantic Bancorp, Inc. Class A 305,694 .................................................................................................. 18,500 Banknorth Group, Inc. 416,620 .................................................................................................. 6,600 BB&T Corp. 238,326 .................................................................................................. 10,443 BNP Paribas SA (France) 934,284 .................................................................................................. 19,635 Centennial Bancorp 144,906 .................................................................................................. 37,645 Charter One Financial, Inc. 1,022,062 .................................................................................................. 12,000 Citizens Banking Corp. 394,560 .................................................................................................. 7,400 City National Corp. 346,690 .................................................................................................. 24,800 Colonial Bancgroup, Inc. 349,432 .................................................................................................. 21,605 Comerica, Inc. 1,237,967 .................................................................................................. 9,800 Community First Bankshares 251,762 .................................................................................................. 46,037 Danske Bank A/S (Denmark) 738,974 .................................................................................................. 43,001 DBS Group Holdings, Ltd. (Singapore) 321,459 .................................................................................................. 12,100 Doral Financial Corp. 377,641 .................................................................................................. 5,700 Downey Financial Corp. 235,125 .................................................................................................. 6,800 East West Bancorp, Inc. 175,100 .................................................................................................. 14,000 Fifth Third Bancorp 858,620 .................................................................................................. 10,375 First Midwest Bancorp, Inc. 302,846 .................................................................................................. 800 First Tennessee National Corp. 29,008 .................................................................................................. 10,700 FirstFed Financial Corp. (NON) 274,241 .................................................................................................. 4,650 Flagstar Bancorp, Inc. 93,605 .................................................................................................. 15,300 FleetBoston Financial Corp. 558,450 .................................................................................................. 600 Golden State Bancorp, Inc. 15,690 .................................................................................................. 300 Golden West Financial Corp. 17,655 .................................................................................................. 200 Greater Bay Bancorp 5,716 .................................................................................................. 600 Greenpoint Financial Corp. 21,450 .................................................................................................. 230,700 Grupo Financiero Bancomer SA de CV (Mexico) (NON) 210,277 .................................................................................................. 20,200 Hang Seng Bank, Ltd. (Hong Kong) 222,136 .................................................................................................. 26,026 HSBC Holdings PLC (United Kingdom) 305,257 .................................................................................................. 28,800 Hudson United Bancorp 826,560 .................................................................................................. 400 Huntington Bancshares, Inc. 6,876 .................................................................................................. 5,500 Independent Bank Corp.-Massachusetts 118,195 .................................................................................................. 2,415 Independent Bank Corp.-Michigan 67,137 .................................................................................................. 19,000 Irwin Financial Corp. 323,000 .................................................................................................. 700 KeyCorp 17,038 .................................................................................................. 6,400 M&T Bank Corp. 466,240 .................................................................................................. 2,900 MAF Bancorp, Inc. 85,550 .................................................................................................. 1,500 Marshall & Ilsley Corp. 94,920 .................................................................................................. 20,300 Mellon Financial Corp. 763,686 .................................................................................................. 3,900 Mercantile Bankshares Corp. 167,856 .................................................................................................. 5,000 National City Corp. 146,200 .................................................................................................. 700 National Commerce Financial Corp. 17,710 .................................................................................................. 11,100 New York Community Bancorp, Inc. 253,857 .................................................................................................. 71,250 Nordea AB (Sweden) 377,142 .................................................................................................. 1,000 North Fork Bancorporation, Inc. 31,990 .................................................................................................. 200 Northern Trust Corp. 12,044 .................................................................................................. 51,000 Overseas-Chinese Banking Corp. (Singapore) 303,900 .................................................................................................. 7,000 PNC Financial Services Group 393,400 .................................................................................................. 13,900 Provident Bankshares Corp. 337,770 .................................................................................................. 400 Regions Financial Corp. 11,976 .................................................................................................. 26,170 Republic Bancorp, Inc. 362,455 .................................................................................................. 10,495 Royal Bank of Canada (Canada) 340,824 .................................................................................................. 69,951 Sanpaolo IMI SpA (Italy) 750,358 .................................................................................................. 10,200 Sky Financial Group, Inc. 207,468 .................................................................................................. 16,333 Societe Generale (France) 913,816 .................................................................................................. 2,300 Sovereign Bancorp, Inc. 28,152 .................................................................................................. 1,300 State Street Corp. 67,925 .................................................................................................. 23,450 Sterling Bancshares, Inc. 293,594 .................................................................................................. 800 SunTrust Banks, Inc. 50,160 .................................................................................................. 29,218 Svenska Handelsbanken AB Class A (Sweden) 429,140 .................................................................................................. 8,100 Synovus Financial Corp. 202,905 .................................................................................................. 300 TCF Financial Corp. 14,394 .................................................................................................. 18,609 Toronto-Dominion Bank (Canada) 478,984 .................................................................................................. 14,300 Trustmark Corp. 346,489 .................................................................................................. 101,514 U.S. Bancorp 2,124,688 .................................................................................................. 1,494 UBS AG (Switzerland) 75,456 .................................................................................................. 3,900 UCBH Holdings, Inc. 110,916 .................................................................................................. 9,740 Unibanco-Uniao de Bancos Brasileiros S.A. GDR (Brazil) 217,202 .................................................................................................. 800 UnionBanCal Corp. 30,400 .................................................................................................. 26,500 Wachovia Corp. 831,040 .................................................................................................. 16,000 Washington Federal, Inc. 412,480 .................................................................................................. 27,400 Washington Mutual, Inc. 895,980 .................................................................................................. 13,300 Webster Financial Corp. 419,349 .................................................................................................. 26,300 Wells Fargo & Co. 1,142,735 .................................................................................................. 4,000 Westamerica Bancorporation 158,280 .................................................................................................. 200 Wilmington Trust Corp. 12,662 .................................................................................................. 1,200 Zions Bancorporation 63,096 - -------------------------------------------------------------------------------------------------- 31,553,567 - -------------------------------------------------------------------------------------------------- Beverage (1.0%) .................................................................................................. 9,500 Anheuser-Busch Companies, Inc. 429,495 .................................................................................................. 3,800 Brown-Forman Corp. Class B 237,880 .................................................................................................. 12,800 Coca-Cola Co. (The) 603,520 .................................................................................................. 39,800 Coca-Cola Enterprises, Inc. 753,812 .................................................................................................. 13,262 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 269,086 .................................................................................................. 23,300 Diageo PLC (United Kingdom) 266,163 .................................................................................................. 23,100 Fortune Brands, Inc. 914,529 .................................................................................................. 45,200 Pepsi Bottling Group, Inc. (The) 1,062,200 .................................................................................................. 32,400 PepsiCo, Inc. 1,577,556 .................................................................................................. 21,600 South African Breweries, Ltd. 144A (United Kingdom) 147,103 - -------------------------------------------------------------------------------------------------- 6,261,344 - -------------------------------------------------------------------------------------------------- Biotechnology (1.0%) .................................................................................................. 6,970 Albany Molecular Research, Inc. (NON) 184,635 .................................................................................................. 31,200 Amgen, Inc. (NON) 1,760,928 .................................................................................................. 200 Applera Corp.-Celera Genomics Group (NON) 5,338 .................................................................................................. 18,995 Applera Corp.-Applied Biosystems Group 745,934 .................................................................................................. 6,800 Applied Molecular Evolution, Inc. (NON) 83,708 .................................................................................................. 500 Biogen, Inc. (NON) 28,675 .................................................................................................. 200 Celgene Corp. (NON) 6,384 .................................................................................................. 1,900 Chiron Corp. (NON) 83,296 .................................................................................................. 1,500 Genentech, Inc. (NON) 81,375 .................................................................................................. 10,140 Genta, Inc. (NON) 144,292 .................................................................................................. 4,431 Genzyme Corp. (NON) 265,240 .................................................................................................. 9,300 Guilford Pharmaceuticals, Inc. (NON) 111,600 .................................................................................................. 300 Human Genome Sciences, Inc. (NON) 10,116 .................................................................................................. 200 IDEC Pharmaceuticals Corp. (NON) 13,786 .................................................................................................. 2,200 ILEX Oncology, Inc. (NON) 59,488 .................................................................................................. 10,600 Integra LifeSciences Holdings (NON) 279,204 .................................................................................................. 6,900 Invitrogen Corp. (NON) 427,317 .................................................................................................. 20,700 Isis Pharmaceuticals, Inc. (NON) 459,333 .................................................................................................. 12,125 Ligand Pharmaceuticals, Inc. Class B (NON) 217,038 .................................................................................................. 5,340 Martek Biosciences Corp. (NON) 116,145 .................................................................................................. 8,700 Maxygen, Inc. (NON) 152,859 .................................................................................................. 16,038 MedImmune, Inc. (NON) 743,361 .................................................................................................. 5,370 Pharmacopeia, Inc. (NON) 74,589 .................................................................................................. 2,400 Pharmacyclics, Inc. (NON) 23,856 .................................................................................................. 23,500 Sequenom, Inc. (NON) 250,745 .................................................................................................. 12,300 SICOR, Inc. (NON) 192,864 .................................................................................................. 600 Waters Corp. (NON) 23,250 - -------------------------------------------------------------------------------------------------- 6,545,356 - -------------------------------------------------------------------------------------------------- Broadcasting (0.8%) .................................................................................................. 24,400 Clear Channel Communications, Inc. (NON) 1,242,204 .................................................................................................. 200 Cox Radio, Inc. Class A (NON) 5,096 .................................................................................................. 40,600 Echostar Communications Corp. Class A (NON) 1,115,282 .................................................................................................. 73 Fuji Television Network, Inc. (Japan) 294,708 .................................................................................................. 10,645 Grupo Televisa SA ADR (Mexico) (NON) 459,651 .................................................................................................. 200 Hispanic Broadcasting Corp. (NON) 5,100 .................................................................................................. 43,764 News Corp., Ltd. (The) ADR (Australia) 1,392,133 .................................................................................................. 640 Nippon Television Network Corp. (Japan) 136,318 .................................................................................................. 8,064 ProSiebenSat.1 Media AG (Germany) 39,841 .................................................................................................. 19,374 Societe Television Francaise I (France) 489,635 .................................................................................................. 800 Univision Communications, Inc. (NON) 32,368 - -------------------------------------------------------------------------------------------------- 5,212,336 - -------------------------------------------------------------------------------------------------- Building Materials (0.3%) .................................................................................................. 13,449 American Woodmark Corp. 722,884 .................................................................................................. 26,600 Apogee Enterprises, Inc. 420,812 .................................................................................................. 11,400 Lennox International, Inc. 110,580 .................................................................................................. 36,000 Matsushita Electric Works, Ltd. (Japan) 296,440 .................................................................................................. 600 Sherwin Williams Co. 16,500 .................................................................................................. 2,700 USG Corp. 15,444 - -------------------------------------------------------------------------------------------------- 1,582,660 - -------------------------------------------------------------------------------------------------- Cable Television (--%) .................................................................................................. 1,600 Adelphia Communications Corp. Class A (NON) 49,888 .................................................................................................. 2,100 Comcast Corp. Class A (NON) 75,600 .................................................................................................. 33,100 RCN Corp. (NON) 96,983 - -------------------------------------------------------------------------------------------------- 222,471 - -------------------------------------------------------------------------------------------------- Capital Goods (--%) .................................................................................................. 1,700 Eaton Corp. 126,497 - -------------------------------------------------------------------------------------------------- Chemicals (1.0%) .................................................................................................. 25,500 Airgas, Inc. (NON) 385,560 .................................................................................................. 18,616 Akzo-Nobel NV (Netherlands) 831,084 .................................................................................................. 4,900 Arch Chemicals, Inc. 113,680 .................................................................................................. 13,316 BASF AG (Germany) 496,086 .................................................................................................. 48,397 BOC Group PLC (United Kingdom) 746,530 .................................................................................................. 9,349 Ciba Specialty Chemicals AG (Switzerland) 584,594 .................................................................................................. 30,900 Crompton Corp. 278,100 .................................................................................................. 4,200 Dow Chemical Co. (The) 141,876 .................................................................................................. 13,700 E.I. du Pont de Nemours & Co. 582,387 .................................................................................................. 400 Eastman Chemical Co. 15,608 .................................................................................................. 19,200 Engelhard Corp. 531,456 .................................................................................................. 100 Great Lakes Chemical Corp. 2,428 .................................................................................................. 9,100 H.B. Fuller Co. 261,807 .................................................................................................. 600 Hercules, Inc. (NON) 6,000 .................................................................................................. 1,400 Minnesota Mining & Manufacturing Co. (3M) 165,494 .................................................................................................. 33,500 Omnova Solutions, Inc. 227,800 .................................................................................................. 19,600 PolyOne Corp. 192,080 .................................................................................................. 3,600 PPG Industries, Inc. 186,192 .................................................................................................. 2,500 Rohm & Haas Co. 86,575 .................................................................................................. 29,500 USEC, Inc. 211,220 - -------------------------------------------------------------------------------------------------- 6,046,557 - -------------------------------------------------------------------------------------------------- Coal (--%) .................................................................................................. 5,100 Arch Coal, Inc. 115,770 .................................................................................................. 6,400 Peabody Energy Corp. 180,416 - -------------------------------------------------------------------------------------------------- 296,186 - -------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.5%) .................................................................................................. 2,470 Administaff, Inc. (NON) 67,703 .................................................................................................. 2,000 Advisory Board Co. (The) (NON) 55,400 .................................................................................................. 21,500 American Greetings Corp. Class A 296,270 .................................................................................................. 6,700 Asatsu-DK, Inc. (Japan) 130,896 .................................................................................................. 4,900 Banta Corp. 144,648 .................................................................................................. 10,400 Bowne & Co. 133,120 .................................................................................................. 5,460 Coinstar, Inc. (NON) 136,500 .................................................................................................. 1,100 Deluxe Corp. 45,738 .................................................................................................. 7,300 eBay, Inc. (NON) 488,370 .................................................................................................. 4,600 Electro Rent Corp. (NON) 59,294 .................................................................................................. 700 H&R Block, Inc. 31,290 .................................................................................................. 6,700 Harland (John H.) Co. 148,070 .................................................................................................. 43,928 Hays PLC (United Kingdom) 132,962 .................................................................................................. 9,100 Macrovision Corp. (NON) 320,502 .................................................................................................. 300 Manpower, Inc. 10,113 .................................................................................................. 400 R. R. Donnelley & Sons Co. 11,876 .................................................................................................. 13,550 Right Management Consultants (NON) 234,415 .................................................................................................. 200 Sabre Holdings Corp. (NON) 8,470 .................................................................................................. 5,340 Securitas AB Class B (Sweden) 101,350 .................................................................................................. 8,600 ServiceMaster Co. (The) 118,680 .................................................................................................. 15,800 Spherion Corp. (NON) 154,208 .................................................................................................. 9,800 StorageNetworks, Inc. (NON) 60,564 .................................................................................................. 200 Weight Watchers International, Inc. (NON) 6,764 - -------------------------------------------------------------------------------------------------- 2,897,203 - -------------------------------------------------------------------------------------------------- Communications Equipment (1.0%) .................................................................................................. 500 American Tower Corp. Class A (NON) 4,735 .................................................................................................. 145,000 Cisco Systems, Inc. (NON) 2,625,950 .................................................................................................. 18,950 Clarent Corp. (NON) 18,950 .................................................................................................. 5,300 Computer Network Technology Corp. (NON) 94,287 .................................................................................................. 700 Comverse Technology, Inc. (NON) 15,659 .................................................................................................. 34,700 Copper Mountain Networks, Inc. (NON) 58,643 .................................................................................................. 9,600 Inter-Tel, Inc. 184,512 .................................................................................................. 7,400 Juniper Networks, Inc. (NON) 140,230 .................................................................................................. 600 Nokia OYJ ADR (Finland) 14,718 .................................................................................................. 6,300 ONI Systems Corp. (NON) 39,501 .................................................................................................. 11,200 Performance Technologies, Inc. (NON) 149,184 .................................................................................................. 2,900 Plantronics, Inc. (NON) 74,356 .................................................................................................. 25,697 QUALCOMM, Inc. (NON) 1,297,699 .................................................................................................. 720 Riverstone Networks, Inc. (NON) 11,952 .................................................................................................. 600 Scientific-Atlanta, Inc. 14,364 .................................................................................................. 4,200 SpectraLink Corp. (NON) 71,946 .................................................................................................. 24,700 Sycamore Networks, Inc. (NON) 132,392 .................................................................................................. 224,184 Telefonaktiebolaget LM Ericsson AB Class B (Sweden) 1,218,728 - -------------------------------------------------------------------------------------------------- 6,167,806 - -------------------------------------------------------------------------------------------------- Computers (1.6%) .................................................................................................. 12,600 Acclaim Entertainment, Inc. (NON) 66,780 .................................................................................................. 5,400 Anixter International, Inc. (NON) 156,654 .................................................................................................. 11,000 Ariba, Inc. (NON) 67,760 .................................................................................................. 3,840 BARRA, Inc. (NON) 180,826 .................................................................................................. 2,300 Brocade Communications Systems, Inc. (NON) 76,176 .................................................................................................. 10,800 Checkpoint Systems, Inc. (NON) 144,720 .................................................................................................. 78,600 Compaq Computer Corp. 767,136 .................................................................................................. 49,400 Dell Computer Corp. (NON) 1,342,692 .................................................................................................. 22,200 EMC Corp. (NON) 298,368 .................................................................................................. 10,800 Emulex Corp. (NON) 426,708 .................................................................................................. 900 Gateway, Inc. (NON) 7,236 .................................................................................................. 17,600 Gerber Scientific, Inc. 163,680 .................................................................................................. 41,700 Hewlett-Packard Co. 856,518 .................................................................................................. 4,900 Hutchinson Technology, Inc. (NON) 113,778 .................................................................................................. 11,800 IBM Corp. 1,427,328 .................................................................................................. 17,900 Inktomi Corp. (NON) 120,109 .................................................................................................. 24,254 Iomega Corp. (NON) 202,521 .................................................................................................. 700 Magma Design Automation, Inc. (NON) 21,196 .................................................................................................. 14,560 McAfee.com Corp. (NON) 493,730 .................................................................................................. 15,000 McDATA Corp. Class A (NON) 367,500 .................................................................................................. 16,750 Mentor Graphics Corp. (NON) 394,798 .................................................................................................. 8,900 NCR Corp. (NON) 328,054 .................................................................................................. 4,000 NEC Corp. (Japan) 40,814 .................................................................................................. 9,400 Network Appliance, Inc. (NON) 205,578 .................................................................................................. 18,000 Perot Systems Corp. Class A (NON) 367,560 .................................................................................................. 3,900 Quantum Corp. (NON) 38,415 .................................................................................................. 2,625 Renaissance Learning, Inc. (NON) 79,984 .................................................................................................. 8,400 SBS Technologies, Inc. (NON) 122,388 .................................................................................................. 48,400 Sun Microsystems, Inc. (NON) 595,320 .................................................................................................. 10,000 Symbol Technologies, Inc. 158,800 .................................................................................................. 18,500 VeriSign, Inc. (NON) 703,751 .................................................................................................. 19,700 Western Digital Corp. (NON) 123,519 - -------------------------------------------------------------------------------------------------- 10,460,397 - -------------------------------------------------------------------------------------------------- Conglomerates (1.8%) .................................................................................................. 9,400 Autonation, Inc. (NON) 115,902 .................................................................................................. 280 Berkshire Hathaway, Inc. Class B (NON) 707,000 .................................................................................................. 14,800 Cooper Industries, Inc. 516,816 .................................................................................................. 20,400 GenCorp, Inc. 287,844 .................................................................................................. 128,151 General Electric Co. 5,136,292 .................................................................................................. 10,100 Honeywell International, Inc. 341,582 .................................................................................................. 113,854 Investor AB Class B (Sweden) 1,243,315 .................................................................................................. 35,291 Smiths Group PLC (United Kingdom) 347,676 .................................................................................................. 1,400 Textron, Inc. 58,044 .................................................................................................. 40,006 Tyco International, Ltd. (Bermuda) 2,356,353 .................................................................................................. 21,300 Walter Industries, Inc. 240,903 - -------------------------------------------------------------------------------------------------- 11,351,727 - -------------------------------------------------------------------------------------------------- Construction (0.3%) .................................................................................................. 74,899 CRH PLC (Ireland) 1,322,167 .................................................................................................. 9,376 Lafarge Coppee (France) 875,549 - -------------------------------------------------------------------------------------------------- 2,197,716 - -------------------------------------------------------------------------------------------------- Consumer Cyclicals (0.4%) .................................................................................................. 38,500 Cie Finance Richemont AG (Switzerland) 715,842 .................................................................................................. 8,629 Gucci Group NV (Netherlands) 732,602 .................................................................................................. 15,600 Sony Corp. (Japan) 713,122 .................................................................................................. 8,429 Swatch Group AG (The) (Switzerland) 167,137 .................................................................................................. 3,690 Swatch Group AG (The) Class B (Switzerland) 331,927 - -------------------------------------------------------------------------------------------------- 2,660,630 - -------------------------------------------------------------------------------------------------- Consumer Finance (0.4%) .................................................................................................. 4,700 Acom Co., Ltd. (Japan) 342,542 .................................................................................................. 2,700 Acom Co., Ltd. 144A (Japan) 196,779 .................................................................................................. 2,750 Aiful Corp. (Japan) 177,968 .................................................................................................. 6,040 AmeriCredit Corp. (NON) 190,562 .................................................................................................. 2,300 Capital One Financial Corp. 124,085 .................................................................................................. 20,000 CompuCredit Corp. (NON) 235,200 .................................................................................................. 2,100 Countrywide Credit Industries, Inc. 86,037 .................................................................................................. 200 Dun & Bradstreet Corp. (NON) 7,060 .................................................................................................. 9,200 Household International, Inc. 533,048 .................................................................................................. 6,900 MBNA Corp. 242,880 .................................................................................................. 11,850 Metris Companies, Inc. 304,664 .................................................................................................. 8,100 Providian Financial Corp. 28,755 - -------------------------------------------------------------------------------------------------- 2,469,580 - -------------------------------------------------------------------------------------------------- Consumer Goods (0.5%) .................................................................................................. 2,300 Avon Products, Inc. 106,950 .................................................................................................. 700 Clorox Co. 27,685 .................................................................................................. 12,200 Colgate-Palmolive Co. 704,550 .................................................................................................. 34,740 Dial Corp. (The) 595,791 .................................................................................................. 3,900 Gillette Co. (The) 130,260 .................................................................................................. 1,100 International Flavors & Fragrances, Inc. 32,681 .................................................................................................. 7,000 KAO Corp. (Japan) 145,572 .................................................................................................. 14,700 Kimberly-Clark Corp. 879,060 .................................................................................................. 5,000 Procter & Gamble Co. 395,650 .................................................................................................. 4,000 Shiseido Co., Ltd. (Japan) 36,967 .................................................................................................. 4,100 Tupperware Corp. 78,925 - -------------------------------------------------------------------------------------------------- 3,134,091 - -------------------------------------------------------------------------------------------------- Consumer Services (0.3%) .................................................................................................. 24,250 Deutsche Post AG (Germany) 334,604 .................................................................................................. 5,000 Deutsche Post AG 144A (Germany) 68,991 .................................................................................................. 8,820 Freemarkets, Inc. (NON) 211,415 .................................................................................................. 400 Hotel Reservations Network, Inc. Class A (NON) 18,400 .................................................................................................. 13,600 Korn/Ferry International (NON) 144,840 .................................................................................................. 33,560 Register.com (NON) 385,940 .................................................................................................. 18,300 TMP Worldwide, Inc. (NON) 785,070 .................................................................................................. 3,500 Watson Wyatt & Co. Holdings (NON) 76,300 - -------------------------------------------------------------------------------------------------- 2,025,560 - -------------------------------------------------------------------------------------------------- Consumer Staples (0.1%) .................................................................................................. 54,700 Cadbury Schweppes PLC (United Kingdom) 348,646 .................................................................................................. 12,000 Fuji Photo Film Co., Ltd. (Japan) 428,588 - -------------------------------------------------------------------------------------------------- 777,234 - -------------------------------------------------------------------------------------------------- Distribution (0.1%) .................................................................................................. 11,050 Performance Food Group Co. (NON) 388,629 .................................................................................................. 4,600 SYSCO Corp. 120,612 - -------------------------------------------------------------------------------------------------- 509,241 - -------------------------------------------------------------------------------------------------- Electric Utilities (1.5%) .................................................................................................. 400 American Electric Power Company, Inc. 17,412 .................................................................................................. 9,600 Black Hills Corp. 324,864 .................................................................................................. 14,000 Cinergy Corp. 468,020 .................................................................................................. 3,300 CMS Energy Corp. 79,299 .................................................................................................. 1,200 Consolidated Edison, Inc. 48,432 .................................................................................................. 11,400 Constellation Energy Group, Inc. 302,670 .................................................................................................. 4,600 Dominion Resources, Inc. 276,460 .................................................................................................. 22,600 DPL, Inc. 544,208 .................................................................................................. 1,300 DTE Energy Co. 54,522 .................................................................................................. 12,100 Duke Energy Corp. 475,046 .................................................................................................. 13,800 Edison International (NON) 208,380 .................................................................................................. 16,600 Entergy Corp. 649,226 .................................................................................................. 1,500 Exelon Corp. 71,820 .................................................................................................. 6,400 FirstEnergy Corp. 223,872 .................................................................................................. 3,200 FPL Group, Inc. 180,480 .................................................................................................. 115,000 Hong Kong Electric Holdings, Ltd. (Hong Kong) 427,690 .................................................................................................. 31,480 Korea Electric Power Corp. (South Korea) 520,113 .................................................................................................. 32,000 Montana Power Co. (NON) 184,000 .................................................................................................. 13,500 Northeast Utilities 238,005 .................................................................................................. 200 NSTAR 8,970 .................................................................................................. 9,800 PG&E Corp. 188,552 .................................................................................................. 19,700 PNM Resources, Inc. 550,615 .................................................................................................. 200 Potomac Electric Power Co. 4,514 .................................................................................................. 3,300 PPL Corp. 115,005 .................................................................................................. 17,300 Progress Energy, Inc. 779,019 .................................................................................................. 1,200 Public Service Enterprise Group, Inc. 50,628 .................................................................................................. 300 Puget Energy, Inc. 6,567 .................................................................................................. 23,100 Reliant Energy, Inc. 612,612 .................................................................................................. 133,699 Scottish Power PLC (United Kingdom) 739,323 .................................................................................................. 25,300 Sierra Pacific Resources 380,765 .................................................................................................. 3,800 Southern Co. (The) 96,330 .................................................................................................. 200 Teco Energy, Inc. 5,248 .................................................................................................. 1,600 TXU Corp. 75,440 .................................................................................................. 14,600 UniSource Energy Corp. 265,574 .................................................................................................. 1,700 Utilicorp United, Inc. 42,789 .................................................................................................. 400 Wisconsin Energy Corp. 9,024 .................................................................................................. 900 XCEL Energy, Inc. 24,966 - -------------------------------------------------------------------------------------------------- 9,250,460 - -------------------------------------------------------------------------------------------------- Electrical Equipment (0.1%) .................................................................................................. 3,380 C&D Technologies, Inc. 77,233 .................................................................................................. 1,100 Emerson Electric Co. 62,810 .................................................................................................. 11,200 Lincoln Electric Holdings, Inc. 273,728 .................................................................................................. 1,100 Rockwell International Corp. 19,646 - -------------------------------------------------------------------------------------------------- 433,417 - -------------------------------------------------------------------------------------------------- Electronics (3.6%) .................................................................................................. 30,300 Alpha Industries, Inc. (NON) 660,540 .................................................................................................. 700 American Power Conversion Corp. (NON) 10,122 .................................................................................................. 1,400 Analog Devices, Inc. (NON) 62,146 .................................................................................................. 1,500 Applied Micro Circuits Corp. (NON) 16,980 .................................................................................................. 1,100 Arrow Electronics, Inc. (NON) 32,890 .................................................................................................. 4,100 Atmel Corp. (NON) 30,217 .................................................................................................. 700 Avanex Corp. (NON) 4,130 .................................................................................................. 4,600 Avnet, Inc. 117,162 .................................................................................................. 15,700 Broadcom Corp. Class A (NON) 641,659 .................................................................................................. 9,500 Celestica, Inc. (Canada) (NON) 383,705 .................................................................................................. 8,700 Centillium Communications, Inc. (NON) 68,382 .................................................................................................. 3,000 Cypress Semiconductor Corp. (NON) 59,790 .................................................................................................. 10,700 Exar Corp. (NON) 223,095 .................................................................................................. 9,800 Fairchild Semiconductor Corp. Class A (NON) 276,360 .................................................................................................. 13,025 FEI Co. (NON) 410,418 .................................................................................................. 17,400 Fisher Scientific International, Inc. (NON) 508,080 .................................................................................................. 36,800 General Cable Corp. 482,080 .................................................................................................. 18,800 Integrated Device Technology, Inc. (NON) 499,892 .................................................................................................. 119,600 Intel Corp. 3,761,420 .................................................................................................. 15,700 Intersil Corp. Class A (NON) 506,325 .................................................................................................. 7,300 Itron, Inc. (NON) 221,190 .................................................................................................. 14,700 Jabil Circuit, Inc. (NON) 333,984 .................................................................................................. 14,700 JNI Corp. (NON) 122,157 .................................................................................................. 14,400 Kulicke & Soffa Industries, Inc. (NON) 246,960 .................................................................................................. 23,700 Linear Technology Corp. 925,248 .................................................................................................. 2,500 LSI Logic Corp. (NON) 39,450 .................................................................................................. 18,000 Manufacturers' Services, Ltd. (NON) 112,500 .................................................................................................. 12,100 Marvell Technology Group, Ltd. (Bermuda) (NON) 433,422 .................................................................................................. 18,100 Maxim Integrated Products, Inc. (NON) 950,431 .................................................................................................. 200 Measurement Specialties, Inc. (NON) 1,882 .................................................................................................. 4,500 Merix Corp. (NON) 77,625 .................................................................................................. 800 Microchip Technology, Inc. (NON) 30,992 .................................................................................................. 16,150 Micron Technology, Inc. (NON) 500,650 .................................................................................................. 2,900 Microsemi Corp. (NON) 86,130 .................................................................................................. 12,200 MIPS Technologies, Inc. (NON) 105,408 .................................................................................................. 300 Molex, Inc. 9,285 .................................................................................................. 43,500 Motorola, Inc. 653,370 .................................................................................................. 800 National Semiconductor Corp. (NON) 24,632 .................................................................................................. 12,700 NMS Communications Corp. (NON) 61,214 .................................................................................................. 19,665 Oak Technology, Inc. (NON) 270,394 .................................................................................................. 12,300 Pioneer-Standard Electronics, Inc. 156,210 .................................................................................................. 17,500 PMC - Sierra, Inc. (NON) 372,050 .................................................................................................. 9,800 Rambus, Inc. (NON) 78,302 .................................................................................................. 47,300 Read-Rite Corp. (NON) 312,653 .................................................................................................. 11,500 Recoton Corp. (NON) 156,400 .................................................................................................. 26,500 RF Micro Devices, Inc. (NON) 509,595 .................................................................................................. 4,500 Rohm Co., Ltd. (Japan) 584,157 .................................................................................................. 16,031 Samsung Electronics Co., Ltd. (South Korea) 3,405,397 .................................................................................................. 1,280 Sanmina Corp. (NON) 25,472 .................................................................................................. 5,600 Semtech Corp. (NON) 199,864 .................................................................................................. 8,700 Silicon Laboratories, Inc. (NON) 293,277 .................................................................................................. 26,300 Silicon Storage Technology, Inc. (NON) 253,532 .................................................................................................. 22,800 Storage Technology Corp. (NON) 471,276 .................................................................................................. 29,000 Symmetricom, Inc. (NON) 220,690 .................................................................................................. 4,000 Texas Instruments, Inc. 112,000 .................................................................................................. 600 Thermo Electron Corp. (NON) 14,316 .................................................................................................. 4,900 Trimble Navigation, Ltd. (NON) 79,429 .................................................................................................. 13,900 TriQuint Semiconductor, Inc. (NON) 170,414 .................................................................................................. 259,000 United Microelectronics Corp. (Taiwan) (NON) 377,616 .................................................................................................. 6,000 Venture Manufacturing, Ltd. (Singapore) 43,229 .................................................................................................. 700 Vishay Intertechnology, Inc. (NON) 13,650 .................................................................................................. 15,800 W.W. Grainger, Inc. 758,400 .................................................................................................. 19,900 X-Rite, Inc. 169,349 - -------------------------------------------------------------------------------------------------- 22,739,595 - -------------------------------------------------------------------------------------------------- Energy (0.2%) .................................................................................................. 4,900 Baker Hughes, Inc. 178,703 .................................................................................................. 2,000 Chiles Offshore, Inc. (NON) 39,780 .................................................................................................. 600 ENSCO International, Inc. 14,910 .................................................................................................. 3,923 GlobalSantaFe Corp. 111,884 .................................................................................................. 5,000 GulfMark Offshore, Inc. (NON) 141,550 .................................................................................................. 2,000 Halliburton Co. 26,200 .................................................................................................. 1,700 Helmerich & Payne, Inc. 56,746 .................................................................................................. 2,900 Hydril Co. (NON) 51,127 .................................................................................................. 10,200 Input/Output, Inc. (NON) 83,742 .................................................................................................. 300 Nabors Industries, Inc. (NON) 10,299 .................................................................................................. 19,600 Rowan Companies, Inc. (NON) 379,652 .................................................................................................. 2,100 Schlumberger, Ltd. 115,395 .................................................................................................. 300 Smith International, Inc. (NON) 16,086 .................................................................................................. 1,500 Spinnaker Exploration Company (NON) 61,740 .................................................................................................. 2,000 Tidewater, Inc. 67,800 .................................................................................................. 11,700 Veritas DGC, Inc. (NON) 216,450 - -------------------------------------------------------------------------------------------------- 1,572,064 - -------------------------------------------------------------------------------------------------- Engineering & Construction (0.3%) .................................................................................................. 5,400 Ameron International Corp. 373,680 .................................................................................................. 28,980 Bouygues SA (France) 949,366 .................................................................................................. 10,050 EMCOR Group, Inc. (NON) 456,270 .................................................................................................. 400 Fluor Corp. 14,960 .................................................................................................. 7,900 URS Corp. (NON) 216,539 - -------------------------------------------------------------------------------------------------- 2,010,815 - -------------------------------------------------------------------------------------------------- Entertainment (0.3%) .................................................................................................. 15,200 AMC Entertainment, Inc. (NON) 182,400 .................................................................................................. 300 International Speedway Corp. Class A 11,730 .................................................................................................. 300 Pixar, Inc. (NON) 10,788 .................................................................................................. 38,838 Viacom, Inc. Class B (NON) 1,714,698 - -------------------------------------------------------------------------------------------------- 1,919,616 - -------------------------------------------------------------------------------------------------- Environmental (0.1%) .................................................................................................. 24,800 Tetra Technologies, Inc. (NON) 519,560 - -------------------------------------------------------------------------------------------------- Financial (1.7%) .................................................................................................. 8,200 American Express Co. 292,658 .................................................................................................. 25,200 Annaly Mortgage Mgmt., Inc. 403,200 .................................................................................................. 27,000 Anthracite Capital, Inc. 296,730 .................................................................................................. 120,758 Citigroup, Inc. 6,095,864 .................................................................................................. 226,879 Contifinancial Corp. Liquidating Trust units 13,613 .................................................................................................. 131 Delta Funding Residual Exchange Co., LLC 31,113 .................................................................................................. 131 Delta Funding Residual Management, Inc. 1 .................................................................................................. 43,992 Dexia (Belgium) 634,419 .................................................................................................. 27,124 Fannie Mae 2,156,358 .................................................................................................. 18,100 Freddie Mac 1,183,740 .................................................................................................. 2,900 Gabelli Asset Management, Inc. (NON) 125,280 .................................................................................................. 800 MGIC Investment Corp. 49,376 .................................................................................................. 500 Moody's Corp. 19,930 .................................................................................................. 600 USA Education, Inc. 50,412 - -------------------------------------------------------------------------------------------------- 11,352,694 - -------------------------------------------------------------------------------------------------- Food (1.1%) .................................................................................................. 13,200 7-Eleven, Inc. (NON) 154,572 .................................................................................................. 4,015 Archer Daniels Midland Co. 57,615 .................................................................................................. 796 Aurora Foods, Inc. (NON) 4,020 .................................................................................................. 400 Campbell Soup Co. 11,948 .................................................................................................. 94,422 Compass Group PLC (United Kingdom) 707,625 .................................................................................................. 800 ConAgra, Inc. 19,016 .................................................................................................. 12,200 Dole Food Co. 327,326 .................................................................................................. 4,500 General Mills, Inc. 234,045 .................................................................................................. 6,532 Groupe Danone (France) 796,626 .................................................................................................. 16,700 H.J. Heinz Co. 686,704 .................................................................................................. 100 Hershey Foods Corp. 6,770 .................................................................................................. 11,000 International Multifoods Corp. 262,900 .................................................................................................. 14,200 Interstate Bakeries Corp. 343,356 .................................................................................................. 600 Kellogg Co. 18,060 .................................................................................................. 21,800 Kraft Foods, Inc. Class A 741,854 .................................................................................................. 800 McCormick & Company, Inc. 33,576 .................................................................................................. 6,504 Nestle SA (Switzerland) 1,387,666 .................................................................................................. 5,600 Sara Lee Corp. 124,488 .................................................................................................. 11,300 Smithfield Foods, Inc. (NON) 249,052 .................................................................................................. 228,166 Tesco PLC (United Kingdom) 826,748 .................................................................................................. 3,759 Tyson Foods, Inc. Class A 43,416 - -------------------------------------------------------------------------------------------------- 7,037,383 - -------------------------------------------------------------------------------------------------- Gaming & Lottery (0.3%) .................................................................................................. 32,030 Argosy Gaming Co. (NON) 1,041,616 .................................................................................................. 10,900 Gtech Holdings Corp. (NON) 493,661 .................................................................................................. 200 Harrah's Entertainment, Inc. (NON) 7,402 .................................................................................................. 7,350 International Game Technology (NON) 502,005 .................................................................................................. 600 MGM Mirage, Inc. (NON) 17,322 - -------------------------------------------------------------------------------------------------- 2,062,006 - -------------------------------------------------------------------------------------------------- Health Care (0.2%) .................................................................................................. 31,516 HCA, Inc. 1,214,627 .................................................................................................. 1,300 Healthsouth Corp. (NON) 19,266 .................................................................................................. 2,000 Tenet Healthcare Corp. (NON) 117,440 - -------------------------------------------------------------------------------------------------- 1,351,333 - -------------------------------------------------------------------------------------------------- Health Care Services (1.5%) .................................................................................................. 2,670 AdvancePCS (NON) 78,365 .................................................................................................. 15,600 Anthem, Inc. (NON) 772,200 .................................................................................................. 17,460 Apria Healthcare Group, Inc. (NON) 436,325 .................................................................................................. 28,500 Beverly Enterprises, Inc. (NON) 245,100 .................................................................................................. 2,150 Cardinal Health, Inc. 139,019 .................................................................................................. 28,970 Caremark Rx, Inc. (NON) 472,501 .................................................................................................. 9,300 CIGNA Corp. 861,645 .................................................................................................. 22,300 Cobalt Corp. (NON) 142,274 .................................................................................................. 38,575 DaVita, Inc. (NON) 943,159 .................................................................................................. 673 Genesis Health Ventures, Inc. (NON) 14,470 .................................................................................................. 14,500 Gentiva Health Services, Inc. (NON) 318,275 .................................................................................................. 1,100 Health Management Association, Inc. (NON) 20,240 .................................................................................................. 800 Health Net, Inc. (NON) 17,424 .................................................................................................. 3,500 Henry Schein, Inc. (NON) 129,605 .................................................................................................. 24,900 Humana Inc. (NON) 293,571 .................................................................................................. 1,600 IMS Health, Inc. 31,216 .................................................................................................. 2,570 LifePoint Hospitals, Inc. (NON) 87,483 .................................................................................................. 17,400 Magellan Health Services, Inc. (NON) 110,490 .................................................................................................. 11,709 McKesson Corp. 437,917 .................................................................................................. 31,270 Mid Atlantic Medical Services, Inc. (NON) 709,829 .................................................................................................. 4,800 Owens & Minor, Inc. 88,800 .................................................................................................. 400 Oxford Health Plans, Inc. (NON) 12,056 .................................................................................................. 9,100 PacifiCare Health Systems, Inc. (NON) 145,600 .................................................................................................. 10,800 Per-Se Technologies, Inc. (NON) 116,100 .................................................................................................. 19,675 Pharmaceutical Product Development, Inc. (NON) 635,699 .................................................................................................. 24,000 PSS World Medical, Inc. (NON) 195,840 .................................................................................................. 600 Quintiles Transnational Corp. (NON) 9,630 .................................................................................................. 3,400 Rightchoice Managed Care, Inc. (NON) 237,966 .................................................................................................. 11,700 Sierra Health Services, Inc. (NON) 94,770 .................................................................................................. 8,200 Trigon Healthcare, Inc. (NON) 569,490 .................................................................................................. 3,500 UnitedHealth Group, Inc. 247,695 .................................................................................................. 25,100 US Oncology, Inc. (NON) 189,254 .................................................................................................. 37,100 WebMD Corp. (NON) 261,926 .................................................................................................. 4,200 Wellpoint Health Networks, Inc. (NON) 490,770 - -------------------------------------------------------------------------------------------------- 9,556,704 - -------------------------------------------------------------------------------------------------- Homebuilding (0.3%) .................................................................................................. 20,500 Champion Enterprises, Inc. (NON) 252,355 .................................................................................................. 2,800 Crossman Communities, Inc. 92,400 .................................................................................................. 44,100 Fleetwood Enterprises, Inc. 499,653 .................................................................................................. 2,640 M.D.C. Holdings, Inc. 99,766 .................................................................................................. 2,910 NVR, Inc. (NON) 593,640 .................................................................................................. 1,600 Ryland Group, Inc. 117,120 - -------------------------------------------------------------------------------------------------- 1,654,934 - -------------------------------------------------------------------------------------------------- Household Furniture and Appliances (0.1%) .................................................................................................. 13,900 Applica, Inc. (NON) 125,239 .................................................................................................. 300 Black & Decker Manufacturing Co. 11,319 .................................................................................................. 900 Leggett & Platt, Inc. 20,700 .................................................................................................. 300 Maytag Corp. 9,309 .................................................................................................. 5,100 Newell Rubbermaid, Inc. 140,607 .................................................................................................. 1,000 Whirlpool Corp. 73,330 - -------------------------------------------------------------------------------------------------- 380,504 - -------------------------------------------------------------------------------------------------- Insurance (3.1%) .................................................................................................. 26,300 ACE, Ltd. (Bermuda) 1,055,945 .................................................................................................. 2,600 AFLAC, Inc. 63,856 .................................................................................................. 9,214 Allianz AG (Germany) 2,177,711 .................................................................................................. 6,200 AMBAC Financial Group, Inc. 358,732 .................................................................................................. 100 American Financial Group, Inc. 2,455 .................................................................................................. 37,148 American International Group, Inc. 2,949,551 .................................................................................................. 1,300 American National Insurance Co. 109,330 .................................................................................................. 9,500 AmerUs Group Co. 340,480 .................................................................................................. 700 AON Corp. 24,864 .................................................................................................. 8,960 Brown & Brown, Inc. 244,608 .................................................................................................. 4,200 Chubb Corp. (The) 289,800 .................................................................................................. 2,800 Clark/Bardes, Inc. (NON) 70,644 .................................................................................................. 14,250 Commerce Group, Inc. 537,083 .................................................................................................. 1,400 Conseco, Inc. (NON) 6,244 .................................................................................................. 800 Erie Indemnity Co. Class A 30,792 .................................................................................................. 6,500 FBL Financial Group, Inc. Class A 108,420 .................................................................................................. 20,240 Fidelity National Financial, Inc. 501,952 .................................................................................................. 6,600 First American Corp. 123,684 .................................................................................................. 27,500 Fremont General Corp. 215,050 .................................................................................................. 8,975 Gallagher, Arthur J. & Co. 309,548 .................................................................................................. 9,000 Hartford Financial Services Group, Inc. (The) 565,470 .................................................................................................. 2,000 Hilb, Rogal & Hamilton Co. 112,100 .................................................................................................. 121,555 ING Groep NV (Netherlands) 3,099,085 .................................................................................................. 1,050 Jefferson-Pilot Corp. 48,584 .................................................................................................. 700 Lincoln National Corp. 33,999 .................................................................................................. 1,100 Loews Corp. 60,918 .................................................................................................. 3,000 MBIA, Inc. 160,890 .................................................................................................. 800 Metlife, Inc. 25,344 .................................................................................................. 7,242 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 1,966,283 .................................................................................................. 100 Old Republic International Corp. 2,801 .................................................................................................. 4,600 PMI Group, Inc. (The) 308,246 .................................................................................................. 11,600 Presidential Life Corp. 238,496 .................................................................................................. 1,400 Principal Financial Group (NON) 33,600 .................................................................................................. 100 Protective Life Corp. 2,893 .................................................................................................. 22,750 Radian Group, Inc. 977,113 .................................................................................................. 100 Reinsurance Group of America, Inc. 3,328 .................................................................................................. 3,600 St. Paul Companies, Inc. (The) 158,292 .................................................................................................. 3,200 Stancorp Financial Group 151,200 .................................................................................................. 12,000 State Auto Financial Corp. 194,880 .................................................................................................. 33,504 Sun Life Financial Services of Canada, Inc. (Canada) 712,695 .................................................................................................. 2,400 Swiss Reinsurance Co. 144A (Switzerland) 241,562 .................................................................................................. 400 Torchmark Corp. 15,732 .................................................................................................. 4,500 UnumProvident Corp. 119,295 .................................................................................................. 10,300 XL Capital, Ltd. Class A (Bermuda) 941,008 - -------------------------------------------------------------------------------------------------- 19,694,563 - -------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (1.4%) .................................................................................................. 300 Bear Stearns Companies, Inc. (The) 17,592 .................................................................................................. 7,970 BlackRock, Inc. (NON) 332,349 .................................................................................................. 3,900 Charles Schwab Corp. (The) 60,333 .................................................................................................. 6,530 Federated Investors, Inc. 208,176 .................................................................................................. 12,600 Goldman Sachs Group, Inc. (The) 1,168,650 .................................................................................................. 300 Investment Technology Group, Inc. (NON) 11,721 .................................................................................................. 4,200 John Nuveen Co. (The) Class A 224,616 .................................................................................................. 40,000 J.P. Morgan Chase & Co. 1,454,000 .................................................................................................. 1,649 Julius Baer Holdings, Ltd. AG Class B (Switzerland) 556,557 .................................................................................................. 300 Legg Mason, Inc. 14,994 .................................................................................................. 12,248 Lehman Brothers Holdings, Inc. 818,166 .................................................................................................. 24,900 Merrill Lynch & Company, Inc. 1,297,788 .................................................................................................. 19,100 Morgan Stanley Dean Witter & Co. 1,068,454 .................................................................................................. 181,000 Nikko Securities Co., Ltd. (Japan) 808,067 .................................................................................................. 4,900 Orix Corp. (Japan) 439,012 .................................................................................................. 3,800 Prudential Financial, Inc. (NON) 126,122 .................................................................................................. 1,100 Stilwell Financial, Inc. 29,942 .................................................................................................. 1,900 Student Loan Corp. 153,140 .................................................................................................. 300 T Rowe Price Group, Inc. 10,419 - -------------------------------------------------------------------------------------------------- 8,800,098 - -------------------------------------------------------------------------------------------------- Leisure (0.1%) .................................................................................................. 400 Brunswick Corp. 8,704 .................................................................................................. 12,100 Harley-Davidson, Inc. 657,151 - -------------------------------------------------------------------------------------------------- 665,855 - -------------------------------------------------------------------------------------------------- Lodging/Tourism (0.2%) .................................................................................................. 13,782 Accor SA (France) 500,933 .................................................................................................. 26,700 Cendant Corp. (NON) 523,587 .................................................................................................. 2,000 Host Marriott Corp. 18,000 .................................................................................................. 6,700 Marriott International, Inc. Class A 272,355 .................................................................................................. 8,700 Royal Caribbean Cruises, Ltd. 140,940 .................................................................................................. 1,100 Starwood Hotels & Resorts Worldwide, Inc. 32,835 - -------------------------------------------------------------------------------------------------- 1,488,650 - -------------------------------------------------------------------------------------------------- Machinery (0.3%) .................................................................................................. 5,600 Applied Industrial Technologies, Inc. 104,440 .................................................................................................. 800 Caterpillar, Inc. 41,800 .................................................................................................. 4,459 FLIR Systems, Inc. (NON) 169,085 .................................................................................................. 7,000 Gardner Denver, Inc. (NON) 156,240 .................................................................................................. 700 Ingersoll-Rand Co. 29,267 .................................................................................................. 5,000 Milacron, Inc. 79,050 .................................................................................................. 2,250 NACCO Industries, Inc. Class A 127,778 .................................................................................................. 8,400 Parker-Hannifin Corp. 385,644 .................................................................................................. 22,484 Sandvik AB (Sweden) 481,412 .................................................................................................. 3,100 Tecumseh Products Co. Class A 156,953 - -------------------------------------------------------------------------------------------------- 1,731,669 - -------------------------------------------------------------------------------------------------- Manufacturing (0.2%) .................................................................................................. 300 Diebold, Inc. 12,132 .................................................................................................. 3,600 Illinois Tool Works, Inc. 243,792 .................................................................................................. 10,200 Kaman Corp. 159,120 .................................................................................................. 3,080 Mettler-Toledo International, Inc. (Switzerland) (NON) 159,698 .................................................................................................. 6,500 Pentair, Inc. 237,315 .................................................................................................. 3,080 Roper Industries, Inc. 152,460 .................................................................................................. 3,500 Stewart & Stevenson Services, Inc. 65,835 .................................................................................................. 1,000 Teleflex, Inc. 47,310 .................................................................................................. 3,200 Tennant Co. 118,720 - -------------------------------------------------------------------------------------------------- 1,196,382 - -------------------------------------------------------------------------------------------------- Media (0.8%) .................................................................................................. 75,200 AOL Time Warner, Inc. (NON) 2,413,920 .................................................................................................. 26,600 Fox Entertainment Group, Inc. Class A (NON) 705,698 .................................................................................................. 31,300 Liberty Media Corp. Class A (NON) 438,200 .................................................................................................. 12,500 Martha Stewart Living Omnimedia Class A (NON) 205,625 .................................................................................................. 23,300 USA Networks, Inc. (NON) 636,323 .................................................................................................. 46,000 Walt Disney Co. (The) 953,120 - -------------------------------------------------------------------------------------------------- 5,352,886 - -------------------------------------------------------------------------------------------------- Medical Technology (1.3%) .................................................................................................. 700 Apogent Technologies, Inc. (NON) 18,060 .................................................................................................. 2,800 Arrow International, Inc. 111,832 .................................................................................................. 300 Bausch & Lomb, Inc. 11,298 .................................................................................................. 2,800 Baxter International, Inc. 150,164 .................................................................................................. 3,600 Beckman Coulter, Inc. 159,480 .................................................................................................. 1,300 Becton, Dickinson and Co. 43,095 .................................................................................................. 4,845 Biosite Diagnostics, Inc. (NON) 89,003 .................................................................................................. 600 Boston Scientific Corp. (NON) 14,472 .................................................................................................. 2,900 Bruker Daltronics, Inc. (NON) 47,415 .................................................................................................. 300 C.R. Bard, Inc. 19,350 .................................................................................................. 5,300 Closure Medical Corp. (NON) 123,808 .................................................................................................. 6,075 Cytyc Corp. (NON) 158,558 .................................................................................................. 7,000 Dendreon Corp. (NON) 70,490 .................................................................................................. 300 DENTSPLY International, Inc. 15,060 .................................................................................................. 14,160 Diagnostic Products Corp. 622,332 .................................................................................................. 5,800 Digene Corp. (NON) 171,100 .................................................................................................. 9,300 Edwards Lifesciences Corp. (NON) 256,959 .................................................................................................. 6,900 Haemonetics Corp. (NON) 234,048 .................................................................................................. 11,100 Harvard Bioscience, Inc. (NON) 110,334 .................................................................................................. 12,836 Intermagnetics General Corp. (NON) 332,452 .................................................................................................. 740 Inverness Medical Innovations, Inc. (NON) 13,357 .................................................................................................. 31,200 Medtronic, Inc. 1,597,752 .................................................................................................. 21,020 Mentor Corp. 600,331 .................................................................................................. 300 Millipore Corp. 18,210 .................................................................................................. 16,600 Novoste Corp. (NON) 145,084 .................................................................................................. 14,600 Ocular Sciences, Inc. (NON) 340,180 .................................................................................................. 9,300 Pall Corp. 223,758 .................................................................................................. 16,500 Possis Medical, Inc. (NON) 287,430 .................................................................................................. 2,760 Respironics, Inc. (NON) 95,606 .................................................................................................. 8,900 SRI/Surgical Express, Inc. (NON) 142,400 .................................................................................................. 400 St. Jude Medical, Inc. (NON) 31,060 .................................................................................................. 800 Stryker Corp. 46,696 .................................................................................................. 200 Sybron Dental Specialties, Inc. (NON) 4,316 .................................................................................................. 283 Synthes-Stratec, Inc. (Switzerland) 197,172 .................................................................................................. 3,915 Techne Corp. (NON) 144,268 .................................................................................................. 19,900 Theragenics Corp. (NON) 196,214 .................................................................................................. 3,100 Thoratec Corp. (NON) 52,700 .................................................................................................. 8,580 Varian Medical Systems, Inc. (NON) 611,411 .................................................................................................. 7,760 Ventana Medical Systems, Inc. (NON) 175,531 .................................................................................................. 87 Viasys Healthcare, Inc. (NON) 1,758 .................................................................................................. 19,410 Zimmer Holdings, Inc. (NON) 592,781 - -------------------------------------------------------------------------------------------------- 8,277,325 - -------------------------------------------------------------------------------------------------- Metals (0.6%) .................................................................................................. 2,148 Alcan Aluminum, Ltd. (Canada) 76,916 .................................................................................................. 3,800 Alcoa, Inc. 135,090 .................................................................................................. 66,022 BHP Billiton PLC (United Kingdom) 335,303 .................................................................................................. 101,009 BHP Billiton, Ltd. (Australia) 542,812 .................................................................................................. 6,700 Carpenter Technology Corp. 178,354 .................................................................................................. 18,280 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 244,769 .................................................................................................. 300 Massey Energy Co. 6,219 .................................................................................................. 4,300 Material Sciences Corp. (NON) 43,516 .................................................................................................. 100 Newmont Mining Corp. 1,911 .................................................................................................. 9,100 NS Group, Inc. (NON) 68,068 .................................................................................................. 400 Nucor Corp. 21,184 .................................................................................................. 1,130 Pohang Iron & Steel Company, Ltd. (South Korea) 104,964 .................................................................................................. 13,415 Pohang Iron & Steel Company, Ltd. ADR (South Korea) 308,545 .................................................................................................. 13,300 Quanex Corp. 376,390 .................................................................................................. 5,000 Reliance Steel & Aluminum Co. 131,250 .................................................................................................. 14,403 Rio Tinto PLC (United Kingdom) 275,824 .................................................................................................. 11,775 Rio Tinto, Ltd. (Australia) 224,220 .................................................................................................. 12,600 Ryerson Tull, Inc. 138,600 .................................................................................................. 9,320 Stillwater Mining Co. (NON) 172,420 .................................................................................................. 18,100 Worthington Industries , Inc. 257,020 - -------------------------------------------------------------------------------------------------- 3,643,375 - -------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.4%) .................................................................................................. 5,700 AGL Resources, Inc. 131,214 .................................................................................................. 4,000 Atmos Energy Corp. 85,000 .................................................................................................. 27,300 Dynegy, Inc. Class A 696,150 .................................................................................................. 8,700 El Paso Corp. 388,107 .................................................................................................. 140,500 Hong Kong and China Gas Co., Ltd. (Hong Kong) 172,073 .................................................................................................. 600 KeySpan Corp. 20,790 .................................................................................................. 5,100 National Fuel Gas Co. 125,970 .................................................................................................. 1,100 Sempra Energy 27,005 .................................................................................................. 15,100 Southwestern Energy Co. (NON) 157,040 .................................................................................................. 90,000 Tokyo Gas Co., Ltd. (Japan) 241,081 .................................................................................................. 7,100 Williams Companies, Inc. (The) 181,192 - -------------------------------------------------------------------------------------------------- 2,225,622 - -------------------------------------------------------------------------------------------------- Office Equipment & Supplies (0.3%) .................................................................................................. 23,000 Canon, Inc. (Japan) 791,621 .................................................................................................. 3,600 HON Industries, Inc. 99,540 .................................................................................................. 400 Reynolds and Reynolds Co. (The) Class A 9,700 .................................................................................................. 22,200 Standard Register Co. (The) 411,366 .................................................................................................. 800 Steelcase, Inc. 11,776 .................................................................................................. 17,400 Wallace Computer Services, Inc. 330,426 - -------------------------------------------------------------------------------------------------- 1,654,429 - -------------------------------------------------------------------------------------------------- Oil & Gas (3.3%) .................................................................................................. 600 Amerada Hess Corp. 37,500 .................................................................................................. 400 Anadarko Petroleum Corp. 22,740 .................................................................................................. 2,500 Brown (Tom), Inc. (NON) 67,525 .................................................................................................. 1,300 Burlington Resources, Inc. 48,802 .................................................................................................. 3,800 Cabot Oil & Gas Corp. Class A 91,390 .................................................................................................. 7,794 Chevron Texaco Corp. 698,420 .................................................................................................. 31,200 Conoco, Inc. 882,960 .................................................................................................. 10,000 Devon Energy Corp. 386,500 .................................................................................................. 9,100 EOG Resources, Inc. 355,901 .................................................................................................. 3,700 Exco Resources, Inc. (NON) 62,160 .................................................................................................. 98,400 Exxon Mobil Corp. 3,867,120 .................................................................................................. 42,211 Frontier Oil Corp. 702,391 .................................................................................................. 2,250 Houston Exploration Co. (NON) 75,555 .................................................................................................. 11,100 KEY Production Company, Inc. (NON) 188,700 .................................................................................................. 4,600 Newfield Exploration Co. (NON) 163,346 .................................................................................................. 2,600 Occidental Petroleum Corp. 68,978 .................................................................................................. 3,100 Patina Oil & Gas Corp. 85,250 .................................................................................................. 19,601 Petroleo Brasileiro SA ADR (Brazil) 456,703 .................................................................................................. 11,740 Phillips Petroleum Co. 707,452 .................................................................................................. 22,800 Range Resources Corp. (NON) 103,740 .................................................................................................. 23,400 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 1,147,068 .................................................................................................. 465,684 Shell Transport & Trading Co. PLC (United Kingdom) 3,198,571 .................................................................................................. 17,282 Suncor Energy, Inc. (Canada) 567,404 .................................................................................................. 30,077 TotalFinaElf SA Class B (France) 4,294,637 .................................................................................................. 11,400 TotalFinaElf SA ADR (France) 800,736 .................................................................................................. 600 Ultramar Diamond Shamrock Corp. 29,688 .................................................................................................. 20,300 Unocal Corp. 732,221 .................................................................................................. 14,400 USX-Marathon Group 432,000 .................................................................................................. 2,100 Valero Energy Corp. 80,052 .................................................................................................. 6,600 Vintage Petroleum, Inc. 95,370 .................................................................................................. 10,400 Westport Resources Corp. (NON) 180,440 .................................................................................................. 23,320 XTO Energy, Inc. 408,100 - -------------------------------------------------------------------------------------------------- 21,039,420 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (0.7%) .................................................................................................. 43,700 Abitibi-Consolidated, Inc. (Canada) 319,884 .................................................................................................. 9,500 Albany International Corp. 206,150 .................................................................................................. 200 Bemis Company, Inc. 9,836 .................................................................................................. 7,800 Boise Cascade Corp. 265,278 .................................................................................................. 4,500 Boise Cascade Corp. - Units 245,025 .................................................................................................. 1,900 Georgia-Pacific Group 52,459 .................................................................................................. 16,100 International Paper Co. 649,635 .................................................................................................. 42 Kadent, Inc. (NON) 609 .................................................................................................. 700 Mead Corp. 21,623 .................................................................................................. 18,200 Owens-Illinois, Inc. (NON) 181,818 .................................................................................................. 7,900 P.H. Glatfelter Co. 123,082 .................................................................................................. 500 Sealed Air Corp. (NON) 20,410 .................................................................................................. 36,800 Smurfit-Stone Container Corp. (NON) 587,696 .................................................................................................. 17,900 Sonoco Products Co. 475,782 .................................................................................................. 47,767 Stora Enso OYJ Class R (Finland) 611,469 .................................................................................................. 200 Temple Inland, Inc. 11,346 .................................................................................................. 6,500 Weyerhaeuser Co. 351,520 .................................................................................................. 400 Willamette Industries, Inc. 20,848 - -------------------------------------------------------------------------------------------------- 4,154,470 - -------------------------------------------------------------------------------------------------- Pharmaceuticals (6.1%) .................................................................................................. 14,500 Abbott Laboratories 808,375 .................................................................................................. 6,700 Allergan, Inc. 502,835 .................................................................................................. 31,300 American Home Products Corp. 1,920,568 .................................................................................................. 7,800 Andrx Group (NON) 549,198 .................................................................................................. 80,702 AstraZeneca PLC (United Kingdom) 3,638,215 .................................................................................................. 800 AstraZeneca PLC ADR (United Kingdom) 37,280 .................................................................................................. 8,415 Aventis SA (France) 597,410 .................................................................................................. 3,570 Barr Laboratories, Inc. (NON) 283,315 .................................................................................................. 2,279 Biovail Corp. (Canada) (NON) 128,194 .................................................................................................. 22,700 Bristol-Myers Squibb Co. 1,157,700 .................................................................................................. 2,400 Cima Labs, Inc. (NON) 86,760 .................................................................................................. 20,118 Elan Corp. PLC (Ireland) (NON) 931,270 .................................................................................................. 2,300 Elan Corp. PLC ADR (Ireland) (NON) 103,638 .................................................................................................. 11,265 Enzon, Inc. (NON) 633,994 .................................................................................................. 700 Forest Laboratories, Inc. (NON) 57,365 .................................................................................................. 95,326 GlaxoSmithKline PLC (United Kingdom) 2,390,118 .................................................................................................. 7,900 Impax Laboratories, Inc. (NON) 106,176 .................................................................................................. 250 IVAX Corp. (NON) 5,035 .................................................................................................. 55,082 Johnson & Johnson 3,255,346 .................................................................................................. 4,800 K-V Pharamceuticals Co. (NON) 155,808 .................................................................................................. 24,433 King Pharmaceuticals, Inc. (NON) 1,029,362 .................................................................................................. 4,900 Kos Pharmaceuticals, Inc. (NON) 169,540 .................................................................................................. 28,400 Lilly (Eli) & Co. 2,230,536 .................................................................................................. 1,400 Medicis Pharmaceutical Corp. Class A (NON) 90,426 .................................................................................................. 48,500 Merck & Company, Inc. 2,851,800 .................................................................................................. 400 Mylan Laboratories, Inc. 15,000 .................................................................................................. 17,600 NBTY, Inc. (NON) 205,920 .................................................................................................. 31,224 Novartis AG (Switzerland) 1,129,122 .................................................................................................. 90,800 Perrigo Co. (NON) 1,073,256 .................................................................................................. 136,975 Pfizer, Inc. 5,458,454 .................................................................................................. 14,266 Pharmacia Corp. 608,445 .................................................................................................. 20,000 Sankyo Co., Ltd. (Japan) 342,657 .................................................................................................. 39,897 Sanofi-Synthelabo SA (France) 2,976,267 .................................................................................................. 84,700 Schering-Plough Corp. 3,033,107 .................................................................................................. 18,000 Shionogi & Co., Ltd. (Japan) 307,704 - -------------------------------------------------------------------------------------------------- 38,870,196 - -------------------------------------------------------------------------------------------------- Photography/Imaging (0.1%) .................................................................................................. 1,700 Eastman Kodak Co. 50,031 .................................................................................................. 35,400 Ikon Office Solutions, Inc. 413,826 .................................................................................................. 18,100 Imation Corp. (NON) 390,598 - -------------------------------------------------------------------------------------------------- 854,455 - -------------------------------------------------------------------------------------------------- Power Producers (--%) .................................................................................................. 400 Aquila, Inc. (NON) 6,840 .................................................................................................. 5,555 Mirant Corp. (NON) 88,991 - -------------------------------------------------------------------------------------------------- 95,831 - -------------------------------------------------------------------------------------------------- Publishing (0.3%) .................................................................................................. 400 Knight-Ridder, Inc. 25,972 .................................................................................................. 800 McGraw-Hill Companies, Inc. (The) 48,784 .................................................................................................. 600 New York Times Co. (The) Class A 25,950 .................................................................................................. 9,230 Scholastic Corp. (NON) 464,546 .................................................................................................. 32,000 Singapore Press Holdings, Ltd. (Singapore) 377,898 .................................................................................................. 9,600 Tribune Co. 359,328 .................................................................................................. 45,997 United Business Media PLC (United Kingdom) 321,287 .................................................................................................. 9,742 VNU NV (Netherlands) 299,282 - -------------------------------------------------------------------------------------------------- 1,923,047 - -------------------------------------------------------------------------------------------------- Railroads (0.2%) .................................................................................................. 2,700 Burlington Northern Santa Fe Corp. 77,031 .................................................................................................. 6,800 CSX Corp. 238,340 .................................................................................................. 300 GATX Corp. 9,756 .................................................................................................. 200 Kansas City Southern Industries, Inc. (NON) 2,826 .................................................................................................. 18,200 Union Pacific Corp. 1,037,400 - -------------------------------------------------------------------------------------------------- 1,365,353 - -------------------------------------------------------------------------------------------------- Real Estate (0.7%) .................................................................................................. 2,200 Alexandria Real Estate Equities (R) 90,420 .................................................................................................. 13,400 Archstone-Smith Trust 352,420 .................................................................................................. 300 Avalonbay Communities, Inc. (R) 14,193 .................................................................................................. 2,100 Boston Properties, Inc. (R) 79,800 .................................................................................................. 131,000 Cheung Kong Holdings, Ltd. (Hong Kong) 1,360,786 .................................................................................................. 400 Duke Realty Investments, Inc. (R) 9,732 .................................................................................................. 18,198 Equity Office Properties Trust (R) 547,396 .................................................................................................. 42,800 Equity Residential Properties Trust (R) 1,228,788 .................................................................................................. 9,900 LNR Property Corp. 308,682 .................................................................................................. 6,800 Meritage Corp. (NON) 348,840 .................................................................................................. 2,600 Mills Corp. 68,848 .................................................................................................. 24,900 National Golf Properties, Inc. 220,863 .................................................................................................. 1,100 Security Capital Group, Inc. Class B (NON) 27,907 .................................................................................................. 800 Vornado Realty Trust (R) 33,280 - -------------------------------------------------------------------------------------------------- 4,691,955 - -------------------------------------------------------------------------------------------------- Regional Bells (1.0%) .................................................................................................. 35,700 BellSouth Corp. 1,361,955 .................................................................................................. 69,800 SBC Communications, Inc. 2,734,066 .................................................................................................. 52,300 Verizon Communications, Inc. 2,482,158 - -------------------------------------------------------------------------------------------------- 6,578,179 - -------------------------------------------------------------------------------------------------- Restaurants (0.4%) .................................................................................................. 130 AmeriKing, Inc. (NON) 1 .................................................................................................. 15,900 CBRL Group, Inc. 468,096 .................................................................................................. 17,700 Darden Restaurants, Inc. 626,580 .................................................................................................. 31,500 McDonald's Corp. 833,805 .................................................................................................. 1,500 Panera Bread Co. (NON) 78,060 .................................................................................................. 29,800 Starbucks Corp. (NON) 567,690 .................................................................................................. 4,000 Tricon Global Restaurants, Inc. (NON) 196,800 .................................................................................................. 700 Wendy's International, Inc. 20,419 - -------------------------------------------------------------------------------------------------- 2,791,451 - -------------------------------------------------------------------------------------------------- Retail (3.1%) .................................................................................................. 9,730 1-800-FLOWERS. COM, Inc. (NON) 151,788 .................................................................................................. 11,800 99 Cents Only Stores (NON) 449,580 .................................................................................................. 6,600 Aaron Rents, Inc. 107,580 .................................................................................................. 4,500 Albertsons, Inc. 141,705 .................................................................................................. 9,900 Alloy, Inc. (NON) 213,147 .................................................................................................. 700 AutoZone, Inc. (NON) 50,260 .................................................................................................. 26,598 Bed Bath & Beyond, Inc. (NON) 901,672 .................................................................................................. 400 Best Buy Co., Inc. (NON) 29,792 .................................................................................................. 23,700 Burlington Coat Factory Warehouse Corp. 398,160 .................................................................................................. 3,780 Chico's FAS, Inc. (NON) 150,066 .................................................................................................. 300 Circuit City Stores-Circuit City Group 7,785 .................................................................................................. 900 CVS Corp. 26,640 .................................................................................................. 400 Dollar Tree Stores, Inc. (NON) 12,364 .................................................................................................. 2,800 Fast Retailing Co., Ltd. (Japan) 249,155 .................................................................................................. 13,000 Federated Department Stores, Inc. (NON) 531,700 .................................................................................................. 9,800 Fleming Companies, Inc. 181,300 .................................................................................................. 31,100 Foot Locker, Inc. (NON) 486,715 .................................................................................................. 9,200 Fred's, Inc. Class A 376,832 .................................................................................................. 4,500 Gap, Inc. (The) 62,730 .................................................................................................. 7,800 Great Atlantic & Pacific Tea Co. (NON) 185,484 .................................................................................................. 7,300 Home Depot, Inc. (The) 372,373 .................................................................................................. 19,700 Intimate Brands, Inc. 292,742 .................................................................................................. 12,700 J.C. Penney Co., Inc. 341,630 .................................................................................................. 800 Jones Apparel Group, Inc. (NON) 26,536 .................................................................................................. 1,100 K mart Corp. (NON) 6,006 .................................................................................................. 10,988 Kingfisher Leisure PLC (United Kingdom) 64,119 .................................................................................................. 18,000 Kohls Corp. (NON) 1,267,920 .................................................................................................. 28,100 Kroger Co. (NON) 586,447 .................................................................................................. 4,400 Lands' End, Inc. (NON) 220,704 .................................................................................................. 28,100 Limited, Inc. (The) 413,632 .................................................................................................. 13,600 Longs Drug Stores, Inc. 317,968 .................................................................................................. 26,100 Lowe's Companies, Inc. 1,211,301 .................................................................................................. 5,300 May Department Stores Co. 195,994 .................................................................................................. 13,178 Metro AG (Germany) 463,377 .................................................................................................. 52,400 Office Depot, Inc. (NON) 971,496 .................................................................................................. 17,600 OfficeMax, Inc. (NON) 79,200 .................................................................................................. 7,600 Pathmark Stores, Inc. (NON) 187,416 .................................................................................................. 17,000 Pep Boys (The)-Manny, Moe, & Jack 291,550 .................................................................................................. 92,000 PETsMART, Inc. (NON) 905,280 .................................................................................................. 4,300 Regis Corp. 110,854 .................................................................................................. 6,890 Rent-A-Center, Inc. (NON) 231,297 .................................................................................................. 96,806 Rite Aid Corp. (NON) 489,838 .................................................................................................. 700 Ross Stores, Inc. 22,456 .................................................................................................. 7,900 Ruddick Corp. 126,321 .................................................................................................. 4,500 Safeway, Inc. (NON) 187,875 .................................................................................................. 3,400 Sears, Roebuck & Co. 161,976 .................................................................................................. 13,000 ShopKo Stores, Inc. (NON) 123,500 .................................................................................................. 12,500 Spiegel, Inc. Class A 56,875 .................................................................................................. 6,600 Staples, Inc. (NON) 123,420 .................................................................................................. 2,000 SUPERVALU, Inc. 44,240 .................................................................................................. 23,000 Talbots, Inc. (The) 833,750 .................................................................................................. 2,100 Target Corp. 86,205 .................................................................................................. 11,700 TJX Companies, Inc. (The) 466,362 .................................................................................................. 9,800 United Natural Foods, Inc. (NON) 245,000 .................................................................................................. 46,990 Wal-Mart Stores, Inc. 2,704,275 .................................................................................................. 2,400 Walgreen Co. 80,784 .................................................................................................. 2,200 Weiss Markets, Inc. 61,512 .................................................................................................. 30,950 Wet Seal, Inc. (The) (NON) 728,873 .................................................................................................. 600 Whole Foods Market, Inc. (NON) 26,136 - -------------------------------------------------------------------------------------------------- 19,841,695 - -------------------------------------------------------------------------------------------------- Schools (0.1%) .................................................................................................. 5,860 Career Education Corp. (NON) 200,881 .................................................................................................. 3,310 Education Management Corp. (NON) 119,988 .................................................................................................. 7,060 MemberWorks, Inc. (NON) 98,911 - -------------------------------------------------------------------------------------------------- 419,780 - -------------------------------------------------------------------------------------------------- Semiconductor (0.4%) .................................................................................................. 3,500 Applied Materials, Inc. (NON) 140,350 .................................................................................................. 200 Cognex Corp. (NON) 5,122 .................................................................................................. 5,200 Cohu, Inc. 102,700 .................................................................................................. 12,500 DuPont Photomasks, Inc. (NON) 543,125 .................................................................................................. 15,200 KLA-Tencor Corp. (NON) 753,312 .................................................................................................. 5,900 LAM Research Corp. (NON) 136,998 .................................................................................................. 400 Mykolis Corp. (NON) 6,400 .................................................................................................. 600 Novellus Systems, Inc. (NON) 23,670 .................................................................................................. 5,000 Numerical Technologies, Inc. (NON) 176,000 .................................................................................................. 8,592 Photronics, Inc. (NON) 269,359 .................................................................................................. 11,730 Semitool, Inc. (NON) 134,660 .................................................................................................. 4,300 Zygo Corp. (NON) 68,370 - -------------------------------------------------------------------------------------------------- 2,360,066 - -------------------------------------------------------------------------------------------------- Shipping (0.1%) .................................................................................................. 29,900 Airbourne, Inc. 443,417 .................................................................................................. 300 Expeditors International of Washington, Inc. 17,085 - -------------------------------------------------------------------------------------------------- 460,502 - -------------------------------------------------------------------------------------------------- Software (2.3%) .................................................................................................. 17,900 Activision, Inc. (NON) 465,579 .................................................................................................. 3,260 Advent Software, Inc. (NON) 162,837 .................................................................................................. 46,200 Aether Systems, Inc. (NON) 425,040 .................................................................................................. 73,700 Akamai Technologies, Inc. (NON) 437,778 .................................................................................................. 26,091 Ansoft Corp. (NON) 380,929 .................................................................................................. 12,000 Ansys, Inc. (NON) 295,800 .................................................................................................. 600 Autodesk, Inc. 22,362 .................................................................................................. 27,100 Avid Technology, Inc. (NON) 329,265 .................................................................................................. 4,100 BEA Systems, Inc. (NON) 63,140 .................................................................................................. 23,400 BMC Software, Inc. (NON) 383,058 .................................................................................................. 900 Cadence Design Systems, Inc. (NON) 19,728 .................................................................................................. 14,300 Check Point Software Technologies, Ltd. (Israel) (NON) 570,427 .................................................................................................. 900 Citrix Systems, Inc. (NON) 20,394 .................................................................................................. 2,300 Computer Associates International, Inc. 79,327 .................................................................................................. 1,300 Compuware Corp. (NON) 15,327 .................................................................................................. 2,100 Electronic Arts, Inc. (NON) 125,895 .................................................................................................. 10,110 FileNET Corp. (NON) 205,132 .................................................................................................. 4,000 Hyperion Solutions Corp. (NON) 79,440 .................................................................................................. 800 I2 Technologies, Inc. (NON) 6,320 .................................................................................................. 15,200 J.D. Edwards & Co. (NON) 250,040 .................................................................................................. 5,800 JDA Software Group, Inc. (NON) 129,630 .................................................................................................. 4,930 Kana Communications, Inc. (NON) 95,938 .................................................................................................. 19,205 Kronos, Inc. (NON) 929,138 .................................................................................................. 7,900 Macromedia, Inc. (NON) 140,620 .................................................................................................. 11,700 MapInfo Corp. (NON) 183,573 .................................................................................................. 90,800 Microsoft Corp. (NON) 6,015,500 .................................................................................................. 7,100 Midway Games, Inc. (NON) 106,571 .................................................................................................. 76,453 Misys PLC (United Kingdom) 361,577 .................................................................................................. 5,900 Network Associates, Inc. (NON) 152,515 .................................................................................................. 10,000 Oracle Corp. (NON) 138,100 .................................................................................................. 8,600 Parametric Technology Corp. (NON) 67,166 .................................................................................................. 4,400 PeopleSoft, Inc. (NON) 176,880 .................................................................................................. 9,000 Roxio, Inc. (NON) 148,950 .................................................................................................. 27,570 S1 Corp. (NON) 446,083 .................................................................................................. 4,950 Secure Computing Corp. (NON) 101,723 .................................................................................................. 12,500 Siebel Systems, Inc. (NON) 349,750 .................................................................................................. 4,325 Sybase, Inc. (NON) 68,162 .................................................................................................. 400 Symantec Corp. (NON) 26,532 .................................................................................................. 400 Synopsys, Inc. (NON) 23,628 .................................................................................................. 1,400 THQ, Inc. (NON) 67,858 .................................................................................................. 12,427 VERITAS Software Corp. (NON) 557,102 .................................................................................................. 1,400 WebEx Communications, Inc. (NON) 34,790 .................................................................................................. 3,300 Websense, Inc. (NON) 105,831 - -------------------------------------------------------------------------------------------------- 14,765,435 - -------------------------------------------------------------------------------------------------- Staffing (--%) .................................................................................................. 1,130 AMN Healthcare Services, Inc. (NON) 30,962 .................................................................................................. 14,400 Kforce, Inc. (NON) 90,576 - -------------------------------------------------------------------------------------------------- 121,538 - -------------------------------------------------------------------------------------------------- Technology (0.1%) .................................................................................................. 9,400 Flextronics International, Ltd. (Singapore) (NON) 225,506 .................................................................................................. 2,130 Koninklijke (Royal) Philips Electronics NV (Netherlands) 63,293 .................................................................................................. 11,400 Lucent Technologies, Inc. 71,706 - -------------------------------------------------------------------------------------------------- 360,505 - -------------------------------------------------------------------------------------------------- Technology Services (1.1%) .................................................................................................. 20,000 Accenture, Ltd. Class A (Bermuda) (NON) 538,400 .................................................................................................. 17,600 Acxiom Corp. (NON) 307,472 .................................................................................................. 300 Affiliated Computer Services, Inc. Class A (NON) 31,839 .................................................................................................. 14,900 Automatic Data Processing, Inc. 877,610 .................................................................................................. 4,400 BISYS Group, Inc. (The) (NON) 281,556 .................................................................................................. 27,900 Carreker Corp. (NON) 164,610 .................................................................................................. 3,100 Checkfree Corp. (NON) 55,800 .................................................................................................. 11,700 Ciber, Inc. (NON) 110,565 .................................................................................................. 5,200 Computer Sciences Corp. (NON) 254,696 .................................................................................................. 11,800 Computer Task Group, Inc. (NON) 46,492 .................................................................................................. 1,900 Concord EFS, Inc. (NON) 62,282 .................................................................................................. 2,400 Convergys Corp. (NON) 89,976 .................................................................................................. 500 CSG Systems International, Inc. (NON) 20,225 .................................................................................................. 11,360 Davox Corp. (NON) 109,851 .................................................................................................. 300 DST Systems, Inc. (NON) 14,955 .................................................................................................. 2,900 Electronic Data Systems Corp. 198,795 .................................................................................................. 2,400 Fiserv, Inc. (NON) 101,568 .................................................................................................. 6,875 Forrester Research, Inc. (NON) 138,463 .................................................................................................. 32,600 Gartner, Inc. Class A (NON) 381,094 .................................................................................................. 10,800 Interactive Data Corp. 152,712 .................................................................................................. 56,400 KPMG Consulting, Inc. (NON) 934,548 .................................................................................................. 19,900 MTS Systems Corp. 201,189 .................................................................................................. 9,640 Overture Services, Inc. (NON) 341,545 .................................................................................................. 68,700 Safeguard Scientifics, Inc. (NON) 240,450 .................................................................................................. 700 SEI Investments Co. 31,577 .................................................................................................. 68,400 Silicon Graphics Corp. (NON) 143,640 .................................................................................................. 1,200 SunGard Data Systems, Inc. (NON) 34,716 .................................................................................................. 11,672 TietoEnator OYJ (Finland) 309,115 .................................................................................................. 3,800 TietoEnator OYJ 144A (Finland) 100,637 .................................................................................................. 29,700 Unisys Corp. (NON) 372,438 .................................................................................................. 43,300 Unova, Inc. (NON) 251,140 .................................................................................................. 2,800 Xerox Corp. 29,176 .................................................................................................. 1,400 Yahoo!, Inc. (NON) 24,836 - -------------------------------------------------------------------------------------------------- 6,953,968 - -------------------------------------------------------------------------------------------------- Telecommunications (2.7%) .................................................................................................. 5,900 ALLTEL Corp. 364,207 .................................................................................................. 15,300 AT&T Corp. 277,542 .................................................................................................. 12,849 AT&T Wireless Services, Inc. (NON) 184,640 .................................................................................................. 7,800 Boston Communications Group (NON) 88,530 .................................................................................................. 3,500 Broadwing, Inc. (NON) 33,250 .................................................................................................. 300 CenturyTel, Inc. 9,840 .................................................................................................. 43,300 China Mobile, Ltd. (Hong Kong) (NON) 152,428 .................................................................................................. 13,400 Citizens Communications Co. (NON) 142,844 .................................................................................................. 5,000 Commonwealth Telephone Enterprises, Inc. (NON) 227,500 .................................................................................................. 23,100 General Communication, Inc. Class A (NON) 197,043 .................................................................................................. 59 Japan Telecom Co., Ltd. (Japan) 176,953 .................................................................................................. 35,957 Korea Telecom Corp. ADR (South Korea) 731,006 .................................................................................................. 300 Level 3 Communications, Inc. (NON) 1,500 .................................................................................................. 13,500 Metro One Telecommunications (NON) 408,375 .................................................................................................. 1,300 Nextel Communications, Inc. Class A (NON) 14,248 .................................................................................................. 29 Nippon Telegraph and Telephone Corp. (NTT) (Japan) 94,501 .................................................................................................. 238 NTT DoCoMo, Inc. (Japan) 2,797,115 .................................................................................................. 30,812 Orange SA (France) (NON) 279,226 .................................................................................................. 23,990 Portugal Telecom SGPS SA (Portugal) (NON) 186,864 .................................................................................................. 51,100 Qwest Communications International, Inc. 722,043 .................................................................................................. 6,000 Rural Cellular Corp. Class A (NON) 133,500 .................................................................................................. 510 SK Telecom Co., Ltd. (South Korea) 104,066 .................................................................................................. 10,535 SK Telecom Co., Ltd. ADR (South Korea) 227,767 .................................................................................................. 18,500 Somera Communications, Inc. (NON) 139,675 .................................................................................................. 29,300 Sprint Corp. (FON Group) 588,344 .................................................................................................. 31,700 Sprint Corp. (PCS Group) (NON) 773,797 .................................................................................................. 8,556 TDC A/S (Denmark) 304,913 .................................................................................................. 16,900 Telecom Corp. of New Zealand, Ltd. (New Zealand) 35,177 .................................................................................................. 132,350 Telecom Italia Mobile SpA (Italy) 738,719 .................................................................................................. 108,146 Telecom Italia SpA (Italy) 577,629 .................................................................................................. 58,922 Telefonica SA (Spain) (NON) 788,359 .................................................................................................. 20,621 Telefonos de Mexico SA de CV (Telmex) ADR Ser. L (Mexico) 722,147 .................................................................................................. 200 Telephone and Data Systems, Inc. 17,950 .................................................................................................. 5,900 Time Warner Telecom, Inc. Class A (NON) 104,371 .................................................................................................. 200 United States Cellular Corp. (NON) 9,050 .................................................................................................. 1,434,346 Vodafone Group PLC (United Kingdom) 3,751,850 .................................................................................................. 1,100 Western Wireless Corp. Class A (NON) 31,075 .................................................................................................. 386 Williams Communications Group, Inc. (NON) 907 .................................................................................................. 342 Worldcom, Inc. MCI Group 4,343 .................................................................................................. 59,155 Worldcom, Inc.-WorldCom Group (NON) 832,902 - -------------------------------------------------------------------------------------------------- 16,976,196 - -------------------------------------------------------------------------------------------------- Telephone (--%) .................................................................................................. 160 MPower Holdings Corp. 144A (NON) 72 - -------------------------------------------------------------------------------------------------- Textiles (0.1%) .................................................................................................. 11,100 Brown Shoe Co., Inc. 180,264 .................................................................................................. 13,500 Interface, Inc., Class A 75,735 .................................................................................................. 3,700 Reebok International, Ltd. (NON) 98,050 .................................................................................................. 300 V. F. Corp. 11,703 .................................................................................................. 13,100 Wolverine World Wide, Inc. 197,155 - -------------------------------------------------------------------------------------------------- 562,907 - -------------------------------------------------------------------------------------------------- Tire & Rubber (--%) .................................................................................................. 300 Goodyear Tire & Rubber Co. (The) 7,143 - -------------------------------------------------------------------------------------------------- Tobacco (0.6%) .................................................................................................. 9,018 Altadis SA (Spain) 153,331 .................................................................................................. 8,700 Korea Tobacco & Ginseng Corp. 144A GDR (South Korea) (NON) 67,425 .................................................................................................. 79,300 Philip Morris Companies, Inc. 3,635,905 .................................................................................................. 1,200 R.J. Reynolds Tobacco Holdings, Inc. 67,560 .................................................................................................. 600 UST, Inc. 21,000 - -------------------------------------------------------------------------------------------------- 3,945,221 - -------------------------------------------------------------------------------------------------- Toys (0.3%) .................................................................................................. 27,889 Action Performance Companies, Inc. (NON) 853,682 .................................................................................................. 5,500 Mattel, Inc. 94,600 .................................................................................................. 3,800 Nintendo Co., Ltd. (Japan) 665,547 .................................................................................................. 400 Toys R Us (NON) 8,296 - -------------------------------------------------------------------------------------------------- 1,622,125 - -------------------------------------------------------------------------------------------------- Transaction Processing (--%) .................................................................................................. 9,100 NDCHealth Corp. 314,405 - -------------------------------------------------------------------------------------------------- Transportation Services (--%) .................................................................................................. 12,100 TNT Post Group NV (Netherlands) 261,746 - -------------------------------------------------------------------------------------------------- Waste Management (0.3%) .................................................................................................. 1,400 Allied Waste Industries, Inc. (NON) 19,684 .................................................................................................. 39,200 Republic Services, Inc. (NON) 782,824 .................................................................................................. 24,300 Waste Management, Inc. 775,413 - -------------------------------------------------------------------------------------------------- 1,577,921 - -------------------------------------------------------------------------------------------------- Total Common Stocks (cost $394,918,776) $394,495,347 - -------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES (14.4%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. Aerospace and Defense (0.6%) .................................................................................................. $860,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 $1,028,835 .................................................................................................. 260,000 Raytheon Co. notes 8.3s, 2010 289,936 .................................................................................................. 595,000 Raytheon Co. notes 6 3/4s, 2007 611,850 .................................................................................................. 100,000 Sequa Corp. sr. notes 9s, 2009 92,000 .................................................................................................. 1,690,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 1,554,800 - -------------------------------------------------------------------------------------------------- 3,577,421 - -------------------------------------------------------------------------------------------------- Airlines (0.2%) .................................................................................................. 100,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 104,903 .................................................................................................. 170,000 Calair, LLC 144A company guaranty 8 1/8s, 2008 125,800 .................................................................................................. 610,000 Continental Airlines, Inc. notes 8s, 2005 506,300 .................................................................................................. 10,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 8,300 .................................................................................................. 260,000 Northwest Airlines, Inc. company guaranty 7 5/8s, 2005 200,200 .................................................................................................. 100,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 62,000 - -------------------------------------------------------------------------------------------------- 1,007,503 - -------------------------------------------------------------------------------------------------- Automotive (0.4%) .................................................................................................. 1,120,000 DaimlerChrysler Corp. company guaranty 8 1/2s, 2031 1,199,386 .................................................................................................. 110,000 Dana Corp. notes 6 1/4s, 2004 100,100 .................................................................................................. 350,000 Dana Corp. 144A sr. notes 9s, 2011 322,000 .................................................................................................. 805,000 Ford Motor Co. bonds 6 5/8s, 2028 670,138 .................................................................................................. 160,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 163,714 .................................................................................................. 120,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 121,316 .................................................................................................. 50,000 Talon Automotive Group sr. sub. notes Ser. B, 9 5/8s, 2008 (In default) (NON) 1,000 .................................................................................................. 240,000 Visteon Corp. sr. notes 8 1/4s, 2010 248,287 - -------------------------------------------------------------------------------------------------- 2,825,941 - -------------------------------------------------------------------------------------------------- Banking (1.5%) .................................................................................................. 1,925,000 Bank of America Corp. sub. notes 7.4s, 2011 2,064,832 .................................................................................................. 935,000 Bank One Corp. notes 6s, 2008 937,562 .................................................................................................. 110,000 Colonial Capital II 144A company guaranty 8.92s, 2027 99,831 .................................................................................................. 1,210,000 FleetBoston Financial Corp. notes 7 1/4s, 2005 1,302,311 .................................................................................................. 1,570,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,565,164 .................................................................................................. 975,000 National City Bank sub. notes Ser. BKNT, 6 1/4s, 2011 968,107 .................................................................................................. 20,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 18,076 .................................................................................................. 70,000 Provident Capital Trust company guaranty 8.6s, 2026 60,416 .................................................................................................. 80,000 Riggs Capital Trust 144A bonds 8 5/8s, 2026 56,977 .................................................................................................. 2,360,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 2,548,800 .................................................................................................. 5,000 Webster Capital Trust I 144A bonds 9.36s, 2027 4,261 - -------------------------------------------------------------------------------------------------- 9,626,337 - -------------------------------------------------------------------------------------------------- Beverage (0.1%) .................................................................................................. 415,000 Anheuser-Busch Companies, Inc. debs. 7.55s, 2030 477,362 .................................................................................................. 130,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 130,650 - -------------------------------------------------------------------------------------------------- 608,012 - -------------------------------------------------------------------------------------------------- Broadcasting (0.6%) .................................................................................................. 88,000 AMFM Operating, Inc. debs. 12 5/8s, 2006 93,940 .................................................................................................. 50,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 51,641 .................................................................................................. 1,660,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 1,592,803 .................................................................................................. 100,000 Chancellor Media Corp. company guaranty 8s, 2008 104,000 .................................................................................................. 60,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 62,400 .................................................................................................. 1,680,000 News America Holdings, Inc. debs. 7.7s, 2025 1,639,512 .................................................................................................. 120,000 News America, Inc. sr. notes 6 5/8s, 2008 120,245 .................................................................................................. 80,000 Pegasus Satellite sr. notes 12 3/8s, 2006 80,000 - -------------------------------------------------------------------------------------------------- 3,744,541 - -------------------------------------------------------------------------------------------------- Building Materials (0.1%) .................................................................................................. 280,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 280,000 .................................................................................................. 250,000 American Standard Companies, Inc. company guaranty 7 1/8s, 2003 253,750 - -------------------------------------------------------------------------------------------------- 533,750 - -------------------------------------------------------------------------------------------------- Cable Television (0.2%) .................................................................................................. 20,000 Century Communications Corp. sr. notes 8 7/8s, 2007 19,100 .................................................................................................. 270,000 CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011 270,597 .................................................................................................. 210,000 CSC Holdings, Inc. sr. sub. debs. 10 1/2s, 2016 231,000 .................................................................................................. 300,000 CSC Holdings, Inc. sr. sub. debs. 9 7/8s, 2013 318,000 .................................................................................................. 40,000 Rogers Cablesystems, Ltd. debs. 10 1/8s, 2012 (Canada) 42,200 .................................................................................................. 20,000 Rogers Cablesystems, Ltd. notes 11s, 2015 (Canada) 21,500 .................................................................................................. 110,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 106,150 .................................................................................................. 100,000 TeleWest Communications PLC debs. 11s, 2007 (United Kingdom) 71,000 - -------------------------------------------------------------------------------------------------- 1,079,547 - -------------------------------------------------------------------------------------------------- Chemicals (0.6%) .................................................................................................. 450,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 454,500 .................................................................................................. 40,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 41,800 .................................................................................................. 70,000 Hercules, Inc. company guaranty 11 1/8s, 2007 72,100 .................................................................................................. 110,000 Huntsman Corp. 144A sr. sub. notes FRN 5.23s, 2007 20,900 .................................................................................................. 560,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 597,923 .................................................................................................. 1,470,000 Lyondell Petrochemical Co. notes Ser. A, 9 5/8s, 2007 1,477,350 .................................................................................................. 180,000 Lyondell Petrochemical Co. sec. notes Ser. B, 9 7/8s, 2007 179,550 .................................................................................................. 450,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 463,500 .................................................................................................. 250,000 Millenium America, Inc. company guaranty 7s, 2006 238,195 .................................................................................................. 60,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 62,400 .................................................................................................. 100,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 899 .................................................................................................. 30,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 24,600 - -------------------------------------------------------------------------------------------------- 3,633,717 - -------------------------------------------------------------------------------------------------- Conglomerates (0.2%) .................................................................................................. 1,210,000 Tyco International, Ltd. company guaranty 6 3/4s, 2011 (Luxembourg) 1,218,797 - -------------------------------------------------------------------------------------------------- Consumer (0.1%) .................................................................................................. 660,000 Sealy Corp. sr. sub. notes Ser. B, 9 7/8s, 2007 653,400 - -------------------------------------------------------------------------------------------------- Consumer Finance (0.8%) .................................................................................................. 1,530,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 1,510,538 .................................................................................................. 765,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 750,731 .................................................................................................. 435,000 Ford Motor Credit Corp. sr. notes 5.8s, 2009 394,280 .................................................................................................. 835,000 General Motors Acceptance Corp. notes 6 7/8s, 2011 816,672 .................................................................................................. 410,000 General Motors Acceptance Corp. notes 6 5/8s, 2002 419,500 .................................................................................................. 920,000 General Motors Acceptance Corp. notes 6 1/8s, 2006 910,386 .................................................................................................. 530,000 Household Finance Corp. notes 8s, 2005 570,232 - -------------------------------------------------------------------------------------------------- 5,372,339 - -------------------------------------------------------------------------------------------------- Consumer Goods (--%) .................................................................................................. 60,000 Scotts Co. (The) company guaranty 8 5/8s, 2009 61,500 - -------------------------------------------------------------------------------------------------- Consumer Services (--%) .................................................................................................. 50,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 53,500 - -------------------------------------------------------------------------------------------------- Containers (--%) .................................................................................................. 170,000 Ball Corp. company guaranty 8 1/4s, 2008 179,350 .................................................................................................. 60,000 U.S. Can Corp. company guaranty Ser. B, 12 3/8s, 2010 31,800 - -------------------------------------------------------------------------------------------------- 211,150 - -------------------------------------------------------------------------------------------------- Electric Utilities (1.1%) .................................................................................................. 220,000 AES Corp. (The) sr. notes 9 3/8s, 2010 194,700 .................................................................................................. 160,000 AES Corp. (The) sr. notes 8 7/8s, 2011 137,600 .................................................................................................. 830,000 Avista Corp. sr. notes 9 3/4s, 2008 851,580 .................................................................................................. 40,000 CMS Energy Corp. sr. notes 7 1/2s, 2009 38,029 .................................................................................................. 170,000 CMS Energy Corp. sr. notes Ser. B, 6 3/4s, 2004 166,673 .................................................................................................. 600,000 CMS Panhandle Holding Corp. sr. notes 6 1/8s, 2004 605,688 .................................................................................................. 1,220,000 Dominion Resources, Inc. sr. notes Ser. B, 7 5/8s, 2005 1,300,813 .................................................................................................. 880,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 867,530 .................................................................................................. 620,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 688,200 .................................................................................................. 19,543 Northeast Utilities notes Ser. A, 8.58s, 2006 20,778 .................................................................................................. 73,333 Northeast Utilities notes Ser. B, 8.38s, 2005 76,838 .................................................................................................. 413,438 NRG Northeast Generating Corp. company guaranty Ser. A-1, 8.065s, 2004 417,411 .................................................................................................. 100,000 The Cleveland Electric Illuminating Co. 1st mtge. Ser. B, 9 1/2s, 2005 102,086 .................................................................................................. 1,225,000 TXU Corp. sr. notes Ser. J, 6 3/8s, 2006 1,231,615 - -------------------------------------------------------------------------------------------------- 6,699,541 - -------------------------------------------------------------------------------------------------- Energy (0.5%) .................................................................................................. 90,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 93,600 .................................................................................................. 50,000 Grant Prideco, Inc. company guaranty Ser. B, 9 5/8s, 2007 49,625 .................................................................................................. 30,000 Key Energy Services, Inc. company guaranty Ser. B, 8 3/8s, 2008 30,040 .................................................................................................. 10,000 Pride International, Inc. sr. notes 10s, 2009 10,850 .................................................................................................. 1,740,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 1,816,125 .................................................................................................. 330,000 R&B Falcon Corp. sr. notes Ser. B, 6 3/4s, 2005 336,320 .................................................................................................. 575,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 564,564 - -------------------------------------------------------------------------------------------------- 2,901,124 - -------------------------------------------------------------------------------------------------- Financial (0.4%) .................................................................................................. 33,000 AMRESCO, Inc. sr. sub. notes Ser. 97-A, 10s, 2004 (In default) (NON) 10,230 .................................................................................................. 900,000 Associates Corp. sr. notes 6 1/4s, 2008 927,675 .................................................................................................. 515,000 Citigroup, Inc. debs. 6 5/8s, 2028 507,569 .................................................................................................. 410,000 Citigroup, Inc. notes 6 1/2s, 2011 422,370 .................................................................................................. 450,000 Nisource Finance Corp. company guaranty Ser. B, 7 5/8s, 2005 466,488 .................................................................................................. 60,000 Willis Corroon Corp. 144A company guaranty 9s, 2009 61,800 - -------------------------------------------------------------------------------------------------- 2,396,132 - -------------------------------------------------------------------------------------------------- Food (0.3%) .................................................................................................. 1,670,000 Unilever Capital Corp. company guaranty 7 1/8s, 2010 1,806,472 - -------------------------------------------------------------------------------------------------- Gaming & Lottery (0.9%) .................................................................................................. 170,000 Argosy Gaming Co. company guaranty 10 3/4s, 2009 187,850 .................................................................................................. 28,674 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 10,036 .................................................................................................. 90,000 Harrah's Entertainment, Inc. company guaranty 7 7/8s, 2005 93,375 .................................................................................................. 60,000 Harrah's Operating Co., Inc. company guaranty 8s, 2011 62,007 .................................................................................................. 130,000 International Game Technology sr. notes 8 3/8s, 2009 136,825 .................................................................................................. 1,860,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 1,929,750 .................................................................................................. 720,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 711,000 .................................................................................................. 50,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 51,375 .................................................................................................. 560,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 585,200 .................................................................................................. 20,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 19,400 .................................................................................................. 90,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 93,600 .................................................................................................. 170,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 172,125 .................................................................................................. 1,370,000 Park Place Entertainment Corp. sr. sub. notes 7 7/8s, 2005 1,370,000 .................................................................................................. 20,000 Station Casinos, Inc. sr. notes 8 3/8s, 2008 20,400 .................................................................................................. 390,000 Trump Castle Funding, Inc. sub. notes 10 1/4s, 2003 394,875 - -------------------------------------------------------------------------------------------------- 5,837,818 - -------------------------------------------------------------------------------------------------- Health Care (0.8%) .................................................................................................. 20,000 Fresenius Medical Capital Trust II company guaranty 7 7/8s, 2008 20,000 .................................................................................................. 130,000 HCA, Inc. debs. 7.19s, 2015 128,050 .................................................................................................. 50,000 HCA, Inc. med. term notes 7.69s, 2025 47,500 .................................................................................................. 160,000 HCA, Inc. med. term notes 6.63s, 2045 161,534 .................................................................................................. 90,000 HCA, Inc. notes 8 3/4s, 2010 98,325 .................................................................................................. 65,000 HCA, Inc. notes 8.36s, 2024 64,025 .................................................................................................. 40,000 HCA, Inc. notes 7s, 2007 40,200 .................................................................................................. 2,220,000 HCA, Inc. sr. notes 7 7/8s, 2011 2,286,600 .................................................................................................. 2,210,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 2,428,238 .................................................................................................. 110,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 11 .................................................................................................. 130,000 Mariner Post-Acute Network, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 1,300 .................................................................................................. 80,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (STP) 400 .................................................................................................. 260,000 Multicare Companies, Inc. sr. sub. notes 9s, 2007 (In default) (NON) 26 .................................................................................................. 60,000 Paracelsus Healthcare Corp. sr. sub. notes 10s, 2006 (In default) (NON) 24,000 .................................................................................................. 30,000 Tenet Healthcare Corp. sr. notes Ser. B, 8 1/8s, 2008 32,157 - -------------------------------------------------------------------------------------------------- 5,332,366 - -------------------------------------------------------------------------------------------------- Homebuilding (0.2%) .................................................................................................. 180,000 D.R. Horton, Inc. company guaranty 10s, 2006 185,400 .................................................................................................. 110,000 K. Hovnanian Enterprises, Inc. company guaranty 10 1/2s, 2007 114,400 .................................................................................................. 50,000 K. Hovnanian Enterprises, Inc. company guaranty 9 1/8s, 2009 48,750 .................................................................................................. 220,000 KB Home sr. sub. notes 9 1/2s, 2011 224,400 .................................................................................................. 110,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 121,000 .................................................................................................. 10,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 10,100 .................................................................................................. 140,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 148,400 .................................................................................................. 130,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 129,350 .................................................................................................. 200,000 Toll Corp. company guaranty 8 1/8s, 2009 197,500 - -------------------------------------------------------------------------------------------------- 1,179,300 - -------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.2%) .................................................................................................. 1,005,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 1,028,447 - -------------------------------------------------------------------------------------------------- Lodging/Tourism (0.3%) .................................................................................................. 90,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 90,000 .................................................................................................. 1,580,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 1,461,500 .................................................................................................. 30,000 HMH Properties, Inc. sr. notes Ser. C, 8.45s, 2008 28,050 .................................................................................................. 30,000 Host Marriott L.P. sr. notes Ser. E, 8 3/8s, 2006 28,725 .................................................................................................. 110,000 ITT Corp. notes 6 3/4s, 2005 105,937 .................................................................................................. 160,000 Meristar Hospitality Corp. company guaranty 9 1/8s, 2011 150,000 - -------------------------------------------------------------------------------------------------- 1,864,212 - -------------------------------------------------------------------------------------------------- Machinery (--%) .................................................................................................. 180,000 Case Corp. notes 7 1/4s, 2016 140,400 - -------------------------------------------------------------------------------------------------- Manufacturing (--%) .................................................................................................. 130,000 Day International Group, Inc. company guaranty 9 1/2s, 2008 87,100 - -------------------------------------------------------------------------------------------------- Media (0.1%) .................................................................................................. 525,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 555,602 - -------------------------------------------------------------------------------------------------- Medical Services (--%) .................................................................................................. 100,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 1,000 .................................................................................................. 80,000 Mediq, Inc. debs. stepped-coupon zero % (13s, 6/1/03), 2009 (STP) 8 .................................................................................................. 130,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 135,200 - -------------------------------------------------------------------------------------------------- 136,208 - -------------------------------------------------------------------------------------------------- Medical Technology (--%) .................................................................................................. 100,000 Conmed Corp. company guaranty 9s, 2008 101,000 - -------------------------------------------------------------------------------------------------- Metals (0.4%) .................................................................................................. 330,000 AK Steel Corp. company guaranty 7 7/8s, 2009 325,050 .................................................................................................. 1,570,000 AK Steel Corp. sr. notes 9 1/8s, 2006 1,609,250 .................................................................................................. 790,000 Alcoa, Inc. notes 6 3/4s, 2028 794,321 .................................................................................................. 500,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 5,000 - -------------------------------------------------------------------------------------------------- 2,733,621 - -------------------------------------------------------------------------------------------------- Oil & Gas (1.1%) .................................................................................................. 1,045,000 Amerada Hess Corp. notes 5.9s, 2006 1,052,754 .................................................................................................. 1,045,000 Conoco Funding Co. company guaranty 5.45s, 2006 1,047,801 .................................................................................................. 915,000 K N Energy, Inc. sr. notes 6.45s, 2003 939,970 .................................................................................................. 100,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 106,000 .................................................................................................. 90,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 90,338 .................................................................................................. 320,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 1/2s, 2008 298,800 .................................................................................................. 140,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 146,443 .................................................................................................. 460,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 509,450 .................................................................................................. 40,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 40,600 .................................................................................................. 20,000 Port Arthur Finance Corp. company guaranty 12 1/2s, 2009 20,400 .................................................................................................. 100,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 104,517 .................................................................................................. 995,000 Transcontinental Gas Pipe Corp. 144A notes 7s, 2011 978,672 .................................................................................................. 10,000 Triton Energy, Ltd. sr. notes 9 1/4s, 2005 (Cayman Islands) 10,906 .................................................................................................. 120,000 Triton Energy, Ltd. sr. notes 8 7/8s, 2007 (Cayman Islands) 131,394 .................................................................................................. 1,315,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 1,378,094 .................................................................................................. 250,000 Vintage Petroleum, Inc. sr. sub. notes 9 3/4s, 2009 266,875 - -------------------------------------------------------------------------------------------------- 7,123,014 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (0.3%) .................................................................................................. 110,000 Abitibi-Consolidated, Inc. bonds 8.55s, 2010 (Canada) 115,140 .................................................................................................. 80,000 Abitibi-Consolidated, Inc. debs. 8.85s, 2030 (Canada) 81,890 .................................................................................................. 940,000 Georgia-Pacific Group notes 8 7/8s, 2031 930,045 .................................................................................................. 635,000 International Paper Co. notes 8 1/8s, 2005 682,682 .................................................................................................. 200,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 206,500 - -------------------------------------------------------------------------------------------------- 2,016,257 - -------------------------------------------------------------------------------------------------- Power Producers (0.4%) .................................................................................................. 60,000 Calpine Corp. sr. notes 10 1/2s, 2006 54,000 .................................................................................................. 20,000 Calpine Corp. sr. notes 8 3/4s, 2007 18,100 .................................................................................................. 170,000 Calpine Corp. sr. notes 8 5/8s, 2010 152,150 .................................................................................................. 1,470,000 Calpine Corp. sr. notes 8 1/2s, 2011 1,315,650 .................................................................................................. 70,000 Calpine Corp. sr. notes 7 7/8s, 2008 62,300 .................................................................................................. 370,000 Midland Funding Corp. II debs. Ser. A, 11 3/4s, 2005 396,370 .................................................................................................. 43,886 Midland Funding Corp. II debs. Ser. C-94, 10.33s, 2002 44,576 .................................................................................................. 120,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 108,600 .................................................................................................. 165,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 156,750 - -------------------------------------------------------------------------------------------------- 2,308,496 - -------------------------------------------------------------------------------------------------- Publishing (--%) .................................................................................................. 100,000 Perry-Judd company guaranty 10 5/8s, 2007 90,000 .................................................................................................. 90,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 78,750 .................................................................................................. 80,000 PRIMEDIA, Inc. company guaranty Ser. B, 8 1/2s, 2006 73,600 - -------------------------------------------------------------------------------------------------- 242,350 - -------------------------------------------------------------------------------------------------- Railroads (0.3%) .................................................................................................. 370,000 Burlington Northern Santa Fe Corp. debs. 7.95s, 2030 414,404 .................................................................................................. 415,000 Canadian National Railway Co. bonds 7 3/8s, 2031 (Canada) 441,058 .................................................................................................. 120,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 130,800 .................................................................................................. 940,000 Union Pacific Corp. notes 7 3/8s, 2009 994,247 - -------------------------------------------------------------------------------------------------- 1,980,509 - -------------------------------------------------------------------------------------------------- Real Estate (0.1%) .................................................................................................. 760,000 EOP Operating LP sr. notes 7s, 2011 765,535 - -------------------------------------------------------------------------------------------------- Restaurants (0.1%) .................................................................................................. 100,000 Sbarro, Inc. company guaranty 11s, 2009 95,000 .................................................................................................. 60,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 63,600 .................................................................................................. 340,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 341,700 .................................................................................................. 90,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 90,900 - -------------------------------------------------------------------------------------------------- 591,200 - -------------------------------------------------------------------------------------------------- Retail (0.5%) .................................................................................................. 120,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 124,200 .................................................................................................. 40,000 Great Atlantic & Pacific Tea Co. notes 7 3/4s, 2007 38,000 .................................................................................................. 530,000 J.C. Penney Co., Inc. notes 7.6s, 2007 519,400 .................................................................................................. 90,000 K mart Corp. med. term notes 8.85s, 2011 63,501 .................................................................................................. 10,000 K mart Corp. med. term notes 8.19s, 2003 9,359 .................................................................................................. 130,000 K mart Corp. notes 9 3/8s, 2006 106,925 .................................................................................................. 820,000 K mart Corp. notes 8 3/8s, 2004 680,600 .................................................................................................. 1,100,000 K mart Corp. 144A notes 9 7/8s, 2008 880,000 .................................................................................................. 300,000 Saks, Inc. company guaranty 8 1/4s, 2008 275,250 .................................................................................................. 160,000 Saks, Inc. company guaranty 7 1/2s, 2010 131,600 .................................................................................................. 10,000 Southland Corp. debs. Ser. A, 4 1/2s, 2004 9,343 .................................................................................................. 20,000 Southland Corp. sr. sub. debs. 5s, 2003 19,148 .................................................................................................. 40,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 39,600 - -------------------------------------------------------------------------------------------------- 2,896,926 - -------------------------------------------------------------------------------------------------- Shipping (--%) .................................................................................................. 50,000 Kitty Hawk, Inc. company guaranty 9.95s, 2004 (In default) (NON) 6,500 .................................................................................................. 240,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 236,400 .................................................................................................. 20,000 Newport News Shipbuilding, Inc. sr. notes 8 5/8s, 2006 21,200 - -------------------------------------------------------------------------------------------------- 264,100 - -------------------------------------------------------------------------------------------------- Specialty Printing (--%) .................................................................................................. 35,000 Von Hoffman Press, Inc. 144A sr. sub. notes 10 3/8s, 2007 32,900 - -------------------------------------------------------------------------------------------------- Technology (0.1%) .................................................................................................. 90,000 Amkor Technology, Inc. sr. notes 9 1/4s, 2008 85,050 .................................................................................................. 205,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 215,250 .................................................................................................. 160,000 Lucent Technologies, Inc. debs. 6.45s, 2029 105,600 .................................................................................................. 150,000 Lucent Technologies, Inc. notes 7 1/4s, 2006 127,500 .................................................................................................. 80,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 28,000 .................................................................................................. 180,000 Viasystems, Inc. sr. notes Ser. B, 9 3/4s, 2007 54,000 - -------------------------------------------------------------------------------------------------- 615,400 - -------------------------------------------------------------------------------------------------- Technology Services (0.1%) .................................................................................................. 120,000 Xerox Cap Europe PLC company guaranty 5 7/8s, 2004 (United Kingdom) 110,400 .................................................................................................. 170,000 Xerox Corp. notes 5 1/2s, 2003 159,800 .................................................................................................. 290,000 Xerox Corp. notes Ser. E, 5 1/4s, 2003 271,150 - -------------------------------------------------------------------------------------------------- 541,350 - -------------------------------------------------------------------------------------------------- Telecommunications (0.5%) .................................................................................................. 140,000 American Cellular Corp. company guaranty 9 1/2s, 2009 137,200 .................................................................................................. 480,000 British Telecommunications PLC bonds 8 7/8s, 2030 (United Kingdom) 550,819 .................................................................................................. 100,000 Esprit Telecom Group PLC sr. notes 11 1/2s, 2007 (United Kingdom) (In default) (NON) 500 .................................................................................................. 150,000 Flag, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) 102,000 .................................................................................................. 20,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 200 .................................................................................................. 180,000 Nextel Communications, Inc. sr. notes 12s, 2008 157,050 .................................................................................................. 90,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 94,275 .................................................................................................. 460,000 Qwest Capital Funding, Inc. company guaranty 7.9s, 2010 468,584 .................................................................................................. 80,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 1,600 .................................................................................................. 50,000 USA Mobile Communications, Inc. sr. notes 14s, 2004 (In default) (NON) 11,000 .................................................................................................. 30,000 USA Mobile Communications, Inc. sr. notes 9 1/2s, 2004 (In default) (NON) 1,500 .................................................................................................. 510,000 Verizon Global Funding Corp. notes 7 3/4s, 2030 565,661 .................................................................................................. 150,000 Viatel, Inc. sr. notes 11 1/2s, 2009 (In default) (NON) 375 .................................................................................................. 120,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 1,200 .................................................................................................. 795,000 Worldcom, Inc.-WorldCom Group notes 7 1/2s, 2011 814,144 - -------------------------------------------------------------------------------------------------- 2,906,108 - -------------------------------------------------------------------------------------------------- Telephone (--%) .................................................................................................. 70,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 14,000 .................................................................................................. 100,000 IWO Holdings, Inc. company guaranty 14s, 2011 105,000 .................................................................................................. 30,000 Versatel Telecom BV sr. notes 13 1/4s, 2008 (Netherlands) 10,500 - -------------------------------------------------------------------------------------------------- 129,500 - -------------------------------------------------------------------------------------------------- Toys (--%) .................................................................................................. 290,000 Hasbro, Inc. notes 6.15s, 2008 263,900 - -------------------------------------------------------------------------------------------------- Waste Management (0.1%) .................................................................................................. 110,000 Allied Waste Industries, Inc. company guaranty Ser. B, 7 5/8s, 2006 108,625 .................................................................................................. 100,000 Browning-Ferris debs. 7.4s, 2035 80,000 .................................................................................................. 120,000 Waste Management, Inc. sr. notes 7 3/8s, 2010 123,349 .................................................................................................. 550,000 Waste Management, Inc. sr. notes 6 1/2s, 2008 543,284 - -------------------------------------------------------------------------------------------------- 855,258 - -------------------------------------------------------------------------------------------------- Water Utilities (0.2%) .................................................................................................. 110,000 Azurix Corp. sr. notes Ser. B, 10 3/4s, 2010 77,000 .................................................................................................. 1,740,000 Azurix Corp. sr. notes Ser. B, 10 3/8s, 2007 1,218,000 - -------------------------------------------------------------------------------------------------- 1,295,000 - -------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $94,536,217) $91,834,601 - -------------------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (4.9%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. Federal Home Loan Mortgage Corporation .................................................................................................. $652,651 8 1/2s, July 1, 2028 $698,865 .................................................................................................. 2,006,887 7 1/2s, October 1, 2029 2,082,065 .................................................................................................. 1,652,831 Federal National Mortgage Association Adjustable Rate Mortgages 6.606s, September 1, 2031 1,704,399 .................................................................................................. Federal National Mortgage Association Pass-Through Certificates .................................................................................................. 748,493 8s, with due dates from May 1, 2025 to December 1, 2028 787,968 .................................................................................................. 773,700 7 1/2s, with due dates from July 1, 2007 to August 1, 2031 800,970 .................................................................................................. 2,858,000 TBA, 7s, December 1, 2032 2,911,588 .................................................................................................. 5,343,344 6 1/2s, with due dates from November 1, 2028 to September 1, 2031 5,350,428 .................................................................................................. 4,642,864 6s, with due dates from June 1, 2016 to August 1, 2016 4,662,643 .................................................................................................. 2,858,000 TBA, 6s, January 1, 2032 2,794,581 .................................................................................................. Government National Mortgage Association Pass-Through Certificates .................................................................................................. 20,891 11s, December 15, 2015 23,952 .................................................................................................. 2,555,147 8s, with due dates from September 15, 2020 to August 15, 2027 2,710,862 .................................................................................................. 1,148,657 7 1/2s, with due dates from August 15, 2029 to October 20, 2030 1,190,162 .................................................................................................. 1,281,592 7s, with due dates from November 15, 2025 to December 15, 2027 1,317,151 .................................................................................................. 3,822,925 6 1/2s, with due dates from December 15, 2027 to November 15, 2031 3,845,145 - -------------------------------------------------------------------------------------------------- Total U.S. Government Agency Mortgage Obligations (cost $30,708,268) $30,880,779 - -------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (3.0%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. Advertising and Marketing Services (--%) .................................................................................................. $63,000 DoubleClick, Inc. cv. sub. notes 4 3/4s, 2006 $50,243 .................................................................................................. 35,000 Lamar Advertising Co. cv. notes 5 1/4s, 2006 38,763 .................................................................................................. 100,000 Young & Rubicam, Inc. cv. sr. notes 3s, 2005 96,750 - -------------------------------------------------------------------------------------------------- 185,756 - -------------------------------------------------------------------------------------------------- Aerospace and Defense (--%) .................................................................................................. 100,000 Kellstrom Industries, Inc. cv. sr. notes 5 1/2s, 2003 1,000 - -------------------------------------------------------------------------------------------------- Automotive (0.1%) .................................................................................................. 100,000 Standard Motor Products, Inc. cv. sub. notes 6 3/4s, 2009 73,750 .................................................................................................. 218,000 Tower Automotive, Inc. cv. sub. notes 5s, 2004 182,848 - -------------------------------------------------------------------------------------------------- 256,598 - -------------------------------------------------------------------------------------------------- Banking (0.1%) .................................................................................................. 354,000 JMH Finance, Ltd. 144A cv. sr. notes 4 3/4s, 2007 (United Kingdom) 336,300 - -------------------------------------------------------------------------------------------------- Biotechnology (0.1%) .................................................................................................. 477,000 Affymetrix, Inc. cv. sub. notes 4 3/4s, 2007 357,154 .................................................................................................. 80,000 Genzyme Corp. 144A cv. sub. debs. 3s, 2021 87,400 .................................................................................................. 260,000 Invitrogen Corp. 144A cv. sub. notes 2 1/4s, 2006 250,900 - -------------------------------------------------------------------------------------------------- 695,454 - -------------------------------------------------------------------------------------------------- Broadcasting (0.1%) .................................................................................................. 294,000 Jacor Communications, Inc. cv. Liquid Yield Option Note (LYON) zero %, 2018 144,795 .................................................................................................. 559,000 News America, Inc. 144A cv. LYON zero %, 2021 271,115 - -------------------------------------------------------------------------------------------------- 415,910 - -------------------------------------------------------------------------------------------------- Cable Television (--%) .................................................................................................. 120,000 Adelphia Communications Corp. cv. sub. notes 3 1/4s, 2021 120,750 .................................................................................................. 20,000 Rogers Communications cv. debs. 2s, 2005 (Canada) 16,200 .................................................................................................. 20,000 Telewest Finance 144A cv. company guaranty 6s, 2005 (United Kingdom) 12,550 - -------------------------------------------------------------------------------------------------- 149,500 - -------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.1%) .................................................................................................. 100,000 NCO Group, Inc. cv. sub. notes 4 3/4s, 2006 92,250 .................................................................................................. 415,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 424,462 .................................................................................................. 310,000 Tech Data Corp. 144A cv. sub. notes 2s, 2021 302,250 - -------------------------------------------------------------------------------------------------- 818,962 - -------------------------------------------------------------------------------------------------- Communications Equipment (0.1%) .................................................................................................. 200,000 CIENA Corp. cv. sr. notes 3 3/4s, 2008 128,000 .................................................................................................. 21,000 CommScope, Inc. cv. sub. notes 4s, 2006 17,194 .................................................................................................. 400,000 Comverse Technology, Inc. 144A cv. sr. notes 1 1/2s, 2005 303,500 .................................................................................................. 50,000 Extreme Networks, Inc. 144A cv. sr. notes 3 1/2s, 2006 45,000 .................................................................................................. 210,000 ONI Systems Corp. cv. notes 5s, 2005 141,488 .................................................................................................. 170,000 Redback Networks, Inc. cv. sub. notes 5s, 2007 86,275 - -------------------------------------------------------------------------------------------------- 721,457 - -------------------------------------------------------------------------------------------------- Computers (0.1%) .................................................................................................. 50,000 Adaptec, Inc. cv. sub. notes 4 3/4s, 2004 46,438 .................................................................................................. 829,000 Anixter International, Inc. cv. sr. notes zero %, 2020 234,193 .................................................................................................. 200,000 Checkpoint Systems, Inc. cv. sub. debs. 5 1/4s, 2005 185,500 .................................................................................................. 594,000 Hewlett-Packard Co. cv. sub. notes zero %, 2017 275,468 .................................................................................................. 55,000 Quantum Corp. cv. sub. notes 7s, 2004 48,400 - -------------------------------------------------------------------------------------------------- 789,999 - -------------------------------------------------------------------------------------------------- Electronics (0.6%) .................................................................................................. 400,000 Act Manufacturing, Inc. cv. sub. notes 7s, 2007 18,000 .................................................................................................. 318,000 Analog Devices, Inc. 144A cv. notes 4 3/4s, 2005 300,908 .................................................................................................. 262,000 Arrow Electronics, Inc. cv. debs. zero %, 2021 123,468 .................................................................................................. 90,000 Atmel Corp. cv. sub. debs. zero %, 2018 44,775 .................................................................................................. 490,000 Atmel Corp. 144A cv. sub. notes zero %, 2021 145,163 .................................................................................................. 125,000 Benchmark Electronics, Inc. cv. sub. notes 6s, 2006 97,969 .................................................................................................. 170,000 Brooks Automation, Inc. cv. sub notes 4 3/4s, 2008 154,170 .................................................................................................. 180,000 Brooks Automation, Inc. 144A cv. notes 4 3/4s, 2008 163,238 .................................................................................................. 1,099,000 Celestica, Inc. cv. LYON zero %, 2020 (Canada) 465,701 .................................................................................................. 143,000 DDi Corp. cv. sub. notes 5 1/4s, 2008 99,564 .................................................................................................. 460,000 Fairchild Semiconductor International, Inc. 144A cv. sr. sub. notes 5s, 2008 550,565 .................................................................................................. 290,000 Jabil Circuit, Inc. cv. sub. notes 1 3/4s, 2021 274,413 .................................................................................................. 45,000 Kulicke & Soffa Industries, Inc. cv. sub. notes 4 3/4s, 2006 43,200 .................................................................................................. 100,000 Lattice Semiconductor Corp. cv. sub. notes 4 3/4s, 2006 119,000 .................................................................................................. 220,000 LSI Logic Corp. cv. sub. notes 4 1/4s, 2004 248,325 .................................................................................................. 499,000 S3, Inc. cv. sub. notes 5 3/4s, 2003 341,191 .................................................................................................. 372,000 Solectron Corp. cv. LYON zero %, 2020 197,160 .................................................................................................. 136,000 Thermo Electron Corp. 144A cv. sub. debs. 4 1/4s, 2003 134,640 - -------------------------------------------------------------------------------------------------- 3,521,450 - -------------------------------------------------------------------------------------------------- Energy (0.2%) .................................................................................................. 205,000 Diamond Offshore Drilling, Inc. cv. debs. zero %, 2020 102,756 .................................................................................................. 539,000 Global Marine, Inc. cv. debs. zero %, 2020 270,174 .................................................................................................. 177,000 Hanover Compressor Co. cv. sr. notes 4 3/4s, 2008 162,398 .................................................................................................. 249,000 Nabors Industries, Inc. cv. debs. zero %, 2020 156,248 .................................................................................................. 31,000 Offshore Logistics, Inc. cv. sub. notes 6s, 2003 30,923 .................................................................................................. 446,000 Pride International, Inc. cv. debs. zero %, 2021 268,158 .................................................................................................. 100,000 Pride International, Inc. cv. sub. debs. zero %, 2018 44,125 .................................................................................................. 47,000 Seacor Holdings, Inc. cv. sub. notes 5 3/8s, 2006 52,170 - -------------------------------------------------------------------------------------------------- 1,086,952 - -------------------------------------------------------------------------------------------------- Engineering & Construction (--%) .................................................................................................. 260,000 Foster Wheeler, Ltd. 144A cv. sub. notes 6 1/2s, 2007 164,450 - -------------------------------------------------------------------------------------------------- Financial (--%) .................................................................................................. 120,000 Financial Federal Corp. cv. sub. notes 4 1/2s, 2005 130,500 - -------------------------------------------------------------------------------------------------- Health Care (--%) .................................................................................................. 240,000 Healthsouth Corp. cv. sub. debs. 3 1/4s, 2003 227,700 - -------------------------------------------------------------------------------------------------- Homebuilding (--%) .................................................................................................. 200,000 D.R. Horton, Inc. cv. sr. notes zero %, 2021 126,000 - -------------------------------------------------------------------------------------------------- Insurance (--%) .................................................................................................. 390,000 American International Group, Inc. cv. debs. zero %, 2031 240,338 - -------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.1%) .................................................................................................. 497,000 E*Trade Group, Inc. cv. sub. notes 6s, 2007 404,434 .................................................................................................. 670,000 Legg Mason, Inc. 144A cv. LYON zero %, 2031 314,063 - -------------------------------------------------------------------------------------------------- 718,497 - -------------------------------------------------------------------------------------------------- Lodging/Tourism (0.1%) .................................................................................................. 1,250,000 Royal Caribbean Cruises cv. sr. notes zero %, 2021 395,125 - -------------------------------------------------------------------------------------------------- Media (0.1%) .................................................................................................. 254,000 AT&T Corp.- Liberty Media Group cv. debs. Class B, 3 1/4s, 2031 247,333 - -------------------------------------------------------------------------------------------------- Medical Technology (--%) .................................................................................................. 200,000 Thermo Cardiosystems, Inc. 144A cv. company guaranty 4 3/4s, 2004 188,750 - -------------------------------------------------------------------------------------------------- Metals (0.1%) .................................................................................................. 495,000 Freeport-McMoRan Copper & Gold, Inc. 144A cv. sr. notes 8 1/4s, 2006 589,644 .................................................................................................. 100,000 Quanex Corp. cv. sub. debs. 6.88s, 2007 103,125 - -------------------------------------------------------------------------------------------------- 692,769 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (--%) .................................................................................................. 131,000 Mail-Well, Inc. cv. sub. notes 5s, 2002 119,210 - -------------------------------------------------------------------------------------------------- Pharmaceuticals (0.3%) .................................................................................................. 165,000 Alkermes, Inc. cv. sub. notes 3 3/4s, 2007 111,788 .................................................................................................. 170,000 Alza Corp. cv. sub. LYON zero %, 2014 256,913 .................................................................................................. 26,000 Aviron cv. sub. notes 5 1/4s, 2008 27,560 .................................................................................................. 260,000 Cephalon, Inc. 144A cv. sub. notes 2 1/2s, 2006 283,075 .................................................................................................. 170,000 Elan Finance Corp., Ltd. cv. LYON zero %, 2018 (Bermuda) 119,213 .................................................................................................. 430,000 ICN Pharmaceuticals, Inc. 144A cv. sub. notes 6 1/2s, 2008 484,288 .................................................................................................. 255,000 Inhale Therapeutic Systems, Inc. cv. sub. notes 3 1/2s, 2007 163,838 .................................................................................................. 255,000 IVAX Corp. 144A cv. sr. sub. notes 4 1/2s, 2008 212,606 .................................................................................................. 173,000 Sepracor, Inc. cv. sub. debs. 7s, 2005 179,488 - -------------------------------------------------------------------------------------------------- 1,838,769 - -------------------------------------------------------------------------------------------------- Publishing (--%) .................................................................................................. 163,000 Times Mirror Co. cv. sub. notes zero %, 2017 93,114 - -------------------------------------------------------------------------------------------------- Restaurants (--%) .................................................................................................. 100,000 CKE Restaurants, Inc. cv. sub notes 4 1/4s, 2004 77,750 - -------------------------------------------------------------------------------------------------- Retail (0.1%) .................................................................................................. 100,000 Rite Aid Corp. cv. sub. notes 5 1/4s, 2002 96,500 .................................................................................................. 160,000 Rite Aid Corp. 144A cv. sr. notes 4 3/4s, 2006 155,400 .................................................................................................. 431,000 TJX Companies, Inc. (The) cv. LYON zero %, 2021 327,021 - -------------------------------------------------------------------------------------------------- 578,921 - -------------------------------------------------------------------------------------------------- Semiconductor (0.1%) .................................................................................................. 100,000 Advanced Energy Industries, Inc. cv. sub. notes 5 1/4s, 2006 87,500 .................................................................................................. 130,000 ASML Holding NV 144A cv. sub notes 5 3/4s, 2006 (Netherlands) 155,838 .................................................................................................. 50,000 ATMI, Inc. 144A cv. sub. notes 5 1/4s, 2006 63,563 .................................................................................................. 100,000 LAM Research Corp. 144A cv. notes 4s, 2006 89,500 .................................................................................................. 52,000 Photronics, Inc. cv. sub. notes 6s, 2004 61,425 .................................................................................................. 80,000 Photronics, Inc. 144A cv. sub notes 4 3/4s, 2006 88,200 - -------------------------------------------------------------------------------------------------- 546,026 - -------------------------------------------------------------------------------------------------- Software (0.3%) .................................................................................................. 250,000 Aether Systems, Inc. cv. sub. notes 6s, 2005 147,500 .................................................................................................. 60,000 Aspen Technology, Inc. cv. sub. debs. 5 1/4s, 2005 47,475 .................................................................................................. 520,000 Manugistics Group, Inc. cv. sub. notes 5s, 2007 431,600 .................................................................................................. 144,000 Network Associates, Inc. 144A cv. sub. notes 5 1/4s, 2006 232,200 .................................................................................................. 165,000 Peregrine Systems, Inc. cv. sub. notes 5 1/2s, 2007 148,913 .................................................................................................. 283,000 Rational Software Corp. cv. sub. notes 5s, 2007 255,761 .................................................................................................. 245,000 Symantec Corp. 144A cv. sub notes 3s, 2006 294,919 .................................................................................................. 176,000 Wind River Systems, Inc. 144A cv. sub. notes 3 3/4s, 2006 179,520 - -------------------------------------------------------------------------------------------------- 1,737,888 - -------------------------------------------------------------------------------------------------- Technology (--%) .................................................................................................. 55,000 Amkor Technology, Inc. cv. sub. notes 5s, 2007 37,400 - -------------------------------------------------------------------------------------------------- Technology Services (0.2%) .................................................................................................. 100,000 Acxiom Corp. cv. sub. notes 5 1/4s, 2003 102,875 .................................................................................................. 202,000 Affiliated Computer Services, Inc. cv. notes 3 1/2s, 2006 280,528 .................................................................................................. 89,000 Automatic Data Processing, Inc. cv. LYON zero %, 2012 135,614 .................................................................................................. 228,000 CheckFree Corp. cv. company guaranty 6 1/2s, 2006 176,415 .................................................................................................. 176,000 Safeguard Scientifics, Inc. cv. sub. notes 5s, 2006 100,100 .................................................................................................. 1,172,000 Xerox Corp. cv. sub. debs. 0.57s, 2018 619,695 - -------------------------------------------------------------------------------------------------- 1,415,227 - -------------------------------------------------------------------------------------------------- Telecommunications (0.1%) .................................................................................................. 800,000 Brightpoint, Inc. cv. LYON zero %, 2018 363,000 - -------------------------------------------------------------------------------------------------- Textiles (--%) .................................................................................................. 39,000 Reebok International, Ltd. 144A cv. debs. stepped-coupon zero % (4 1/4s, 9/1/07), 2021 (STP) 39,878 - -------------------------------------------------------------------------------------------------- Tobacco (--%) .................................................................................................. 120,000 Vector Group, Ltd. 144A cv. sub. notes 6 1/4s, 2008 134,550 - -------------------------------------------------------------------------------------------------- Transaction Processing (--%) .................................................................................................. 181,000 National Data Corp. cv. sub. notes 5s, 2003 195,706 - -------------------------------------------------------------------------------------------------- Total Convertible Bonds and Notes (cost $19,220,295) $19,288,239 - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (1.7%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. Aerospace and Defense (0.1%) .................................................................................................. 1,328 Coltech Capital Trust $2.625 cv. pfd. $47,476 .................................................................................................. 3,200 Northrop Grumman Corp. $7.25 cv. pfd. 356,480 - -------------------------------------------------------------------------------------------------- 403,956 - -------------------------------------------------------------------------------------------------- Automotive (--%) .................................................................................................. 8,266 Tower Automotive Capital Trust $3.375 cv. pfd. 178,752 - -------------------------------------------------------------------------------------------------- Banking (0.1%) .................................................................................................. 9,000 Equity Securities Trust II Ser. RMG, zero % cv. pfd. 211,680 .................................................................................................. 3,030 Sovereign Bancorp, Inc. $3.75 cv. pfd. 209,449 .................................................................................................. 2,800 Washington Mutual Capital Trust I 144A $2.688 cum. cv. pfd. 133,526 .................................................................................................. 2,000 Washington Mutual, Inc. $4.00 cv. pfd. 146,940 - -------------------------------------------------------------------------------------------------- 701,595 - -------------------------------------------------------------------------------------------------- Broadcasting (0.2%) .................................................................................................. 7,378 Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. 275,753 .................................................................................................. 7,325 Pegasus Communications Corp. Ser. C, 6.50% cum. cv. pfd. 228,906 .................................................................................................. 301 Radio One, Inc. 6.50% cum. cv. pfd. 342,444 .................................................................................................. 11,853 Sinclair Broadcast Group, Inc. Ser. D, $3.00 cv. pfd. 328,921 - -------------------------------------------------------------------------------------------------- 1,176,024 - -------------------------------------------------------------------------------------------------- Commercial and Consumer Services (--%) .................................................................................................. 4,462 Carriage Services Capital Trust $3.50 cv. pfd. 123,263 - -------------------------------------------------------------------------------------------------- Electric Utilities (0.1%) .................................................................................................. 3,700 Sierra Pacific Resources $4.50 cv. pfd. 197,950 .................................................................................................. 7,200 TXU Corp. $4.375 cv. pfd 372,528 - -------------------------------------------------------------------------------------------------- 570,478 - -------------------------------------------------------------------------------------------------- Electronics (0.1%) .................................................................................................. 13,050 Motorola, Inc. $3.50 cv. pfd. 609,957 .................................................................................................. 895 Pioneer Standard Electronics, Inc. $3.375 cv. pfd. 39,939 .................................................................................................. 2,212 Titan Capital Trust $2.875 cum. cv. pfd. 84,609 - -------------------------------------------------------------------------------------------------- 734,505 - -------------------------------------------------------------------------------------------------- Energy (--%) .................................................................................................. 4,039 Evi, Inc. $2.50 cum. cv. pfd. 185,289 .................................................................................................. 858 Hanover Compressor Capital Trust $3.625 cv. pfd. 64,565 - -------------------------------------------------------------------------------------------------- 249,854 - -------------------------------------------------------------------------------------------------- Engineering & Construction (0.1%) .................................................................................................. 11,800 TXI Capital Trust I $2.75 cv. pfd. 423,325 - -------------------------------------------------------------------------------------------------- Food (0.1%) .................................................................................................. 6,306 Suiza Capital Trust II $2.75 cv. pfd. 307,418 - -------------------------------------------------------------------------------------------------- Health Care Services (0.1%) .................................................................................................. 2,300 Anthem, Inc. $3.00 cv. pfd 147,488 .................................................................................................. 2,378 Caremark RX Capital Trust I $3.50 cum. cv. pfd. 260,986 - -------------------------------------------------------------------------------------------------- 408,474 - -------------------------------------------------------------------------------------------------- Insurance (0.2%) .................................................................................................. 9,907 ACE, Ltd. $4.125 cum. cv. pfd. (Bermuda) 807,421 .................................................................................................. 9,300 PartnerRe, Ltd. $4.00 cv. pfd. (Bermuda) 528,380 - -------------------------------------------------------------------------------------------------- 1,335,801 - -------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (--%) .................................................................................................. 4,500 Prudential Financial, Inc. $3.375 cv. pfd. 261,900 - -------------------------------------------------------------------------------------------------- Metals (0.1%) .................................................................................................. 20,400 Freeport-McMoRan Copper & Gold, Inc. $1.75 cum. cv. pfd. 321,300 - -------------------------------------------------------------------------------------------------- Oil & Gas (0.2%) .................................................................................................. 2,500 Newfield Exploration Co. $3.25 cv. pfd. 135,938 .................................................................................................. 3,767 Unocal Capital Trust $3.125 cum. cv. pfd. 187,408 .................................................................................................. 14,200 Vec Trust I $1.937 cum. cv. pfd. 430,402 .................................................................................................. 10,420 Western Gas Resources $2.625 cum. cv. pfd. 500,160 - -------------------------------------------------------------------------------------------------- 1,253,908 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (0.1%) .................................................................................................. 8,463 International Paper Capital Trust $2.625 cum. cv. pfd. 386,124 - -------------------------------------------------------------------------------------------------- Power Producers (--%) .................................................................................................. 2,669 Mirant Trust I Ser. A, $3.125 cum. cv. pfd 108,495 - -------------------------------------------------------------------------------------------------- Publishing (--%) .................................................................................................. 1,712 Tribune Co. 2.00% cv. pfd. 147,660 - -------------------------------------------------------------------------------------------------- Railroads (--%) .................................................................................................. 987 Canadian National Railway Co. $2.625 cv. pfd. (Canada) 63,045 - -------------------------------------------------------------------------------------------------- Software (--%) .................................................................................................. 2,500 Amdocs Automatic 6.75% cv. pfd. 73,438 - -------------------------------------------------------------------------------------------------- Technology Services (0.1%) .................................................................................................. 5,150 Xerox Corp. 144A $3.75 cv. pfd. 355,299 - -------------------------------------------------------------------------------------------------- Telecommunications (0.1%) .................................................................................................. 10,300 AT&T Corp. 7.00% cv. pfd. 280,675 .................................................................................................. 5,315 Broadwing, Inc. Ser. B, $3.375 cum. cv. pfd. 159,450 .................................................................................................. 7,800 Citizens Communications Co. $1.688 cv. pfd. 181,740 .................................................................................................. 4,010 Cox Communications, Inc. $7.75 cv. pfd. 231,076 .................................................................................................. 2,566 Global Crossing, Ltd. 6.75% cum. cv. pfd. (Bermuda) 13,472 .................................................................................................. 1,738 Qwest Trends Trust 144A 5.75% cv. pfd. 51,054 .................................................................................................. 36 World Access, Inc. 144A Ser. D, zero % cv. pfd. 9 - -------------------------------------------------------------------------------------------------- 917,476 - -------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $10,931,797) $10,502,090 - -------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $2,610,610 Banc of America Commercial Mortgage, Inc. Ser. 01-PB1, Class XC, Interest Only (IO), 0.83s, 2035 $115,438 .................................................................................................. 3,734,659 Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO, 0.96s, 2017 124,096 .................................................................................................. 425,000 Commercial Mortgage Asset Trust Ser. 99-C1, Class A3, 6.64s, 2010 442,266 .................................................................................................. 240,000 Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2011 238,275 .................................................................................................. 2,740,000 CS First Boston Mortgage Securities, Inc. Ser. 01-CK6, Class AX, IO, 0.645s, 2018 112,332 .................................................................................................. 3,803,803 Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.22s, 2023 158,690 .................................................................................................. Fannie Mae .................................................................................................. 2,572,555 Ser. 01-T8, Class A1, 7 1/2s, 2031 2,692,352 .................................................................................................. 2,320,000 Ser. 01-T12, IO, 0.57s, 2041 38,788 .................................................................................................. 3,698,096 Ser. 01-50, Class B1, IO, 0.57s, 2041 60,094 .................................................................................................. 548,746 Ser. 00-4, Class SX, IO, 6 1/2s, 2023 548,746 .................................................................................................. 781,380 Ser. 01-35, Class S, IO, 5.97s, 2031 82,533 .................................................................................................. 745,953 Ser. 302, Class 2, IO, 6s, 2029 195,580 .................................................................................................. Freddie Mac .................................................................................................. 96,379 Ser. 212, IO, 6s, 2031 26,474 .................................................................................................. 559,453 Ser. 211, IO, 6s, 2029 149,829 .................................................................................................. 1,229,118 Ser. 204, IO, 6s, 2029 314,577 .................................................................................................. 593,876 Ser. 188, Principal Only (PO) zero %, 2027 486,236 .................................................................................................. 31,732 Ser. 180, PO, zero %, 2026 26,080 .................................................................................................. 2,680,000 GE Capital Commercial Mortgage Corp. Ser. 01-3, Class X1, 0.689s, 2038 112,225 .................................................................................................. 229,690 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 4.357s, 2014 229,690 .................................................................................................. 3,406,891 GMAC Commercial Mortgage Securities, Inc. 144A FRN Ser. 01-C1, Class X1, IO, 0.387s, 2011 124,032 .................................................................................................. Government National Mortgage Association .................................................................................................. 968,935 Ser. 99-46, Class SQ, IO, 8s, 2027 69,037 .................................................................................................. 362,396 Ser. 99-42, PO, zero %, 2027 325,477 .................................................................................................. LB-UBS Commercial Mortgage Trust .................................................................................................. 794,731 Ser. 00-C3, Class A1, 7.95s, 2009 861,609 .................................................................................................. 2,797,747 Ser. 01-C7, Class XCL, IO, 0.71s, 2038 110,992 .................................................................................................. Morgan Stanley Dean Witter Capital I 144A .................................................................................................. 70,000 FRB Ser. 01-XLF, Class D, 3.6s, 2013 69,881 .................................................................................................. 45,000 FRB Ser. 01-XLF, Class E, 3.49s, 2013 44,474 .................................................................................................. PNC Mortgage Acceptance Corp. .................................................................................................. 261,011 Ser. 00-C1, Class A1, 7.52s, 2008 278,425 .................................................................................................. 2,953,798 Ser. 01-C1, Class X1, IO, 0.61s, 2021 125,536 .................................................................................................. 217,102 TIAA Retail Commercial Mortgage Trust Ser. 1999-1, Class A, 7.17s, 2032 227,544 - -------------------------------------------------------------------------------------------------- Total Collateralized Mortgage Obligations (cost $8,197,174) $8,391,308 - -------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (1.1%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $235,000 ACE Securities Corp. Ser. 01-HE1, Class M2, FRN, 3.50s, 2031 $232,099 .................................................................................................. 2,156,443 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 01-HE3, Class A, IO, 6 1/2s, 2031 216,930 .................................................................................................. 731,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 02-HE1, Class A, IO, 6 1/2s, 2032 83,222 .................................................................................................. 945,000 Conseco Finance Securitizations Corp. Ser. 00-4, Class A6, 8.31s, 2032 1,014,103 .................................................................................................. 910,000 Conseco Finance Securitizations Corp. Ser. 00-5, Class A6, 7.96s, 2032 957,777 .................................................................................................. 150,000 Conseco Finance Securitizations Corp. Ser. 01-04, Class A4, zero %, 2019 149,250 .................................................................................................. 2,610,000 Conseco Finance Securitizations Corp. Ser. 01-3, Class A, IO, 2 1/2s, 2007 239,794 .................................................................................................. 1,480,000 Conseco Finance Securitizations Corp. Ser. 01-4, Class A, IO, 2 1/2s, 2033 100,825 .................................................................................................. 1,045,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 1,113,791 .................................................................................................. 347,173 First Plus 144A Ser. 98-A, Class A, 8 1/2s, 2023 229,134 .................................................................................................. 155,000 Granite Mortgages PLC FRN Ser. 01-2, Class 1C, 3.958s, 2041 (United Kingdom) 155,000 .................................................................................................. 400,000 Holmes Financing PLC FRN 3.63s, 2040 (United Kingdom) 399,875 .................................................................................................. 225,000 Hyundai Auto Receivables Trust Ser. 01-A, Class D, 6 1/4s, 2008 225,861 .................................................................................................. 229,000 Lehman Manufactured Housing Contract Ser. 01-B, Class A6, 6.467s, 2028 216,834 .................................................................................................. 231,300 Morgan Stanley Dean Witter Capital I Ser. 01-AM1, Class M2, FRN, 3.508s, 2032 229,132 .................................................................................................. 294,000 Oakwood Mortgage Investors, Inc. Ser. 01-E, Class A, IO, 6s, 2009 69,951 .................................................................................................. 2,555,000 Residential Asset Securities Corp. IO, Ser. 01-KS3, Class A, 5s, 2004 160,885 .................................................................................................. 90,000 Vanderbilt Mortgage Finance Ser. 00-B, Class IA4, 8.525s, 2025 96,314 .................................................................................................. 550,000 Vanderbilt Mortgage Finance Ser. 01-B, Class A4, 6.62s, 2027 537,589 .................................................................................................. 404,685 Xerox Equipment Lease Owner Trust 144A FRN Ser. 01-1, Class A, 4.08s, 2008 406,709 - -------------------------------------------------------------------------------------------------- Total Asset-Backed Securities (cost $6,860,678) $6,835,075 - -------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS AND NOTES (0.3%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $1,350,000 Ontario (Province of) sr. unsub. 5 1/2s, 2008 (Canada) $1,354,172 .................................................................................................. 555,000 Quebec (Province of) sr. unsub. 5 3/4s, 2009 (Canada) 556,532 - -------------------------------------------------------------------------------------------------- Total Foreign Government Bonds and Notes (cost $1,837,615) $1,910,704 - -------------------------------------------------------------------------------------------------- PREFERRED STOCKS (0.2%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 11,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. $274,890 .................................................................................................. 40,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 44,200 .................................................................................................. 131 Delta Financial Corp. Ser. A, $10.00 cum. pfd. 1,638 .................................................................................................. 820,000 First Union Capital II Ser. A, 7.95% pfd. 845,658 .................................................................................................. 6 Intermedia Communications, Inc. Ser. B, 13.50% pfd. (PIK) 6,210 - -------------------------------------------------------------------------------------------------- Total Preferred Stocks (cost $1,094,620) $1,172,596 - -------------------------------------------------------------------------------------------------- UNITS (--%) (a) (NON) - -------------------------------------------------------------------------------------------------- Number of Units Value .................................................................................................. 2,600 Infosys Technologies, Ltd. 144A Structured Call Warrants, (issued by UBS AG) expiration 7/16/02 (India) $220,279 .................................................................................................. 1,000 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance S.A.) expiration 9/3/02 66,870 - -------------------------------------------------------------------------------------------------- Total Units (cost $271,194) $287,149 - -------------------------------------------------------------------------------------------------- WARRANTS (--%) (a) (NON) - -------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .................................................................................................. 70 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 $7 .................................................................................................. 1,389 Delta Financial Corp. 12/21/10 1 .................................................................................................. 1,800 Diva Systems Corp. 144A 3/1/08 18 .................................................................................................. 1,130 Genesis Health Ventures, Inc. 10/1/02 5,369 .................................................................................................. 180 Horizon PCS, Inc. 10/1/10 7,200 .................................................................................................. 100 IWO Holdings, Inc. 1/15/11 7,000 .................................................................................................. 80 Mediq, Inc. 144A 6/1/09 1 .................................................................................................. 70 Pliant Corp. 144A 6/1/10 140 .................................................................................................. 40 Raintree Resort 144A 12/1/04 1 .................................................................................................. 80 Startec Global Communications Corp. 5/15/08 1 .................................................................................................. 150 UIH Australia/Pacific, Inc. 144A 5/15/06 2 .................................................................................................. 2,152 United Artists Theatre 3/2/08 17,216 .................................................................................................. 10 Versatel Telecom NV (Netherlands) 5/15/08 5 - -------------------------------------------------------------------------------------------------- Total Warrants (cost $339,023) $36,961 - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (12.1%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $8,922,000 Old Line Funding Corp. 2.07s, January 22, 2002 $8,915,331 .................................................................................................. 10,000,000 Sheffield Receivables Corp. 1.85s, January 22, 2002 9,988,916 .................................................................................................. 8,885,000 US Treasury Bill zero %, June 13, 2002 (SEG) 8,812,383 .................................................................................................. 13,102,535 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) 13,085,636 .................................................................................................. 18,040,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Goldman Sachs & Co. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $18,041,794 for an effective yield of 1.79% 18,040,000 .................................................................................................. 18,040,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse first Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $18,041,804 for an effective yield of 1.80% 18,040,000 - -------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $76,886,455) $76,882,266 - -------------------------------------------------------------------------------------------------- Total Investments (cost $645,802,112) (b) $642,517,115 - -------------------------------------------------------------------------------------------------- Forward Currency Contracts to Buy at December 31, 2001 (aggregate face value $62,552,698) - ----------------------------------------------------------------------------- Unrealized Aggregate Delivery Appreciation/ Market Value Face Value Date (Depreciation) ............................................................................. Australian Dollars $17,210,186 $17,434,750 3/20/2002 $(224,564) ............................................................................. British Pounds 19,813,158 19,418,499 3/20/2002 394,659 ............................................................................. Canadian Dollars 8,638,046 8,676,569 3/20/2002 (38,523) ............................................................................. Euro 6,435,345 6,445,390 3/20/2002 (10,045) ............................................................................. Norwegian Krone 3,131,297 3,121,918 3/20/2002 9,379 ............................................................................. Swedish Krona 5,910,184 5,863,402 3/20/2002 46,782 ............................................................................. Swiss Franc 1,573,792 1,592,170 3/20/2002 (18,378) - ----------------------------------------------------------------------------- $159,310 - ----------------------------------------------------------------------------- Forward Currency Contracts to Sell at December 31, 2001 (aggregate face value $94,858,195) - ----------------------------------------------------------------------------- Unrealized Market Aggregate Delivery Appreciation/ Value Face Value Date (Depreciation) ............................................................................. Australian Dollars $1,645,032 $1,668,941 3/20/2002 $23,909 ............................................................................. British Pounds 27,252,488 26,738,176 3/20/2002 (514,312) ............................................................................. Canadian Dollars 3,075,175 3,091,472 3/20/2002 16,297 ............................................................................. Euro 39,841,918 39,840,910 3/20/2002 (1,008) ............................................................................. Hong Kong Dollars 2,065,455 2,065,544 3/20/2002 89 ............................................................................. Japanese Yen 12,752,014 13,541,979 3/20/2002 789,965 ............................................................................. Swedish Krona 2,517,194 2,492,944 3/20/2002 (24,250) ............................................................................. Swiss Franc 5,382,598 5,418,229 3/20/2002 35,631 - ----------------------------------------------------------------------------- $326,321 - ----------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Unrealized Aggregate Expiration Appreciation/ Total Value Face Value Date (Depreciation) ............................................................................. CAC40 Euro (Long) $4,086,579 $3,918,198 Jan-02 $168,381 ............................................................................. DAX Index (Long) 5,542,564 5,432,188 Mar-02 110,376 ............................................................................. DJ Euro (Short) 14,088,448 13,550,057 Mar-02 (538,391) ............................................................................. Euro (Short) 14,458,688 14,454,802 Mar-02 (3,886) ............................................................................. FT-SE 100 Index (Short) 9,402,975 9,346,363 Mar-02 (56,612) ............................................................................. Hang Seng Index (Short) 729,446 727,928 Jan-02 (1,518) ............................................................................. MIB 30 Index (Long) 8,081,129 8,023,557 Mar-02 57,572 ............................................................................. Russell 2000 Index (Short) 35,963,550 34,799,361 Mar-02 (1,164,189) ............................................................................. Russell 2000 Index (Long) 31,559,850 30,707,948 Mar-02 851,902 ............................................................................. S&P 500 Index (Long) 72,112,300 71,657,375 Mar-02 454,925 ............................................................................. S&P/TSE Index (Short) 1,882,782 1,840,900 Mar-02 (41,882) ............................................................................. SPI 200 Index (Short) 1,705,100 1,669,032 Mar-02 (36,068) ............................................................................. Topix Index (Short) 6,863,510 6,803,796 Mar-02 (59,714) ............................................................................. U.S. Agency 10yr. (Long) 301,500 293,075 Mar-02 8,425 ............................................................................. U.S. Treasury Bond (Short) 3,350,531 3,422,069 Mar-02 71,538 ............................................................................. U.S. Treasury 2yr. (Short) 39,080,078 38,917,574 Mar-02 (162,504) ............................................................................. U.S. Treasury 5yr. (Short) 2,963,186 2,946,072 Mar-02 (17,114) ............................................................................. U.S. Treasury 5yr. (Long) 1,375,766 1,373,282 Mar-02 2,484 ............................................................................. U.S. Treasury 10yr. (Short) 11,039,766 11,068,476 Mar-02 28,710 ............................................................................. U.S. Treasury 10yr. (Long) 315,422 318,638 Mar-02 (3,216) - ----------------------------------------------------------------------------- $(330,781) - ----------------------------------------------------------------------------- TBA Sales Commitments at December 31, 2001 (premium received $2,744,573) - ----------------------------------------------------------------------------- Principal Settlement Market Agency Amount Date Value ............................................................................. FNMA, 6s, December 2031 $2,858,000 1/14/02 $2,794,581 - ----------------------------------------------------------------------------- Swap Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Notional Termination Unrealized Amount Date Depreciation ............................................................................. Agreement with J.P. Morgan Securities, Inc. dated March 26, 2001 to receive (pay) monthly the notional amount multiplied by the return of the Lehman Brothers U.S. Government Bond Index, adjusted by a specified spread and pay (receive) monthly the notional amount multiplied by USD LIBOR-BBA adjusted by a specified spread. $79,115,085 Apr-02 $(1,190,149) - ----------------------------------------------------------------------------- Diversification by Country - ----------------------------------------------------------------------------- Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) - ----------------------------------------------------------------------------- Bermuda 0.8% ............................................................................. Canada 1.0 ............................................................................. France 2.3 ............................................................................. Germany 1.0 ............................................................................. Japan 2.1 ............................................................................. Netherlands 1.0 ............................................................................. South Korea 0.9 ............................................................................. Switzerland 0.9 ............................................................................. United Kingdom 3.8 ............................................................................. United States 82.5 ............................................................................. Other 3.7 ............................................................................. Total 100.0% - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Global Growth Fund The fund's portfolio December 31, 2001 COMMON STOCKS (99.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Airlines (0.6%) .......................................................................................................................... 3,175,200 Qantas Airways, Ltd. (Australia) $5,980,248 .......................................................................................................................... 433,400 Qantas Airways, Ltd. 144A (Australia) 816,276 - -------------------------------------------------------------------------------------------------------------------------- 6,796,524 - -------------------------------------------------------------------------------------------------------------------------- Automotive (2.7%) .......................................................................................................................... 488,900 Bayerische Motoren Werke (BMW) AG (Germany) 17,212,903 .......................................................................................................................... 259,700 Honda Motor Co., Ltd. (Japan) 10,365,406 .......................................................................................................................... 74,200 Peugeot SA (France) 3,154,023 .......................................................................................................................... 87,100 Toyota Motor Corp. (Japan) 2,206,830 - -------------------------------------------------------------------------------------------------------------------------- 32,939,162 - -------------------------------------------------------------------------------------------------------------------------- Banking (3.9%) .......................................................................................................................... 520,199 Banco Popular Espanol (Spain) 17,078,433 .......................................................................................................................... 1,067,200 HSBC Holdings PLC (United Kingdom) 12,517,095 .......................................................................................................................... 207,200 Standard Chartered PLC (United Kingdom) 2,472,443 .......................................................................................................................... 339,500 U.S. Bancorp 7,105,735 .......................................................................................................................... 1,094,400 Westpac Banking Corp. (Australia) 8,824,595 - -------------------------------------------------------------------------------------------------------------------------- 47,998,301 - -------------------------------------------------------------------------------------------------------------------------- Beverage (1.1%) .......................................................................................................................... 155,800 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 3,161,182 .......................................................................................................................... 205,500 PepsiCo, Inc. 10,005,795 - -------------------------------------------------------------------------------------------------------------------------- 13,166,977 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.9%) .......................................................................................................................... 392,300 Echostar Communications Corp. Class A (NON) 10,776,481 - -------------------------------------------------------------------------------------------------------------------------- Building Materials (0.6%) .......................................................................................................................... 958,000 Matsushita Electric Works, Ltd. (Japan) 7,888,595 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.7%) .......................................................................................................................... 154,600 Syngenta AG (Switzerland) (NON) 8,013,259 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.8%) .......................................................................................................................... 1,339,700 Autostrade SpA (Italy) 9,302,287 .......................................................................................................................... 9,000 Toppan Printing Co., Ltd. (Japan) 83,039 - -------------------------------------------------------------------------------------------------------------------------- 9,385,326 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (4.4%) .......................................................................................................................... 566,100 Avaya, Inc. (NON) 6,878,115 .......................................................................................................................... 2,544,017 Cisco Systems, Inc. (NON) 46,072,148 .......................................................................................................................... 89,500 Juniper Networks, Inc. (NON) 1,696,025 - -------------------------------------------------------------------------------------------------------------------------- 54,646,288 - -------------------------------------------------------------------------------------------------------------------------- Computers (1.6%) .......................................................................................................................... 639,800 Compaq Computer Corp. 6,244,448 .......................................................................................................................... 170,600 Dell Computer Corp. (NON) 4,636,908 .......................................................................................................................... 246,200 VeriSign, Inc. (NON) 9,365,448 - -------------------------------------------------------------------------------------------------------------------------- 20,246,804 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (5.0%) .......................................................................................................................... 438,676 General Electric Co. 17,582,134 .......................................................................................................................... 752,800 Tyco International, Ltd. (Bermuda) 44,339,920 - -------------------------------------------------------------------------------------------------------------------------- 61,922,054 - -------------------------------------------------------------------------------------------------------------------------- Consumer Cyclicals (0.4%) .......................................................................................................................... 57,100 Swatch Group AG (The) Class B (Switzerland) 5,136,311 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.6%) .......................................................................................................................... 144,600 Capital One Financial Corp. 7,801,170 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.5%) .......................................................................................................................... 117,000 Colgate-Palmolive Co. 6,756,750 - -------------------------------------------------------------------------------------------------------------------------- Distribution (1.2%) .......................................................................................................................... 548,000 SYSCO Corp. 14,368,560 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (2.7%) .......................................................................................................................... 85,700 E.On AG (Germany) 4,455,344 .......................................................................................................................... 106,176 Electrabel SA (Belgium) 22,117,183 .......................................................................................................................... 248,300 Reliant Energy, Inc. 6,584,916 - -------------------------------------------------------------------------------------------------------------------------- 33,157,443 - -------------------------------------------------------------------------------------------------------------------------- Electronics (10.5%) .......................................................................................................................... 637,400 Agere Systems, Inc. Class A (NON) 3,626,806 .......................................................................................................................... 508,600 Applied Micro Circuits Corp. (NON) 5,757,352 .......................................................................................................................... 152,300 Broadcom Corp. Class A (NON) 6,224,501 .......................................................................................................................... 3,357,000 Chartered Semiconductor Manufacturing, Ltd. (Singapore) (NON) 8,910,780 .......................................................................................................................... 650,200 Hitachi Chemical Co., Ltd. (Japan) 6,093,377 .......................................................................................................................... 685,300 Intel Corp. 21,552,685 .......................................................................................................................... 68,400 Intersil Corp. Class A (NON) 2,205,900 .......................................................................................................................... 69,000 Maxim Integrated Products, Inc. (NON) 3,623,190 .......................................................................................................................... 586,400 OMRON Corp. (Japan) 7,831,495 .......................................................................................................................... 532,400 PMC - Sierra, Inc. (NON) 11,318,824 .......................................................................................................................... 134,700 RF Micro Devices, Inc. (NON) 2,590,281 .......................................................................................................................... 14,200 Rohm Co., Ltd. (Japan) 1,843,340 .......................................................................................................................... 99,260 Samsung Electronics Co., Ltd. (South Korea) 21,085,381 .......................................................................................................................... 141,300 Sanmina Corp. (NON) 2,811,870 .......................................................................................................................... 1,711,000 Taiwan Semiconductor Manufacturing Co. (Taiwan) (NON) 4,279,946 .......................................................................................................................... 503,900 Thomson Multimedia SA (France) (NON) 15,475,726 .......................................................................................................................... 109,200 Xilinx, Inc. (NON) 4,264,260 - -------------------------------------------------------------------------------------------------------------------------- 129,495,714 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (0.5%) .......................................................................................................................... 131,000 Viacom, Inc. Class B (NON) 5,783,650 - -------------------------------------------------------------------------------------------------------------------------- Financial (2.9%) .......................................................................................................................... 1,204,200 Dexia (Belgium) 17,366,057 .......................................................................................................................... 104,237 Fannie Mae 8,286,842 .......................................................................................................................... 158,400 Freddie Mac 10,359,360 - -------------------------------------------------------------------------------------------------------------------------- 36,012,259 - -------------------------------------------------------------------------------------------------------------------------- Food (1.8%) .......................................................................................................................... 663,500 Kraft Foods, Inc. Class A 22,578,905 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (3.7%) .......................................................................................................................... 148,800 Cardinal Health, Inc. 9,621,408 .......................................................................................................................... 328,400 HCA, Inc. 12,656,536 .......................................................................................................................... 46,100 McKesson Corp. 1,724,140 .......................................................................................................................... 304,200 UnitedHealth Group, Inc. 21,528,234 - -------------------------------------------------------------------------------------------------------------------------- 45,530,318 - -------------------------------------------------------------------------------------------------------------------------- Insurance (5.0%) .......................................................................................................................... 247,800 ACE, Ltd. (Bermuda) 9,949,170 .......................................................................................................................... 331,200 Aegon NV (Netherlands) 8,962,961 .......................................................................................................................... 722,700 AFLAC, Inc. 17,749,512 .......................................................................................................................... 142,825 American International Group, Inc. 11,340,305 .......................................................................................................................... 264,700 ING Groep NV (Netherlands) 6,748,613 .......................................................................................................................... 114,600 Manulife Financial Corp. (Canada) 2,987,068 .......................................................................................................................... 14,540 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 3,947,770 - -------------------------------------------------------------------------------------------------------------------------- 61,685,399 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (3.7%) .......................................................................................................................... 919,000 Banca Fideuram SpA (Italy) 7,354,663 .......................................................................................................................... 160,150 Goldman Sachs Group, Inc. (The) 14,853,913 .......................................................................................................................... 148,550 MLP AG (Germany) 10,896,511 .......................................................................................................................... 132,800 Orix Corp. (Japan) 11,898,134 - -------------------------------------------------------------------------------------------------------------------------- 45,003,221 - -------------------------------------------------------------------------------------------------------------------------- Leisure (0.6%) .......................................................................................................................... 135,800 Harley-Davidson, Inc. 7,375,298 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.9%) .......................................................................................................................... 577,200 Cendant Corp. (NON) 11,318,892 - -------------------------------------------------------------------------------------------------------------------------- Media (2.8%) .......................................................................................................................... 291,800 AOL Time Warner, Inc. (NON) 9,366,780 .......................................................................................................................... 265,700 Liberty Media Corp. Class A (NON) 3,719,800 .......................................................................................................................... 768,100 USA Networks, Inc. (NON) 20,976,811 - -------------------------------------------------------------------------------------------------------------------------- 34,063,391 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (1.4%) .......................................................................................................................... 1,014,500 Amersham PLC (United Kingdom) 9,810,016 .......................................................................................................................... 83,700 Guidant Corp. (NON) 4,168,260 .......................................................................................................................... 122,300 Zimmer Holdings, Inc. (NON) 3,735,042 - -------------------------------------------------------------------------------------------------------------------------- 17,713,318 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (1.4%) .......................................................................................................................... 262,900 Royal Dutch Petroleum Co. (Netherlands) 13,316,511 .......................................................................................................................... 23,650 TotalFinaElf SA Class B (France) 3,376,938 - -------------------------------------------------------------------------------------------------------------------------- 16,693,449 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (15.6%) .......................................................................................................................... 115,400 Allergan, Inc. 8,660,770 .......................................................................................................................... 449,200 AstraZeneca PLC (United Kingdom) 20,250,878 .......................................................................................................................... 1,119,225 GlaxoSmithKline PLC (United Kingdom) 28,062,436 .......................................................................................................................... 105,300 Merck & Company, Inc. 6,191,640 .......................................................................................................................... 582,800 Novartis AG (Switzerland) 21,075,217 .......................................................................................................................... 618,900 Pfizer, Inc. 24,663,165 .......................................................................................................................... 86,600 Roche Holdings AG (Switzerland) 6,184,969 .......................................................................................................................... 382,410 Sanofi-Synthelabo SA (France) 28,527,312 .......................................................................................................................... 696,300 Schering-Plough Corp. 24,934,503 .......................................................................................................................... 350,000 Takeda Chemical Industries (Japan) 15,839,280 .......................................................................................................................... 275,000 Yamanouchi Pharmaceutical Co., Ltd. (Japan) 7,261,419 - -------------------------------------------------------------------------------------------------------------------------- 191,651,589 - -------------------------------------------------------------------------------------------------------------------------- Photography (0.3%) .......................................................................................................................... 189,000 Ricoh Co., Ltd. (Japan) 3,519,365 - -------------------------------------------------------------------------------------------------------------------------- Retail (4.0%) .......................................................................................................................... 105,900 Best Buy Companies, Inc. (NON) 7,887,432 .......................................................................................................................... 400,900 Circuit City Stores-Circuit City Group 10,403,355 .......................................................................................................................... 27,600 Fast Retailing Co., Ltd. (Japan) 2,455,955 .......................................................................................................................... 854,100 GUS PLC (United Kingdom) 8,016,617 .......................................................................................................................... 53,800 Kohls Corp. (NON) 3,789,672 .......................................................................................................................... 819,100 Limited, Inc. (The) 12,057,152 .......................................................................................................................... 382,200 Next PLC (United Kingdom) 4,977,788 - -------------------------------------------------------------------------------------------------------------------------- 49,587,971 - -------------------------------------------------------------------------------------------------------------------------- Software (7.4%) .......................................................................................................................... 265,700 BMC Software, Inc. (NON) 4,349,509 .......................................................................................................................... 386,300 Computer Associates International, Inc. 13,323,487 .......................................................................................................................... 191,400 Electronic Arts, Inc. (NON) 11,474,430 .......................................................................................................................... 199,400 Intuit, Inc. (NON) 8,530,332 .......................................................................................................................... 772,100 Microsoft Corp. (NON) 51,151,625 .......................................................................................................................... 199,400 Oracle Corp. (NON) 2,753,714 - -------------------------------------------------------------------------------------------------------------------------- 91,583,097 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.4%) .......................................................................................................................... 657,200 Accenture, Ltd. Class A (Bermuda) (NON) 17,691,824 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (6.1%) .......................................................................................................................... 2,722,000 China Unicom, Ltd. (Hong Kong) (NON) 3,002,065 .......................................................................................................................... 1,087 Nippon Telegraph and Telephone Corp. (NTT) (Japan) 3,542,176 .......................................................................................................................... 1,226,700 Orange SA (France) (NON) 11,116,645 .......................................................................................................................... 1,617,800 Portugal Telecom SGPS SA (Portugal) (NON) 12,601,449 .......................................................................................................................... 571,600 Qwest Communications International, Inc. 8,076,708 .......................................................................................................................... 42,650 SK Telecom Co., Ltd. (South Korea) 8,702,756 .......................................................................................................................... 403,000 Sprint Corp. (PCS Group) (NON) 9,837,230 .......................................................................................................................... 773,300 Telecom Italia SpA (Italy) 6,608,560 .......................................................................................................................... 4,295,083 Vodafone Group PLC (United Kingdom) 11,234,743 - -------------------------------------------------------------------------------------------------------------------------- 74,722,332 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (0.5%) .......................................................................................................................... 133,700 Philip Morris Companies, Inc. 6,130,145 - -------------------------------------------------------------------------------------------------------------------------- Toys (0.9%) .......................................................................................................................... 63,900 Nintendo Co., Ltd. (Japan) 11,191,705 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $1,223,289,906) $1,220,331,847 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.4%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $49,023,054 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $48,959,825 .......................................................................................................................... 11,323,000 Interest in $500,000,000 joint tri-party agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $11,324,132 for an effective yield of 1.80% 11,323,000 .......................................................................................................................... 5,723,000 Interest in $221,765,000 joint repurchase agreement dated December 31, 2001 with Lehman Brothers, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $5,723,563 for an effective yield of 1.77% 5,723,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $66,005,825) $66,005,825 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $1,289,295,731) (b) $1,286,337,672 - -------------------------------------------------------------------------------------------------------------------------- Diversification by Country - -------------------------------------------------------------------------------------------------------------------------- Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) - ----------------------------------------------------------------------------- Australia 1.2% ............................................................................. Belgium 3.1 ............................................................................. Bermuda 4.8 ............................................................................. France 4.8 ............................................................................. Germany 2.8 ............................................................................. Italy 1.8 ............................................................................. Japan 7.2 ............................................................................. Netherlands 2.3 ............................................................................. Portugal 1.0 ............................................................................. Singapore 0.7 ............................................................................. South Korea 2.3 ............................................................................. Spain 1.3 ............................................................................. Switzerland 3.1 ............................................................................. United Kingdom 7.6 ............................................................................. United States 55.0 ............................................................................. Other 1.0 - ----------------------------------------------------------------------------- Total 100.0% - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Growth and Income Fund The fund's portfolio December 31, 2001 COMMON STOCKS (98.3%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. Advertising and Marketing Services (0.2%) .................................................................................................. 529,100 Interpublic Group of Companies, Inc. $15,629,614 - -------------------------------------------------------------------------------------------------- Aerospace and Defense (2.1%) .................................................................................................. 1,353,600 Boeing Co. 52,492,608 .................................................................................................. 128,221 General Dynamics Corp. 10,211,520 .................................................................................................. 264,092 Goodrich Corp. 7,030,129 .................................................................................................. 799,802 Lockheed Martin Corp. 37,326,759 .................................................................................................. 763,005 Rockwell Collins, Inc. 14,878,598 .................................................................................................. 681,970 United Technologies Corp. 44,075,721 - -------------------------------------------------------------------------------------------------- 166,015,335 - -------------------------------------------------------------------------------------------------- Airlines (0.1%) .................................................................................................. 447,910 Southwest Airlines Co. 8,277,377 - -------------------------------------------------------------------------------------------------- Automotive (1.0%) .................................................................................................. 2,899,421 Ford Motor Co. 45,578,898 .................................................................................................. 423,857 General Motors Corp. 20,599,450 .................................................................................................. 295,707 Lear Corp. (NON) 11,278,265 - -------------------------------------------------------------------------------------------------- 77,456,613 - -------------------------------------------------------------------------------------------------- Banking (10.5%) .................................................................................................. 2,237,555 Bank of America Corp. 140,854,087 .................................................................................................. 1,472,705 Bank of New York Company, Inc. (The) 60,086,364 .................................................................................................. 1,504,835 Bank One Corp. 58,763,807 .................................................................................................. 381,211 BB&T Corp. 13,765,529 .................................................................................................. 633,045 Charter One Financial, Inc. 17,187,172 .................................................................................................. 867,860 Comerica, Inc. 49,728,378 .................................................................................................. 349,661 Fifth Third Bancorp 21,444,709 .................................................................................................. 244,243 First Tennessee National Corp. 8,856,251 .................................................................................................. 1,266,467 FleetBoston Financial Corp. 46,226,046 .................................................................................................. 221,040 KeyCorp 5,380,114 .................................................................................................. 79,900 M&T Bank Corp. 5,820,715 .................................................................................................. 1,249,879 Mellon Financial Corp. 47,020,448 .................................................................................................. 847,251 National City Corp. 24,773,619 .................................................................................................. 151,554 PNC Financial Services Group 8,517,335 .................................................................................................. 523,300 Sovereign Bancorp, Inc. 6,405,192 .................................................................................................. 160,804 SunTrust Banks, Inc. 10,082,411 .................................................................................................. 615,700 Synovus Financial Corp. 15,423,285 .................................................................................................. 5,627,617 U.S. Bancorp 117,786,024 .................................................................................................. 585,440 Wachovia Corp. 18,359,398 .................................................................................................. 745,962 Washington Mutual, Inc. 24,392,957 .................................................................................................. 2,925,251 Wells Fargo & Co. 127,102,156 .................................................................................................. 82,451 Zions Bancorporation 4,335,274 - -------------------------------------------------------------------------------------------------- 832,311,271 - -------------------------------------------------------------------------------------------------- Beverage (3.8%) .................................................................................................. 42,200 Adolf Coors Co. Class B 2,253,480 .................................................................................................. 1,364,673 Anheuser-Busch Companies, Inc. 61,696,866 .................................................................................................. 2,515,610 Coca-Cola Co. (The) 118,611,012 .................................................................................................. 1,166,459 Coca-Cola Enterprises, Inc. 22,092,733 .................................................................................................. 443,342 Fortune Brands, Inc. 17,551,910 .................................................................................................. 181,600 Pepsi Bottling Group, Inc. (The) 4,267,600 .................................................................................................. 1,516,921 PepsiCo, Inc. 73,858,883 - -------------------------------------------------------------------------------------------------- 300,332,484 - -------------------------------------------------------------------------------------------------- Building Materials (--%) .................................................................................................. 26,239 Vulcan Materials Co. 1,257,898 - -------------------------------------------------------------------------------------------------- Cable Television (0.1%) .................................................................................................. 259,400 Comcast Corp. Class A (NON) 9,338,400 - -------------------------------------------------------------------------------------------------- Chemicals (2.2%) .................................................................................................. 188,600 Air Products & Chemicals, Inc. 8,847,226 .................................................................................................. 270,528 Avery Dennison Corp. 15,292,948 .................................................................................................. 668,600 Dow Chemical Co. (The) 22,585,308 .................................................................................................. 1,396,033 E.I. du Pont de Nemours & Co. 59,345,363 .................................................................................................. 467,666 Eastman Chemical Co. 18,248,327 .................................................................................................. 231,336 Hercules, Inc. (NON) 2,313,360 .................................................................................................. 229,057 Minnesota Mining & Manufacturing Co. (3M) 27,076,828 .................................................................................................. 228,646 PPG Industries, Inc. 11,825,571 .................................................................................................. 199,615 Rohm & Haas Co. 6,912,667 - -------------------------------------------------------------------------------------------------- 172,447,598 - -------------------------------------------------------------------------------------------------- Coal (0.1%) .................................................................................................. 182,290 Arch Coal, Inc. 4,137,983 .................................................................................................. 62,438 Peabody Energy Corp. 1,760,127 - -------------------------------------------------------------------------------------------------- 5,898,110 - -------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.4%) .................................................................................................. 62,508 Cintas Corp. 3,000,384 .................................................................................................. 297,879 Sabre Holdings Corp. (NON) 12,615,176 .................................................................................................. 2,949,800 Service Corp. International (NON) 14,719,502 - -------------------------------------------------------------------------------------------------- 30,335,062 - -------------------------------------------------------------------------------------------------- Communications Equipment (0.1%) .................................................................................................. 398,200 Avaya, Inc. (NON) 4,838,130 .................................................................................................. 717,081 Lucent Technologies, Inc. 4,510,439 - -------------------------------------------------------------------------------------------------- 9,348,569 - -------------------------------------------------------------------------------------------------- Computers (4.7%) .................................................................................................. 4,656,849 Compaq Computer Corp. 45,450,846 .................................................................................................. 577,122 Dell Computer Corp. (NON) 15,686,176 .................................................................................................. 3,894,880 Hewlett-Packard Co. 80,000,835 .................................................................................................. 1,777,525 IBM Corp. 215,009,424 .................................................................................................. 100,695 Lexmark International, Inc. (NON) 5,941,005 .................................................................................................. 236,493 NCR Corp. (NON) 8,717,132 .................................................................................................. 159,662 Symbol Technologies, Inc. 2,535,433 - -------------------------------------------------------------------------------------------------- 373,340,851 - -------------------------------------------------------------------------------------------------- Conglomerates (3.9%) .................................................................................................. 20,253 Berkshire Hathaway, Inc. Class B (NON) $51,138,825 .................................................................................................. 3,620,789 General Electric Co. 145,121,223 .................................................................................................. 965,084 Honeywell International, Inc. 32,639,141 .................................................................................................. 38,629 Textron, Inc. 1,601,558 .................................................................................................. 1,330,786 Tyco International, Ltd. (Bermuda) 78,383,295 - -------------------------------------------------------------------------------------------------- 308,884,042 - -------------------------------------------------------------------------------------------------- Consumer Finance (0.9%) .................................................................................................. 276,303 Capital One Financial Corp. 14,906,547 .................................................................................................. 753,251 Household International, Inc. 43,643,363 .................................................................................................. 163,605 MBNA Corp. 5,758,896 .................................................................................................. 1,267,242 Providian Financial Corp. 4,498,709 - -------------------------------------------------------------------------------------------------- 68,807,515 - -------------------------------------------------------------------------------------------------- Consumer Goods (2.3%) .................................................................................................. 124,200 Avon Products, Inc. 5,775,300 .................................................................................................. 611,608 Clorox Co. 24,189,096 .................................................................................................. 1,500,821 Gillette Co. (The) 50,127,421 .................................................................................................. 564,170 Kimberly-Clark Corp. 33,737,366 .................................................................................................. 777,341 Procter & Gamble Co. 61,510,993 .................................................................................................. 119,184 Unilever NV (Netherlands) 6,866,190 - -------------------------------------------------------------------------------------------------- 182,206,366 - -------------------------------------------------------------------------------------------------- Distribution (0.1%) .................................................................................................. 217,908 SYSCO Corp. 5,713,548 - -------------------------------------------------------------------------------------------------- Electric Utilities (4.8%) .................................................................................................. 344,577 CMS Energy Corp. 8,280,185 .................................................................................................. 422,294 Consolidated Edison, Inc. 17,043,786 .................................................................................................. 377,379 Constellation Energy Group, Inc. 10,019,412 .................................................................................................. 142,000 Dominion Resources, Inc. 8,534,200 .................................................................................................. 1,133,591 Duke Energy Corp. 44,504,783 .................................................................................................. 822,300 Edison International (NON) 12,416,730 .................................................................................................. 1,311,290 Entergy Corp. 51,284,552 .................................................................................................. 493,522 Exelon Corp. 23,629,833 .................................................................................................. 503,863 FirstEnergy Corp. 17,625,128 .................................................................................................. 264,600 FPL Group, Inc. 14,923,440 .................................................................................................. 208,416 Northeast Utilities 3,674,374 .................................................................................................. 747,292 PG&E Corp. 14,377,898 .................................................................................................. 179,309 PPL Corp. 6,248,919 .................................................................................................. 1,217,217 Progress Energy, Inc. 54,811,282 .................................................................................................. 398,800 Public Service Enterprise Group, Inc. 16,825,372 .................................................................................................. 1,658,701 Reliant Energy, Inc. 43,988,751 .................................................................................................. 176,934 Teco Energy, Inc. 4,642,748 .................................................................................................. 539,957 TXU Corp. 25,458,973 - -------------------------------------------------------------------------------------------------- 378,290,366 - -------------------------------------------------------------------------------------------------- Electrical Equipment (0.6%) .................................................................................................. 652,790 Emerson Electric Co. 37,274,309 .................................................................................................. 478,207 Rockwell International Corp. 8,540,777 - -------------------------------------------------------------------------------------------------- 45,815,086 - -------------------------------------------------------------------------------------------------- Electronics (1.5%) .................................................................................................. 72,343 Advanced Micro Devices, Inc. (NON) $1,147,360 .................................................................................................. 1,095,332 Agere Systems, Inc. Class A (NON) 6,232,439 .................................................................................................. 250,000 Agilent Technologies, Inc. (NON) 7,127,500 .................................................................................................. 191,463 Atmel Corp. (NON) 1,411,082 .................................................................................................. 293,117 Conexant Systems, Inc. (NON) 4,209,160 .................................................................................................. 311,845 Cypress Semiconductor Corp. (NON) 6,215,071 .................................................................................................. 219,575 Flextronics International, Ltd. (Singapore) (NON) 5,267,604 .................................................................................................. 952,734 LSI Logic Corp. (NON) 15,034,143 .................................................................................................. 3,363,464 Motorola, Inc. 50,519,229 .................................................................................................. 1,970,300 Solectron Corp. (NON) 22,224,984 - -------------------------------------------------------------------------------------------------- 119,388,572 - -------------------------------------------------------------------------------------------------- Energy (0.9%) .................................................................................................. 258,348 Baker Hughes, Inc. 9,421,952 .................................................................................................. 814,030 Schlumberger, Ltd. 44,730,949 .................................................................................................. 531,669 Transocean Sedco Forex, Inc. 17,981,046 - -------------------------------------------------------------------------------------------------- 72,133,947 - -------------------------------------------------------------------------------------------------- Entertainment (0.3%) .................................................................................................. 578,472 Viacom, Inc. Class B (NON) 25,539,539 - -------------------------------------------------------------------------------------------------- Financial (6.7%) .................................................................................................. 1,521,815 American Express Co. 54,313,577 .................................................................................................. 6,267,578 Citigroup, Inc. 316,387,337 .................................................................................................. 1,123,706 Fannie Mae 89,334,627 .................................................................................................. 749,078 Freddie Mac 48,989,701 .................................................................................................. 174,592 MGIC Investment Corp. 10,775,818 .................................................................................................. 147,882 USA Education, Inc. 12,425,046 - -------------------------------------------------------------------------------------------------- 532,226,106 - -------------------------------------------------------------------------------------------------- Food (1.1%) .................................................................................................. 285,036 Archer Daniels Midland Co. 4,090,267 .................................................................................................. 89,206 Campbell Soup Co. 2,664,583 .................................................................................................. 215,000 General Mills, Inc. 11,182,150 .................................................................................................. 413,000 H.J. Heinz Co. 16,982,560 .................................................................................................. 589,057 Kellogg Co. 17,730,616 .................................................................................................. 494,800 Kraft Foods, Inc. Class A 16,838,044 .................................................................................................. 876,349 Sara Lee Corp. 19,481,238 - -------------------------------------------------------------------------------------------------- 88,969,458 - -------------------------------------------------------------------------------------------------- Gaming & Lottery (0.2%) .................................................................................................. 291,687 Harrah's Entertainment, Inc. (NON) 10,795,336 .................................................................................................. 285,655 MGM Mirage, Inc. (NON) 8,246,860 - -------------------------------------------------------------------------------------------------- 19,042,196 - -------------------------------------------------------------------------------------------------- Health Care Services (1.5%) .................................................................................................. 133,395 Cardinal Health, Inc. 8,625,321 .................................................................................................. 483,164 CIGNA Corp. 44,765,145 .................................................................................................. 132,371 HCA, Inc. 5,101,578 .................................................................................................. 280,385 Healthsouth Corp. (NON) 4,155,306 .................................................................................................. 11,797 McKesson Corp. 441,208 .................................................................................................. 193,929 Quest Diagnostics, Inc. (NON) 13,906,649 .................................................................................................. 172,540 Tenet Healthcare Corp. (NON) $10,131,549 .................................................................................................. 304,616 UnitedHealth Group, Inc. 21,557,674 .................................................................................................. 71,130 Wellpoint Health Networks, Inc. (NON) 8,311,541 - -------------------------------------------------------------------------------------------------- 116,995,971 - -------------------------------------------------------------------------------------------------- Household Furniture and Appliances (0.2%) .................................................................................................. 453,151 Newell Rubbermaid, Inc. 12,493,373 .................................................................................................. 50,972 Whirlpool Corp. 3,737,777 - -------------------------------------------------------------------------------------------------- 16,231,150 - -------------------------------------------------------------------------------------------------- Insurance (1.5%) .................................................................................................. 358,400 ACE, Ltd. (Bermuda) 14,389,760 .................................................................................................. 405,181 AFLAC, Inc. 9,951,245 .................................................................................................. 187,153 American International Group, Inc. 14,859,948 .................................................................................................. 349,800 Chubb Corp. (The) 24,136,200 .................................................................................................. 397,074 Hartford Financial Services Group, Inc. (The) 24,948,159 .................................................................................................. 67,364 Jefferson-Pilot Corp. 3,116,932 .................................................................................................. 34,349 John Hancock Financial Services 1,418,614 .................................................................................................. 13,176 Loews Corp. 729,687 .................................................................................................. 192,300 Principal Financial Group (NON) 4,615,200 .................................................................................................. 128,525 Torchmark Corp. 5,054,888 .................................................................................................. 418,800 UnumProvident Corp. 11,102,388 .................................................................................................. 90,900 XL Capital, Ltd. Class A (Bermuda) 8,304,624 - -------------------------------------------------------------------------------------------------- 122,627,645 - -------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (5.1%) .................................................................................................. 75,100 Bear Stearns Companies, Inc. (The) 4,403,864 .................................................................................................. 801,477 Goldman Sachs Group, Inc. (The) 74,336,992 .................................................................................................. 2,880,992 JPMorgan Chase & Co. 104,724,059 .................................................................................................. 265,303 Lehman Brothers Holdings, Inc. 17,722,240 .................................................................................................. 1,230,495 Merrill Lynch & Company, Inc. 64,133,399 .................................................................................................. 2,119,592 Morgan Stanley Dean Witter & Co. 118,569,976 .................................................................................................. 203,300 Prudential Financial, Inc. (NON) 6,747,527 .................................................................................................. 209,393 Stilwell Financial, Inc. 5,699,677 .................................................................................................. 277,681 T Rowe Price Group, Inc. 9,643,861 - -------------------------------------------------------------------------------------------------- 405,981,595 - -------------------------------------------------------------------------------------------------- Lodging/Tourism (0.3%) .................................................................................................. 384,029 Carnival Corp. Class A 10,783,534 .................................................................................................. 340,869 Cendant Corp. (NON) 6,684,441 .................................................................................................. 230,200 Royal Caribbean Cruises, Ltd. 3,729,240 .................................................................................................. 149,664 Starwood Hotels & Resorts Worldwide, Inc. 4,467,470 - -------------------------------------------------------------------------------------------------- 25,664,685 - -------------------------------------------------------------------------------------------------- Machinery (0.3%) .................................................................................................. 237,398 Caterpillar, Inc. 12,404,046 .................................................................................................. 235,150 Dover Corp. 8,717,011 - -------------------------------------------------------------------------------------------------- 21,121,057 - -------------------------------------------------------------------------------------------------- Manufacturing (0.3%) .................................................................................................. 319,407 Illinois Tool Works, Inc. 21,630,242 - -------------------------------------------------------------------------------------------------- Media (1.1%) .................................................................................................. 617,101 Liberty Media Corp. Class A (NON) $8,639,414 .................................................................................................. 321,076 USA Networks, Inc. (NON) 8,768,586 .................................................................................................. 3,177,898 Walt Disney Co. (The) 65,846,047 - -------------------------------------------------------------------------------------------------- 83,254,047 - -------------------------------------------------------------------------------------------------- Medical Technology (0.1%) .................................................................................................. 143,889 Becton, Dickinson and Co. 4,769,920 - -------------------------------------------------------------------------------------------------- Metals (0.6%) .................................................................................................. 787,879 Alcoa, Inc. 28,009,098 .................................................................................................. 263,576 Barrick Gold Corp. 4,204,037 .................................................................................................. 505,400 Freeport-McMoRan Copper & Gold, Inc. Class A (NON) 6,519,660 .................................................................................................. 493,300 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 6,605,287 - -------------------------------------------------------------------------------------------------- 45,338,082 - -------------------------------------------------------------------------------------------------- Natural Gas Utilities (1.1%) .................................................................................................. 1,026,382 Dynegy, Inc. Class A 26,172,741 .................................................................................................. 347,000 El Paso Corp. 15,479,670 .................................................................................................. 1,268,011 NiSource, Inc. 29,240,334 .................................................................................................. 330,927 Sempra Energy 8,124,258 .................................................................................................. 776,135 Williams Companies, Inc. (The) 19,806,965 - -------------------------------------------------------------------------------------------------- 98,823,968 - -------------------------------------------------------------------------------------------------- Office Equipment & Supplies (0.1%) .................................................................................................. 135,206 Pitney Bowes, Inc. 5,085,098 - -------------------------------------------------------------------------------------------------- Oil & Gas (8.3%) .................................................................................................. 55,720 Anadarko Petroleum Corp. 3,167,682 .................................................................................................. 579,688 BP PLC ADR (United Kingdom) 26,961,289 .................................................................................................. 740,175 Burlington Resources, Inc. 27,786,170 .................................................................................................. 772,962 Chevron Texaco Corp. 69,265,125 .................................................................................................. 1,325,391 Conoco, Inc. 37,508,565 .................................................................................................. 195,693 EOG Resources, Inc. 7,653,553 .................................................................................................. 6,809,366 Exxon Mobil Corp. 267,608,084 .................................................................................................. 54,966 Kerr-McGee Corp. 3,012,137 .................................................................................................. 41,600 Murphy Oil Corp. 3,496,064 .................................................................................................. 165,331 Occidental Petroleum Corp. 4,386,231 .................................................................................................. 249,321 Phillips Petroleum Co. 15,024,083 .................................................................................................. 2,677,427 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 131,247,472 .................................................................................................. 1,293,964 Unocal Corp. 46,673,281 .................................................................................................. 581,310 USX-Marathon Group 17,439,300 - -------------------------------------------------------------------------------------------------- 661,229,036 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (1.5%) .................................................................................................. 184,000 Boise Cascade Corp. 6,257,840 .................................................................................................. 413,042 Georgia-Pacific Group 11,404,090 .................................................................................................. 631,499 International Paper Co. 25,480,985 .................................................................................................. 832,600 Owens-Illinois, Inc. (NON) 8,317,674 .................................................................................................. 91,195 Sealed Air Corp. (NON) 3,722,580 .................................................................................................. 600,642 Smurfit-Stone Container Corp. (NON) 9,592,253 .................................................................................................. 211,700 Temple Inland, Inc. 12,009,741 .................................................................................................. 811,176 Weyerhaeuser Co. 43,868,398 - -------------------------------------------------------------------------------------------------- 120,653,561 - -------------------------------------------------------------------------------------------------- Pharmaceuticals (10.9%) .................................................................................................. 1,411,019 Abbott Laboratories 78,664,309 .................................................................................................. 1,181,522 American Home Products Corp. 72,498,190 .................................................................................................. 2,828,889 Bristol-Myers Squibb Co. 144,273,339 .................................................................................................. 3,045,268 Johnson & Johnson 179,975,339 .................................................................................................. 906,927 Lilly (Eli) & Co. 71,230,047 .................................................................................................. 3,327,702 Merck & Company, Inc. 195,668,878 .................................................................................................. 779,353 Pharmacia Corp. 33,239,405 .................................................................................................. 2,462,738 Schering-Plough Corp. 88,190,648 - -------------------------------------------------------------------------------------------------- 863,740,155 - -------------------------------------------------------------------------------------------------- Photography/Imaging (0.6%) .................................................................................................. 461,152 Eastman Kodak Co. 13,571,705 .................................................................................................. 3,195,392 Xerox Corp. 33,295,985 - -------------------------------------------------------------------------------------------------- 46,867,690 - -------------------------------------------------------------------------------------------------- Power Producers (0.1%) .................................................................................................. 364,441 AES Corp. (The) (NON) 5,958,610 - -------------------------------------------------------------------------------------------------- Publishing (0.9%) .................................................................................................. 346,407 Dow Jones & Co., Inc. 18,958,855 .................................................................................................. 495,160 McGraw-Hill Companies, Inc. (The) 30,194,857 .................................................................................................. 97,550 New York Times Co. (The) Class A 4,219,038 .................................................................................................. 547,556 Tribune Co. 20,495,021 - -------------------------------------------------------------------------------------------------- 73,867,771 - -------------------------------------------------------------------------------------------------- Railroads (0.7%) .................................................................................................. 1,098,185 Burlington Northern Santa Fe Corp. 31,331,218 .................................................................................................. 77,722 CSX Corp. 2,724,156 .................................................................................................. 829,863 Norfolk Southern Corp. 15,211,389 .................................................................................................. 130,100 Union Pacific Corp. 7,415,700 - -------------------------------------------------------------------------------------------------- 56,682,463 - -------------------------------------------------------------------------------------------------- Real Estate (0.3%) .................................................................................................. 116,300 Boston Properties, Inc. (R) 4,419,400 .................................................................................................. 491,800 Equity Office Properties Trust (R) 14,793,344 .................................................................................................. 138,846 Equity Residential Properties Trust (R) 3,986,269 - -------------------------------------------------------------------------------------------------- 23,199,013 - -------------------------------------------------------------------------------------------------- Regional Bells (4.4%) .................................................................................................. 2,269,462 BellSouth Corp. 86,579,975 .................................................................................................. 4,497,375 SBC Communications, Inc. (SEG) 176,162,179 .................................................................................................. 1,863,767 Verizon Communications, Inc. 88,454,382 - -------------------------------------------------------------------------------------------------- 351,196,536 - -------------------------------------------------------------------------------------------------- Restaurants (0.6%) .................................................................................................. 119,500 Darden Restaurants, Inc. 4,230,300 .................................................................................................. 1,275,628 McDonald's Corp. 33,765,873 .................................................................................................. 435,377 Starbucks Corp. (NON) 8,293,932 - -------------------------------------------------------------------------------------------------- 46,290,105 - -------------------------------------------------------------------------------------------------- Retail (2.5%) .................................................................................................. 562,800 Albertsons, Inc. 17,722,572 .................................................................................................. 127,000 Circuit City Stores-Circuit City Group 3,295,650 .................................................................................................. 105,080 Dollar General Corp. 1,565,692 .................................................................................................. 671,631 Federated Department Stores, Inc. (NON) 27,469,708 .................................................................................................. 891,417 Gap, Inc. (The) 12,426,353 .................................................................................................. 703,500 J.C. Penney Co., Inc. 18,924,150 .................................................................................................. 213,800 Jones Apparel Group, Inc. (NON) 7,091,746 .................................................................................................. 368,620 Kroger Co. (NON) 7,693,099 .................................................................................................. 2,722,884 Limited, Inc. (The) 40,080,852 .................................................................................................. 67,027 Lowe's Companies, Inc. 3,110,723 .................................................................................................. 36,123 May Department Stores Co. 1,335,829 .................................................................................................. 1,429,400 Rite Aid Corp. (NON) 7,232,764 .................................................................................................. 173,122 Safeway, Inc. (NON) 7,227,844 .................................................................................................. 1,801,072 Staples, Inc. (NON) 33,680,046 .................................................................................................. 207,759 TJX Companies, Inc. (The) 8,281,274 - -------------------------------------------------------------------------------------------------- 197,138,302 - -------------------------------------------------------------------------------------------------- Software (0.8%) .................................................................................................. 1,759,631 BMC Software, Inc. (NON) 28,805,159 .................................................................................................. 823,779 Computer Associates International, Inc. 28,412,138 .................................................................................................. 153,562 Compuware Corp. (NON) 1,810,496 .................................................................................................. 23,913 Symantec Corp. (NON) 1,586,149 - -------------------------------------------------------------------------------------------------- 60,613,942 - -------------------------------------------------------------------------------------------------- Technology Services (0.5%) .................................................................................................. 398,480 Convergys Corp. (NON) 14,939,015 .................................................................................................. 218,572 Electronic Data Systems Corp. 14,983,111 .................................................................................................. 244,516 Fiserv, Inc. (NON) 10,347,917 .................................................................................................. 64,842 SunGard Data Systems, Inc. (NON) 1,875,879 - -------------------------------------------------------------------------------------------------- 42,145,922 - -------------------------------------------------------------------------------------------------- Telecommunications (2.3%) .................................................................................................. 72,500 ALLTEL Corp. 4,475,425 .................................................................................................. 3,327,730 AT&T Corp. 60,365,022 .................................................................................................. 1,031,803 AT&T Wireless Services, Inc. (NON) 14,827,009 .................................................................................................. 483,180 Broadwing, Inc. (NON) 4,590,210 .................................................................................................. 510,700 Qwest Communications International, Inc. 7,216,191 .................................................................................................. 2,716,762 Sprint Corp. (FON Group) 54,552,581 .................................................................................................. 61,134 Telephone and Data Systems, Inc. 5,486,777 .................................................................................................. 1,964,163 Worldcom, Inc.-WorldCom Group (NON) 27,655,415 - -------------------------------------------------------------------------------------------------- 179,168,630 - -------------------------------------------------------------------------------------------------- Textiles (0.1%) .................................................................................................. 137,375 Nike, Inc. 7,725,970 - -------------------------------------------------------------------------------------------------- Tobacco (2.1%) .................................................................................................. 3,662,963 Philip Morris Companies, Inc. 167,946,854 - -------------------------------------------------------------------------------------------------- Toys (0.1%) .................................................................................................. 481,524 Mattel, Inc. 8,282,213 - -------------------------------------------------------------------------------------------------- Transportation Services (--%) .................................................................................................. 43,158 United Parcel Service, Inc. Class B 2,352,111 - -------------------------------------------------------------------------------------------------- Waste Management (0.8%) .................................................................................................. 348,864 Republic Services, Inc. (NON) $6,966,814 .................................................................................................. 1,754,596 Waste Management, Inc. 55,989,158 - -------------------------------------------------------------------------------------------------- 62,955,972 - -------------------------------------------------------------------------------------------------- Total Common Stocks (cost $6,950,394,761) $7,794,544,239 - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.3%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 12,700 Boise Cascade Corp. $3.75 cv. pfd. $691,515 .................................................................................................. 310,000 K mart Financing I $3.875 cum. cv. pfd. 8,680,000 .................................................................................................. 161,000 Xerox Corp. 144A $3.75 cv. notes 11,107,390 - -------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $24,663,774) $20,478,905 - -------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (0.2%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $3,610,000 Freeport-McMoRan Copper & Gold, Inc. 144A cv. sr. notes 8 1/4s, 2006 $4,300,232 .................................................................................................. 900,000 Providian Financial Corp. cv. sr. notes 3 1/4s, 2005 387,000 .................................................................................................. 5,840,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 5,973,152 .................................................................................................. 6,400,000 Xerox Corp. cv. sub. deb. 0.57s, 2018 3,384,000 - -------------------------------------------------------------------------------------------------- Total Convertible Bonds and Notes (cost $12,888,188) $14,044,384 - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (1.5%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $23,456,000 Quincy Capital Corp. effective yield of 1.84%, February 2, 2002 $23,410,443 .................................................................................................. 33,234,365 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) 33,191,500 .................................................................................................. 63,508,000 Interest in $750,000,000 joint tri-party repurchase agreement dated December 31, 2001 with S.B.C. Warburg, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $63,514,351 for an effective yield of 1.80% 63,508,000 - -------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $120,109,943) $120,109,943 - -------------------------------------------------------------------------------------------------- Total Investments (cost $7,108,056,666) (b) $7,949,177,471 - -------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios.
Putnam VT Growth Opportunities Fund The fund's portfolio December 31, 2001 COMMON STOCKS (96.4%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (0.6%) .......................................................................................................................... 5,700 Northrop Grumman Corp. $574,617 - -------------------------------------------------------------------------------------------------------------------------- Banking (1.2%) .......................................................................................................................... 29,100 Bank of New York Company, Inc. (The) 1,187,280 - -------------------------------------------------------------------------------------------------------------------------- Beverage (1.1%) .......................................................................................................................... 21,700 PepsiCo, Inc. 1,056,573 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (1.4%) .......................................................................................................................... 29,900 MedImmune, Inc. (NON) 1,385,865 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (2.2%) .......................................................................................................................... 35,000 Echostar Communications Corp. Class A (NON) 961,450 .......................................................................................................................... 31,400 Univision Communications, Inc. (NON) 1,270,444 - -------------------------------------------------------------------------------------------------------------------------- 2,231,894 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (4.9%) .......................................................................................................................... 138,500 Cisco Systems, Inc. (NON) 2,508,235 .......................................................................................................................... 20,300 Nokia OYJ ADR (Finland) 497,959 .......................................................................................................................... 38,500 QUALCOMM, Inc. (NON) 1,944,250 - -------------------------------------------------------------------------------------------------------------------------- 4,950,444 - -------------------------------------------------------------------------------------------------------------------------- Computers (5.4%) .......................................................................................................................... 70,000 Dell Computer Corp. (NON) 1,902,600 .......................................................................................................................... 31,800 Hewlett-Packard Co. 653,172 .......................................................................................................................... 18,400 IBM Corp. 2,225,664 .......................................................................................................................... 17,800 VeriSign, Inc. (NON) 677,112 - -------------------------------------------------------------------------------------------------------------------------- 5,458,548 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (7.0%) .......................................................................................................................... 101,500 General Electric Co. 4,068,120 .......................................................................................................................... 50,500 Tyco International, Ltd. (Bermuda) 2,974,450 - -------------------------------------------------------------------------------------------------------------------------- 7,042,570 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.3%) .......................................................................................................................... 23,144 Capital One Financial Corp. 1,248,619 .......................................................................................................................... 18,207 Providian Financial Corp. 64,635 - -------------------------------------------------------------------------------------------------------------------------- 1,313,254 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.5%) .......................................................................................................................... 8,600 Colgate-Palmolive Co. 496,650 - -------------------------------------------------------------------------------------------------------------------------- Electronics (10.1%) .......................................................................................................................... 22,900 Broadcom Corp. Class A (NON) 935,923 .......................................................................................................................... 42,800 Flextronics International, Ltd. (Singapore) (NON) 1,026,772 .......................................................................................................................... 118,100 Intel Corp. 3,714,245 .......................................................................................................................... 62,200 LSI Logic Corp. (NON) 981,516 .......................................................................................................................... 53,000 Maxim Integrated Products, Inc. (NON) 2,783,030 .......................................................................................................................... 62,300 Solectron Corp. (NON) 702,744 - -------------------------------------------------------------------------------------------------------------------------- 10,144,230 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (2.4%) .......................................................................................................................... 53,600 Viacom, Inc. Class B (NON) 2,366,440 - -------------------------------------------------------------------------------------------------------------------------- Financial (3.0%) .......................................................................................................................... 24,100 Citigroup, Inc. 1,216,568 .......................................................................................................................... 23,000 Fannie Mae 1,828,500 - -------------------------------------------------------------------------------------------------------------------------- 3,045,068 - -------------------------------------------------------------------------------------------------------------------------- Food (0.6%) .......................................................................................................................... 18,500 Kraft Foods, Inc. Class A 629,555 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (3.8%) .......................................................................................................................... 27,600 HCA, Inc. 1,063,704 .......................................................................................................................... 22,200 McKesson Corp. 830,280 .......................................................................................................................... 26,800 UnitedHealth Group, Inc. 1,896,636 - -------------------------------------------------------------------------------------------------------------------------- 3,790,620 - -------------------------------------------------------------------------------------------------------------------------- Insurance (2.2%) .......................................................................................................................... 21,300 American International Group, Inc. 1,691,220 .......................................................................................................................... 5,100 XL Capital, Ltd. Class A (Bermuda) 465,936 - -------------------------------------------------------------------------------------------------------------------------- 2,157,156 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (3.5%) .......................................................................................................................... 22,900 Lehman Brothers Holdings, Inc. 1,529,720 .......................................................................................................................... 34,600 Morgan Stanley Dean Witter & Co. 1,935,524 - -------------------------------------------------------------------------------------------------------------------------- 3,465,244 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (1.1%) .......................................................................................................................... 58,500 Cendant Corp. (NON) 1,147,185 - -------------------------------------------------------------------------------------------------------------------------- Media (1.5%) .......................................................................................................................... 46,600 AOL Time Warner, Inc. (NON) 1,495,860 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (2.4%) .......................................................................................................................... 47,100 Medtronic, Inc. 2,411,991 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (1.0%) .......................................................................................................................... 37,400 Dynegy, Inc. Class A 953,700 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (16.7%) .......................................................................................................................... 22,000 Allergan, Inc. 1,651,100 .......................................................................................................................... 17,000 Bristol-Myers Squibb Co. 867,000 .......................................................................................................................... 48,200 Johnson & Johnson 2,848,620 .......................................................................................................................... 32,871 King Pharmaceuticals, Inc. (NON) 1,384,855 .......................................................................................................................... 28,400 Lilly (Eli) & Co. 2,230,536 .......................................................................................................................... 130,300 Pfizer, Inc. 5,192,455 .......................................................................................................................... 72,400 Schering-Plough Corp. 2,592,644 - -------------------------------------------------------------------------------------------------------------------------- 16,767,210 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.7%) .......................................................................................................................... 44,800 Mirant Corp. (NON) 717,696 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (1.3%) .......................................................................................................................... 68,700 Starbucks Corp. (NON) 1,308,735 - -------------------------------------------------------------------------------------------------------------------------- Retail (7.5%) .......................................................................................................................... 8,700 Best Buy Co., Inc. (NON) 647,976 .......................................................................................................................... 73,400 Lowe's Companies, Inc. 3,406,494 .......................................................................................................................... 60,100 Wal-Mart Stores, Inc. 3,458,755 - -------------------------------------------------------------------------------------------------------------------------- 7,513,225 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (0.4%) .......................................................................................................................... 8,600 KLA-Tencor Corp. (NON) 426,216 - -------------------------------------------------------------------------------------------------------------------------- Software (8.3%) .......................................................................................................................... 8,500 Electronic Arts, Inc. (NON) 509,575 .......................................................................................................................... 102,000 Microsoft Corp. (NON) 6,757,500 .......................................................................................................................... 22,600 VERITAS Software Corp. (NON) 1,013,158 - -------------------------------------------------------------------------------------------------------------------------- 8,280,233 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.4%) .......................................................................................................................... 20,000 Electronic Data Systems Corp. 1,371,000 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (0.6%) .......................................................................................................................... 23,600 Sprint Corp. (PCS Group) (NON) 576,076 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (2.3%) .......................................................................................................................... 50,300 Philip Morris Companies, Inc. 2,306,255 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $103,792,880) $96,571,390 - -------------------------------------------------------------------------------------------------------------------------- Units (1.0%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 14,400 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance S.A.) expiration 9/3/02 $962,928 .......................................................................................................................... 2,400 VeriSign, Inc. 144A Structured Warrants (issued by Salomon Smith Barney Holdings, Inc.) expiration 4/8/02 86,533 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $1,043,956) $1,049,461 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (3.7%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $1,211,579 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $1,210,016 .......................................................................................................................... 2,462,000 Interest in $500,000,000 joint tri-party agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $2,462,246 for an effective yield of 1.80% 2,462,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $3,672,016) $3,672,016 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $108,508,852) (b) $101,292,867 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Health Sciences Fund The fund's portfolio December 31, 2001 COMMON STOCKS (96.6%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Biotechnology (10.2%) .......................................................................................................................... 383,972 Amgen, Inc. (NON) $21,671,380 .......................................................................................................................... 8,875 Applera Corp.-Applied Biosystems Group 348,521 .......................................................................................................................... 4,098 Cerus Corp. (NON) 187,484 .......................................................................................................................... 28,115 Genzyme Corp. (NON) 1,682,964 .......................................................................................................................... 46,958 Gilead Sciences, Inc. (NON) 3,086,080 .......................................................................................................................... 26,400 IDEC Pharmaceuticals Corp. (NON) 1,819,752 .......................................................................................................................... 9,614 IDEXX Laboratories, Inc. (NON) 274,095 .......................................................................................................................... 50,407 InterMune, Inc. (NON) 2,483,049 .......................................................................................................................... 25,200 InterMune Inc. (Private) (NON) 1,241,352 .......................................................................................................................... 56,048 Invitrogen Corp. (NON) 3,471,053 .......................................................................................................................... 124,906 MedImmune, Inc. (NON) 5,789,393 .......................................................................................................................... 36,400 Nexia Biotechnologies, Inc. 144A (NON) 103,772 .......................................................................................................................... 7,400 Protein Design Labs, Inc. (NON) 242,720 .......................................................................................................................... 73,704 QIAGEN NV (Netherlands) (NON) 1,367,946 .......................................................................................................................... 162,432 Scios, Inc. (NON) 3,861,009 .......................................................................................................................... 14,931 Waters Corp. (NON) 578,576 - -------------------------------------------------------------------------------------------------------------------------- 48,209,146 - -------------------------------------------------------------------------------------------------------------------------- Medical Services (14.9%) .......................................................................................................................... 27,078 Accredo Health, Inc. (NON) 1,074,997 .......................................................................................................................... 128,668 AdvancePCS (NON) 3,776,406 .......................................................................................................................... 43,578 AmerisourceBergen Corp. 2,769,382 .......................................................................................................................... 18,400 Anthem, Inc. (NON) 910,800 .......................................................................................................................... 208,536 Cardinal Health, Inc. 13,483,938 .......................................................................................................................... 315,566 Caremark Rx, Inc. (NON) 5,146,881 .......................................................................................................................... 43,395 CIGNA Corp. 4,020,547 .......................................................................................................................... 302,847 HCA, Inc. 11,671,723 .......................................................................................................................... 26,716 Laboratory Corp. of America Holdings (NON) 2,159,989 .......................................................................................................................... 114,386 Quest Diagnostics, Inc. (NON) 8,202,620 .......................................................................................................................... 19,878 Tenet Healthcare Corp. (NON) 1,167,236 .......................................................................................................................... 70,794 Triad Hospitals, Inc. (NON) 2,077,804 .......................................................................................................................... 61,741 Trigon Healthcare, Inc. (NON) 4,287,912 .......................................................................................................................... 133,124 UnitedHealth Group, Inc. 9,421,185 .......................................................................................................................... 800 Wellpoint Health Networks, Inc. (NON) 93,480 - -------------------------------------------------------------------------------------------------------------------------- 70,264,900 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (8.0%) .......................................................................................................................... 49,008 Apogent Technologies, Inc. (NON) 1,264,406 .......................................................................................................................... 91,200 Baxter International, Inc. (NON) 4,891,056 .......................................................................................................................... 110,356 Charles River Laboratories International, Inc. (NON) 3,694,719 .......................................................................................................................... 75,208 Cytyc Corp. (NON) 1,962,929 .......................................................................................................................... 40,100 Guidant Corp. (NON) 1,996,980 .......................................................................................................................... 325,307 Medtronic, Inc. 16,658,971 .......................................................................................................................... 809 ResMed, Inc. (NON) 43,621 .......................................................................................................................... 94,700 Respironics, Inc. (NON) 3,280,408 .......................................................................................................................... 60,200 Serologicals Corp. (NON) 1,294,300 .......................................................................................................................... 36,060 Stryker Corp. 2,104,822 .......................................................................................................................... 12,748 Zimmer Holdings, Inc. (NON) (SEG) 389,324 - -------------------------------------------------------------------------------------------------------------------------- 37,581,536 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (63.1%) .......................................................................................................................... 247,282 Abbott Laboratories 13,785,972 .......................................................................................................................... 46,550 Alkermes, Inc. (NON) 1,227,058 .......................................................................................................................... 127,926 Allergan, Inc. 9,600,846 .......................................................................................................................... 328,955 American Home Products Corp. 20,184,679 .......................................................................................................................... 18,542 Andrx Group (NON) 1,305,542 .......................................................................................................................... 22,919 Angiotech Pharmaceuticals, Inc. (Canada) (NON) 1,277,047 .......................................................................................................................... 406,938 AstraZeneca PLC ADR (United Kingdom) 18,963,311 .......................................................................................................................... 103,235 Aventis SA (France) 7,329,009 .......................................................................................................................... 35,146 Barr Laboratories, Inc. (NON) 2,789,187 .......................................................................................................................... 351,100 Bristol-Myers Squibb Co. (SEG) 17,906,100 .......................................................................................................................... 700 Cephalon, Inc. (NON) 52,910 .......................................................................................................................... 96,000 Daiichi Pharmaceutical Co., Ltd. (Japan) 1,868,203 .......................................................................................................................... 104,092 Elan Corp. PLC ADR (Ireland) (NON) 4,690,386 .......................................................................................................................... 4,400 Forest Laboratories, Inc. (NON) 360,580 .......................................................................................................................... 424,388 GlaxoSmithKline PLC ADR (United Kingdom) 21,143,010 .......................................................................................................................... 4,900 Inhale Therapeutic Systems, Inc. (NON) 90,895 .......................................................................................................................... 522,143 Johnson & Johnson 30,858,650 .......................................................................................................................... 58,438 King Pharmaceuticals, Inc. (NON) 2,461,993 .......................................................................................................................... 168,070 Lilly (Eli) & Co. 13,200,218 .......................................................................................................................... 407,926 Merck & Co., Inc. 23,986,049 .......................................................................................................................... 278,602 Novartis AG (Switzerland) 10,074,807 .......................................................................................................................... 889,590 Pfizer, Inc. 35,450,162 .......................................................................................................................... 486,505 Pharmacia Corp. 20,749,438 .......................................................................................................................... 3,182 Roche Holdings AG (Switzerland) 227,258 .......................................................................................................................... 32,000 Sankyo Co., Ltd. (Japan) 548,250 .......................................................................................................................... 74,878 Sanofi-Synthelabo SA (France) 5,585,806 .......................................................................................................................... 591,478 Schering-Plough Corp. 21,180,827 .......................................................................................................................... 2,936 Sepracor, Inc. (NON) 167,528 .......................................................................................................................... 113,114 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 4,139,972 .......................................................................................................................... 38,900 Taisho Pharmaceutical Co., Ltd. (Japan) 611,547 .......................................................................................................................... 105,000 Takeda Chemical Industries (Japan) 4,751,784 .......................................................................................................................... 1,653 Teva Pharmaceutical Industries, Ltd. ADR (Israel) 101,874 - -------------------------------------------------------------------------------------------------------------------------- 296,670,898 - -------------------------------------------------------------------------------------------------------------------------- Retail (0.4%) .......................................................................................................................... 40,642 CVS Corp. 1,203,003 .......................................................................................................................... 121,394 Rite Aid Corp. (NON) 614,254 - -------------------------------------------------------------------------------------------------------------------------- 1,817,257 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $413,091,707) $454,543,737 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (6.4%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $13,758,979 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $13,768,198 .......................................................................................................................... 16,245,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $16,246,625 for an effective yield of 1.80% 16,245,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $30,013,198) $30,013,198 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $443,104,905) (b) $484,556,935 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ............................................................................. S&P 500 Index (Long) $6,607,900 $6,510,518 Mar-02 $97,382 - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT High Yield Fund The fund's portfolio December 31, 2001 CORPORATE BONDS AND NOTES (81.4%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. Advertising and Marketing Services (0.6%) .................................................................................................. $1,060,000 Adams Outdoor Advertising bank term loan FRN Ser. B, 5.41s, 2008 (acquired 8/1/01, cost $1,058,675) (RES) $1,063,313 .................................................................................................. 1,819,984 Interact Operating Co. notes 14s, 2003 (PIK) 182 .................................................................................................. 1,000,000 Lamar advertising Co. Structured Notes 5 1/4s, 2006 (issued by Counts Trust, Series 2001-1) 1,010,000 .................................................................................................. 500,000 Lamar Advertising Co. Structured Notes 5 1/4s, 2006 (Issued by Counts Trust, Series 2001-6) 507,500 .................................................................................................. 1,420,000 Lamar Media Corp. sr. sub. notes 9 1/4s, 2007 1,483,900 - -------------------------------------------------------------------------------------------------- 4,064,895 - -------------------------------------------------------------------------------------------------- Agriculture (0.3%) .................................................................................................. 2,340,000 Premium Standard Farms, Inc. sr. notes 9 1/4s, 2011 2,392,650 - -------------------------------------------------------------------------------------------------- Automotive (2.4%) .................................................................................................. 1,721,000 Aftermarket Technology Corp. sr. sub. notes 12s, 2004 1,755,420 .................................................................................................. 90,000 Aftermarket Technology Corp. sr. sub. notes Ser. D, 12s, 2004 91,800 .................................................................................................. 1,720,000 Autonation, Inc. 144A sr. notes 9s, 2008 1,754,400 .................................................................................................. 570,000 Collins & Aikman Products, Inc. company guaranty 11 1/2s, 2006 550,050 .................................................................................................. 1,270,000 Collins & Aikman Products, Inc. 144A sr. notes 10 3/4s, 2011 1,282,700 .................................................................................................. 200,000 Dana Corp. notes 7s, 2029 136,000 .................................................................................................. 990,000 Dana Corp. notes 6 1/4s, 2004 900,900 .................................................................................................. 2,650,000 Dana Corp. 144A sr. notes 9s, 2011 2,438,000 .................................................................................................. 360,000 Delco Remy International, Inc. company guaranty 11s, 2009 367,200 .................................................................................................. 50,000 Delco Remy International, Inc. company guaranty 10 5/8s, 2006 49,250 .................................................................................................. 3,340,000 Dura Operating Corp. company guaranty Ser. D, 9s, 2009 3,106,200 .................................................................................................. 1,126,000 Exide Corp. sr. notes 10s, 2005 326,540 .................................................................................................. 900,000 Federal Mogul Corp. notes 7 7/8s, 2010 (In default) (NON) 110,250 .................................................................................................. 510,000 Federal Mogul Corp. notes 7 3/4s, 2006 (In default) (NON) 62,475 .................................................................................................. 820,000 Federal Mogul Corp. notes 7 3/8s, 2006 (In default) (NON) 100,450 .................................................................................................. 580,000 Hayes Lemmerz International, Inc. 144A company guaranty 11 7/8s, 2006 (In default) (NON) 272,600 .................................................................................................. 750,000 Hayes Lemmerz International, Inc. company guaranty Ser. B, 9 1/8s, 2007 (In default) (NON) 37,500 .................................................................................................. 630,000 Lear Corp. company guaranty Ser. B, 8.11s, 2009 644,622 .................................................................................................. 800,000 Lear Corp. company guaranty Ser. B, 7.96s, 2005 808,776 .................................................................................................. 1,600,000 Lear Corp. Structured Notes (issued by STEERS Credit Linked Trust 2001) 8.46s, 2006 1,632,000 .................................................................................................. 1,610,000 Oxford Automotive, Inc. company guaranty Ser. D, 10 1/8s, 2007 241,500 .................................................................................................. 1,050,000 Talon Automotive Group sr. sub. notes Ser. B, 9 5/8s, 2008 (In default) (NON) 21,000 .................................................................................................. 940,000 Tenneco, Inc. company guaranty 11 5/8s, 2009 470,000 .................................................................................................. 250,000 Venture Holdings Trust 144A sr. notes Ser. B, 9 1/2s, 2005 187,500 - -------------------------------------------------------------------------------------------------- 17,347,133 - -------------------------------------------------------------------------------------------------- Beverage (0.2%) .................................................................................................. 260,000 Constellation Brands, Inc. company guaranty 8 1/2s, 2009 262,600 .................................................................................................. 1,170,000 Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008 1,175,850 - -------------------------------------------------------------------------------------------------- 1,438,450 - -------------------------------------------------------------------------------------------------- Broadcasting (6.0%) .................................................................................................. 1,945,000 Acme Television company guaranty 10 7/8s, 2004 1,867,200 .................................................................................................. 440,000 Allbritton Communications Co. sr. sub. notes Ser. B, 8 7/8s, 2008 448,800 .................................................................................................. 1,558,300 AMFM Operating, Inc. deb. 12 5/8s, 2006 (PIK) 1,663,485 .................................................................................................. 1,060,000 Belo Corp. sr. notes 7 1/8s, 2007 1,047,375 .................................................................................................. 730,000 Belo Corp. sr. unsub. notes 8s, 2008 742,417 .................................................................................................. 1,190,000 Benedek Communications Corp. sr. disc. notes 13 1/4s, 2006 (In default) (NON) 844,900 .................................................................................................. 830,000 British Sky Broadcasting PLC company guaranty 8.2s, 2009 (United Kingdom) 857,232 .................................................................................................. 2,030,000 British Sky Broadcasting PLC company guaranty 6 7/8s, 2009 (United Kingdom) 1,947,826 .................................................................................................. 1,900,000 Chancellor Media Corp. company guaranty 8s, 2008 1,976,000 .................................................................................................. 8,747,000 Diva Systems Corp. sr. disc. notes stepped-coupon Ser. B, zero % (12 5/8s, 3/1/03), 2008 (STP) 1,399,520 .................................................................................................. 7,250,000 Echostar Broadband Corp. sr. notes 10 3/8s, 2007 7,576,250 .................................................................................................. 1,040,000 Echostar DBS Corp. sr. notes 9 3/8s, 2009 1,066,000 .................................................................................................. 1,640,000 Echostar DBS Corp. 144A sr. notes 9 1/8s, 2009 1,644,100 .................................................................................................. 800,000 Emmis Communications Corp. sr. disc. notes stepped-coupon zero % (12 1/2s, 3/15/06), 2011 (STP) 464,000 .................................................................................................. 1,360,000 Fox Family Worldwide, Inc. sr. disc. notes stepped-coupon zero % (10 1/4s, 11/1/02), 2007 (STP) 1,360,000 .................................................................................................. 2,945,000 Fox Family Worldwide, Inc. sr. notes 9 1/4s, 2007 3,210,050 .................................................................................................. 690,000 Fox/Liberty Networks, LLC sr. notes 8 7/8s, 2007 717,600 .................................................................................................. 210,000 Granite Broadcasting Corp. sr. sub. notes 9 3/8s, 2005 161,700 .................................................................................................. 1,010,000 Granite Broadcasting Corp. sr. sub. notes 8 7/8s, 2008 808,000 .................................................................................................. 130,000 Knology Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 7/8s, 10/15/02), 2007 (STP) 58,338 .................................................................................................. 630,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 403,200 .................................................................................................. 230,000 LIN Holdings Corp. sr. disc. notes stepped-coupon zero % (10s, 3/1/03), 2008 (STP) 128,800 .................................................................................................. 1,950,000 LIN Television Corp. company guaranty 8 3/8s, 2008 1,842,750 .................................................................................................. 280,000 Pegasus Communications Corp. sr. notes 12 1/2s, 2007 274,400 .................................................................................................. 70,000 Pegasus Communications Corp. sr. notes Ser. B, 9 3/4s, 2006 63,000 .................................................................................................. 1,380,000 Pegasus Satellite sr. notes 12 3/8s, 2006 1,380,000 .................................................................................................. 3,812,908 Quorum Broadcast Holdings, LLC notes stepped-coupon zero % (15s, 5/15/06), 2009 (STP) (acquired 5/15/01, cost $1,515,122) (RES) 1,515,250 .................................................................................................. 675,000 RCN Corp. sr. disc. notes stepped-coupon Ser. B, zero % (9.8s, 2/15/03), 2008 (STP) 181,406 .................................................................................................. 310,000 Sinclair Broadcast Group, Inc. company guaranty 9s, 2007 311,550 .................................................................................................. 530,000 Sinclair Broadcast Group, Inc. sr. sub. notes 10s, 2005 547,225 .................................................................................................. 1,370,000 Sinclair Broadcast Group, Inc. sr. sub. notes 8 3/4s, 2007 1,366,575 .................................................................................................. 710,000 Sinclair Broadcast Group, Inc. 144A sr. sub. notes 8 3/4s, 2011 710,000 .................................................................................................. 1,380,000 XM Satellite Radio Holdings, Inc. sec. notes 14s, 2010 1,069,500 .................................................................................................. 3,280,000 Young Broadcasting, Inc. company guaranty 10s, 2011 3,066,800 .................................................................................................. 370,000 Young Broadcasting, Inc. company guaranty Ser. B, 8 3/4s, 2007 337,625 - -------------------------------------------------------------------------------------------------- 43,058,874 - -------------------------------------------------------------------------------------------------- Building Materials (0.9%) .................................................................................................. 214,000 American Standard Companies, Inc. company guaranty 7 5/8s, 2010 214,000 .................................................................................................. 2,332,000 American Standard Companies, Inc. company guaranty 7 3/8s, 2005 2,390,300 .................................................................................................. 560,000 Atrium Companies, Inc. company guaranty Ser. B, 10 1/2s, 2009 515,200 .................................................................................................. 640,000 Building Materials Corp. company guaranty 8s, 2008 476,800 .................................................................................................. 1,310,000 Dayton Superior Corp. company guaranty 13s, 2009 1,349,300 .................................................................................................. 730,000 Nortek, Inc. sr. notes Ser. B, 8 7/8s, 2008 722,700 .................................................................................................. 120,000 Nortek, Inc. sr. sub. notes Ser. B, 9 7/8s, 2011 118,800 .................................................................................................. 305,000 Nortek, Inc. 144A sr. notes Ser. B, 9 1/8s, 2007 310,338 - -------------------------------------------------------------------------------------------------- 6,097,438 - -------------------------------------------------------------------------------------------------- Cable Television (4.9%) .................................................................................................. 930,000 Adelphia Communications Corp. sr. notes 10 7/8s, 2010 939,300 .................................................................................................. 3,510,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2011 3,492,450 .................................................................................................. 690,000 Adelphia Communications Corp. sr. notes 10 1/4s, 2006 700,350 .................................................................................................. 920,000 Adelphia Communications Corp. sr. notes 7 7/8s, 2009 832,600 .................................................................................................. 4,385,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 4,297,300 .................................................................................................. 750,000 Adelphia Communications Corp. sr. notes Ser. B, 7 3/4s, 2009 677,813 .................................................................................................. 320,000 Adelphia Communications Corp. Structured Notes 10.9s, 2006 (issued by STEERS Credit Linked Trust 2001) 312,000 .................................................................................................. 610,000 Century Communications Corp. sr. notes 8 3/8s, 2007 570,350 .................................................................................................. 3,290,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP) 2,023,350 .................................................................................................. 1,220,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (9.92s, 4/1/04), 2011 (STP) 878,400 .................................................................................................. 1,610,000 Charter Communications Holdings, LLC sr. disc. notes stepped-coupon zero % (13 1/2s, 1/15/06), 2011 (STP) 1,050,525 .................................................................................................. 3,870,000 Charter Communications Holdings, LLC sr. notes 11 1/8s, 2011 4,102,200 .................................................................................................. 340,000 Charter Communications Holdings, LLC sr. notes 10 3/4s, 2009 355,300 .................................................................................................. 280,000 Charter Communications Holdings, LLC sr. notes 10s, 2009 285,600 .................................................................................................. 2,380,000 Charter Communications Holdings, LLC sr. notes 8 5/8s, 2009 2,272,900 .................................................................................................. 370,000 Charter Communications Holdings, LLC sr. notes 8 1/4s, 2007 353,350 .................................................................................................. 2,510,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 2,660,600 .................................................................................................. 2,300,000 Diamond Cable Communication PLC sr. disc. notes stepped-coupon zero % (10 3/4s, 2/15/02), 2007 (United Kingdom) (STP) 701,500 .................................................................................................. 1,500,000 Diamond Cable Communications PLC sr. disc. notes 13 1/4s, 2004 (United Kingdom) 405,000 .................................................................................................. 885,000 Diamond Cable Communications PLC sr. disc. notes stepped-coupon zero % (13 7/8s, 12/15/00), 2005 (United Kingdom) (STP) 261,075 .................................................................................................. 1,890,000 Insight Communications Company, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 2/15/06), 2011 (STP) 1,105,650 .................................................................................................. 990,000 Insight Midwest LP/Insight Capital, Inc. sr. notes 10 1/2s, 2010 1,066,725 .................................................................................................. 990,000 International Cabletel, Inc. sr. disc. notes 11 1/2s, 2006 316,800 .................................................................................................. 1,360,000 NTL Communications Corp. sr. notes Ser. B, 11 7/8s, 2010 442,000 .................................................................................................. 170,000 NTL Communications Corp. sr. notes stepped-coupon Ser. B, zero % (12 3/8s, 10/1/03), 2008 (STP) 42,075 .................................................................................................. 1,060,000 ONO Finance PLC sr. notes 13s, 2009 (United Kingdom) 837,400 .................................................................................................. 388,000 Rogers Cablesystems, Ltd. deb. 10 1/8s, 2012 (Canada) 409,340 .................................................................................................. 250,000 Rogers Cablesystems, Ltd. notes 11s, 2015 (Canada) 268,750 .................................................................................................. 230,000 Rogers Cablesystems, Ltd. sr. notes Ser. B, 10s, 2005 (Canada) 248,400 .................................................................................................. 1,310,000 Rogers Cablesystems, Ltd. sr. sub. notes 8.8s, 2007 (Canada) 1,264,150 .................................................................................................. 1,930,000 Supercanal Holdings SA 144A sr. notes 11 1/2s, 2005 (Argentina) (In default) (NON) 38,600 .................................................................................................. 200,000 TeleWest Communications PLC deb. 9 5/8s, 2006 (United Kingdom) 139,000 .................................................................................................. 590,000 TeleWest Communications PLC Structured Notes 10 7/8s, 2005 (issued by DLJ International Capital) (United Kingdom) 433,414 .................................................................................................. 3,295,000 United Pan-Europe NV sr. disc. notes 12 1/2s, 2009 (Netherlands) 329,500 .................................................................................................. 8,490,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (13 3/4s, 2/1/05), 2010 (Netherlands) (STP) 849,000 .................................................................................................. 770,000 United Pan-Europe NV sr. disc. notes stepped-coupon zero % (12 1/2s, 8/1/04), 2009 (Netherlands) (STP) 77,000 - -------------------------------------------------------------------------------------------------- 35,039,767 - -------------------------------------------------------------------------------------------------- Capital Goods (5.7%) .................................................................................................. 1,730,000 AEP Industries, Inc. sr. sub. notes 9 7/8s, 2007 1,634,850 .................................................................................................. 10,140,000 Allied Waste Industries, Inc. company guaranty Ser. B, 10s, 2009 10,393,500 .................................................................................................. 1,660,000 Allied Waste North America, Inc. 144A Structured Notes (Issued by Credit and Repackaged Securities) 8.2s, 2006 (Cayman Islands) 1,616,425 .................................................................................................. 370,000 Applied Extrusion Technologies, Inc. company guaranty Ser. B, 10 3/4s, 2011 391,275 .................................................................................................. 1,640,000 Argo-Tech Corp. company guaranty Ser. D, 8 5/8s, 2007 1,049,600 .................................................................................................. 1,130,000 Argo-Tech Corp. 144A company guaranty 8 5/8s, 2007 723,200 .................................................................................................. 1,510,000 BE Aerospace, Inc. sr. sub. notes 9 1/2s, 2008 1,309,925 .................................................................................................. 1,780,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 1,490,750 .................................................................................................. 3,080,000 Blount, Inc. company guaranty 13s, 2009 1,370,600 .................................................................................................. 390,000 Browning-Ferris deb. 7.4s, 2035 312,000 .................................................................................................. 90,000 Case Corp. notes 7 1/4s, 2016 70,200 .................................................................................................. 300,000 Case Corp. notes 7 1/4s, 2005 261,000 .................................................................................................. 1,930,000 Decrane Aircraft Holdings Co. company guaranty Ser. B, 12s, 2008 1,804,550 .................................................................................................. 214,544 Flowserve Corp. bank term loan FRN 5.793s, 2006 (acquired 10/24/01, cost $214,678) (RES) 214,634 .................................................................................................. 1,363,000 Flowserve Corp. company guaranty 12 1/4s, 2010 1,526,560 .................................................................................................. 1,880,000 Insilco Holding Co. sr. disc. notes stepped-coupon zero % (14s, 8/15/03), 2008 (STP) 282,000 .................................................................................................. 690,000 L-3 Communications Corp. company guaranty Ser. B, 8s, 2008 714,150 .................................................................................................. 1,660,000 L-3 Communications Corp. sr. sub. notes Ser. B, 10 3/8s, 2007 1,776,200 .................................................................................................. 860,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 875,050 .................................................................................................. 2,325,000 Motors and Gears, Inc. sr. notes Ser. D, 10 3/4s, 2006 2,022,750 .................................................................................................. 90,000 Owens-Illinois, Inc. deb. 7.8s, 2018 75,600 .................................................................................................. 570,000 Owens-Illinois, Inc. deb. 7 1/2s, 2010 504,450 .................................................................................................. 1,120,000 Owens-Illinois, Inc. sr. notes 7.35s, 2008 991,200 .................................................................................................. 120,000 Owens-Illinois, Inc. sr. notes 7.15s, 2005 108,600 .................................................................................................. 850,000 Pliant Corp. company guaranty 13s, 2010 886,125 .................................................................................................. 1,370,000 Roller Bearing Company of America company guaranty Ser. B, 9 5/8s, 2007 1,198,750 .................................................................................................. 1,360,000 Sequa Corp. sr. notes 9s, 2009 1,251,200 .................................................................................................. 2,340,000 Sequa Corp. sr. notes Ser. B, 8 7/8s, 2008 2,152,800 .................................................................................................. 2,100,000 Tekni-Plex, Inc. company guaranty Ser. B, 12 3/4s, 2010 2,068,500 .................................................................................................. 740,000 Terex Corp. company guaranty 8 7/8s, 2008 739,075 .................................................................................................. 910,000 U.S. Can Corp. company guaranty Ser. B, 12 3/8s, 2010 482,300 - -------------------------------------------------------------------------------------------------- 40,297,819 - -------------------------------------------------------------------------------------------------- Chemicals (5.3%) .................................................................................................. 1,660,000 Acetex Corp. sr. notes 10 7/8s, 2009 (Canada) 1,651,700 .................................................................................................. 550,000 Airgas, Inc. company guaranty 9 1/8s, 2011 580,250 .................................................................................................. 530,000 Avecia Group PLC company guaranty 11s, 2009 (United Kingdom) 503,500 .................................................................................................. 1,220,000 Compass Minerals Group, Inc. 144A sr. sub. notes 10s, 2011 1,265,750 .................................................................................................. 3,550,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 3,585,500 .................................................................................................. 520,000 Ferro Corp. sr. notes 9 1/8s, 2009 522,600 .................................................................................................. 320,000 Georgia Gulf Corp. company guaranty 10 3/8s, 2007 334,400 .................................................................................................. 3,600,000 Hercules, Inc. company guaranty 11 1/8s, 2007 3,708,000 .................................................................................................. 1,150,000 Huntsman Corp. 144A sr. sub. notes 9 1/2s, 2007 215,625 .................................................................................................. 1,450,000 Huntsman Corp. 144A sr. sub. notes FRN 5.231s, 2007 275,500 .................................................................................................. 4,100,000 Huntsman ICI Chemicals, Inc. company guaranty 10 1/8s, 2009 3,895,000 .................................................................................................. 1,460,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 1,558,871 .................................................................................................. 2,700,000 ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011 2,835,000 .................................................................................................. 1,080,000 ISP Chemco, Inc. 144A sr. sub. notes 10 1/4s, 2011 1,134,000 .................................................................................................. 430,000 ISP Holdings, Inc. sr. notes Ser. B, 9s, 2003 436,450 .................................................................................................. 610,000 Lyondell Chemical Co. 144A sec. notes 9 1/2s, 2008 599,325 .................................................................................................. 1,550,000 Lyondell Petrochemical Co. notes Ser. A, 9 5/8s, 2007 1,557,750 .................................................................................................. 2,660,000 Lyondell Petrochemical Co. sec. notes Ser. B, 9 7/8s, 2007 2,653,350 .................................................................................................. 2,100,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 2,163,000 .................................................................................................. 750,000 Noveon, Inc. company guaranty Ser. B, 11s, 2011 780,000 .................................................................................................. 1,140,000 OM Group, Inc. 144A sr. sub. notes 9 1/4s, 2011 1,151,400 .................................................................................................. 5,130,000 PCI Chemicals & Pharmaceuticals company guaranty 9 1/4s, 2007 (Canada) (In default) (NON) 2,052,000 .................................................................................................. 967,500 Pioneer Americas Acquisition bank term loan FRN 6s, 2006 (acquired 1/12/00, cost $793,350) (RES) 241,875 .................................................................................................. 1,360,000 Pioneer Americas Acquisition company guaranty 9 1/4s, 2007 (In default) (NON) 380,800 .................................................................................................. 100,000 Polymer Group, Inc. company guaranty Ser. B, 9s, 2007 29,000 .................................................................................................. 610,000 Polymer Group, Inc. company guaranty Ser. B, 8 3/4s, 2008 179,950 .................................................................................................. 2,200,000 Royster-Clark, Inc. 1st mtge. 10 1/4s, 2009 1,430,000 .................................................................................................. 2,040,000 Sterling Chemicals Holdings sr. disc. notes 13 1/2s, 2008 (In default) (NON) 18,340 .................................................................................................. 1,710,000 Sterling Chemicals, Inc. company guaranty Ser. B, 12 3/8s, 2006 (In default) (NON) 1,436,400 .................................................................................................. 420,000 Texas Petrochemical Corp. sr. sub. notes Ser. B, 11 1/8s, 2006 344,400 - -------------------------------------------------------------------------------------------------- 37,519,736 - -------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.4%) .................................................................................................. 2,480,000 Coinmach Corp. sr. notes Ser. D, 11 3/4s, 2005 2,560,600 - -------------------------------------------------------------------------------------------------- Communication Services (8.2%) .................................................................................................. 2,060,000 360Networks, Inc. sr. notes 13s, 2008 (Canada) (In default) (NON) 20,600 .................................................................................................. 360,000 Airgate PCS, Inc. sr. sub. notes stepped-coupon zero % (13 1/2s, 10/1/04), 2009 (STP) 271,800 .................................................................................................. 1,030,000 Alamosa Delaware, Inc. company guaranty 13 5/8s, 2011 1,081,500 .................................................................................................. 220,000 Alamosa Delaware, Inc. company guaranty 12 1/2s, 2011 226,600 .................................................................................................. 660,000 Alamosa PCS Holdings, Inc. company guaranty stepped-coupon zero % (12 7/8s, 2/15/05), 2010 (STP) 402,600 .................................................................................................. 527,838 American Cellular Corp. bank term loan FRN 5 3/4s, 2009 (acquired 2/29/00, cost $526,511) (RES) 516,802 .................................................................................................. 464,012 American Cellular Corp. bank term loan FRN 5 1/2s, 2008 (acquired 2/29/00, cost $464,011) (RES) 454,310 .................................................................................................. 2,100,000 American Cellular Corp. company guaranty 9 1/2s, 2009 2,058,000 .................................................................................................. 2,630,000 American Tower Corp. sr. notes 9 3/8s, 2009 2,084,275 .................................................................................................. 1,300,000 American Tower Corp. Structured Notes (issued by STEERS Credit Linked Trust 2000) 9.95s, 2006 1,144,000 .................................................................................................. 240,000 Arch Communications, Inc. sr. notes 13 3/4s, 2008 (In default) (NON) 1,500 .................................................................................................. 130,000 Arch Communications, Inc. sr. notes 13s, 2007 (In default) (NON) 1,300 .................................................................................................. 450,000 Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) 157,500 .................................................................................................. 370,000 AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 394,383 .................................................................................................. 1,660,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 332,000 .................................................................................................. 1,300,000 Call-Net Enterprises, Inc. sr. notes 8s, 2008 (Canada) 416,000 .................................................................................................. 1,170,000 Celcaribe SA sr. notes 13 1/2s, 2004 (Colombia) 702,000 .................................................................................................. 1,210,000 Colo.com, Inc. 144A sr. notes 13 7/8s, 2010 (In default) (NON) 193,600 .................................................................................................. 1,030,000 Crown Castle International Corp. sr. notes 10 3/4s, 2011 1,004,250 .................................................................................................. 2,030,000 Crown Castle International Corp. sr. notes 9 3/8s, 2011 1,867,600 .................................................................................................. 1,390,000 Dobson/Sygnet Communications, Inc. sr. notes 12 1/4s, 2008 1,473,400 .................................................................................................. 1,330,000 Econophone, Inc. company guaranty 13 1/2s, 2007 (In default) (NON) 26,600 .................................................................................................. 520,000 FLAG Telecom Holdings, Ltd. sr. notes 11 5/8s, 2010 (Bermuda) 223,600 .................................................................................................. 920,000 Flag, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) 625,600 .................................................................................................. 280,000 Global Crossing Holdings, Ltd. company guaranty 9 5/8s, 2008 (Bermuda) 28,000 .................................................................................................. 280,000 Global Crossing Holdings, Ltd. company guaranty 9 1/2s, 2009 (Bermuda) 28,000 .................................................................................................. 270,000 Global Crossing Holdings, Ltd. company guaranty 9 1/8s, 2006 (Bermuda) 27,000 .................................................................................................. 3,210,000 Global Crossing Holdings, Ltd. company guaranty 8.7s, 2007 (Bermuda) 272,850 .................................................................................................. 2,090,000 Horizon PCS, Inc. company guaranty stepped-coupon zero % (14s, 10/1/05), 2010 (STP) 1,086,800 .................................................................................................. 660,000 Horizon PCS, Inc. 144A sr. notes 13 3/4s, 2011 653,400 .................................................................................................. 270,000 Hyperion Telecommunications Corp., Inc. sr. disc. notes Ser. B, zero %, 2003 8,775 .................................................................................................. 2,300,000 Hyperion Telecommunications Corp., Inc. sr. sub. notes 12s, 2007 92,000 .................................................................................................. 1,200,000 ICG Holdings, Inc. sr. sub. notes zero % 2005 84,000 .................................................................................................. 7,180,000 ICG Services, Inc. sr. disc. notes stepped-coupon zero % (10s, 2/15/03), 2008 (STP) 565,425 .................................................................................................. 370,000 Intermedia Communications, Inc. sr. notes Ser. B, 8 1/2s, 2008 373,700 .................................................................................................. 1,160,000 Intermedia Communications, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (12 1/4s, 3/1/04), 2009 (STP) 1,032,400 .................................................................................................. 2,030,000 iPCS, Inc. sr. disc. notes stepped-coupon zero % (14s, 7/15/05), 2010 (STP) 1,349,950 .................................................................................................. 1,490,000 IWO Holdings, Inc. company guaranty 14s, 2011 1,564,500 .................................................................................................. 4,264,000 KMC Telecommunications Holdings, Inc. sr. disc. notes stepped-coupon zero % (12 1/2s, 2/15/03), 2008 (STP) 127,920 .................................................................................................. 900,000 Leap Wireless International, Inc. company guaranty 12 1/2s, 2010 684,000 .................................................................................................. 780,000 Leap Wireless International, Inc. company guaranty stepped-coupon zero % (14 1/2s, 4/15/05), 2010 (STP) 284,700 .................................................................................................. 218,000 Level 3 Communications, Inc. sr. disc. notes stepped-coupon zero % (10 1/2s, 12/1/03), 2008 (STP) 68,125 .................................................................................................. 1,000,000 Level 3 Communications, Inc. Structured Notes 8.82s, 2009 (Issued by Counts, Trust Series 2001) 1,020,000 .................................................................................................. 1,160,000 Madison River Capital Corp. sr. notes 13 1/4s, 2010 835,200 .................................................................................................. 2,690,000 McCaw International, Ltd. sr. disc. notes stepped-coupon zero % (13s, 4/15/02), 2007 (STP) 134,500 .................................................................................................. 170,000 McLeodUSA, Inc. sr. disc. notes stepped-coupon zero % (10 1/2s, 3/1/02), 2007 (STP) 34,850 .................................................................................................. 1,660,000 McLeodUSA, Inc. sr. notes 11 3/8s, 2009 381,800 .................................................................................................. 540,000 McLeodUSA, Inc. sr. notes 9 1/2s, 2008 116,100 .................................................................................................. 190,000 McLeodUSA, Inc. sr. notes 8 3/8s, 2008 40,850 .................................................................................................. 870,000 McLeodUSA, Inc. sr. notes 8 1/8s, 2009 187,050 .................................................................................................. 450,000 Metrocall, Inc. sr. sub. notes 11s, 2008 (In default) (NON) 4,500 .................................................................................................. 210,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 (In default) (NON) 2,100 .................................................................................................. 525,000 Metrocall, Inc. sr. sub. notes 9 3/4s, 2007 (In default) (NON) 5,250 .................................................................................................. 2,740,000 Metromedia Fiber Network, Inc. sr. notes Ser. B, 10s, 2008 808,300 .................................................................................................. 1,180,000 Microcell Telecommunications sr. disc. notes Ser B, 14s, 2006 (Canada) 1,014,800 .................................................................................................. 1,152,000 Millicom International Cellular SA sr. disc. notes 13 1/2s, 2006 (Luxembourg) 760,320 .................................................................................................. 3,980,000 Nextel Communications, Inc. sr. notes 12s, 2008 3,472,550 .................................................................................................. 900,000 Nextel Communications, Inc. sr. notes 9 1/2s, 2011 697,500 .................................................................................................. 2,350,000 Nextel Partners, Inc. sr. notes 11s, 2010 1,903,500 .................................................................................................. 410,000 Nextel Partners, Inc. sr. notes 11s, 2010 332,100 .................................................................................................. 530,000 Nextlink Communications, Inc. sr. notes 9 5/8s, 2007 (In default) (NON) 62,938 .................................................................................................. 1,450,000 NorthEast Optic Network, Inc. sr. notes 12 3/4s, 2008 319,000 .................................................................................................. 1,990,000 Orbital Imaging Corp. sr. notes Ser. B, 11 5/8s, 2005 (In default) (NON) 398,000 .................................................................................................. 820,000 Orion Network Systems, Inc. sr. notes 11 1/4s, 2007 418,200 .................................................................................................. 2,210,000 Price Communications Wireless, Inc. 144A sr. notes 9 1/8s, 2006 2,314,975 .................................................................................................. 430,000 Rhythms Netconnections, Inc. sr. notes Ser. B, 14s, 2010 (In default) (NON) 25,800 .................................................................................................. 480,000 Rogers Wireless, Inc. sec. notes 9 5/8s, 2011 (Canada) 496,800 .................................................................................................. 20,000 RSL Communications PLC 144A company guaranty 10 1/2s, 2008 (United Kingdom) (In default) (NON) 675 .................................................................................................. 1,175,000 RSL Communications, Ltd. company guaranty 12 1/4s, 2006 (Bermuda) (In default) (NON) 39,656 .................................................................................................. 300,000 Rural Cellular Corp. sr. sub. notes Ser. B, 9 5/8s, 2008 303,000 .................................................................................................. 1,680,000 SBA Communications Corp. sr. notes 10 1/4s, 2009 1,419,600 .................................................................................................. 1,600,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 4/15/04), 2009 (STP) 440,000 .................................................................................................. 2,150,000 Spectrasite Holdings, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12 7/8s, 3/15/05), 2010 (STP) 526,750 .................................................................................................. 2,950,000 Startec Global Communications Corp. sr. notes 12s, 2008 (In default) (NON) 59,000 .................................................................................................. 610,000 Tele1 Europe B.V. sr. notes 13s, 2009 (Netherlands) 213,500 .................................................................................................. 2,220,000 Telecorp PCS, Inc. company guaranty 10 5/8s, 2010 2,575,200 .................................................................................................. 380,000 Telecorp PCS, Inc. company guaranty stepped-coupon zero % (11 5/8s, 4/15/04), 2009 (STP) 334,400 .................................................................................................. 790,000 Time Warner Telecom, Inc. sr. notes 9 3/4s, 2008 628,050 .................................................................................................. 1,970,000 Tritel PCS, Inc. company guaranty 10 3/8s, 2011 2,231,025 .................................................................................................. 260,000 Triton PCS, Inc. company guaranty 9 3/8s, 2011 267,800 .................................................................................................. 1,170,000 Triton PCS, Inc. 144A sr. sub. notes 8 3/4s, 2011 1,170,000 .................................................................................................. 3,450,000 UbiquiTel Operating Co. company guaranty stepped-coupon zero % (14s, 4/15/05), 2010 (STP) 1,845,750 .................................................................................................. 2,230,000 US UnWired, Inc. company guaranty stepped-coupon Ser. B, zero % (13 3/8s, 11/1/04), 2009 (STP) 1,605,600 .................................................................................................. 600,000 USA Mobile Communications, Inc. sr. notes 14s, 2004 (In default) (NON) 132,000 .................................................................................................. 410,000 USA Mobile Communications, Inc. sr. notes 9 1/2s, 2004 (In default) (NON) 20,500 .................................................................................................. 660,000 Versatel Telecom BV sr. notes 13 1/4s, 2008 (Netherlands) 231,000 .................................................................................................. 210,000 Versatel Telecom BV sr. notes 13 1/4s, 2008 (Netherlands) 73,500 .................................................................................................. 650,000 Versatel Telecom BV Structured Notes (issued by CRAVE Trust 2000) 15.065s, 2005 (Netherlands) 143,000 .................................................................................................. 8,590,000 Viatel, Inc. sr. disc. notes stepped-coupon zero % (12 1/2s, 4/15/03), 2008 (STP) 21,475 .................................................................................................. 1,360,000 WebLink Wireless, Inc. sr. disc. notes stepped-coupon zero % (11 1/4s, 2/1/03), 2008 (STP) 3,400 .................................................................................................. 3,000,000 Western Wireless Corp. bank term loan FRN 4.755s, 2008 (acquired 4/24/00, cost $3,000,000) (RES) 2,919,375 .................................................................................................. 1,730,000 Williams Communications Group, Inc. sr. notes 11 7/8s, 2010 739,575 .................................................................................................. 620,000 Williams Communications Group, Inc. sr. notes 11.7s, 2008 254,200 .................................................................................................. 340,000 Williams Communications Group, Inc. sr. notes 10.7s, 2007 145,350 .................................................................................................. 7,228,000 WinStar Communications, Inc. sr. disc. notes stepped-coupon zero % (14 3/4s, 4/15/05), 2010 (STP) 36,140 .................................................................................................. 1,820,000 WinStar Communications, Inc. sr. notes 12 3/4s, 2010 (In default) (NON) 9,100 .................................................................................................. 300,000 WinStar Communications, Inc. sr. notes 12 1/2s, 2008 (In default) (NON) 1,500 .................................................................................................. 1,870,000 World Access, Inc. sr. notes Ser. B, 13 1/4s, 2008 (In default) (NON) 18,700 .................................................................................................. 2,050,000 XO Communications, Inc. sr. disc. notes stepped-coupon zero % (9.45s, 4/15/03), 2008 (STP) 181,938 - -------------------------------------------------------------------------------------------------- 58,389,107 - -------------------------------------------------------------------------------------------------- Construction (0.3%) .................................................................................................. 2,400,000 Better Minerals & Aggregates Co. company guaranty 13s, 2009 2,040,000 .................................................................................................. 1,720,000 Morrison Knudsen Corp. 144A sr. notes 11s, 2010 (In default) (NON) 172,000 - -------------------------------------------------------------------------------------------------- 2,212,000 - -------------------------------------------------------------------------------------------------- Consumer (1.1%) .................................................................................................. 1,904,590 Derby Cycle Corp. (The) sr. notes 10s, 2008 (In default) (NON) 323,780 .................................................................................................. 2,154,000 Derby Cycle Corp. (The) sr. notes 9 3/8s, 2008 (In default) (NON) 196,080 .................................................................................................. 2,100,000 Jostens, Inc. sr. sub. notes 12 3/4s, 2010 2,331,000 .................................................................................................. 3,300,000 Samsonite Corp. sr. sub. notes 10 3/4s, 2008 2,310,000 .................................................................................................. 3,400,000 Sealy Corp. company guaranty stepped-coupon Ser. B, zero % (10 7/8s, 12/15/02), 2007 (STP) 2,907,000 - -------------------------------------------------------------------------------------------------- 8,067,860 - -------------------------------------------------------------------------------------------------- Consumer Goods (1.1%) .................................................................................................. 1,870,000 Albecca, Inc. company guaranty 10 3/4s, 2008 2,094,400 .................................................................................................. 760,000 Armkel, LLC/Armkel Finance 144A sr. sub. notes 9 1/2s, 2009 794,200 .................................................................................................. 1,380,000 French Fragrances, Inc. company guaranty Ser. D, 10 3/8s, 2007 1,311,000 .................................................................................................. 460,000 Home Interiors & Gifts, Inc. company guaranty 10 1/8s, 2008 340,400 .................................................................................................. 2,400,000 Leiner Health Products sr. sub. notes 9 5/8s, 2007 (In default) (NON) 333,000 .................................................................................................. 720,000 NBTY, Inc. sr. sub. notes Ser. B, 8 5/8s, 2007 694,800 .................................................................................................. 1,090,000 Playtex Products, Inc. company guaranty 9 3/8s, 2011 1,144,500 .................................................................................................. 780,000 Polaroid Corp. sr. notes 11 1/2s, 2006 (In default) (NON) 66,300 .................................................................................................. 160,000 Revlon Consumer Products sr. notes 9s, 2006 110,000 .................................................................................................. 1,630,000 Revlon Consumer Products sr. sub. notes 8 5/8s, 2008 753,875 - -------------------------------------------------------------------------------------------------- 7,642,475 - -------------------------------------------------------------------------------------------------- Consumer Services (0.1%) .................................................................................................. 580,000 United Rentals (North America), Inc. company guaranty Ser. B, 10 3/4s, 2008 620,600 - -------------------------------------------------------------------------------------------------- Consumer Staples (--%) .................................................................................................. 1,260,000 Doskocil Manufacturing Company, Inc. sr. sub. notes 10 1/8s, 2007 (In default) (NON) 151,200 - -------------------------------------------------------------------------------------------------- Energy (4.8%) .................................................................................................. 1,740,000 Belco Oil & Gas Corp. sr. sub. notes Ser. B, 8 7/8s, 2007 1,792,200 .................................................................................................. 1,110,000 BRL Universal Equipment sec. notes 8 7/8s, 2008 1,154,400 .................................................................................................. 110,000 BRL Universal Equipment 144A sec. notes 8 7/8s, 2008 114,400 .................................................................................................. 2,690,000 Chesapeake Energy Corp. company guaranty 8 1/8s, 2011 2,622,750 .................................................................................................. 730,000 Chesapeake Energy Corp. 144A sr. notes 8 3/8s, 2008 722,700 .................................................................................................. 740,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 747,400 .................................................................................................. 570,000 Forest Oil Corp. company guaranty 10 1/2s, 2006 608,475 .................................................................................................. 950,000 Forest Oil Corp. sr. notes 8s, 2008 952,375 .................................................................................................. 660,000 Forest Oil Corp. 144A sr. notes 8s, 2011 660,000 .................................................................................................. 580,000 Grant Prideco, Inc. company guaranty Ser. B, 9 5/8s, 2007 575,650 .................................................................................................. 130,000 Hanover Equipment Trust 144A sec. notes 8 3/4s, 2011 134,550 .................................................................................................. 690,000 Hanover Equipment Trust 144A sec. notes 8 1/2s, 2008 717,600 .................................................................................................. 690,000 Key Energy Services, Inc. company guaranty Ser. B, 8 3/8s, 2008 690,925 .................................................................................................. 1,235,000 Leviathan Gas Corp. company guaranty Ser. B, 10 3/8s, 2009 1,309,100 .................................................................................................. 1,380,000 Newfield Exploration Co. sr. notes 7 5/8s, 2011 1,385,175 .................................................................................................. 930,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 1/2s, 2008 868,388 .................................................................................................. 850,000 Nuevo Energy Co. sr. sub. notes Ser. B, 9 3/8s, 2010 793,688 .................................................................................................. 2,067,000 Ocean Energy, Inc. company guaranty Ser. B, 8 3/8s, 2008 2,162,123 .................................................................................................. 770,000 Parker & Parsley Co. sr. notes 8 1/4s, 2007 788,555 .................................................................................................. 1,380,000 Parker Drilling Corp. company guaranty Ser. D, 9 3/4s, 2006 1,366,200 .................................................................................................. 1,770,000 Pioneer Natural Resources Co. company guaranty 9 5/8s, 2010 1,960,275 .................................................................................................. 570,000 Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011 578,550 .................................................................................................. 250,000 Port Arthur Finance Corp. company guaranty 12 1/2s, 2009 255,000 .................................................................................................. 120,000 Pride International, Inc. sr. notes 10s, 2009 130,200 .................................................................................................. 1,430,000 Pride Petroleum Services, Inc. sr. notes 9 3/8s, 2007 1,492,563 .................................................................................................. 630,000 Seven Seas Petroleum, Inc. sr. notes Ser. B, 12 1/2s, 2005 371,700 .................................................................................................. 1,260,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 1,316,914 .................................................................................................. 2,280,000 Stone Energy Corp. company guaranty 8 3/4s, 2007 2,302,800 .................................................................................................. 100,000 Triton Energy, Ltd. sr. notes 9 1/4s, 2005 (Cayman Islands) 109,057 .................................................................................................. 790,000 Triton Energy, Ltd. sr. notes 8 7/8s, 2007 (Cayman Islands) 865,011 .................................................................................................. 2,130,000 Vintage Petroleum, Inc. sr. sub. notes 9 3/4s, 2009 2,273,775 .................................................................................................. 760,000 Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011 756,200 .................................................................................................. 700,000 Westport Resources Corp. 144A sr. sub. notes 8 1/4s, 2011 707,000 .................................................................................................. 490,000 XTO Energy, Inc. 144A sr. sub. notes Ser. B, 8 3/4s, 2009 512,663 - -------------------------------------------------------------------------------------------------- 33,798,362 - -------------------------------------------------------------------------------------------------- Entertainment (1.3%) .................................................................................................. 479,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2011 465,828 .................................................................................................. 190,000 AMC Entertainment, Inc. sr. sub. notes 9 1/2s, 2009 185,725 .................................................................................................. 1,695,000 Cinemark USA, Inc. sr. sub. notes Ser. B, 8 1/2s, 2008 1,559,400 .................................................................................................. 1,410,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 1,424,100 .................................................................................................. 1,206,150 Regal Cinemas, Inc. bank term loan FRN Ser. A, 5.75s, 2006 (acquired 3/4/01, cost $1,081,012) (RES) 1,257,411 .................................................................................................. 1,477,934 Regal Cinemas, Inc. bank term loan FRN Ser. B, 6s, 2006 (acquired 3/26/01, cost $1,325,671) (RES) 1,542,329 .................................................................................................. 1,000 Regal Cinemas, Inc. sr. sub. notes 8 7/8s, 2010 (In default) (NON) 188 .................................................................................................. 900,000 Silver Cinemas, Inc. sr. sub. notes 10 1/2s, 2005 (In default) (NON) 90 .................................................................................................. 2,450,000 Six Flags Entertainment Corp. company guaranty 8 7/8s, 2006 2,511,250 - -------------------------------------------------------------------------------------------------- 8,946,321 - -------------------------------------------------------------------------------------------------- Financial (3.6%) .................................................................................................. 2,545,000 Advanta Corp. 144A company guaranty Ser. B, 8.99s, 2026 1,425,200 .................................................................................................. 1,922,000 AMRESCO, Inc. sr. sub. notes Ser. 98-A, 9 7/8s, 2005 (In default) (NON) 595,820 .................................................................................................. 1,142,000 Chevy Chase Savings Bank, Inc. sub. deb. 9 1/4s, 2005 1,153,420 .................................................................................................. 1,315,000 Colonial Capital II 144A company guaranty 8.92s, 2027 1,193,436 .................................................................................................. 190,000 Comdisco, Inc. notes 7 1/4s, 2001 (In default) (NON) (DEF) 144,400 .................................................................................................. 640,000 Comdisco, Inc. notes 5.95s, 2002 (In default) (NON) 486,400 .................................................................................................. 780,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 148,200 .................................................................................................. 875,000 Conseco Financial Corp. sr. sub. notes 10 1/4s, 2002 761,250 .................................................................................................. 860,000 Conseco Financing Trust II company guaranty 8.7s, 2026 163,400 .................................................................................................. 460,000 Conseco, Inc. notes 8 3/4s, 2004 207,000 .................................................................................................. 310,000 Conseco, Inc. sr. notes 10 3/4s, 2008 142,600 .................................................................................................. 190,000 Dime Capital Trust I bank guaranty Ser. A, 9.33s, 2027 206,228 .................................................................................................. 3,507,000 Finova Group, Inc. notes 7 1/2s, 2009 1,472,940 .................................................................................................. 740,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 730,587 .................................................................................................. 510,000 Green Tree Financial notes Ser. A, 6 1/2s, 2002 413,100 .................................................................................................. 1,770,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,764,548 .................................................................................................. 460,000 Hanvit Bank 144A sub. notes 11 3/4s, 2010 (South Korea) 504,850 .................................................................................................. 594,000 Imperial Credit Industries, Inc. sec. notes 12s, 2005 219,780 .................................................................................................. 720,000 iStar Financial, Inc. sr. notes 8 3/4s, 2008 723,600 .................................................................................................. 890,000 Nationwide Credit, Inc. sr. notes Ser. A, 10 1/4s, 2008 249,200 .................................................................................................. 280,000 North Fork Capital Trust I company guaranty 8.7s, 2026 271,096 .................................................................................................. 780,000 Ocwen Capital Trust I company guaranty 10 7/8s, 2027 600,600 .................................................................................................. 700,000 Ocwen Federal Bank sub. deb. 12s, 2005 693,000 .................................................................................................. 240,000 Ocwen Financial Corp. notes 11 7/8s, 2003 239,400 .................................................................................................. 1,200,000 Outsourcing Solutions, Inc. sr. sub. notes Ser. B, 11s, 2006 960,000 .................................................................................................. 1,590,000 Peoples Bank-Bridgeport sub. notes 9 7/8s, 2010 1,751,258 .................................................................................................. 280,000 Peoples Heritage Capital Trust company guaranty Ser. B, 9.06s, 2027 253,061 .................................................................................................. 1,330,000 Provident Capital Trust company guaranty 8.6s, 2026 1,147,896 .................................................................................................. 2,430,000 Resource America, Inc. 144A sr. notes 12s, 2004 2,357,100 .................................................................................................. 1,055,000 Reliance Group Holdings, Inc. sr. notes, 9s, 2000 (in default) (NON) (DEF) 116,050 .................................................................................................. 610,000 Riggs Capital Trust 144A bonds 8 5/8s, 2026 434,448 .................................................................................................. 1,340,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 1,447,200 .................................................................................................. 1,240,000 Superior Financial Corp. 144A sr. notes 8.65s, 2003 1,272,552 .................................................................................................. 715,000 Webster Capital Trust I 144A bonds 9.36s, 2027 609,323 .................................................................................................. 680,000 Willis Corroon Corp. 144A company guaranty 9s, 2009 700,400 - -------------------------------------------------------------------------------------------------- 25,559,343 - -------------------------------------------------------------------------------------------------- Food (1.5%) .................................................................................................. 1,270,000 Archibald Candy Corp. company guaranty 10 1/4s, 2004 711,200 .................................................................................................. 830,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 796,800 .................................................................................................. 1,865,000 Aurora Foods, Inc. 144A sr. sub. notes Ser. D, 9 7/8s, 2007 1,790,400 .................................................................................................. 410,000 Del Monte Corp. company guaranty Ser. B, 9 1/4s, 2011 426,400 .................................................................................................. 1,195,000 Doane Pet Care Co. sr. sub. deb. 9 3/4s, 2007 1,021,725 .................................................................................................. 1,485,000 Eagle Family Foods company guaranty Ser. B, 8 3/4s, 2008 1,024,650 .................................................................................................. 920,000 Land O'Lakes, Inc. 144A sr. notes 8 3/4s, 2011 887,800 .................................................................................................. 1,190,000 Premier International Foods PLC sr. notes 12s, 2009 (United Kingdom) 1,285,200 .................................................................................................. 1,600,000 RAB Enterprises, Inc. company guaranty 10 1/2s, 2005 640,000 .................................................................................................. 1,940,000 RAB Holdings, Inc. sr. notes 13s, 2008 679,000 .................................................................................................. 470,000 Smithfield Foods, Inc. 144A sr. notes 8s, 2009 481,750 .................................................................................................. 2,655,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 584,100 - -------------------------------------------------------------------------------------------------- 10,329,025 - -------------------------------------------------------------------------------------------------- Gaming & Lottery (6.4%) .................................................................................................. 890,000 Aladdin Gaming Holdings, LLC sr. disc. notes, Ser. B, stepped-coupon zero % (13 1/2s, 3/1/03), 2010 (STP) 44,500 .................................................................................................. 1,030,000 Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009 1,112,400 .................................................................................................. 1,290,000 Argosy Gaming Co. company guaranty 10 3/4s, 2009 1,425,450 .................................................................................................. 100,000 Argosy Gaming Co. sr. sub. notes 9s, 2011 104,750 .................................................................................................. 1,585,618 Autotote Corp. bank term loan FRN 6 3/8s, 2007 (acquired 10/13/00, cost $1,581,654) (RES) 1,581,654 .................................................................................................. 303,590 Autotote Corp. bank term loan Ser. A, FRN 5.375s, 2007 (acquired 6/6/01, cost $292,964) (RES) 299,795 .................................................................................................. 840,000 Autotote Corp. company guaranty Ser. B, 12 1/2s, 2010 924,000 .................................................................................................. 948,274 Fitzgeralds Gaming Corp. company guaranty Ser. B, 12 1/4s, 2004 (In default) (NON) 331,896 .................................................................................................. 1,140,000 Harrah's Operating Co., Inc. company guaranty 8s, 2011 1,178,142 .................................................................................................. 700,000 Harrah's Operating Company, Inc. company guaranty 7 1/8s, 2007 703,500 .................................................................................................. 1,200,000 Herbst Gaming, Inc. 144A secd. notes 10 3/4s, 2008 1,236,000 .................................................................................................. 1,800,000 Hollywood Casino Corp. company guaranty 11 1/4s, 2007 1,957,500 .................................................................................................. 350,000 Hollywood Park, Inc. company guaranty Ser. B, 9 1/4s, 2007 302,750 .................................................................................................. 1,760,000 Horseshoe Gaming Holdings company guaranty 8 5/8s, 2009 1,812,800 .................................................................................................. 1,790,000 International Game Technology sr. notes 8 3/8s, 2009 1,883,975 .................................................................................................. 320,000 Isle of Capri Casinos, Inc. company guaranty 8 3/4s, 2009 308,800 .................................................................................................. 2,850,000 Majestic Investor Holdings/Majestic Investor Capital Corp. 144A company guaranty 11.653s, 2007 2,707,500 .................................................................................................. 150,000 Mandalay Resort Group sr. notes 9 1/2s, 2008 157,125 .................................................................................................. 1,560,000 Mandalay Resort Group sr. sub. notes Ser. B, 10 1/4s, 2007 1,618,500 .................................................................................................. 1,110,000 Mandalay Resort Group 144A sr. sub. notes 9 3/8s, 2010 1,103,063 .................................................................................................. 210,000 MGM Mirage, Inc. coll. sr. notes 6 7/8s, 2008 197,488 .................................................................................................. 1,960,000 MGM Mirage, Inc. company guaranty 8 1/2s, 2010 1,948,808 .................................................................................................. 1,120,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 1,106,000 .................................................................................................. 960,000 Mohegan Tribal Gaming Authority sr. notes 8 1/8s, 2006 986,400 .................................................................................................. 1,580,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 1,651,100 .................................................................................................. 220,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/8s, 2011 228,250 .................................................................................................. 1,530,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 1,484,100 .................................................................................................. 2,010,000 Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008 2,035,125 .................................................................................................. 1,280,000 Penn National Gaming, Inc. company guaranty Ser. B, 11 1/8s, 2008 1,356,800 .................................................................................................. 2,180,000 Peninsula Gaming LLC company guaranty 12 1/4s, 2006 2,180,000 .................................................................................................. 790,000 Riviera Black Hawk, Inc. 1st mtge. 13s, 2005 790,000 .................................................................................................. 670,000 Station Casinos, Inc. sr. notes 8 3/8s, 2008 683,400 .................................................................................................. 970,000 Station Casinos, Inc. sr. sub. notes 9 7/8s, 2010 982,125 .................................................................................................. 370,000 Station Casinos, Inc. 144A sr. sub. notes 9 3/4s, 2007 376,475 .................................................................................................. 2,040,000 Trump Atlantic City Associates company guaranty 11 1/4s, 2006 1,280,100 .................................................................................................. 1,500,000 Trump Castle Funding, Inc. sr. sub. notes 11 3/4s, 2003 1,125,000 .................................................................................................. 4,280,000 Trump Castle Funding, Inc. sub. notes 10 1/4s, 2003 4,333,500 .................................................................................................. 1,540,000 Venetian Casino, Inc. company guaranty 12 1/4s, 2004 1,540,000 .................................................................................................. 630,000 Wheeling Island Gaming, Inc. 144A sr. notes 10 1/8s, 2009 639,450 - -------------------------------------------------------------------------------------------------- 45,718,221 - -------------------------------------------------------------------------------------------------- Health Care (5.1%) .................................................................................................. 615,000 ALARIS Medical Systems, Inc. 144A company guaranty 9 3/4s, 2006 573,488 .................................................................................................. 1,530,000 ALARIS Medical Systems, Inc. 144A sec. notes 11 5/8s, 2006 1,652,400 .................................................................................................. 220,000 ALARIS Medical, Inc. sr. disc. notes stepped-coupon zero % (11 1/8s, 8/1/03), 2008 (STP) 132,000 .................................................................................................. 1,040,000 AmerisourceBergen Corp. sr. notes 8 1/8s, 2008 1,076,400 .................................................................................................. 730,000 Beverly Enterprises, Inc. sr. notes 9 5/8s, 2009 764,675 .................................................................................................. 730,000 Bio-Rad Labs Corp. sr. sub. notes 11 5/8s, 2007 804,825 .................................................................................................. 560,000 Conmed Corp. company guaranty 9s, 2008 565,600 .................................................................................................. 69,200 Genesis Health Ventures, Inc. sec. notes FRN 7.59s, 2007 68,508 .................................................................................................. 960,000 Hanger Orthopedic Group, Inc. . sr sub. notes 11 1/4s, 2009 892,800 .................................................................................................. 1,540,000 HCA, Inc. deb. 7.19s, 2015 1,516,900 .................................................................................................. 370,000 HCA, Inc. med. term notes 6.63s, 2045 373,548 .................................................................................................. 2,720,000 HCA, Inc. notes 8 3/4s, 2010 2,971,600 .................................................................................................. 670,000 HCA, Inc. notes 8.36s, 2024 659,950 .................................................................................................. 200,000 HCA, Inc. notes 7s, 2007 201,000 .................................................................................................. 520,000 HCA, Inc. sr. notes 7 7/8s, 2011 535,600 .................................................................................................. 1,920,000 Healthsouth Corp. sr. sub. notes 10 3/4s, 2008 2,109,600 .................................................................................................. 790,000 Insight Health Services Corp. 144A sr. sub. notes 9 7/8s, 2011 817,650 .................................................................................................. 1,320,000 Integrated Health Services, Inc. bank term loan FRN 8 1/2s, 2004 (acquired 11/1/01. Cost $703,267) (RES) 738,100 .................................................................................................. 1,980,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/2s, 2007 (In default) (NON) 198 .................................................................................................. 1,190,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 119 .................................................................................................. 1,705,000 Kinetic Concepts, Inc. company guaranty Ser. B, 9 5/8s, 2007 1,696,475 .................................................................................................. 260,000 Lifepoint Hospital Holdings company guaranty Ser. B, 10 3/4s, 2009 293,800 .................................................................................................. 220,000 Loewen Group International, Inc. 144A company guaranty Ser. 4, 8 1/4s, 2003 (In default) (NON) 144,650 .................................................................................................. 920,000 Loewen Group, Inc. (The) notes 12 1/4s, 2008 1,010,850 .................................................................................................. 3,040,000 Magellan Health Services, Inc. sr. sub. notes 9s, 2008 2,736,000 .................................................................................................. 120,000 Magellan Health Services, Inc. 144A sr. notes 9 3/8s, 2007 121,800 .................................................................................................. 6,090,000 Mariner Post-Acute Network, Inc. sr. sub. notes stepped-coupon Ser. B, zero % (10 1/2s, 11/1/02), 2007 (STP) 30,450 .................................................................................................. 1,830,000 Mediq, Inc. company guaranty 11s, 2008 (In default) (NON) 18,300 .................................................................................................. 1,850,000 Mediq, Inc. deb. stepped-coupon zero % (13s, 6/1/03), 2009 (STP) 185 .................................................................................................. 5,470,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 (In default) (NON) 547 .................................................................................................. 980,000 Omnicare, Inc. company guaranty Ser. B, 8 1/8s, 2011 1,019,200 .................................................................................................. 2,440,000 Paracelsus Healthcare Corp. sr. sub. notes 10s, 2006 (In default) (NON) 976,000 .................................................................................................. 400,000 Service Corp. International deb. 7 7/8s, 2013 332,000 .................................................................................................. 270,000 Service Corp. International notes 7.7s, 2009 233,550 .................................................................................................. 2,480,000 Service Corp. International notes 6s, 2005 2,142,100 .................................................................................................. 1,350,000 Stewart Enterprises, Inc. notes 10 3/4s, 2008 1,478,250 .................................................................................................. 4,335,000 Sun Healthcare Group, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 434 .................................................................................................. 2,200,000 Sun Healthcare Group, Inc. 144A sr. sub. notes 9 3/8s, 2008 (In default) (NON) 220 .................................................................................................. 2,271,000 Tenet Healthcare Corp. sr. notes Ser. B, 8 1/8s, 2008 2,434,262 .................................................................................................. 1,300,000 Triad Hospitals Holdings company guaranty Ser. B, 11s, 2009 1,423,500 .................................................................................................. 2,340,000 Triad Hospitals, Inc. company guaranty Ser. B, 8 3/4s, 2009 2,445,300 .................................................................................................. 1,030,000 Vanguard Health Systems, Inc. 144A sr. sub. notes 9 3/4s, 2011 1,055,750 - -------------------------------------------------------------------------------------------------- 36,048,584 - -------------------------------------------------------------------------------------------------- Homebuilding (1.7%) .................................................................................................. 1,090,000 Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011 1,122,700 .................................................................................................. 660,000 D.R. Horton, Inc. company guaranty 8s, 2009 655,050 .................................................................................................. 690,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 669,300 .................................................................................................. 1,130,000 Del Webb Corp. sr. sub. deb. 9 3/8s, 2009 1,189,325 .................................................................................................. 490,000 Del Webb Corp. sr. sub. debs 9 3/4s, 2008 513,888 .................................................................................................. 860,000 K. Hovnanian Enterprises, Inc. company guaranty 10 1/2s, 2007 894,400 .................................................................................................. 1,830,000 KB Home sr. sub. notes 9 1/2s, 2011 1,866,600 .................................................................................................. 300,000 Lennar Corp. company guaranty Ser. B, 9.95s, 2010 330,000 .................................................................................................. 1,170,000 Lennar Corp. sr. notes 7 5/8s, 2009 1,181,700 .................................................................................................. 160,000 M.D.C. Holdings, Inc. sr. notes 8 3/8s, 2008 161,600 .................................................................................................. 1,660,000 Ryland Group, Inc. sr. notes 9 3/4s, 2010 1,759,600 .................................................................................................. 650,000 Standard Pacific Corp. sr. notes 9 1/2s, 2010 646,750 .................................................................................................. 1,050,000 Toll Corp. company guaranty 8 1/8s, 2009 1,036,875 .................................................................................................. 130,000 Toll Corp. sr. sub. notes 8 1/4s, 2011 128,700 - -------------------------------------------------------------------------------------------------- 12,156,488 - -------------------------------------------------------------------------------------------------- Lodging/Tourism (1.8%) .................................................................................................. 566,000 Felcor Lodging LP company guaranty 8 1/2s, 2011 (R) 546,190 .................................................................................................. 2,090,000 Felcor Lodging LP company guaranty 9 1/2s, 2008 (R) 2,090,000 .................................................................................................. 710,000 Felcor Lodging LP 144A company guaranty 9 1/2s, 2008 (R) 710,000 .................................................................................................. 5,420,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 5,013,500 .................................................................................................. 510,000 Host Marriott L.P. company guaranty Ser. G, 9 1/4s, 2007 508,725 .................................................................................................. 620,000 Host Marriott L.P. sr. notes Ser. E, 8 3/8s, 2006 593,650 .................................................................................................. 1,330,000 ITT Corp. notes 6 3/4s, 2005 1,280,870 .................................................................................................. 290,000 John Q. Hammons Hotels, Inc. 1st mtge. 8 7/8s, 2004 275,500 .................................................................................................. 1,198,000 Meristar Hospitality Corp. company guaranty 9 1/8s, 2011 1,123,125 .................................................................................................. 40,000 Meristar Hospitality Corp. company guaranty 9s, 2008 37,800 .................................................................................................. 600,000 MeriStar Hospitality Operating Partnership/MeriStar Hospitality Finance Corp. 144A sr. notes 10 1/2s, 2009 (R) 603,000 - -------------------------------------------------------------------------------------------------- 12,782,360 - -------------------------------------------------------------------------------------------------- Metals (1.5%) .................................................................................................. 890,000 AK Steel Corp. company guaranty 7 7/8s, 2009 876,650 .................................................................................................. 360,000 AK Steel Corp. sr. notes 9 1/8s, 2006 369,000 .................................................................................................. 1,259,140 Anker Coal Group, Inc. company guaranty Ser. B, 14 1/4s, 2007 (PIK) 541,430 .................................................................................................. 1,000,000 Armco, Inc. sr. notes 9s, 2007 1,020,000 .................................................................................................. 900,000 Armco, Inc. sr. notes 8 7/8s, 2008 868,500 .................................................................................................. 910,000 Centaur Mining & Exploration company guaranty 11s, 2007 (Australia) (In default) (NON) 45,500 .................................................................................................. 1,870,000 Doe Run Resources Corp. company guaranty Ser. B, 11 1/4s, 2005 374,000 .................................................................................................. 230,000 Doe Run Resources Corp. company guaranty Ser. B (a), 11 1/4s, 2005 64,400 .................................................................................................. 550,000 Doe Run Resources Corp. company guaranty FRN Ser. B, 9.38s, 2003 99,000 .................................................................................................. 80,000 Kaiser Aluminum & Chemical Corp. sr. notes Ser. B, 10 7/8s, 2006 72,800 .................................................................................................. 3,225,000 Kaiser Aluminum & Chemical Corp. sr. sub. notes 12 3/4s, 2003 2,350,219 .................................................................................................. 2,430,000 LTV Corp. company guaranty 11 3/4s, 2009 (In default) (NON) 24,300 .................................................................................................. 1,640,000 LTV Corp. (The) 144A company guaranty 8.2s, 2007 (In default) (NON) 3,280 .................................................................................................. 850,000 National Steel Corp. 1st mtge. Ser. D, 9 7/8s, 2009 306,000 .................................................................................................. 704,000 Oregon Steel Mills 1st mtge. 11s, 2003 686,400 .................................................................................................. 177,000 P&L Coal Holdings Corp. company guaranty Ser. B, 9 5/8s, 2008 189,390 .................................................................................................. 1,480,000 United States Steel, LLC 144A company guaranty 10 3/4s, 2008 1,435,600 .................................................................................................. 1,520,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 794,200 .................................................................................................. 160,000 Weirton Steel Corp. 144A sr. notes 10 3/4s, 2005 16,800 .................................................................................................. 1,500,000 Wheeling-Pittsburgh Steel Corp. sr. notes 9 1/4s, 2007 (In default) (NON) 43,125 .................................................................................................. 820,000 WHX Corp. sr. notes 10 1/2s, 2005 410,000 - -------------------------------------------------------------------------------------------------- 10,590,594 - -------------------------------------------------------------------------------------------------- Paper & Forest Products (3.2%) .................................................................................................. 1,632,018 Alabama River Newsprint bank term loan FRN 4.073s, 2002 (acquired 4/14/98, cost $921,379) (RES) 1,534,097 .................................................................................................. 1,630,000 Appleton Papers, Inc. 144A sr. sub. notes 12 1/2s, 2008 1,548,500 .................................................................................................. 750,000 Bowater Canada Finance 144A notes 7.95s, 2011 (Canada) 755,513 .................................................................................................. 670,000 Doman Industries, Ltd. company guaranty 12s, 2004 (Canada) 571,175 .................................................................................................. 2,195,000 Doman Industries, Ltd. sr. notes 8 3/4s, 2004 (Canada) 417,050 .................................................................................................. 1,880,000 Four M Corp. sr. notes Ser. B, 12s, 2006 1,842,400 .................................................................................................. 110,000 Gaylord Container Corp. sr. notes Ser. B, 9 3/4s, 2007 92,400 .................................................................................................. 985,000 Gaylord Container Corp. sr. notes Ser. B, 9 3/8s, 2007 827,400 .................................................................................................. 275,000 Gaylord Container Corp. sr. sub. notes 9 7/8s, 2008 109,313 .................................................................................................. 2,120,000 Pacifica Papers, Inc. sr. notes 10s, 2009 (Canada) 2,279,000 .................................................................................................. 1,040,000 Potlatch Corp. 144A sr. sub. notes 10s, 2011 1,079,936 .................................................................................................. 2,420,000 Riverwood International Corp. company guaranty 10 7/8s, 2008 2,456,300 .................................................................................................. 1,200,000 Riverwood International Corp. company guaranty 10 5/8s, 2007 1,248,000 .................................................................................................. 400,000 Riverwood International Corp. company guaranty 10 1/4s, 2006 409,000 .................................................................................................. 997,827 Stone Container Corp. bank term loan Ser. G, FRN 5.688s, 2006 (acquired 7/17/00, cost $997,827) (RES) 990,094 .................................................................................................. 1,150,000 Stone Container Corp. sr. notes 12.58s, 2016 (Canada) 1,213,250 .................................................................................................. 100,000 Stone Container Corp. 144A company guaranty 11 1/2s, 2006 (Canada) 107,000 .................................................................................................. 1,670,000 Stone Container Corp. sr. notes 9 3/4s, 2011 1,795,250 .................................................................................................. 1,460,000 Stone Container Corp. sr. notes 9 1/4s, 2008 1,540,300 .................................................................................................. 65,000 Tembec Industries, Inc. company guaranty 8 5/8s, 2009 (Canada) 67,113 .................................................................................................. 1,780,000 Tembec Industries, Inc. company guaranty 8 1/2s, 2011 (Canada) 1,833,400 - -------------------------------------------------------------------------------------------------- 22,716,491 - -------------------------------------------------------------------------------------------------- Publishing (2.1%) .................................................................................................. 3,135,000 Affinity Group Holdings sr. notes 11s, 2007 2,539,350 .................................................................................................. 880,000 Garden State Newspapers, Inc. sr. sub. notes 8 5/8s, 2011 853,600 .................................................................................................. 470,000 Garden State Newspapers, Inc. sr. sub. notes Ser. B, 8 3/4s, 2009 465,300 .................................................................................................. 760,000 Hollinger International Publishing, Inc. company guaranty 9 1/4s, 2007 748,600 .................................................................................................. 2,490,000 Hollinger Participation Trust 144A sr. notes 12 1/8s, 2010 (Canada) (PIK) 2,079,150 .................................................................................................. 980,000 Key3media Group, Inc. company guaranty 11 1/4s, 2011 813,400 .................................................................................................. 2,775,000 Perry-Judd company guaranty 10 5/8s, 2007 2,497,500 .................................................................................................. 2,110,000 PRIMEDIA, Inc. company guaranty 8 7/8s, 2011 1,888,450 .................................................................................................. 1,060,000 PRIMEDIA, Inc. company guaranty 7 5/8s, 2008 927,500 .................................................................................................. 900,000 PRIMEDIA, Inc. company guaranty Ser. B, 8 1/2s, 2006 828,000 .................................................................................................. 1,050,000 Quebecor Media, Inc. sr. disc. notes stepped-coupon zero % (13 3/4s, 7/15/06), 2011 (Canada) (STP) 630,000 .................................................................................................. 730,000 Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada) 777,450 - -------------------------------------------------------------------------------------------------- 15,048,300 - -------------------------------------------------------------------------------------------------- Restaurants (0.7%) .................................................................................................. 360,000 Domino's, Inc. company guaranty Ser. B, 10 3/8s, 2009 381,600 .................................................................................................. 1,271,000 Sbarro, Inc. company guaranty 11s, 2009 1,207,450 .................................................................................................. 1,880,000 Tricon Global Restaurants, Inc. sr. notes 8 7/8s, 2011 1,992,800 .................................................................................................. 610,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 613,050 .................................................................................................. 530,000 Tricon Global Restaurants, Inc. sr. notes 7.45s, 2005 535,300 - -------------------------------------------------------------------------------------------------- 4,730,200 - -------------------------------------------------------------------------------------------------- Retail (1.5%) .................................................................................................. 930,000 Amazon.com, Inc. sr. sub. notes stepped-coupon zero % (10s, 5/1/03), 2008 (STP) 648,675 .................................................................................................. 1,080,000 Fleming Companies, Inc. company guaranty 10 1/8s, 2008 1,117,800 .................................................................................................. 610,000 Fleming Companies, Inc. company guaranty Ser. B, 10 1/2s, 2004 610,000 .................................................................................................. 60,000 Fleming Companies, Inc. 144A sr. sub. notes 10 5/8s, 2007 57,450 .................................................................................................. 520,000 Great Atlantic & Pacific Tea Co. notes 7 3/4s, 2007 494,000 .................................................................................................. 70,000 Iron Age Holdings Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 5/1/03), 2009 (STP) 6,300 .................................................................................................. 600,000 K mart Corp. notes 9 3/8s, 2006 493,500 .................................................................................................. 2,500,000 K mart Corp. pass-through certificates Ser. 95K4, 9.35s, 2020 1,675,000 .................................................................................................. 115,000 Mothers Work, Inc. sr. notes 12 5/8s, 2005 106,950 .................................................................................................. 1,180,000 Petco Animal Supplies, Inc. 144A sr. sub. notes 10 3/4s, 2011 1,221,300 .................................................................................................. 60,000 Rite Aid Corp. notes 7 1/8s, 2007 48,900 .................................................................................................. 3,740,000 Saks, Inc. company guaranty 8 1/4s, 2008 3,431,450 .................................................................................................. 110,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 102,776 .................................................................................................. 290,000 Southland Corp. sr. sub. deb. 5s, 2003 277,643 .................................................................................................. 450,000 Tommy Hilfiger USA, Inc. company guaranty 6 1/2s, 2003 445,500 - -------------------------------------------------------------------------------------------------- 10,737,244 - -------------------------------------------------------------------------------------------------- Specialty Printing (0.1%) .................................................................................................. 728,160 Von Hoffman Press, Inc. 144A sr. sub. notes 13 1/2s, 2009 582,528 .................................................................................................. 435,000 Von Hoffman Press, Inc. 144A sr. sub. notes 10 3/8s, 2007 408,900 - -------------------------------------------------------------------------------------------------- 991,428 - -------------------------------------------------------------------------------------------------- Technology (1.8%) .................................................................................................. 550,000 Amkor Technology, Inc. sr. notes 9 1/4s, 2008 519,750 .................................................................................................. 810,000 Amkor Technologies, Inc. Structured Note (issued by STEERS Credit Linked Trust 2000) 12.58s, 2005 753,300 .................................................................................................. 5,150,000 Cybernet Internet Services International, Inc. 144A sr. disc. notes stepped-coupon zero % (13s, 8/15/04), 2009 (Denmark) (STP) 51,500 .................................................................................................. 2,540,000 Equinix, Inc. sr. notes 13s, 2007 812,800 .................................................................................................. 920,000 Exodus Communications, Inc. sr. notes 10 3/4s, 2009 (In default) (NON) 170,200 .................................................................................................. 390,000 Exodus Communications, Inc. 144A sr. notes 11 1/4s, 2008 (In default) (NON) 72,150 .................................................................................................. 230,000 Fairchild Semiconductor International, Inc. company guaranty 10 3/8s, 2007 238,625 .................................................................................................. 930,000 Fairchild Semiconductor International, Inc. sr. sub. notes 10 1/8s, 2007 955,575 .................................................................................................. 4,390,000 Firstworld Communication Corp. sr. disc. notes stepped-coupon zero % (13s, 4/15/03), 2008 (STP) 219,500 .................................................................................................. 1,570,000 Globix Corp. sr. notes 12 1/2s, 2010 361,100 .................................................................................................. 2,550,000 Intira Corp. bonds stepped-coupon zero % (13s, 2/1/05), 2010 (STP) 255 .................................................................................................. 240,000 Iron Mountain, Inc. company guaranty 8 5/8s, 2013 247,200 .................................................................................................. 1,830,000 Iron Mountain, Inc. company guaranty 8 1/8s, 2008 (Canada) 1,855,163 .................................................................................................. 130,000 Lucent Technologies, Inc. deb. 6 1/2s, 2028 85,800 .................................................................................................. 2,560,000 Lucent Technologies, Inc. deb. 6.45s, 2029 1,689,600 .................................................................................................. 3,000,000 Micron Technology, Inc. cv. 6 1/2s, 2005 2,767,500 .................................................................................................. 430,000 PSINet, Inc. sr. notes 11 1/2s, 2008 (In default) (NON) 33,325 .................................................................................................. 2,905,000 PSINet, Inc. sr. notes 11s, 2009 (In default) (NON) 225,138 .................................................................................................. 830,000 PSINet, Inc. sr. notes Ser. B, 10s, 2005 (In default) (NON) 64,325 .................................................................................................. 700,000 SCG Holding & Semiconductor Corp. company guaranty 12s, 2009 245,000 .................................................................................................. 280,000 Seagate Technology, Inc. 144A company guaranty 12 1/2s, 2007 (Cayman Islands) 319,200 .................................................................................................. 1,010,000 Telecommunications Techniques, Inc. company guaranty 9 3/4s, 2008 303,000 .................................................................................................. 1,330,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (STP) 133 .................................................................................................. 1,020,000 Telex Communications, Inc. company guaranty 10 1/2s, 2007 (In default) (NON) 102,000 .................................................................................................. 440,000 Unisys Corp. sr. notes 7 1/4s, 2005 432,300 .................................................................................................. 1,030,000 Viasystems, Inc. sr. notes Ser. B, 9 3/4s, 2007 309,000 .................................................................................................. 70,000 Xerox Credit Corp. sr. notes 6.1s, 2003 64,050 - -------------------------------------------------------------------------------------------------- 12,897,489 - -------------------------------------------------------------------------------------------------- Textiles (0.4%) .................................................................................................. 1,110,000 Galey & Lord, Inc. company guaranty 9 1/8s, 2008 199,800 .................................................................................................. 1,035,000 GFSI, Inc. sr. disc. Notes, Ser. B, stepped-coupon zero % (11 3/8s, 9/15/04), 2009 (STP) 93,150 .................................................................................................. 303,000 Kasper A.S.L., Ltd. sr. notes 12 3/4s, 2004 (In default) (NON) 78,780 .................................................................................................. 1,710,000 Levi Strauss & Co. sr. notes 11 5/8s, 2008 1,509,075 .................................................................................................. 2,470,000 Westpoint Stevens, Inc. sr. notes 7 7/8s, 2005 796,575 .................................................................................................. 310,000 William Carter Holdings Co. (The) 144A sr. sub. notes 10 7/8s, 2011 333,250 - -------------------------------------------------------------------------------------------------- 3,010,630 - -------------------------------------------------------------------------------------------------- Tobacco (0.1%) .................................................................................................. 600,000 North Atlantic Trading Co. company guaranty Ser. B, 11s, 2004 546,000 - -------------------------------------------------------------------------------------------------- Transportation (2.4%) .................................................................................................. 110,000 Air Canada Corp. sr. notes 10 1/4s, 2011 (Canada) 68,200 .................................................................................................. 2,420,000 Airbus Industries 144A notes Ser. D, 12.266s, 2020 2,538,651 .................................................................................................. 760,000 American Airlines, Inc. bonds Ser. 01-2, Class B, 8.608s, 2011 760,866 .................................................................................................. 370,000 American Airlines, Inc. 144A pass-through certificates Ser. 01-2, Class A-2, 7.858s, 2011 369,227 .................................................................................................. 1,000,000 AMR Corp. debs. 9s, 2012 920,000 .................................................................................................. 2,300,000 Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008 1,702,000 .................................................................................................. 630,000 Continental Airlines, Inc. pass-thru certificates Ser. D, 7.568s, 2006 478,800 .................................................................................................. 1,770,000 Kansas City Southern Railway Co. company guaranty 9 1/2s, 2008 1,929,300 .................................................................................................. 720,000 Kitty Hawk, Inc. company guaranty 9.95s, 2004 (In default) (NON) 93,600 .................................................................................................. 1,335,000 Navistar International Corp. company guaranty Ser. B, 9 3/8s, 2006 1,401,750 .................................................................................................. 1,395,000 Navistar International Corp. sr. notes Ser. B, 8s, 2008 1,374,075 .................................................................................................. 260,000 Newport News Shipbuilding, Inc. sr. notes 8 5/8s, 2006 275,600 .................................................................................................. 1,000,000 Northwest Airlines, Inc. company guaranty 8 7/8s, 2006 780,000 .................................................................................................. 200,000 Northwest Airlines, Inc. company guaranty 8.52s, 2004 166,000 .................................................................................................. 1,140,000 Northwest Airlines, Inc. company guaranty 7 5/8s, 2005 877,800 .................................................................................................. 1,770,000 RailAmerica Transportation company guaranty 12 7/8s, 2010 1,823,100 .................................................................................................. 330,000 Transportation Manufacturing Operations, Inc. company guaranty 11 1/4s, 2009 184,800 .................................................................................................. 684,018 Transportation Tech. bank term loan FRN 5.948s, 2007 (acquired 2/29/00, cost $684,018) (RES) 454,872 .................................................................................................. 380,000 Travel Centers of America, Inc. company guaranty 12 3/4s, 2009 402,800 .................................................................................................. 1,130,000 US Air, Inc. pass-through certificates Ser. 93A3, 10 3/8s, 2013 700,600 - -------------------------------------------------------------------------------------------------- 17,302,041 - -------------------------------------------------------------------------------------------------- Utilities (4.1%) .................................................................................................. 450,000 AES Corp. (The) notes 8 3/4s, 2008 396,000 .................................................................................................. 4,180,000 AES Corp. (The) sr. notes 9 3/8s, 2010 3,699,300 .................................................................................................. 200,000 AES Corp. (The) sr. notes 8 7/8s, 2011 172,000 .................................................................................................. 970,000 Azurix Corp. sr. notes Ser. B, 10 3/8s, 2007 679,000 .................................................................................................. 2,040,000 Calpine Canada Energy Finance company guaranty 8 1/2s, 2008 (Canada) 1,846,200 .................................................................................................. 800,000 Calpine Corp. sr. notes 10 1/2s, 2006 720,000 .................................................................................................. 350,000 Calpine Corp. sr. notes 8 3/4s, 2007 316,750 .................................................................................................. 2,180,000 Calpine Corp. sr. notes 8 5/8s, 2010 1,951,100 .................................................................................................. 1,560,000 Calpine Corp. sr. notes 8 1/2s, 2011 1,396,200 .................................................................................................. 570,000 Calpine Corp. sr. notes 7 7/8s, 2008 507,300 .................................................................................................. 50,000 Calpine Corp. sr. notes 7 3/4s, 2009 44,250 .................................................................................................. 1,300,000 CMS Energy Corp. pass-through certificates 7s, 2005 1,254,240 .................................................................................................. 1,500,000 CMS Energy Corp. sr. notes 8.9s, 2008 1,522,500 .................................................................................................. 600,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 594,480 .................................................................................................. 700,000 Edison Mission Energy sr. notes 10s, 2008 714,000 .................................................................................................. 3,015,000 Midland Funding Corp. II deb. Ser. A, 11 3/4s, 2005 3,229,879 .................................................................................................. 50,000 Midland Funding Corp. II deb. Ser. B, 13 1/4s, 2006 57,551 .................................................................................................. 1,350,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 1,498,500 .................................................................................................. 809,400 Northeast Utilities notes Ser. A, 8.58s, 2006 860,570 .................................................................................................. 319,733 Northeast Utilities notes Ser. B, 8.38s, 2005 335,013 .................................................................................................. 720,000 Pacific Gas & Electric Co. 144A sr. notes 7 3/8s, 2005 (In default) (NON) 756,000 .................................................................................................. 1,690,000 Southern California Edison Co. notes 8.95s, 2003 1,694,225 .................................................................................................. 180,000 Southern California Edison Co. notes 6 3/8s, 2006 165,600 .................................................................................................. 1,490,000 Tiverton/Rumford Power Associates, LP 144A pass-through certificates 9s, 2018 1,348,450 .................................................................................................. 3,636,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 3,454,186 - -------------------------------------------------------------------------------------------------- 29,213,294 - -------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $715,525,780) $580,023,019 - -------------------------------------------------------------------------------------------------- PREFERRED STOCKS (4.6%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 45,421 AmeriKing, Inc. $3.25 cum. pfd. (PIK) $454 .................................................................................................. 64,595 Brand Scaffold Services, Inc. 144A $3.625 pfd. 2,712,990 .................................................................................................. 111,000 California Federal Bancorp, Inc. Ser. A, $2.281 pfd. 2,773,890 .................................................................................................. 53,477 Chevy Chase Capital Corp. Ser. A, $5.188 pfd. (PIK) 2,967,974 .................................................................................................. 5,230 Chevy Chase Savings Bank, Inc. $3.25 pfd. 135,980 .................................................................................................. 500,000 CSBI Capital Trust I 144A company guaranty Ser. A, 11.75% pfd. 552,500 .................................................................................................. 21 CSC Holdings, Inc. Ser. H, $11.75 cum. pfd. (PIK) 2,258 .................................................................................................. 55,990 CSC Holdings, Inc. Ser. M, $11.125 cum. pfd. (PIK) 5,962,935 .................................................................................................. 8,000 Decrane Aircraft Holdings Co. $16.00 pfd. (PIK) 800,000 .................................................................................................. 3,020 Delta Financial Corp. Ser. A, $10.00 cum. pfd. 37,750 .................................................................................................. 91,670 Diva Systems Corp. Ser. C, 6.00% cum. pfd. 917 .................................................................................................. 42,800 Doane Pet Care Co. $7.125 pfd. 1,284,000 .................................................................................................. 159 Dobson Communications Corp. 13.00% pfd. 155,820 .................................................................................................. 1,807 Dobson Communications Corp. 12.25% pfd. (PIK) 1,770,713 .................................................................................................. 1,010 First Republic Capital Corp. 144A 10.50% pfd. $984,750 .................................................................................................. 3,677 Granite Broadcasting Corp. 12.75% cum. pfd. (PIK) 1,397,260 .................................................................................................. 6,821 ICG Holdings, Inc. 14.00% pfd. (Canada) (In default) (NON) (PIK) 68 .................................................................................................. 2,856 Intermedia Communications, Inc. Ser. B, 13.50% pfd. (PIK) 2,955,960 .................................................................................................. 707 Nextel Communications, Inc. Ser. E, 11.125% pfd. (PIK) 360,570 .................................................................................................. 73,727 North Atlantic Trading Co. zero % pfd. (PIK) 884,724 .................................................................................................. 561 Paxson Communications Corp. 13.25% cum. pfd. (PIK) 4,768,500 .................................................................................................. 7,400 PRIMEDIA, Inc. Ser. F, $9.20 cum. pfd. 370,000 .................................................................................................. 2,321 Rural Cellular Corp. 12.25% pfd. (PIK) 1,926,314 - -------------------------------------------------------------------------------------------------- Total Preferred Stocks (cost $41,810,575) $32,806,327 - -------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (1.7%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $490,000 American Tower Corp. cv. notes 5s, 2010 $296,254 .................................................................................................. 470,000 Echostar Communications Corp. 144A cv. sub. notes 5 3/4s, 2008 420,650 .................................................................................................. 940,000 Exide Corp. 144A cv. sr. sub. notes 2.9s, 2005 63,450 .................................................................................................. 186,000 Hexcel Corp. cv. sub. notes 7s, 2003 101,603 .................................................................................................. 6,400,000 Nextel Communications, Inc. cv. sr. notes 5 1/4s, 2010 3,848,000 .................................................................................................. 1,710,000 Solectron Corp. cv. LYON zero %, 2020 906,300 .................................................................................................. 350,000 Spectrasite Holdings, Inc. cv. sr. notes 6 3/4s, 2010 145,180 .................................................................................................. 410,000 Telewest Finance 144A cv. company guaranty 6s, 2005 (United Kingdom) 257,275 .................................................................................................. 2,790,000 Telewest Finance Corp. cv. sub. notes 6s, 2005 (United Kingdom) 1,750,725 .................................................................................................. 4,070,000 Total Renal Care Holdings, Inc. 144A cv. 7s, 2009 4,155,063 - -------------------------------------------------------------------------------------------------- Total Convertible Bonds and Notes (cost $12,548,566) $11,944,500 - -------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS AND NOTES (1.7%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $642,056 Argentina (Republic of) bonds 2.89s, 2018 (In default) (NON) $154,094 .................................................................................................. 466,400 Argentina (Republic of) bonds 2.67s, 2031 (In default) (NON) 102,608 .................................................................................................. 1,350,000 Brazil (Federal Republic of) unsub. notes 11s, 2040 1,036,125 .................................................................................................. 1,060,000 Colombia (Republic of) bonds 11 3/4s, 2020 1,054,700 .................................................................................................. 405,000 Ecuador (Republic of) bonds stepped-coupon Ser. REGS, 5s (6s, 8/15/02), 2030 (STP) 191,363 .................................................................................................. 1,110,000 Philippines (Republic of) notes 10 5/8s, 2025 1,086,690 .................................................................................................. 835,000 Russia (Federation of) bonds 12 3/4s, 2028 901,800 .................................................................................................. 1,310,000 Russia (Federation of) unsub. 8 1/4s, 2010 1,131,840 .................................................................................................. 4,615,000 Russia (Federation of) unsub. stepped-coupon 5s (7 1/2s, 3/31/07), 2030 (STP) 2,637,473 .................................................................................................. 210,000 Turkey (Republic of) bonds 11 3/4s, 2010 205,800 .................................................................................................. 630,000 United Mexican States bonds 11 3/8s, 2016 774,270 .................................................................................................. 955,000 United Mexican States bonds Ser. MTN, 8.3s, 2031 934,945 .................................................................................................. 1,390,000 United Mexican States notes Ser. A, 9 7/8s, 2010 1,542,900 .................................................................................................. 225,000 Venezuela (Republic of) bonds 9 1/4s, 2027 140,400 - -------------------------------------------------------------------------------------------------- Total Foreign Government Bonds and Notes (cost $11,352,671) $11,895,008 - -------------------------------------------------------------------------------------------------- BRADY BONDS (0.9%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $3,263,237 Brazil (Federal Republic of) bonds 8s, 2014 $2,496,376 .................................................................................................. 1,990,000 Brazil (Federal Republic of) govt. guaranty FRB 3 1/4s, 2012 1,402,950 .................................................................................................. 1,291,950 Bulgaria (Government of) deb. FRB Ser. PDI, 4.563s, 2011 1,130,456 .................................................................................................. 745,000 Peru (Republic of) FLIRB 3 3/4s, 2017 521,500 .................................................................................................. 714,275 Venezuela (Republic of) deb. FRB Ser. DL, 4 3/4s, 2007 515,207 - -------------------------------------------------------------------------------------------------- Total Brady Bonds (cost $6,180,457) $6,066,489 - -------------------------------------------------------------------------------------------------- COMMON STOCKS (0.7%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 750 AmeriKing, Inc. (NON) $8 .................................................................................................. 97,050 Arch Wireless, Inc. (NON) 1,310 .................................................................................................. 48,616 Aurora Foods, Inc. (NON) 245,511 .................................................................................................. 4,275 Axia Holding, Inc. 144A (NON) (PIK) 51,300 .................................................................................................. 431,848 Celcaribe SA (Colombia) (NON) 53,981 .................................................................................................. 4,869,961 Contifinancial Corp. Liquidating Trust units 292,198 .................................................................................................. 9,734 Covad Communications Group, Inc. 144A (NON) 27,839 .................................................................................................. 3,020 Delta Funding Residual Exchange Co., LLC 717,250 .................................................................................................. 3,020 Delta Funding Residual Management, Inc. 30 .................................................................................................. 214,422 Focal Communications Corp. (NON) 130,797 .................................................................................................. 23,314 Genesis Health Ventures, Inc. (NON) 501,251 .................................................................................................. 41,310 Intira Corp. 4 .................................................................................................. 4,044 MPower Holdings Corp. 144A (NON) 1,820 .................................................................................................. 665 Premium Holdings (L.P.) 144A 10,635 .................................................................................................. 1,579 PSF Holdings LLC Class A 2,525,648 .................................................................................................. 336 Quorum Broadcast Holdings, Inc. Class E (acquired 5/15/01, cost $334,843) (RES) 335,560 .................................................................................................. 93 RCN Corp. (NON) 272 .................................................................................................. 1,466 RSL Communications, Ltd. Class A (NON) 12 .................................................................................................. 15,000 Specialty Foods Acquisition Corp. (NON) $150 .................................................................................................. 4,609 Vast Solutions, Inc. Class B1 (NON) 13,827 .................................................................................................. 4,609 Vast Solutions, Inc. Class B2 (NON) 13,827 .................................................................................................. 4,609 Vast Solutions, Inc. Class B3 (NON) 13,827 - -------------------------------------------------------------------------------------------------- Total Common Stocks (cost $10,917,553) $4,937,057 - -------------------------------------------------------------------------------------------------- UNITS (0.3%) (a) - -------------------------------------------------------------------------------------------------- Number of Units Value .................................................................................................. 720 Mikohn Gaming Corp. 144A units 11 7/8s, 2008 $698,400 .................................................................................................. 2,695 XCL, Ltd. 144A units 13 1/2s, 2004 (In default) (NON) 808,500 .................................................................................................. 13,850 XCL, Ltd. 144A units cv. cum. pfd. 9.5s (In default) (NON) (PIK) 6,925 - -------------------------------------------------------------------------------------------------- Total Units (cost $8,463,087) $1,513,825 - -------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.2%) (a) - -------------------------------------------------------------------------------------------------- Number of Shares Value .................................................................................................. 539 Anker Coal Group, Inc. 14.25% cv. pfd. $2,695 .................................................................................................. 105 Genesis Health Ventures, Inc. $6.00 cv. pfd. (PIK) 11,550 .................................................................................................. 4,300 Global Crossing, Ltd. 144A 7.00% cum. cv. pfd. (Bermuda) 17,738 .................................................................................................. 2,590 Interact Systems, Inc. 144A 14.00% cv. pfd. (In default) (NON) 26 .................................................................................................. 14,400 LTV Corp. (The) 144A $4.125 cv. pfd. (In default) (NON) 30,600 .................................................................................................. 137 Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK) 1,191,900 .................................................................................................. 15,352 Peninsula Gaming Partners 144A $7.14 cv. pfd. 92,109 .................................................................................................. 5,870 PSINet, Inc. 144A $3.50 cv. pfd. 8,805 .................................................................................................. 154 World Access, Inc. 144A Ser. D, zero % cv. pfd. 38 .................................................................................................. 2,736 XCL, Ltd. 144A Ser. A, $9.50 cum. cv. pfd. (In default) (NON) (PIK) 1,368 - -------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $4,465,118) $1,356,829 - -------------------------------------------------------------------------------------------------- WARRANTS (0.2%) (a) (NON) - -------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .................................................................................................. 57 Anker Coal Group, Inc. 144A 10/28/09 $1 .................................................................................................. 1,690 Bestel SA de C.V. (Mexico) 5/15/05 202,800 .................................................................................................. 1,600 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 160 .................................................................................................. 122,500 CGA Group, Ltd. 144A 2/11/07 1,225 .................................................................................................. 1,210 Colo.com, Inc. 144A 3/15/10 12 .................................................................................................. 1,950 Dayton Superior Corp. 6/15/09 39,000 .................................................................................................. 530 Decrane Aircraft Holdings Co. 9/30/08 1 .................................................................................................. 1 Decrane Aircraft Holdings Co. Class B 6/30/10 1 .................................................................................................. 32,012 Delta Financial Corp. 12/21/10 $3 .................................................................................................. 4,700 Destia Communications 144A 7/15/07 47 .................................................................................................. 3,651 Diva Systems Corp. 5/15/06 37 .................................................................................................. 27,031 Diva Systems Corp. 144A 3/1/08 270 .................................................................................................. 23,792 Genesis Health Ventures, Inc. 10/1/02 113,012 .................................................................................................. 1,890 Globalstar Telecommunications 2/15/04 19 .................................................................................................. 2,090 Horizon PCS, Inc. 10/1/10 83,600 .................................................................................................. 24,750 ICG Communications, Inc. 10/15/05 248 .................................................................................................. 41,381 Imperial Credit Industries, Inc. 8/1/08 41 .................................................................................................. 1,880 Insilco Holding Co. 8/15/08 75,200 .................................................................................................. 2,590 Interact Systems, Inc. 8/1/03 3 .................................................................................................. 2,590 Interact Systems, Inc. 144A 12/15/09 26 .................................................................................................. 248,164 Intira Corp. Class B 9/29/10 25 .................................................................................................. 2,030 iPCS Inc. 144A 7/15/10 50,750 .................................................................................................. 1,500 Iridium World Com 144A 7/15/05 1 .................................................................................................. 1,190 IWO Holdings, Inc. 1/15/11 83,300 .................................................................................................. 2,100 Jostens, Inc. 5/1/10 21,000 .................................................................................................. 6,794 KMC Telecommunications Holdings, Inc. 144A 4/15/08 68 .................................................................................................. 6,100 Knology Holdings, Inc. 10/22/07 153 .................................................................................................. 1,089 Leap Wireless International, Inc. 144A 4/15/10 32,670 .................................................................................................. 6,920 McCaw International, Ltd. 4/15/07 69 .................................................................................................. 1,850 Mediq, Inc. 144A 6/1/09 19 .................................................................................................. 765 Metronet Communications 144A 8/15/07 30,600 .................................................................................................. 1,990 Orbital Imaging Corp. 144A 3/1/05 1 .................................................................................................. 3,895 Orion Network Systems, Inc. 1/15/07 97 .................................................................................................. 7,130 Pagemart, Inc. 144A 12/31/03 71 .................................................................................................. 3,200 Paxson Communications Corp. 144A 6/30/03 12,800 .................................................................................................. 850 Pliant Corp. 144A 6/1/10 1,700 .................................................................................................. 2,175 Raintree Resort 144A 12/1/04 22 .................................................................................................. 1,790 Startec Global Communications Corp. 5/15/08 18 .................................................................................................. 960 Sterling Chemicals Holdings 8/15/08 576 .................................................................................................. 1,330 Telehub Communications Corp. 144A 7/31/05 1 .................................................................................................. 1,140 Travel Centers of America, Inc. 144A 5/1/09 11 .................................................................................................. 3,450 Ubiquitel, Inc. 144A 4/15/10 172,500 .................................................................................................. 6,950 UIH Australia/Pacific, Inc. 144A 5/15/06 70 .................................................................................................. 40,816 United Artists Theatre 3/2/08 326,528 .................................................................................................. 19,720 USN Communications Inc. 8/15/04 8 .................................................................................................. 2,460 Veraldo Holdings, Inc. 144A 4/15/08 25 .................................................................................................. 70 Versatel Telecom NV (Netherlands) 5/15/08 35 .................................................................................................. 1,950 WAM!NET, Inc. 3/1/05 20 .................................................................................................. 2,050 XM Satellite Radio Holdings, Inc. 144A 3/15/10 2,050 - -------------------------------------------------------------------------------------------------- Total Warrants (cost $6,973,579) $1,250,894 - -------------------------------------------------------------------------------------------------- PURCHASED OPTIONS OUTSTANDING (--%) (a) - -------------------------------------------------------------------------------------------------- Expiration Date/ Market Contract Amount Strike Price Value .................................................................................................. $3,095,765 Brazil (Federation of) C Brady Bond, 4/15/14 (Lehman Brothers) (Call) Feb 02/76.1875 BRL $1,548 .................................................................................................. 1,536,000 Russia (Federation of) Global Bond, 5s, 3/31/30 (Lehman Brothers) (Call) Feb 02/56.5 RUB 3,132 .................................................................................................. 1,516,000 United Mexican States Global Bond, 11.5s, 5/15/26 (Lehman Brothers) (Call) Feb 02/127.30 MXP 637 - -------------------------------------------------------------------------------------------------- Total Purchased Options Outstanding (cost $87,446) $5,317 - -------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.7%) (a) - -------------------------------------------------------------------------------------------------- Principal Amount Value .................................................................................................. $11,089 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates from January 2, 2002 to February 28, 2002 (d) $11,075 .................................................................................................. 20,490,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001, with Goldman Sachs & Co. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $20,492,038 for an effective yield of 1.79% 20,490,000 .................................................................................................. 20,400,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001, with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $20,402,040 for an effective yield of 1.80% 20,400,000 - -------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $40,890,000) $40,901,075 - -------------------------------------------------------------------------------------------------- Total Investments (cost $859,214,832) (b) $692,700,340 - -------------------------------------------------------------------------------------------------- Written Put Options on Foreign Currency Outstanding at December 31, 2001 (premium received $898,100) - -------------------------------------------------------------------------------------------------- Expiration Date/ Market Contract Amount Strike Price Value .................................................................................................. $5,000,000 HYDI 100 Index 9.4 (JP Morgan Guaranty Trust) (Put) Nov 06/100 $900,500 - -------------------------------------------------------------------------------------------------- Swap Contracts Outstanding at December 31, 2001 - -------------------------------------------------------------------------------------------------- Notional Termination Unrealized Amount Date Appreciation .................................................................................................. Agreement with Merrill Lynch Capital Services dated October 27, 2000 to receive semi-annually the notional amount multiplied by 6.74% and pay quarterly the notional amount multiplied by three month USD LIBOR $15,600,000 10/31/05 $1,110,931 - -------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Income Fund The fund's portfolio December 31, 2001 U.S. GOVERNMENT AND AGENCY OBLIGATIONS (59.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... U.S. Government Agency Mortgage Obligations (43.9%) .......................................................................................................................... Federal Home Loan Mortgage Association .......................................................................................................................... $6,860,172 7 1/2s, with due dates from October 1, 2029 to December 1, 2029 $7,089,234 .......................................................................................................................... Federal National Mortgage Association Pass-Through Certificates .......................................................................................................................... 36,892,465 7 1/2s, with due dates from October 1, 2029 to August 1, 2031 38,094,179 .......................................................................................................................... 11,880,000 7 1/4s, May 15, 2030 13,383,533 .......................................................................................................................... 1,890,873 7s, with due dates from November 1, 2014 1,958,679 .......................................................................................................................... 87,852,000 7s, TBA, with due dates from December 1, 2016 to December 1, 2032 90,041,789 .......................................................................................................................... 340,000 6 5/8s, November 15, 2030 355,246 .......................................................................................................................... 132,462,176 6 1/2s, with due dates from June 1, 2016 to January 1, 2032 133,059,241 .......................................................................................................................... 49,985,932 6s, with due dates from April 1, 2016 to December 1, 2031 49,461,924 .......................................................................................................................... 37,993,999 6s, TBA, January 1, 2032 37,150,912 .......................................................................................................................... 97,358 5 1/2s, August 15, 2014 96,634 .......................................................................................................................... Government National Mortgage Association Pass-Through Certificates .......................................................................................................................... 23,925,530 8s, with due dates from January 15, 2022 to December 15, 2027 25,234,116 .......................................................................................................................... 2,566,769 7 1/2s, with due dates from August 15, 2029 to January 15, 2030 2,660,328 .......................................................................................................................... 4,332,830 7s, with due dates from March 15, 2023 to September 15, 2028 4,456,230 .......................................................................................................................... 46,190,668 6 1/2s, with due dates from September 15, 2024 to December 15, 2031 46,505,113 - -------------------------------------------------------------------------------------------------------------------------- 449,547,158 - -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Obligations (15.3%) .......................................................................................................................... U.S. Treasury Bonds .......................................................................................................................... 5,035,000 8s, November 15, 2021 6,374,008 .......................................................................................................................... 8,240,000 6 1/8s, August 15, 2029 (SEG) 8,721,546 .......................................................................................................................... 5,120,000 6s, February 15, 2026 5,268,019 .......................................................................................................................... 10,530,000 5 3/8s, February 15, 2031 10,376,999 .......................................................................................................................... 3,310,000 5 1/4s, February 15, 2029 3,098,988 .......................................................................................................................... U.S. Treasury Notes .......................................................................................................................... 11,095,000 7s, July 15, 2006 12,266,854 .......................................................................................................................... 21,310,000 6 5/8s, May 15, 2007 23,407,756 .......................................................................................................................... 4,390,000 5s, August 15, 2011 4,376,259 .......................................................................................................................... 69,575,000 3 1/2s, November 15, 2006 67,052,906 .......................................................................................................................... 16,110,000 3 1/8s, December 31, 2003 16,167,835 - -------------------------------------------------------------------------------------------------------------------------- 157,111,170 - -------------------------------------------------------------------------------------------------------------------------- Total U.S. Government and Agency Obligations (cost $608,938,143) $606,658,328 - -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES (29.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... Aerospace and Defense (1.3%) .......................................................................................................................... $410,000 BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008 $343,375 .......................................................................................................................... 3,105,000 Boeing Co. deb. 6 5/8s, 2038 2,885,321 .......................................................................................................................... 2,260,000 Lockheed Martin Corp. bonds 8 1/2s, 2029 2,703,683 .......................................................................................................................... 1,510,000 Raytheon Co. notes 8.3s, 2010 1,683,861 .......................................................................................................................... 4,320,000 Raytheon Co. notes 6.15s, 2008 4,271,918 .......................................................................................................................... 1,040,000 Sequa Corp. sr. notes 9s, 2009 956,800 - -------------------------------------------------------------------------------------------------------------------------- 12,844,958 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.9%) .......................................................................................................................... 5,580,000 Continental Airlines, Inc. pass-through certificates Ser. 98-2, 6.32s, 2008 4,961,569 .......................................................................................................................... 3,492,664 Continental Airlines, Inc. pass-through certificates Ser. 981C, 6.541s, 2009 2,989,127 .......................................................................................................................... 1,070,000 Northwest Airlines, Inc. company guaranty 7 7/8s, 2008 781,100 - -------------------------------------------------------------------------------------------------------------------------- 8,731,796 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.9%) .......................................................................................................................... 2,085,000 DaimlerChrysler Corp. company guaranty 8 1/2s, 2031 2,232,785 .......................................................................................................................... 600,000 Dana Corp. 144A sr. notes 9s, 2011 552,000 .......................................................................................................................... 4,310,000 Ford Motor Co. bonds 6 5/8s, 2028 3,587,946 .......................................................................................................................... 1,920,000 Ford Motor Co. notes 7.45s, 2031 1,761,658 .......................................................................................................................... 1,000,000 Hayes Lemmerz International, Inc. 144A sr. sub. notes 9 1/8s, 2007 (In default) (NON) 40,000 .......................................................................................................................... 1,410,000 Visteon Corp. sr. notes 8 1/4s, 2010 1,458,687 - -------------------------------------------------------------------------------------------------------------------------- 9,633,076 - -------------------------------------------------------------------------------------------------------------------------- Banking (5.1%) .......................................................................................................................... 4,935,000 Bank of America Corp. sub. notes 7.4s, 2011 5,293,478 .......................................................................................................................... 4,590,000 Bank One Corp. notes 6s, 2008 4,602,577 .......................................................................................................................... 6,000,000 Bank United Corp. notes Ser. A, 8s, 2009 6,495,240 .......................................................................................................................... 8,150,000 BankAmerica Corp. sr. notes 5 7/8s, 2009 8,062,795 .......................................................................................................................... 6,270,000 Citicorp sub. notes 6 3/8s, 2008 6,422,048 .......................................................................................................................... 3,000,000 Colonial Bank sub. notes 9 3/8s, 2011 3,134,010 .......................................................................................................................... 1,300,000 GS Escrow Corp. sr. notes 7 1/8s, 2005 1,295,996 .......................................................................................................................... 2,000,000 Merita Bank, Ltd. sub. notes 6 1/2s, 2006 (Finland) 2,085,080 .......................................................................................................................... 1,300,000 National City Corp. sub. notes 7.2s, 2005 1,380,704 .......................................................................................................................... 2,110,000 NB Capital Trust IV company guaranty 8 1/4s, 2027 2,231,895 .......................................................................................................................... 2,105,000 Norwest Corp. med. term sr. notes 6 3/4s, 2027 2,088,349 .......................................................................................................................... 3,040,000 PNC Funding Corp. company guaranty 5 3/4s, 2006 3,097,304 .......................................................................................................................... 1,000,000 Riggs Capital Trust 144A company guaranty 8 7/8s, 2027 716,730 .......................................................................................................................... 2,630,000 Royal Bank of Scotland Group PLC bonds Ser. 2, 8.817s, 2005 (United Kingdom) 2,850,394 .......................................................................................................................... 1,900,000 Sovereign Bancorp, Inc. sr. notes 10 1/2s, 2006 2,052,000 .......................................................................................................................... 790,000 Webster Capital Trust I 144A bonds 9.36s, 2027 673,238 - -------------------------------------------------------------------------------------------------------------------------- 52,481,838 - -------------------------------------------------------------------------------------------------------------------------- Beverage (0.3%) .......................................................................................................................... 2,940,000 Pepsi Bottling Group, Inc. (The) sr. notes Ser. B, 7s, 2029 3,116,253 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.1%) .......................................................................................................................... 645,000 News America Holdings, Inc. deb. 7.7s, 2025 629,456 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.4%) .......................................................................................................................... 1,000,000 Adelphia Communications Corp. sr. notes Ser. B, 9 7/8s, 2007 980,000 .......................................................................................................................... 500,000 CSC Holdings, Inc. sr. notes 7 1/4s, 2008 500,110 .......................................................................................................................... 1,900,000 CSC Holdings, Inc. sr. sub. deb. 9 7/8s, 2013 2,014,000 .......................................................................................................................... 1,000,000 TeleWest Communications PLC deb. 9 5/8s, 2006 (United Kingdom) 695,000 - -------------------------------------------------------------------------------------------------------------------------- 4,189,110 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.6%) .......................................................................................................................... 970,000 Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008 979,700 .......................................................................................................................... 70,000 Hercules, Inc. company guaranty 11 1/8s, 2007 72,100 .......................................................................................................................... 170,000 IMC Global, Inc. company guaranty Ser. B, 10 7/8s, 2008 181,512 .......................................................................................................................... 1,340,000 Lyondell Petrochemical Co. sec. notes Ser. B, 9 7/8s, 2007 1,336,650 .......................................................................................................................... 970,000 Millenium America, Inc. company guaranty 9 1/4s, 2008 999,100 .......................................................................................................................... 750,000 Pioneer Americas Acquisition company guaranty 9 1/4s, 2007 (In default) (NON) 210,000 .......................................................................................................................... 1,740,000 Rohm & Haas Co. notes 7.4s, 2009 1,870,465 - -------------------------------------------------------------------------------------------------------------------------- 5,649,527 - -------------------------------------------------------------------------------------------------------------------------- Computers (0.2%) .......................................................................................................................... 2,410,000 IBM Corp. deb. 7 1/8s, 2096 2,479,288 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (2.1%) .......................................................................................................................... 3,411,000 Allied Corp. notes 6 1/8s, 2005 3,518,276 .......................................................................................................................... 8,000,000 Tyco International Group SA company guaranty 5.8s, 2006 (Luxembourg) 8,021,840 .......................................................................................................................... 10,100,000 Tyco International, Ltd. company guaranty 6 3/8s, 2005 (Luxembourg) 10,252,611 - -------------------------------------------------------------------------------------------------------------------------- 21,792,727 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.4%) .......................................................................................................................... 1,380,000 Ford Motor Credit Corp. bonds 7 3/8s, 2011 1,361,784 .......................................................................................................................... 4,040,000 Ford Motor Credit Corp. notes 7 3/8s, 2009 3,988,611 .......................................................................................................................... - -------------------------------------------------------------------------------------------------------------------------- 50,000 Ford Motor Credit Corp. notes 6.55s, 2002 50,922 .......................................................................................................................... 4,980,000 Ford Motor Credit Corp. notes 6 1/2s, 2007 4,887,114 .......................................................................................................................... 2,025,000 Household Finance Corp. notes 6 1/2s, 2008 2,029,091 .......................................................................................................................... 1,640,000 Household Finance Corp. sr. unsub. 5 7/8s, 2009 1,558,361 - -------------------------------------------------------------------------------------------------------------------------- 13,875,883 - -------------------------------------------------------------------------------------------------------------------------- Containers (--%) .......................................................................................................................... 500,000 Ball Corp. company guaranty 8 1/4s, 2008 527,500 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (2.2%) .......................................................................................................................... 550,000 AES Corp. (The) sr. notes 8 7/8s, 2011 473,000 .......................................................................................................................... 3,610,000 Arizona Public Service Co. sr. notes 6 3/4s, 2006 3,732,668 .......................................................................................................................... 870,000 Avista Corp. sr. notes 9 3/4s, 2008 892,620 .......................................................................................................................... 2,105,000 CILCORP, Inc. sr. notes 8.7s, 2009 2,065,005 .......................................................................................................................... 1,060,000 CMS Energy Corp. sr. notes 8.9s, 2008 1,075,900 .......................................................................................................................... 1,415,000 CMS Energy Corp. sr. notes 7 5/8s, 2004 1,403,397 .......................................................................................................................... 3,780,000 DPL, Inc. 144A bonds 8 1/8s, 2031 3,632,164 .......................................................................................................................... 4,765,000 FirstEnergy Corp. notes Ser. A, 5 1/2s, 2006 4,697,480 .......................................................................................................................... 550,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 610,500 .......................................................................................................................... 574,343 Northeast Utilities notes Ser. A, 8.58s, 2006 610,653 .......................................................................................................................... 2,860,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 2,897,062 - -------------------------------------------------------------------------------------------------------------------------- 22,090,449 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.3%) .......................................................................................................................... 3,090,000 Transocean Sedco Forex, Inc. notes 6 5/8s, 2011 3,033,917 - -------------------------------------------------------------------------------------------------------------------------- Financial (2.7%) .......................................................................................................................... 2,225,000 ACE INA Holdings, Inc. company guaranty 8.3s, 2006 2,415,994 .......................................................................................................................... 1,410,000 American General Institute 144A company guaranty 8 1/8s, 2046 1,588,873 .......................................................................................................................... 3,330,000 Associates Corp. sr. notes 6 1/4s, 2008 3,432,398 .......................................................................................................................... 1,750,000 Associates First Capital Corp. deb. 6.95s, 2018 1,806,945 .......................................................................................................................... 2,715,000 Conseco Financing Trust II company guaranty 8.7s, 2026 515,850 .......................................................................................................................... 480,000 Conseco Finance Trust III, Inc. bonds 8.796s, 2027 91,200 .......................................................................................................................... 3,275,000 Liberty Mutual Insurance 144A notes 7.697s, 2097 2,519,654 .......................................................................................................................... 2,560,000 Metlife, Inc. sr. notes 5 1/4s, 2006 2,556,555 .......................................................................................................................... 3,870,000 Principal Financial Group 144A notes 7.95s, 2004 (Australia) 4,158,586 .......................................................................................................................... 2,660,000 Salomon, Inc. sr. notes 6 3/4s, 2003 2,776,641 .......................................................................................................................... 4,315,000 Sun Life Canada Capital Trust 144A company guaranty 8.526s, 2049 4,497,136 .......................................................................................................................... 2,115,000 TIG Capital Trust I 144A bonds 8.597s, 2027 1,142,100 .......................................................................................................................... 65,000 Vesta Insurance Group, Inc. 144A company guaranty 8.525s, 2027 39,000 - -------------------------------------------------------------------------------------------------------------------------- 27,540,932 - -------------------------------------------------------------------------------------------------------------------------- Food (0.5%) .......................................................................................................................... 480,000 Aurora Foods, Inc. sr. sub. notes Ser. B, 9 7/8s, 2007 460,800 .......................................................................................................................... 340,000 Doane Pet Care Co. sr. sub. deb. 9 3/4s, 2007 290,700 .......................................................................................................................... 4,575,000 Kraft Foods, Inc. notes 4 5/8s, 2006 4,477,141 .......................................................................................................................... 180,000 Vlasic Foods International, Inc. sr. sub. notes Ser. B, 10 1/4s, 2009 (In default) (NON) 39,600 - -------------------------------------------------------------------------------------------------------------------------- 5,268,241 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (0.4%) .......................................................................................................................... 850,000 International Game Technology sr. notes 8 3/8s, 2009 894,625 .......................................................................................................................... 250,000 MGM Mirage, Inc. company guaranty 9 3/4s, 2007 261,875 .......................................................................................................................... 470,000 MGM Mirage, Inc. company guaranty 8 3/8s, 2011 464,125 .......................................................................................................................... 1,050,000 Mohegan Tribal Gaming Authority sr. sub. notes 8 3/4s, 2009 1,097,250 .......................................................................................................................... 260,000 Park Place Entertainment Corp. sr. notes 7 1/2s, 2009 252,200 .......................................................................................................................... 1,240,000 Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007 1,289,600 - -------------------------------------------------------------------------------------------------------------------------- 4,259,675 - -------------------------------------------------------------------------------------------------------------------------- Health Care (0.1%) .......................................................................................................................... 500,000 Fresenius Medical Capital Trust II company guaranty 7 7/8s, 2008 500,000 .......................................................................................................................... 100,000 HCA, Inc. notes 7 1/4s, 2008 102,500 .......................................................................................................................... 260,000 Integrated Health Services, Inc. sr. sub. notes Ser. A, 9 1/4s, 2008 (In default) (NON) 26 .......................................................................................................................... 640,000 Multicare Cos., Inc. sr. sub. notes 9s, 2007 (In default) 64 - -------------------------------------------------------------------------------------------------------------------------- 602,590 - -------------------------------------------------------------------------------------------------------------------------- Homebuilding (0.1%) .......................................................................................................................... 1,305,000 D.R. Horton, Inc. company guaranty 8s, 2009 1,295,213 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.7%) .......................................................................................................................... 2,205,000 Goldman Sachs Group, Inc (The) notes Ser. B, 7.35s, 2009 2,325,371 .......................................................................................................................... 4,410,000 Morgan Stanley Dean Witter & Co. sr. notes 6 3/4s, 2011 4,512,885 - -------------------------------------------------------------------------------------------------------------------------- 6,838,256 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.3%) .......................................................................................................................... 830,000 Felcor Lodging LP company guaranty 8 1/2s, 2011 (R) 800,950 .......................................................................................................................... 2,815,000 HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 2,603,875 - -------------------------------------------------------------------------------------------------------------------------- 3,404,825 - -------------------------------------------------------------------------------------------------------------------------- Machinery (--%) .......................................................................................................................... 180,000 Case Corp. notes 7 1/4s, 2016 140,400 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.4%) .......................................................................................................................... 4,015,000 Norsk Hydro ASA notes 6.36s, 2009 (Norway) 4,019,176 - -------------------------------------------------------------------------------------------------------------------------- Media (0.5%) .......................................................................................................................... 4,715,000 AOL Time Warner, Inc. bonds 7 5/8s, 2031 4,989,837 - -------------------------------------------------------------------------------------------------------------------------- Medical Services (--%) .......................................................................................................................... 340,000 Sun Healthcare Group, Inc. sr. sub. notes Ser. B, 9 1/2s, 2007 (In default) (NON) 34 - -------------------------------------------------------------------------------------------------------------------------- Metals (0.1%) .......................................................................................................................... 1,140,000 AK Steel Corp. company guaranty 7 7/8s, 2009 1,122,900 .......................................................................................................................... 180,000 WHX Corp. sr. notes 10 1/2s, 2005 90,000 - -------------------------------------------------------------------------------------------------------------------------- 1,212,900 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (2.1%) .......................................................................................................................... 1,960,000 Conoco Funding Co. company guaranty 6.35s, 2011 1,985,264 .......................................................................................................................... 2,980,000 Conoco Funding Co. company guaranty 5.45s, 2006 2,987,986 .......................................................................................................................... 660,000 El Paso Energy Partners L.P. company guaranty Ser. B, 8 1/2s, 2011 666,600 .......................................................................................................................... 5,755,000 Kerr-McGee Corp. company guaranty 6 7/8s, 2011 5,788,552 .......................................................................................................................... 4,310,000 Occidental Petroleum, Corp. 144A Structured Notes (issued by STEERS Credit Trust 2001) 6.019%, 2004 4,353,100 .......................................................................................................................... 2,790,000 Phillips Petroleum Co. notes 8 3/4s, 2010 3,247,560 .......................................................................................................................... 1,000,000 Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 1,045,170 .......................................................................................................................... 645,000 Union Oil Company of California company guaranty 7 1/2s, 2029 667,736 .......................................................................................................................... 1,080,000 Union Pacific Resources Group, Inc. notes 7.3s, 2009 1,131,818 - -------------------------------------------------------------------------------------------------------------------------- 21,873,786 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (0.1%) .......................................................................................................................... 740,000 Georgia-Pacific Group notes 8 7/8s, 2031 732,163 .......................................................................................................................... 340,000 Norampac, Inc. sr. notes 9 1/2s, 2008 (Canada) 355,300 - -------------------------------------------------------------------------------------------------------------------------- 1,087,463 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (0.5%) .......................................................................................................................... 5,185,000 Bristol-Myers Squibb Co. notes 4 3/4s, 2006 5,134,861 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.2%) .......................................................................................................................... 1,050,000 Calpine Corp. sr. notes 8 1/2s, 2011 939,750 .......................................................................................................................... 510,000 Calpine Corp. sr. notes 7 3/4s, 2009 451,350 .......................................................................................................................... 442,000 York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (NON) 419,900 - -------------------------------------------------------------------------------------------------------------------------- 1,811,000 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.3%) .......................................................................................................................... 2,785,000 Burlington Northern Santa Fe Corp. notes 7 1/8s, 2010 2,912,887 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (0.3%) .......................................................................................................................... 3,030,000 Simon Property Group LP 144A notes 6 3/8s, 2007 2,998,912 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (0.5%) .......................................................................................................................... 4,980,000 US West Capital Funding, Inc. company guaranty 6 1/4s, 2005 4,893,248 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (--%) .......................................................................................................................... 430,000 Tricon Global Restaurants, Inc. sr. notes 7.65s, 2008 432,150 - -------------------------------------------------------------------------------------------------------------------------- Retail (0.4%) .......................................................................................................................... 280,000 Dillards, Inc. notes 6.43s, 2004 267,215 .......................................................................................................................... 480,000 J.C. Penney Co., Inc. notes 7.6s, 2007 470,400 .......................................................................................................................... 600,000 K mart Corp. med. term notes 7.76s, 2002 589,314 .......................................................................................................................... 400,000 K mart Corp. med. term notes 7.74s, 2002 393,088 .......................................................................................................................... 1,030,000 K mart Corp. notes 8 3/8s, 2004 854,900 .......................................................................................................................... 1,500,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 1,401,495 - -------------------------------------------------------------------------------------------------------------------------- 3,976,412 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (0.1%) .......................................................................................................................... 1,440,000 Fairchild Semiconductor International, Inc. sr. sub. notes 10 1/8s, 2007 1,479,600 - -------------------------------------------------------------------------------------------------------------------------- Software (--%) .......................................................................................................................... 120,000 Telehub Communications Corp. company guaranty stepped-coupon zero % (13 7/8s, 7/31/02), 2005 (STP) 12 - -------------------------------------------------------------------------------------------------------------------------- Technology (0.1%) .......................................................................................................................... 210,000 Flextronics International, Ltd. sr. sub. notes 9 7/8s, 2010 (Singapore) 220,500 .......................................................................................................................... 820,000 Lucent Technologies, Inc. deb. 6.45s, 2029 541,200 - -------------------------------------------------------------------------------------------------------------------------- 761,700 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (0.1%) .......................................................................................................................... 120,000 Xerox Cap Europe PLC company guaranty 5 7/8s, 2004 (United Kingdom) 110,400 .......................................................................................................................... 170,000 Xerox Corp. notes 5 1/2s, 2003 159,800 .......................................................................................................................... 290,000 Xerox Corp. notes Ser. E, 5 1/4s, 2003 271,150 - -------------------------------------------------------------------------------------------------------------------------- 541,350 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.5%) .......................................................................................................................... 2,550,000 Calpoint Receivable Structured Trust 2001 144A bonds 7.44s, 2006 2,501,168 .......................................................................................................................... 2,235,000 Cingular Wireless 144A notes 5 5/8s, 2006 2,241,750 .......................................................................................................................... 60,000 Flag, Ltd. 144A sr. notes 8 1/4s, 2008 (Bermuda) 40,800 .......................................................................................................................... 4,295,000 France Telecom 144A notes 7 3/4s, 2011 (France) 4,599,601 .......................................................................................................................... 570,000 Nextel Communications, Inc. sr. notes 12s, 2008 497,325 .......................................................................................................................... 125,000 Sprint Capital Corp. company guaranty 6 1/8s, 2008 121,585 .......................................................................................................................... 3,960,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 4,235,180 .......................................................................................................................... 7,420,000 Verizon Wireless, Inc. 144A notes 5 3/8s, 2006 7,379,116 .......................................................................................................................... 4,390,000 Worldcom, Inc.-WorldCom Group notes 7 1/2s, 2011 4,495,711 - -------------------------------------------------------------------------------------------------------------------------- 26,112,236 - -------------------------------------------------------------------------------------------------------------------------- Telephone (--%) .......................................................................................................................... 140,000 Birch Telecommunications, Inc. sr. notes 14s, 2008 28,000 .......................................................................................................................... 286,000 Voicestream Wireless Corp. sr. notes 10 3/8s, 2009 326,603 - -------------------------------------------------------------------------------------------------------------------------- 354,603 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (0.4%) .......................................................................................................................... 1,940,000 Philip Morris Companies, Inc. notes 7 1/4s, 2003 2,008,113 .......................................................................................................................... 1,750,000 Philip Morris Companies, Inc. notes 7 1/8s, 2004 1,847,685 - -------------------------------------------------------------------------------------------------------------------------- 3,855,798 - -------------------------------------------------------------------------------------------------------------------------- Toys (--%) .......................................................................................................................... 290,000 Hasbro, Inc. notes 6.15s, 2008 263,900 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.1%) .......................................................................................................................... 1,305,000 Browning-Ferris deb. 7.4s, 2035 1,044,000 - -------------------------------------------------------------------------------------------------------------------------- Water Utilities (0.2%) .......................................................................................................................... 500,000 Azurix Corp. sr. notes Ser. B, 10 3/4s, 2010 350,000 .......................................................................................................................... 2,460,000 Azurix Corp. sr. notes Ser. B, 10 3/8s, 2007 1,722,000 - -------------------------------------------------------------------------------------------------------------------------- 2,072,000 - -------------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $307,887,731) $302,253,775 - -------------------------------------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS (9.3%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $1,150,938 Arc Net Interest Margin Trust FRN Ser. 01-5A, Class A, 2.63s, 2008 $1,148,060 .......................................................................................................................... 283,816 Arc Net Interest Margin Trust 144A Ser. 01-6A, Class A, 7 1/4s, 2031 281,316 .......................................................................................................................... 5,920,045 Banc of America Commercial Mortgage, Inc. Ser. 01-PB1, Class XC, Interest Only (IO), 0.95s, 2035 261,777 .......................................................................................................................... 1,104,686 Chase Commercial Mortgage Securities Corp. Ser. 98-1, Class A1, 6.34s, 2006 1,150,255 .......................................................................................................................... 41,416,738 Commercial Mortgage Asset Trust Ser. 99-C1, Class X, IO, 0.92s, 2020 2,383,080 .......................................................................................................................... 2,575,000 Countrywide Home Loan Ser. 98-A12, Class A14, 8s, 2028 2,705,359 .......................................................................................................................... 1,520,000 Criimi Mae Commercial Mortgage Trust Ser. 98-C1, Class A2, 7s, 2011 1,509,075 .......................................................................................................................... CS First Boston Mortgage Securities Corp. .......................................................................................................................... 1,396,000 Ser. 99-C1, Class E, 7.928s, 2009 1,478,452 .......................................................................................................................... 1,447,395 Ser. 01-CK3, Class A1, 5.26s, 2006 1,476,569 .......................................................................................................................... Fannie Mae .......................................................................................................................... 2,401 Ser. 92-15, Class L, IO, 10.38s, 2022 66,719 .......................................................................................................................... 6,628,670 Ser. 01-T8, Class A1, 7 1/2s, 2031 6,937,318 .......................................................................................................................... 9,342,162 Ser. 01-T4, Class A1, 7 1/2s, 2028 9,777,157 .......................................................................................................................... 64,535,000 Ser. 01-T12, IO, 0.572s, 2041 1,078,945 .......................................................................................................................... 7,660,000 FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s, 2027 8,164,250 .......................................................................................................................... First Union National Bank Commercial Mortgage 144A .......................................................................................................................... 595,000 Ser. 01-C4, Class G, 6.937s, 2033 598,009 .......................................................................................................................... 300,000 Ser. 01-C4, Class F, 6.79s, 2033 301,519 .......................................................................................................................... 7,157,747 Freddie Mac Strip Ser. 204, Class IO, 6s, May 1, 2029 1,831,936 .......................................................................................................................... 449,092 G-Force FRB Ser. 01-1, Class A, 2.53s, 2033 449,092 .......................................................................................................................... 2,400,000 GE Capital Mortgage Services, Inc. Ser. 98-11, Class 2A4, 6 3/4s, 2028 2,398,752 .......................................................................................................................... 5,257,905 General Growth Properties-Mall Properties Trust FRB Ser. 01-C1A, Class D3, 4.146s, 2014 5,257,905 .......................................................................................................................... 464,666 General Growth Properties-Mall Properties Trust 144A Ser. 01-C1A, Class D2, 5.89s, 2011 448,430 .......................................................................................................................... Government National Mortgage Association .......................................................................................................................... 4,286,457 Ser. 99-46, Class SQ, IO, 8s, 2027 305,410 .......................................................................................................................... 3,921,515 Ser. 98-2, Class EA, PO, zero %, 2028 3,176,427 .......................................................................................................................... 2,820,000 GS Mortgage Securities Corp. II Ser. 01-LIB, Class A2, 6.615s, 2016 2,762,719 .......................................................................................................................... 9,400,000 GS Mortgage Securities Corp. II 144A Ser. 01-GL3A, Class A2, 6.45s, 2018 9,303,063 .......................................................................................................................... 123,000 Host Marriott Pool Trust Ser. 99-HMTA, Class C, 7.73s, 2009 126,690 .......................................................................................................................... 1,385,000 LB Commercial Conduit Mortgage Trust Ser. 99-C2, Class B, 7.425s, 2009 1,460,040 .......................................................................................................................... 20,656,705 LB-UBS Commercial Mortgage Trust 144A Ser. 01-C7, Class XCL, IO, 7.11s, 2038 819,491 .......................................................................................................................... Merrill Lynch Mortgage Investors, Inc. .......................................................................................................................... 21,182,177 Ser. 98-C2, IO, 1.53s, 2030 1,356,156 .......................................................................................................................... 1,395,000 Ser. 96-C2, Class E, 6.96s, 2028 1,310,592 .......................................................................................................................... 618,502 Ser. 98-C2, Class A1, 6.22s, 2030 634,158 .......................................................................................................................... 10,000,000 Morgan Stanley Capital I Ser. WF2, Class B, 6.63s, 2008 10,360,938 .......................................................................................................................... Morgan Stanley Dean Witter Capital I .......................................................................................................................... 685,000 Ser. 00, Class B, 7.58s, 2010 738,837 .......................................................................................................................... 2,800,000 Ser. 00-LIF2, Class A2, 7.2s, 2010 2,961,656 .......................................................................................................................... 3,763,000 Ser. 01-IQA, Class A3, 5.72s, 2011 3,681,272 .......................................................................................................................... Morgan Stanley Dean Witter Capital I 144A .......................................................................................................................... 675,000 FRB Ser. 01-XLF, Class D, 3.6s, 2013 673,853 .......................................................................................................................... 435,000 FRB Ser. 01-XLF, Class E, 3.49s, 2013 429,911 .......................................................................................................................... 1,150,000 Salomon Brothers Mortgage Securities VII Ser. 00-C1, Class G, 7.52s, 2010 1,161,141 .......................................................................................................................... 4,134,172 TIAA Retail Commercial Mortgage Trust Ser. 99-1, Class A, 7.17s, 2032 4,333,026 - -------------------------------------------------------------------------------------------------------------------------- Total Collateralized Mortgage Obligations (cost $92,770,899) $95,299,355 - -------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (4.8%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $721,061 ABSC Nims Trust Ser. 01-HE3, Class A, 7s, 2031 $707,992 .......................................................................................................................... 1,327,000 Advanta Mortgage Loan Trust Ser. 00-1, Class A4, 8.61s, 2028 1,409,075 .......................................................................................................................... 17,114,000 Asset Backed Securities Corp. Home Equity Loan Trust, Ser. 02-HE1, Class AIO, 6 1/2s, 2032 1,948,378 .......................................................................................................................... 5,555,000 Conseco Finance Securitizations Corp. Ser. 00-4, Class A6, 8.31s, 2032 5,961,209 .......................................................................................................................... 4,590,000 Conseco Finance Securitizations Corp. Ser. 00-5, Class A6, 7.96s, 2032 4,830,986 .......................................................................................................................... 3,455,000 Conseco Finance Securitizations Corp. Ser. 01-04, Class A4, 7.36s, 2019 3,437,725 .......................................................................................................................... 1,850,000 Conseco Finance Securitizations Corp. Ser. 01-3, Class A4, 6.91s, 2031 1,799,125 .......................................................................................................................... 1,590,000 Conseco Finance Securitizations Corp. Ser. 01-4, Class B1, 9.4s, 2010 1,518,077 .......................................................................................................................... 2,665,739 First Plus Home Loan Trust Ser. 97-3, Class B1, 7.79s, 2023 2,738,631 .......................................................................................................................... 15,900,000 First USA Credit Card Master Trust Ser. 98-5, Class A, 2.01s, 2006 15,909,858 .......................................................................................................................... 600,000 Lehman Abs Manufactured Housing Contract Ser. 01-B, Class A6, 6.467s, 2028 568,125 .......................................................................................................................... 1,011,863 Mid-State Trust Ser. 10, Class B, 7.54s, 2026 957,476 .......................................................................................................................... Morgan Stanley Dean Witter Capital I .......................................................................................................................... 675,000 Ser. 01-NC3, Class B1, FRN, 4.38s, 2031 675,000 .......................................................................................................................... 2,565,000 Ser. 01-NC4, Class B1, FRN, 4.425s, 2032 2,500,875 .......................................................................................................................... 3,846,437 Xerox Equipment Lease Owner Trust 144A FRB Ser. 01-1, Class A, 3.896s, 2008 3,865,669 - -------------------------------------------------------------------------------------------------------------------------- Total Asset-Backed Securities (cost $48,580,343) $48,828,201 - -------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS AND NOTES (0.7%) (a) (cost $6,548,585) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $6,675,000 Quebec (Province of) sr. unsub. 5 3/4s, 2009 (Canada) $6,693,423 - -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS (0.5%)(a)(cost $4,298,021) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 4,535,000 First Union Capital II Ser. A, 7.95% pfd. $4,676,900 - -------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS (--%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 8,501 Aurora Foods, Inc. $42,930 .......................................................................................................................... 663,233 Contifinancial Corp. Liquidating Trust Units 39,794 .......................................................................................................................... 1,658 Genesis Health Ventures, Inc. 35,647 .......................................................................................................................... 53,517 Safety Components International, Inc. (acquired 7/24/98, cost $1,043,750) (RES) 254,206 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $1,559,201) $372,577 - -------------------------------------------------------------------------------------------------------------------------- WARRANTS (--%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .......................................................................................................................... 140 Birch Telecommunications, Inc. 144A (PIK) 6/15/08 $14 .......................................................................................................................... 2,783 Genesis Health Ventures, Inc. 10/1/02 13,218 .......................................................................................................................... 120 Telehub Communications Corp. 144A 7/31/05 1 - -------------------------------------------------------------------------------------------------------------------------- Total Warrants (cost $6,700) $13,233 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (7.9%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $25,000,000 Falcon Asset Securitization Corp. effective yield 1.90%, January 14, 2002 $24,982,847 .......................................................................................................................... 24,124,000 Thunder Bay Funding, Inc. effective yield of 1.97%, January 15, 2002 24,105,518 .......................................................................................................................... 20,000,000 Petrobs International Finance Co. effective yield of 1.90%, January 17, 2002 19,983,111 .......................................................................................................................... 11,640,000 Preferred Receivables Funding Corp. effective yield of 1.88%, January 17, 2002 11,630,171 .......................................................................................................................... 459,000 Interest in $221,765,000 joint repurchase agreement dated December 31, 2001 with Lehman Brothers, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $459,045 for an effective yield of 1.77% 459,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $81,160,647) $81,160,647 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $1,151,750,270) (b) $1,145,956,439 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Unrealized Aggregate Expiration Appreciation/ Total Value Face Value Date (Depreciation) ............................................................................. U.S. Treasury Bond (Long) $3,249,000 $3,344,886 Mar-02 $(95,886) ............................................................................. U.S. Treasury Note 5 yr (Short) 21,694,766 21,733,942 Mar-02 39,176 ............................................................................. U.S. Treasury Note 10 yr (Short) 5,993,016 5,986,539 Mar-02 (6,477) - ----------------------------------------------------------------------------- $(63,187) - ----------------------------------------------------------------------------- TBA Sales Commitments at December 31, 2001 (proceeds receivable $51,208,393) - ----------------------------------------------------------------------------- Principal Settlement Market Agency Amount Date Value ............................................................................. FNMA 6s, December 1, 2031 $53,288,000 1/14/02 $52,105,539 - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International Growth Fund The fund's portfolio December 31, 2001 COMMON STOCKS (97.6%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Australia (2.2%) .......................................................................................................................... 782,523 BHP Billiton, Ltd. $4,205,200 .......................................................................................................................... 321,145 News Corp., Ltd. (The) ADR 10,215,622 .......................................................................................................................... 139,955 Rio Tinto, Ltd. 2,665,027 - -------------------------------------------------------------------------------------------------------------------------- 17,085,849 - -------------------------------------------------------------------------------------------------------------------------- Belgium (0.7%) .......................................................................................................................... 348,765 Dexia 5,029,624 - -------------------------------------------------------------------------------------------------------------------------- Brazil (1.0%) .......................................................................................................................... 111,788 Companhia de Bebidas das Americas (AmBev) ADR 2,268,179 .......................................................................................................................... 148,485 Petroleo Brasileiro SA ADR 3,459,701 .......................................................................................................................... 77,936 Unibanco-Uniao de Bancos Brasileiros SA GDR 1,737,973 - -------------------------------------------------------------------------------------------------------------------------- 7,465,853 - -------------------------------------------------------------------------------------------------------------------------- Canada (2.2%) .......................................................................................................................... 16,205 Alcan Aluminum, Ltd. 580,273 .......................................................................................................................... 80,002 Royal Bank of Canada 2,598,060 .......................................................................................................................... 275,543 Sun Life Financial Services of Canada, Inc. 5,861,331 .......................................................................................................................... 135,162 Suncor Energy, Inc. 4,437,650 .......................................................................................................................... 147,628 Toronto-Dominion Bank 3,799,849 - -------------------------------------------------------------------------------------------------------------------------- 17,277,163 - -------------------------------------------------------------------------------------------------------------------------- Denmark (1.1%) .......................................................................................................................... 355,394 Danske Bank A/S 5,704,695 .......................................................................................................................... 68,150 TDC A/S 2,428,681 - -------------------------------------------------------------------------------------------------------------------------- 8,133,376 - -------------------------------------------------------------------------------------------------------------------------- Finland (1.0%) .......................................................................................................................... 380,333 Stora Enso OYJ Class R 4,868,672 .......................................................................................................................... 61,798 TietoEnator OYJ 1,636,624 .......................................................................................................................... 42,200 TietoEnator OYJ 144A 1,117,602 - -------------------------------------------------------------------------------------------------------------------------- 7,622,898 - -------------------------------------------------------------------------------------------------------------------------- France (14.7%) .......................................................................................................................... 106,180 Accor SA 3,859,310 .......................................................................................................................... 67,605 Aventis SA 4,799,512 .......................................................................................................................... 84,797 BNP Paribas SA 7,586,372 .......................................................................................................................... 240,773 Bouygues SA 7,887,569 .......................................................................................................................... 55,067 Groupe Danone 6,715,828 .......................................................................................................................... 288,398 Havas Advertising SA 2,087,230 .......................................................................................................................... 71,689 Lafarge Coppee 6,694,461 .......................................................................................................................... 236,150 Orange SA (NON) 2,140,047 .......................................................................................................................... 86,307 Publicis SA 2,285,707 .......................................................................................................................... 322,209 Sanofi-Synthelabo SA 24,036,392 .......................................................................................................................... 137,790 Societe Generale 7,709,222 .......................................................................................................................... 156,825 Societe Television Francaise I 3,963,403 .......................................................................................................................... 240,084 TotalFinaElf SA Class B 34,281,133 - -------------------------------------------------------------------------------------------------------------------------- 114,046,186 - -------------------------------------------------------------------------------------------------------------------------- Germany (7.1%) .......................................................................................................................... 77,215 Allianz AG 18,249,619 .......................................................................................................................... 106,000 BASF AG 3,949,016 .......................................................................................................................... 266,613 Bayerische Motoren Werke (BMW) AG 9,386,753 .......................................................................................................................... 166,939 Deutsche Post AG 2,303,441 .......................................................................................................................... 51,891 Deutsche Post AG 144A 715,997 .......................................................................................................................... 101,778 Metro AG 3,578,810 .......................................................................................................................... 58,396 Muenchener Rueckversicherungs- Gesellschaft AG 15,855,156 .......................................................................................................................... 2,060 Muenchener Rueckversicherungs- Gesellschaft AG 144A 559,313 .......................................................................................................................... 80,619 ProSiebenSat.1 Media AG 398,307 - -------------------------------------------------------------------------------------------------------------------------- 54,996,412 - -------------------------------------------------------------------------------------------------------------------------- Hong Kong (2.5%) .......................................................................................................................... 1,093,000 Cheung Kong Holdings, Ltd. 11,353,733 .......................................................................................................................... 350,300 China Mobile, Ltd. (NON) 1,233,150 .......................................................................................................................... 158,100 Hang Seng Bank, Ltd. 1,738,599 .......................................................................................................................... 1,114,600 Hong Kong and China Gas Co., Ltd. 1,365,073 .......................................................................................................................... 917,000 Hong Kong Electric Holdings, Ltd. 3,410,365 - -------------------------------------------------------------------------------------------------------------------------- 19,100,920 - -------------------------------------------------------------------------------------------------------------------------- India (0.1%) .......................................................................................................................... 9,095 Infosys Technologies, Ltd. 769,138 - -------------------------------------------------------------------------------------------------------------------------- Ireland (3.0%) .......................................................................................................................... 349,757 Allied Irish Banks PLC 4,047,598 .......................................................................................................................... 633,402 CRH PLC 11,181,234 .......................................................................................................................... 153,099 Elan Corp. PLC (NON) 7,087,014 .......................................................................................................................... 17,900 Elan Corp. PLC ADR (NON) 806,574 - -------------------------------------------------------------------------------------------------------------------------- 23,122,420 - -------------------------------------------------------------------------------------------------------------------------- Italy (2.1%) .......................................................................................................................... 540,893 Sanpaolo IMI SpA 5,802,111 .......................................................................................................................... 833,900 Telecom Italia SpA 4,454,027 .......................................................................................................................... 1,020,651 Telecom Italia Mobile SpA 5,696,819 - -------------------------------------------------------------------------------------------------------------------------- 15,952,957 - -------------------------------------------------------------------------------------------------------------------------- Japan (13.5%) .......................................................................................................................... 22,500 Acom Co., Ltd. 1,639,829 .......................................................................................................................... 21,200 Acom Co., Ltd. 144A 1,545,083 .......................................................................................................................... 21,250 Aiful Corp. 1,375,205 .......................................................................................................................... 50,800 Asatsu-DK, Inc. 992,468 .......................................................................................................................... 179,000 Canon,Inc. 6,160,873 .......................................................................................................................... 20,900 Fast Retailing Co., Ltd. 1,859,763 .......................................................................................................................... 79,000 Fuji Photo Film Co., Ltd. 2,821,536 .......................................................................................................................... 388 Fuji Television Network, Inc. 1,566,391 .......................................................................................................................... 219,700 Honda Motor Co., Ltd. 8,768,886 .......................................................................................................................... 42 Japan Telecom Co., Ltd. 125,966 .......................................................................................................................... 50,000 KAO Corp. 1,039,799 .......................................................................................................................... 268,000 Matsushita Electric Works, Ltd. 2,206,830 .......................................................................................................................... 900 Mitsumi Electric Company, Ltd. 10,323 .......................................................................................................................... 35,000 NEC Corp. 357,118 .......................................................................................................................... 1,447,000 Nikko Securities Co., Ltd. 6,460,068 .......................................................................................................................... 29,800 Nintendo Co., Ltd. 5,219,293 .......................................................................................................................... 611 Nippon Telegraph and Telephone Corp. (NTT) 1,991,048 .......................................................................................................................... 14,000 Nippon Television Network Corp. 2,981,951 .......................................................................................................................... 1,647 NTT DoCoMo, Inc. 19,356,508 .......................................................................................................................... 272 NTT DoCoMo, Inc. 144A 3,196,703 .......................................................................................................................... 100 OMRON Corp. 1,336 .......................................................................................................................... 38,600 Orix Corp. 3,458,343 .......................................................................................................................... 1,000 Orix Corp. 144A 89,594 .......................................................................................................................... 34,100 Rohm Co., Ltd. 4,426,611 .......................................................................................................................... 149,200 Sankyo Co., Ltd. 2,556,218 .......................................................................................................................... 140,000 Shionogi & Co., Ltd. 2,393,254 .......................................................................................................................... 34,000 Shiseido Co., Ltd. 314,221 .......................................................................................................................... 120,100 Sony Corp. 5,490,127 .......................................................................................................................... 711,000 Tokyo Gas Co., Ltd. 1,904,537 .......................................................................................................................... 551,300 Toyota Motor Corp. 13,968,146 - -------------------------------------------------------------------------------------------------------------------------- 104,278,028 - -------------------------------------------------------------------------------------------------------------------------- Mexico (1.4%) .......................................................................................................................... 1,770,166 Grupo Financiero Bancomer SA de CV (NON) 1,613,458 .......................................................................................................................... 80,815 Grupo Televisa SA ADR (NON) 3,489,592 .......................................................................................................................... 162,397 Telefonos de Mexico SA de CV (Telmex) ADR Ser. L 5,687,143 - -------------------------------------------------------------------------------------------------------------------------- 10,790,193 - -------------------------------------------------------------------------------------------------------------------------- Netherlands (5.6%) .......................................................................................................................... 47,909 ABN AMRO Holdings NV 771,513 .......................................................................................................................... 153,106 Akzo-Nobel NV 6,835,192 .......................................................................................................................... 65,906 Gucci Group NV 5,595,419 .......................................................................................................................... 974,620 ING Groep NV 24,848,257 .......................................................................................................................... 17,260 Koninklijke (Royal) Philips Electronics NV 512,879 .......................................................................................................................... 94,900 TNT Post Group NV 2,052,864 .......................................................................................................................... 77,281 VNU NV 2,374,134 - -------------------------------------------------------------------------------------------------------------------------- 42,990,258 - -------------------------------------------------------------------------------------------------------------------------- New Zealand (--%) .......................................................................................................................... 135,914 Telecom Corp. of New Zealand, Ltd. 282,905 - -------------------------------------------------------------------------------------------------------------------------- Portugal (0.2%) .......................................................................................................................... 185,164 Portugal Telecom SGPS SA (NON) 1,442,289 - -------------------------------------------------------------------------------------------------------------------------- Singapore (1.0%) .......................................................................................................................... 316,366 DBS Group Holdings, Ltd. 2,365,033 .......................................................................................................................... 404,345 Overseas-Chinese Banking Corp. 2,409,423 .......................................................................................................................... 28,000 Singapore Airlines, Ltd. 166,847 .......................................................................................................................... 222,000 Singapore Press Holdings, Ltd. 2,621,668 .......................................................................................................................... 11,000 United Overseas Bank, Ltd. 75,677 .......................................................................................................................... 45,000 Venture Manufacturing, Ltd. 324,215 - -------------------------------------------------------------------------------------------------------------------------- 7,962,863 - -------------------------------------------------------------------------------------------------------------------------- South Korea (5.6%) .......................................................................................................................... 246,880 Korea Electric Power Corp. 4,078,952 .......................................................................................................................... 288,862 Korea Telecom Corp. ADR 5,872,564 .......................................................................................................................... 69,200 Korea Tobacco & Ginseng Corp. 144A GDR (NON) 536,300 .......................................................................................................................... 3,580 Pohang Iron & Steel Company, Ltd. 332,541 .......................................................................................................................... 110,360 Pohang Iron & Steel Company, Ltd. ADR 2,538,280 .......................................................................................................................... 130,474 Samsung Electronics Co., Ltd. 27,716,039 .......................................................................................................................... 2,600 SK Telecom Co., Ltd. 530,531 .......................................................................................................................... 87,435 SK Telecom Co., Ltd. ADR 1,890,345 - -------------------------------------------------------------------------------------------------------------------------- 43,495,552 - -------------------------------------------------------------------------------------------------------------------------- Spain (1.2%) .......................................................................................................................... 72,015 Altadis SA 1,224,458 .......................................................................................................................... 56,984 Banco Popular Espanol 1,870,818 .......................................................................................................................... 445,981 Telefonica SA (NON) 5,967,095 - -------------------------------------------------------------------------------------------------------------------------- 9,062,371 - -------------------------------------------------------------------------------------------------------------------------- Sweden (4.0%) .......................................................................................................................... 955,707 Investor AB Class B 10,436,567 .......................................................................................................................... 571,930 Nordea AB 3,027,355 .......................................................................................................................... 181,055 Sandvik AB 3,876,629 .......................................................................................................................... 42,370 Securitas AB Class B 804,154 .......................................................................................................................... 228,955 Svenska Handelsbanken AB Class A 3,362,779 .......................................................................................................................... 1,805,437 Telefonaktiebolaget LM Ericsson AB Class B 9,814,871 - -------------------------------------------------------------------------------------------------------------------------- 31,322,355 - -------------------------------------------------------------------------------------------------------------------------- Switzerland (5.4%) .......................................................................................................................... 73,206 Ciba Specialty Chemicals AG 4,577,581 .......................................................................................................................... 288,300 Cie Finance Richemont AG 5,360,448 .......................................................................................................................... 12,780 Julius Baer Holdings, Ltd. AG Class B 4,313,404 .......................................................................................................................... 52,136 Nestle SA 11,123,520 .......................................................................................................................... 241,316 Novartis AG 8,726,471 .......................................................................................................................... 65,180 Swatch Group AG (The) 1,292,443 .......................................................................................................................... 29,160 Swatch Group AG (The) Class B 2,623,029 .......................................................................................................................... 19,400 Swiss Reinsurance Co. 144A 1,952,628 .......................................................................................................................... 2,240 Synthes-Stratec, Inc. 1,560,656 .......................................................................................................................... 11,598 UBS AG 585,772 - -------------------------------------------------------------------------------------------------------------------------- 42,115,952 - -------------------------------------------------------------------------------------------------------------------------- Taiwan (0.4%) .......................................................................................................................... 2,164,000 United Microelectronics Corp. (NON) 3,155,060 - -------------------------------------------------------------------------------------------------------------------------- United Kingdom (21.6%) .......................................................................................................................... 200,691 Abbey National PLC 2,862,046 .......................................................................................................................... 655,861 AstraZeneca PLC 29,567,589 .......................................................................................................................... 544,380 BAE Systems PLC 2,451,803 .......................................................................................................................... 617,827 BHP Billiton PLC 3,137,726 .......................................................................................................................... 379,646 BOC Group PLC 5,856,085 .......................................................................................................................... 443,220 Cadbury Schweppes PLC 2,824,985 .......................................................................................................................... 750,376 Compass Group PLC 5,623,528 .......................................................................................................................... 184,700 Diageo PLC 2,109,887 .......................................................................................................................... 757,069 GlaxoSmithKline PLC 18,982,064 .......................................................................................................................... 292,300 Hays PLC 884,738 .......................................................................................................................... 213,694 HSBC Holdings PLC 2,506,398 .......................................................................................................................... 61,900 Kingfisher Leisure PLC 361,208 .......................................................................................................................... 571,050 Misys PLC 2,700,724 .......................................................................................................................... 116,698 Rio Tinto PLC 2,234,817 .......................................................................................................................... 1,077,600 Scottish Power PLC 5,958,869 .......................................................................................................................... 3,855,624 Shell Transport & Trading Co. PLC 26,482,523 .......................................................................................................................... 272,265 Smiths Group PLC 2,682,274 .......................................................................................................................... 175,900 South African Breweries, Ltd. 144A 1,197,938 .......................................................................................................................... 1,827,381 Tesco PLC 6,621,420 .......................................................................................................................... 370,645 United Business Media PLC 2,588,941 .......................................................................................................................... 11,601,781 Vodafone Group PLC 30,347,034 .......................................................................................................................... 879,788 WPP Group PLC 9,730,033 - -------------------------------------------------------------------------------------------------------------------------- 167,712,630 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $822,111,565) $755,213,252 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.3%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number Of Units Value .......................................................................................................................... 12,200 Infosys Technologies, Ltd. 144A Structured Call Warrants (Issued by UBS AG), expiration 7/16/02 (India) $1,033,619 .......................................................................................................................... 5,400 Korea Telecom Corp. Warrants (Issued by Merrill Lynch International & Co., C.V.), expiration 1/31/02 (South Korea) 205,368 .......................................................................................................................... 3,720 Nippon Television Network Corp. Structured Call Warrants (Issued by Lehman Brothers Finance S.A.), expiration 8/6/02 (Japan) 796,464 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $2,185,328) $2,035,451 - -------------------------------------------------------------------------------------------------------------------------- WARRANTS (--%)(a) (NON) (cost $463) - -------------------------------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .......................................................................................................................... 7,828 Publicis SA 3/7/02 $25,435 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.0%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $2,601,595 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $2,598,240 .......................................................................................................................... 36,284,000 Interest in $600,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Goldman Sachs & Co. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $36,287,608 for an effective yield of 1.79% 36,284,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $38,882,240) $38,882,240 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $863,179,596) (b) $796,156,378 - -------------------------------------------------------------------------------------------------------------------------- The fund had the following industry group concentrations greater than 10% at December 31, 2001(as a percentage of net assets): Pharmaceuticals 12.8% Telecommunications 12.0 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International Growth and Income Fund The fund's portfolio December 31, 2001 COMMON STOCKS (97.6%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (1.2%) .......................................................................................................................... 863,539 BAE Systems PLC (United Kingdom) $3,889,245 - -------------------------------------------------------------------------------------------------------------------------- Airlines (1.0%) .......................................................................................................................... 99,400 Deutsche Lufthansa AG (Germany) 1,336,137 .......................................................................................................................... 311,000 Singapore Airlines, Ltd. (Singapore) 1,853,196 - -------------------------------------------------------------------------------------------------------------------------- 3,189,333 - -------------------------------------------------------------------------------------------------------------------------- Automotive (4.7%) .......................................................................................................................... 105,800 Bayerische Motoren Werke (BMW) AG (Germany) 3,724,944 .......................................................................................................................... 93,700 Honda Motor Co., Ltd. (Japan) 3,739,848 .......................................................................................................................... 63,100 Peugeot SA (France) 2,682,195 .......................................................................................................................... 178,300 Toyota Motor Corp. (Japan) 4,517,541 - -------------------------------------------------------------------------------------------------------------------------- 14,664,528 - -------------------------------------------------------------------------------------------------------------------------- Banking (17.4%) .......................................................................................................................... 50,300 Abbey National PLC (United Kingdom) 717,326 .......................................................................................................................... 48,026 ABN AMRO Holdings NV (Netherlands) 773,397 .......................................................................................................................... 31,900 Allied Irish Banks PLC (Ireland) 369,166 .......................................................................................................................... 73,100 Banco Bilbao Vizcaya Argentaria S.A. (Spain) 904,523 .......................................................................................................................... 20,596 Barclays PLC (United Kingdom) 681,847 .......................................................................................................................... 62,550 Bayerische Vereinsbank AG (Germany) 1,901,541 .......................................................................................................................... 57,200 BNP Paribas SA (France) 5,117,404 .......................................................................................................................... 93,100 Credit Suisse Group (Switzerland) 3,972,686 .......................................................................................................................... 154,200 Danske Bank A/S (Denmark) 2,475,180 .......................................................................................................................... 126,477 Fortis (Belgium) 3,276,364 .......................................................................................................................... 332,991 HSBC Holdings PLC (United Kingdom) 3,905,622 .......................................................................................................................... 596,017 IntesaBCI SpA (Italy) 1,490,914 .......................................................................................................................... 158,700 Lloyds TSB Group PLC (United Kingdom) 1,722,814 .......................................................................................................................... 260,576 National Bank of Canada (Canada) 4,849,065 .......................................................................................................................... 242,500 Royal Bank of Scotland Group PLC (United Kingdom) 5,900,266 .......................................................................................................................... 209,342 Sanpaolo IMI SpA (Italy) 2,245,593 .......................................................................................................................... 54,246 Societe Generale (France) 3,035,013 .......................................................................................................................... 80,100 Standard Chartered PLC (United Kingdom) 955,804 .......................................................................................................................... 58,000 Svenska Handelsbanken AB Class A (Sweden) 851,876 .......................................................................................................................... 99,500 Toronto-Dominion Bank (Canada) 2,561,065 .......................................................................................................................... 32,121 UBS AG (Switzerland) 1,622,312 .......................................................................................................................... 256,000 United Overseas Bank, Ltd. (Singapore) 1,761,213 .......................................................................................................................... 460,800 Westpac Banking Corp. (Australia) 3,715,619 - -------------------------------------------------------------------------------------------------------------------------- 54,806,610 - -------------------------------------------------------------------------------------------------------------------------- Beverage (3.9%) .......................................................................................................................... 414,100 Diageo PLC (United Kingdom) 4,730,397 .......................................................................................................................... 30,800 Interbrew (Belgium) 843,108 .......................................................................................................................... 182,000 Six Continents PLC (United Kingdom) 1,800,956 .......................................................................................................................... 741,900 South African Breweries PLC (United Kingdom) 5,052,588 - -------------------------------------------------------------------------------------------------------------------------- 12,427,049 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.7%) .......................................................................................................................... 982,453 Granada PLC (United Kingdom) 2,051,570 - -------------------------------------------------------------------------------------------------------------------------- Building Materials (--%) .......................................................................................................................... 300 Matsushita Electric Works, Ltd. (Japan) 2,470 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (1.4%) .......................................................................................................................... 70,300 BASF AG (Germany) 2,619,017 .......................................................................................................................... 107,520 BOC Group PLC (United Kingdom) 1,658,509 - -------------------------------------------------------------------------------------------------------------------------- 4,277,526 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (2.4%) .......................................................................................................................... 29,600 Adecco SA (Switzerland) 1,610,053 .......................................................................................................................... 774,100 Hays PLC (United Kingdom) 2,343,058 .......................................................................................................................... 444,000 Rentokil Initial PLC (United Kingdom) 1,783,260 .......................................................................................................................... 40,211 Securitas AB Class B (Sweden) 763,177 .......................................................................................................................... 25,925 Sodexho Alliance SA (France) 1,107,996 - -------------------------------------------------------------------------------------------------------------------------- 7,607,544 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (2.2%) .......................................................................................................................... 189,454 Nokia OYJ (Finland) 4,884,161 .......................................................................................................................... 363,000 Telefonaktiebolaget LM Ericsson AB Class B (Sweden) 1,973,372 - -------------------------------------------------------------------------------------------------------------------------- 6,857,533 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (0.6%) .......................................................................................................................... 175,600 Smiths Group PLC (United Kingdom) 1,729,959 - -------------------------------------------------------------------------------------------------------------------------- Construction (1.4%) .......................................................................................................................... 107,844 CRH PLC (Ireland) 1,903,734 .......................................................................................................................... 26,700 Lafarge SA (France) 2,493,299 - -------------------------------------------------------------------------------------------------------------------------- 4,397,033 - -------------------------------------------------------------------------------------------------------------------------- Consumer Cyclicals (1.6%) .......................................................................................................................... 186,100 Cie Financiere Richemont AG (Switzerland) 3,460,213 .......................................................................................................................... 127,300 Matsushita Electric Industrial Co. (Japan) 1,635,028 - -------------------------------------------------------------------------------------------------------------------------- 5,095,241 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (2.1%) .......................................................................................................................... 61,600 Acom Co., Ltd. (Japan) 4,489,488 .......................................................................................................................... 28,340 Takefuji Corp. (Japan) 2,050,316 - -------------------------------------------------------------------------------------------------------------------------- 6,539,804 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.0%) .......................................................................................................................... 156,000 KAO Corp. (Japan) 3,244,171 - -------------------------------------------------------------------------------------------------------------------------- Consumer Staples (0.4%) .......................................................................................................................... 218,300 Cadbury Schweppes PLC (United Kingdom) 1,391,395 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (5.1%) .......................................................................................................................... 202,900 Chubu Electric Power, Inc. (Japan) 3,654,321 .......................................................................................................................... 395,000 CLP Holdings, Ltd. (Hong Kong) 1,507,015 .......................................................................................................................... 48,950 E.On AG (Germany) 2,544,797 .......................................................................................................................... 3,850 Electrabel SA (Belgium) 801,981 .......................................................................................................................... 151,400 Endesa S.A. (Spain) 2,368,019 .......................................................................................................................... 20,200 RWE AG (Germany) 763,338 .......................................................................................................................... 259,039 Scottish and Southern Energy PLC (United Kingdom) 2,299,417 .......................................................................................................................... 366,965 Scottish Power PLC (United Kingdom) 2,029,228 - -------------------------------------------------------------------------------------------------------------------------- 15,968,116 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.6%) .......................................................................................................................... 39,296 Schneider Electric SA (France) 1,888,990 - -------------------------------------------------------------------------------------------------------------------------- Electronics (4.7%) .......................................................................................................................... 30,350 Celestica, Inc. (Canada) (NON) 1,217,043 .......................................................................................................................... 38,600 Fuji Soft ABC, Inc. (Japan) 1,537,696 .......................................................................................................................... 800 OMRON Corp. (Japan) 10,684 .......................................................................................................................... 15,400 Rohm Co., Ltd. (Japan) 1,999,115 .......................................................................................................................... 18,490 Samsung Electronics Co., Ltd. (South Korea) 3,927,752 .......................................................................................................................... 1,231,840 Taiwan Semiconductor Manufacturing Co. (Taiwan) (NON) 3,081,361 .......................................................................................................................... 2,065,000 United Microelectronics Corp. (Taiwan) (NON) 3,010,720 - -------------------------------------------------------------------------------------------------------------------------- 14,784,371 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.8%) .......................................................................................................................... 327,600 Sampo OYJ Class A (Finland) 2,566,340 - -------------------------------------------------------------------------------------------------------------------------- Food (2.5%) .......................................................................................................................... 7,348 Groupe Danone (France) 896,143 .......................................................................................................................... 32,815 Nestle SA (Switzerland) 7,001,272 - -------------------------------------------------------------------------------------------------------------------------- 7,897,415 - -------------------------------------------------------------------------------------------------------------------------- Insurance (6.5%) .......................................................................................................................... 120,500 ACE, Ltd. (Bermuda) 4,838,075 .......................................................................................................................... 12,598 Allianz AG (Germany) 2,977,513 .......................................................................................................................... 80,200 Axa SA (France) 1,675,618 .......................................................................................................................... 29,600 Converium Holding AG (Switzerland) (NON) 1,439,682 .......................................................................................................................... 129,344 ING Groep NV (Netherlands) 3,297,668 .......................................................................................................................... 7,719 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 2,095,793 .......................................................................................................................... 19,453 Swiss Reinsurance Co. (Switzerland) 1,957,962 .......................................................................................................................... 7,800 Swiss Reinsurance Co. 144A (Switzerland) 785,077 .......................................................................................................................... 16,500 XL Capital, Ltd. Class A (Bermuda) 1,507,440 - -------------------------------------------------------------------------------------------------------------------------- 20,574,828 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (1.4%) .......................................................................................................................... 50,600 Orix Corp. (Japan) 4,533,476 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.6%) .......................................................................................................................... 55,735 Accor SA (France) 2,025,793 - -------------------------------------------------------------------------------------------------------------------------- Machinery (0.5%) .......................................................................................................................... 73,870 Atlas Copco AB Class B (Sweden) 1,553,474 - -------------------------------------------------------------------------------------------------------------------------- Metals (1.8%) .......................................................................................................................... 342,200 BHP Billiton, Ltd. (Australia) 1,838,949 .......................................................................................................................... 19,900 Pohang Iron & Steel Co., Ltd. (South Korea) 1,848,485 .......................................................................................................................... 95,600 Rio Tinto PLC (United Kingdom) 1,830,781 - -------------------------------------------------------------------------------------------------------------------------- 5,518,215 - -------------------------------------------------------------------------------------------------------------------------- Office Equipment & Supplies (0.7%) .......................................................................................................................... 65,000 Canon, Inc. (Japan) 2,237,189 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (14%) .......................................................................................................................... 18,800 Alberta Energy Company Ltd. (Canada) 708,769 .......................................................................................................................... 400,700 BG Group PLC (United Kingdom) 1,632,676 .......................................................................................................................... 1,496,709 BP PLC (United Kingdom) 11,630,578 .......................................................................................................................... 367,258 ENI SpA (Italy) 4,603,218 .......................................................................................................................... 76,400 Petroleo Brasileiro SA ADR (Brazil) 1,780,120 .......................................................................................................................... 165,000 Royal Dutch Petroleum Co. (Netherlands) 8,357,643 .......................................................................................................................... 683,600 Shell Transport & Trading Co. PLC (United Kingdom) 4,695,337 .......................................................................................................................... 604,200 Snam Rete Gas SpA 144A (Italy) (NON) 1,597,440 .......................................................................................................................... 19,200 Suncor Energy, Inc. (Canada) 630,376 .......................................................................................................................... 59,354 TotalFinaElf SA Class B (France) 8,475,044 - -------------------------------------------------------------------------------------------------------------------------- 44,111,201 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (1.6%) .......................................................................................................................... 41,300 Svenska Cellulosa AB SCA Class B (Sweden) 1,130,471 .......................................................................................................................... 118,749 UPM-Kymmene OYJ (Finland) 3,937,711 - -------------------------------------------------------------------------------------------------------------------------- 5,068,182 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (3.6%) .......................................................................................................................... 93,297 AstraZeneca PLC (United Kingdom) 4,206,024 .......................................................................................................................... 50,525 GlaxoSmithKline PLC (United Kingdom) 1,266,818 .......................................................................................................................... 6,290 Novartis AG (Switzerland) 227,459 .......................................................................................................................... 43,600 Novo-Nordisk A/S (Denmark) 1,783,589 .......................................................................................................................... 41,000 Sankyo Co., Ltd. (Japan) 702,446 .......................................................................................................................... 23,500 Sanofi-Synthelabo SA (France) 1,753,071 .......................................................................................................................... 44,000 Taisho Pharmaceutical Co., Ltd. (Japan) 691,724 .......................................................................................................................... 17,000 Takeda Chemical Industries (Japan) 769,336 - -------------------------------------------------------------------------------------------------------------------------- 11,400,467 - -------------------------------------------------------------------------------------------------------------------------- Retail (1.8%) .......................................................................................................................... 24,900 Fast Retailing Co., Ltd. (Japan) 2,215,698 .......................................................................................................................... 77,800 GUS PLC (United Kingdom) 730,234 .......................................................................................................................... 730,651 Tesco PLC (United Kingdom) 2,647,476 - -------------------------------------------------------------------------------------------------------------------------- 5,593,408 - -------------------------------------------------------------------------------------------------------------------------- Software (0.8%) .......................................................................................................................... 556,783 Misys PLC (United Kingdom) 2,633,250 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (6.3%) .......................................................................................................................... 161,700 Deutsche Telekom AG (Germany) 2,792,540 .......................................................................................................................... 217 NTT DoCoMo, Inc. (Japan) 2,550,311 .......................................................................................................................... 89,600 Orange SA (France) (NON) 811,976 .......................................................................................................................... 501,700 Portugal Telecom SGPS SA (Portugal) (NON) 3,907,867 .......................................................................................................................... 5,535 Swisscom AG (Switzerland) 1,534,535 .......................................................................................................................... 44,300 TDC A/S (Denmark) 1,578,731 .......................................................................................................................... 230,700 Telefonica S.A. (Spain) (NON) 3,086,698 .......................................................................................................................... 1,342,950 Vodafone Group PLC (United Kingdom) 3,512,784 - -------------------------------------------------------------------------------------------------------------------------- 19,775,442 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (1.1%) .......................................................................................................................... 408,400 BAT Industries PLC (United Kingdom) 3,461,819 - -------------------------------------------------------------------------------------------------------------------------- Water Utilities (1.2%) .......................................................................................................................... 220,685 Severn Trent PLC (United Kingdom) 2,309,002 .......................................................................................................................... 40,300 Vivendi Environnement (France) 1,343,880 - -------------------------------------------------------------------------------------------------------------------------- 3,652,882 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $308,747,327) $307,415,869 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.5%)(a) (NON) (cost $1,496,497) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 37,370 Korea Telecom Corp.144A Structured Call Warrants (issued by UBS AG) expiration 11/15/02 (South Korea) $1,421,221 - -------------------------------------------------------------------------------------------------------------------------- WARRANTS (--%)(a) (NON) (cost $22,083) - -------------------------------------------------------------------------------------------------------------------------- Number of Warrants Expiration Date Value .......................................................................................................................... 40,300 Vivendi Environnement (France) 3/8/06 $16,503 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (1.6%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $300,000 U.S. Treasury Notes, zero %, June 13, 2002 $297,548 .......................................................................................................................... 3,743,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $3,743,374 for an effective yield of 1.80% 3,743,000 .......................................................................................................................... 1,065,000 Interest in $221,765,000 joint repurchase agreement dated December 31, 2001 with Lehman Brothers due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $1,065,105 for an effective yield of 1.77% 1,065,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $5,105,701) $5,105,548 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $315,371,608) (b) $313,959,141 - -------------------------------------------------------------------------------------------------------------------------- Forward Currency Contracts to Buy at December 31, 2001 - ----------------------------------------------------------------------------- Aggregate Delivery Unrealized Market Value Face Value Date Appreciation ............................................................................. Euro $10,336,530 $10,335,470 3/20/02 $1,060 - ----------------------------------------------------------------------------- Forward Currency Contracts to Sell at December 31, 2001 - ----------------------------------------------------------------------------- Market Aggregate Delivery Unrealized Value Face Value Date (Depreciation) ............................................................................. British Pounds $6,351,465 $6,212,128 3/20/02 $(139,337) - ----------------------------------------------------------------------------- Diversification by Country - ----------------------------------------------------------------------------- Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) - ----------------------------------------------------------------------------- Australia 1.8% ............................................................................. Belgium 1.6 ............................................................................. Bermuda 2.0 ............................................................................. Brazil 0.6 ............................................................................. Canada 3.2 ............................................................................. Denmark 1.9 ............................................................................. Finland 3.6 ............................................................................. France 10.6 ............................................................................. Germany 6.6 ............................................................................. Ireland 0.7 ............................................................................. Italy 3.2 ............................................................................. Japan 12.9 ............................................................................. Netherlands 4.0 ............................................................................. Portugal 1.2 ............................................................................. Singapore 1.1 ............................................................................. South Korea 2.3 ............................................................................. Spain 2.0 ............................................................................. Sweden 2.0 ............................................................................. Switzerland 7.5 ............................................................................. Taiwan 1.9 ............................................................................. United Kingdom 27.1 ............................................................................. United States 1.6 ............................................................................. Other 0.6 - ----------------------------------------------------------------------------- Total 100.0% - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT International New Opportunities Fund The fund's portfolio December 31, 2001 COMMON STOCKS (98.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (0.4%) .......................................................................................................................... 94,500 WPP Group PLC (United Kingdom) $1,045,125 - -------------------------------------------------------------------------------------------------------------------------- Airlines (1.7%) .......................................................................................................................... 308,500 easyJet PLC (United Kingdom) (NON) 2,120,293 .......................................................................................................................... 994,300 Qantas Airways, Ltd. (Australia) 1,872,688 .......................................................................................................................... 40,100 Qantas Airways, Ltd. 144A (Australia) 75,525 .......................................................................................................................... 172,000 Singapore Airlines, Ltd. (Singapore) 1,024,919 - -------------------------------------------------------------------------------------------------------------------------- 5,093,425 - -------------------------------------------------------------------------------------------------------------------------- Automotive (1.6%) .......................................................................................................................... 109,000 Bayerische Motoren Werke (BMW) AG (Germany) 3,837,608 .......................................................................................................................... 21,500 Peugeot SA (France) 913,902 - -------------------------------------------------------------------------------------------------------------------------- 4,751,510 - -------------------------------------------------------------------------------------------------------------------------- Banking (6.8%) .......................................................................................................................... 146,600 Banco Popular Espanol (Spain) 4,812,962 .......................................................................................................................... 54,500 Danske Bank A/S (Denmark) 874,820 .......................................................................................................................... 505,400 DnB Holdings ASA (Norway) 2,278,024 .......................................................................................................................... 397,200 HSBC Holdings PLC (United Kingdom) 4,658,724 .......................................................................................................................... 42,506 Kookmin Bank (South Korea) 1,611,694 .......................................................................................................................... 154,200 Standard Chartered PLC (United Kingdom) 1,840,013 .......................................................................................................................... 549,300 Westpac Banking Corp. (Australia) 4,429,231 - -------------------------------------------------------------------------------------------------------------------------- 20,505,468 - -------------------------------------------------------------------------------------------------------------------------- Beverage (2.1%) .......................................................................................................................... 58,300 Companhia de Bebidas das Americas (AmBev) ADR (Brazil) 1,182,907 .......................................................................................................................... 798,800 Grupo Modelo SA de CV (Mexico) 1,788,384 .......................................................................................................................... 188,300 Molson, Inc. Class A (Canada) 3,303,509 - -------------------------------------------------------------------------------------------------------------------------- 6,274,800 - -------------------------------------------------------------------------------------------------------------------------- Building Materials (1.2%) .......................................................................................................................... 1,059,400 CSR, Ltd. (Australia) 3,681,544 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.6%) .......................................................................................................................... 108,800 Rogers Communications Class B (Canada) (NON) 1,848,782 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.6%) .......................................................................................................................... 32,600 Syngenta AG (Switzerland) (NON) 1,689,730 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (4.2%) .......................................................................................................................... 451,500 Aggreko PLC (United Kingdom) 2,398,133 .......................................................................................................................... 201,755 Autopistas Concesionaria Espanola SA (Spain) 2,009,750 .......................................................................................................................... 584,400 Autostrade SpA (Italy) 4,057,816 .......................................................................................................................... 7 Dentsu, Inc. 144A (Japan) (NON) 31,358 .......................................................................................................................... 65,700 Hagemeyer NV (Netherlands) 1,228,209 .......................................................................................................................... 327,000 Toppan Printing Co., Ltd. (Japan) 3,017,079 - -------------------------------------------------------------------------------------------------------------------------- 12,742,345 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (0.2%) .......................................................................................................................... 24,800 Matsushita Communication Industrial Co., Ltd. (Japan) 671,882 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (0.5%) .......................................................................................................................... 1,546,000 China Resources Enterprise, Ltd. (China) 1,447,324 - -------------------------------------------------------------------------------------------------------------------------- Consumer Cyclicals (0.8%) .......................................................................................................................... 20,400 Sony Corp. (Japan) 932,545 .......................................................................................................................... 16,900 Swatch Group AG (The) Class B (Switzerland) 1,520,206 - -------------------------------------------------------------------------------------------------------------------------- 2,452,751 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.2%) .......................................................................................................................... 9,200 Acom Co., Ltd. (Japan) 670,508 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.8%) .......................................................................................................................... 34,750 L'Oreal SA (France) 2,502,597 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.4%) .......................................................................................................................... 331,600 TPI Paginas Amarillas (Spain) 1,313,597 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (2.1%) .......................................................................................................................... 82,100 E.On AG (Germany) 4,268,189 .......................................................................................................................... 63,500 Iberdrola SA (Spain) 826,435 .......................................................................................................................... 208,600 Scottish Power PLC (United Kingdom) 1,153,508 - -------------------------------------------------------------------------------------------------------------------------- 6,248,132 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.4%) .......................................................................................................................... 20,050 Siemens AG (Germany) 1,335,961 - -------------------------------------------------------------------------------------------------------------------------- Electronics (11.0%) .......................................................................................................................... 13,200 Celestica, Inc. (Canada) (NON) 529,323 .......................................................................................................................... 908,000 Chartered Semiconductor Manufacturing, Ltd. (Singapore) (NON) 2,410,184 .......................................................................................................................... 218,500 Hitachi Chemical Co., Ltd. (Japan) 2,047,682 .......................................................................................................................... 392,300 OMRON Corp. (Japan) 5,239,249 .......................................................................................................................... 71,200 Premier Farnell PLC (United Kingdom) 326,372 .......................................................................................................................... 403,400 Premier Farnell PLC 144A (United Kingdom) 1,849,137 .......................................................................................................................... 6,500 Rohm Co., Ltd. (Japan) 843,782 .......................................................................................................................... 32,720 Samsung Electronics Co., Ltd. (South Korea) 6,950,571 .......................................................................................................................... 21,700 Samsung SDI Co., Ltd. (South Korea) 958,276 .......................................................................................................................... 1,391,400 Taiwan Semiconductor Manufacturing Co. (Taiwan) 3,480,489 .......................................................................................................................... 275,500 Thomson Multimedia SA (France) (NON) 8,461,128 - -------------------------------------------------------------------------------------------------------------------------- 33,096,193 - -------------------------------------------------------------------------------------------------------------------------- Engineering & Construction (1.7%) .......................................................................................................................... 87,050 Vinci SA (France) 5,102,842 - -------------------------------------------------------------------------------------------------------------------------- Financial (2.3%) .......................................................................................................................... 448,500 Dexia (Belgium) 6,467,926 - -------------------------------------------------------------------------------------------------------------------------- Household Furniture and Appliances (0.5%) .......................................................................................................................... 794,800 MFI Furniture Group PLC (United Kingdom) 1,619,230 - -------------------------------------------------------------------------------------------------------------------------- Insurance (6.8%) .......................................................................................................................... 207,250 Aegon NV (Netherlands) 5,608,616 .......................................................................................................................... 24,211 Allianz AG (Germany) 5,722,224 .......................................................................................................................... 187,400 ING Groep NV (Netherlands) 4,777,824 .......................................................................................................................... 71,500 Manulife Financial Corp. (Canada) 1,863,659 .......................................................................................................................... 8,736 Muenchener Rueckversicherungs- Gesellschaft AG (Germany) 2,371,920 - -------------------------------------------------------------------------------------------------------------------------- 20,344,243 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (6.3%) .......................................................................................................................... 118,300 3i Group PLC (United Kingdom) 1,479,631 .......................................................................................................................... 182,200 Amvescap PLC (United Kingdom) 2,627,512 .......................................................................................................................... 272,803 Banca Fideuram SpA (Italy) 2,183,215 .......................................................................................................................... 160,700 Mediolanum SpA (Italy) 1,447,718 .......................................................................................................................... 70,777 MLP AG (Germany) 5,191,668 .......................................................................................................................... 51,000 Orix Corp. (Japan) 4,569,314 .......................................................................................................................... 35,600 Samsung Securities Co., Ltd. (South Korea) (NON) 1,296,985 - -------------------------------------------------------------------------------------------------------------------------- 18,796,043 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (1.4%) .......................................................................................................................... 1,194,200 Airtours PLC (United Kingdom) 4,344,500 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (0.4%) .......................................................................................................................... 133,700 Amersham PLC (United Kingdom) 1,292,853 - -------------------------------------------------------------------------------------------------------------------------- Office Equipment & Supplies (0.9%) .......................................................................................................................... 77,000 Canon,Inc. (Japan) 2,650,208 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (5.3%) .......................................................................................................................... 283,500 BP PLC (United Kingdom) 2,203,013 .......................................................................................................................... 233,050 ENI SpA (Italy) 2,921,052 .......................................................................................................................... 169,700 Enterprise Oil PLC (United Kingdom) 1,150,775 .......................................................................................................................... 46,600 Nexen, Inc. (Canada) 907,474 .......................................................................................................................... 143,362 Royal Dutch Petroleum Co. (Netherlands) 7,261,627 .......................................................................................................................... 9,400 TotalFinaElf SA Class B (France) 1,342,208 - -------------------------------------------------------------------------------------------------------------------------- 15,786,149 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (14.3%) .......................................................................................................................... 262,100 AstraZeneca PLC (United Kingdom) 11,816,017 .......................................................................................................................... 23,500 Aventis SA (France) 1,668,346 .......................................................................................................................... 116,000 Chugai Pharmaceutical Co., Ltd. (Japan) 1,344,709 .......................................................................................................................... 68,200 Galen Holdings PLC (United Kingdom) 684,788 .......................................................................................................................... 385,570 GlaxoSmithKline PLC (United Kingdom) 9,667,434 .......................................................................................................................... 22,000 Kyorin Pharmaceutical Co., Ltd. (Japan) 570,840 .......................................................................................................................... 56,100 Novartis AG (Switzerland) 2,028,689 .......................................................................................................................... 78,475 Novo-Nordisk A/S (Denmark) 3,210,255 .......................................................................................................................... 135,981 Sanofi-Synthelabo SA (France) 10,144,014 .......................................................................................................................... 37,000 Takeda Chemical Industries (Japan) 1,674,438 - -------------------------------------------------------------------------------------------------------------------------- 42,809,530 - -------------------------------------------------------------------------------------------------------------------------- Photography/Imaging (1.8%) .......................................................................................................................... 100,000 Olympus Optical Co., Ltd. (Japan) 1,438,547 .......................................................................................................................... 216,000 Ricoh Co., Ltd. (Japan) 4,022,131 - -------------------------------------------------------------------------------------------------------------------------- 5,460,678 - -------------------------------------------------------------------------------------------------------------------------- Retail (1.7%) .......................................................................................................................... 1,197,670 Esprit Holdings, Ltd. (Hong Kong) 1,351,616 .......................................................................................................................... 10,100 Fast Retailing Co., Ltd. (Japan) 898,737 .......................................................................................................................... 208,700 Next PLC (United Kingdom) 2,718,117 - -------------------------------------------------------------------------------------------------------------------------- 4,968,470 - -------------------------------------------------------------------------------------------------------------------------- Shipping (0.9%) .......................................................................................................................... 370,500 Brambles Industries, Ltd. (United Kingdom) (NON) 1,833,115 .......................................................................................................................... 75,400 Exel PLC (United Kingdom) 861,318 - -------------------------------------------------------------------------------------------------------------------------- 2,694,433 - -------------------------------------------------------------------------------------------------------------------------- Software (3.3%) .......................................................................................................................... 45,600 BCE Emergis, Inc. (Canada) (NON) 1,302,857 .......................................................................................................................... 15,100 BCE Emergis, Inc. 144A (Canada) (NON) 431,429 .......................................................................................................................... 20,600 Business Objects SA (France) (NON) 688,596 .......................................................................................................................... 32,600 Capcom Company, Ltd. (Japan) 863,296 .......................................................................................................................... 109,200 Cognos, Inc. (Canada) (NON) 2,707,421 .......................................................................................................................... 421 NTT Data Corp. (Japan) 1,497,203 .......................................................................................................................... 50,038 Thiel Logistik AG (Luxembourg) (NON) 975,510 .......................................................................................................................... 61,000 Trend Micro, Inc. (Japan) (NON) 1,443,126 - -------------------------------------------------------------------------------------------------------------------------- 9,909,438 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (0.8%) .......................................................................................................................... 127 NET One Systems Co., Ltd. (Japan) 1,860,877 .......................................................................................................................... 4,600 Nomura Research Institute, Ltd. 144A (Japan) 539,917 - -------------------------------------------------------------------------------------------------------------------------- 2,400,794 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (12.9%) .......................................................................................................................... 1,578,000 China Unicom, Ltd. (Hong Kong) (NON) 1,740,359 .......................................................................................................................... 59,800 Korea Telecom Corp. ADR (South Korea) 1,215,734 .......................................................................................................................... 241 NTT DoCoMo, Inc. (Japan) 2,832,373 .......................................................................................................................... 727,500 Orange SA (France) (NON) 6,592,777 .......................................................................................................................... 973,800 Portugal Telecom SGPS SA (Portugal) (NON) 7,585,172 .......................................................................................................................... 16,720 SK Telecom Co., Ltd. (South Korea) 3,411,725 .......................................................................................................................... 2,473,900 Telecom Corp. of New Zealand, Ltd. (New Zealand) 5,149,423 .......................................................................................................................... 263,200 Telecom Italia SpA (Italy) 2,249,286 .......................................................................................................................... 3,092,018 Vodafone Group PLC (United Kingdom) 8,087,860 - -------------------------------------------------------------------------------------------------------------------------- 38,864,709 - -------------------------------------------------------------------------------------------------------------------------- Toys (1.3%) .......................................................................................................................... 22,800 Bandai Company, Ltd. (Japan) 687,297 .......................................................................................................................... 17,700 Nintendo Co., Ltd. (Japan) 3,100,050 - -------------------------------------------------------------------------------------------------------------------------- 3,787,347 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $290,961,026) $294,671,067 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $9,980,985 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates from January 2, 2002 to February 28, 2002 $9,968,112 .......................................................................................................................... 1,722,000 Interest in $221,765,000 joint repurchase agreement dated December 31, 2001 with Lehman Brothers, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $1,722,169 for an effective yield of 1.77% 1,722,000 .......................................................................................................................... 4,895,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $4,895,490 for an effective yield of 1.80% 4,895,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $16,585,112) $16,585,112 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $307,546,138) (b) $311,256,179 - -------------------------------------------------------------------------------------------------------------------------- Forward Currency Contracts to Buy at December 31, 2001 - -------------------------------------------------------------------------------------------------------------------------- Aggregate Delivery Unrealized Market Value Face Value Date Appreciation ............................................................................. British Pounds $2,964,210 $2,901,269 3/20/02 $62,941 - ----------------------------------------------------------------------------- Forward Currency Contracts to Sell at December 31, 2001 - ----------------------------------------------------------------------------- Market Aggregate Delivery Unrealized Value Face Value Date Appreciation ............................................................................. Japanese Yen $2,769,595 $2,933,649 3/20/02 $164,054 - ----------------------------------------------------------------------------- Diversification by Country - ----------------------------------------------------------------------------- Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) - ----------------------------------------------------------------------------- Australia 3.3% ............................................................................. Belgium 2.2 ............................................................................. Canada 4.3 ............................................................................. Denmark 1.4 ............................................................................. France 12.4 ............................................................................. Germany 7.5 ............................................................................. Hong Kong 1.0 ............................................................................. Italy 4.3 ............................................................................. Japan 14.4 ............................................................................. Netherlands 6.3 ............................................................................. New Zealand 1.7 ............................................................................. Portugal 2.5 ............................................................................. Singapore 1.1 ............................................................................. South Korea 5.1 ............................................................................. Spain 3.0 ............................................................................. Switzerland 1.7 ............................................................................. Taiwan 1.2 ............................................................................. United Kingdom 21.8 ............................................................................. United States 2.2 ............................................................................. Other 2.6 - ----------------------------------------------------------------------------- Total 100.0% - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Investors Fund The fund's portfolio December 31, 2001 COMMON STOCKS (97.8%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (2.1%) .......................................................................................................................... 35,100 General Dynamics Corp. $2,795,364 .......................................................................................................................... 247,200 Lockheed Martin Corp. 11,536,824 .......................................................................................................................... 38,700 Northrop Grumman Corp. 3,901,347 - -------------------------------------------------------------------------------------------------------------------------- 18,233,535 - -------------------------------------------------------------------------------------------------------------------------- Banking (2.3%) .......................................................................................................................... 144,000 Bank of New York Company, Inc. (The) 5,875,200 .......................................................................................................................... 177,650 Fifth Third Bancorp 10,895,275 .......................................................................................................................... 45,700 SunTrust Banks, Inc. 2,865,390 - -------------------------------------------------------------------------------------------------------------------------- 19,635,865 - -------------------------------------------------------------------------------------------------------------------------- Beverage (2.1%) .......................................................................................................................... 316,200 Pepsi Bottling Group, Inc. (The) 7,430,700 .......................................................................................................................... 217,600 PepsiCo, Inc. 10,594,944 - -------------------------------------------------------------------------------------------------------------------------- 18,025,644 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (0.8%) .......................................................................................................................... 15,800 Amgen, Inc. (NON) 891,752 .......................................................................................................................... 82,200 Applera Corp.-Applied Biosystems Group 3,227,994 .......................................................................................................................... 44,300 Genzyme Corp. (NON) 2,651,798 - -------------------------------------------------------------------------------------------------------------------------- 6,771,544 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (1.6%) .......................................................................................................................... 98,200 Clear Channel Communications, Inc. (NON) 4,999,362 .......................................................................................................................... 330,800 Echostar Communications Corp. Class A (NON) 9,087,076 - -------------------------------------------------------------------------------------------------------------------------- 14,086,438 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (3.5%) .......................................................................................................................... 1,240,400 Cisco Systems, Inc. (NON) 22,463,644 .......................................................................................................................... 101,100 Juniper Networks, Inc. (NON) 1,915,845 .......................................................................................................................... 114,500 QUALCOMM, Inc. (NON) 5,782,250 - -------------------------------------------------------------------------------------------------------------------------- 30,161,739 - -------------------------------------------------------------------------------------------------------------------------- Computers (4.2%) .......................................................................................................................... 275,900 Dell Computer Corp. (NON) 7,498,962 .......................................................................................................................... 245,600 EMC Corp. (NON) 3,300,864 .......................................................................................................................... 372,300 Hewlett-Packard Co. 7,647,042 .......................................................................................................................... 126,000 IBM Corp. 15,240,960 .......................................................................................................................... 107,100 Network Appliance, Inc. (NON) 2,342,277 - -------------------------------------------------------------------------------------------------------------------------- 36,030,105 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (6.0%) .......................................................................................................................... 432,600 General Electric Co. 17,338,608 .......................................................................................................................... 577,000 Tyco International, Ltd. (Bermuda) 33,985,300 - -------------------------------------------------------------------------------------------------------------------------- 51,323,908 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (4.9%) .......................................................................................................................... 164,900 Capital One Financial Corp. 8,896,355 .......................................................................................................................... 147,800 Countrywide Credit Industries, Inc. 6,055,366 .......................................................................................................................... 237,600 Household International, Inc. 13,766,544 .......................................................................................................................... 378,400 MBNA Corp. 13,319,680 - -------------------------------------------------------------------------------------------------------------------------- 42,037,945 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.7%) .......................................................................................................................... 200,000 Avon Products, Inc. 9,300,000 .......................................................................................................................... 90,500 Colgate-Palmolive Co. 5,226,375 - -------------------------------------------------------------------------------------------------------------------------- 14,526,375 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.1%) .......................................................................................................................... 24,800 TMP Worldwide, Inc. (NON) 1,063,920 - -------------------------------------------------------------------------------------------------------------------------- Distribution (0.6%) .......................................................................................................................... 189,000 SYSCO Corp. 4,955,580 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (0.3%) .......................................................................................................................... 50,100 FPL Group, Inc. 2,825,640 - -------------------------------------------------------------------------------------------------------------------------- Electronics (7.6%) .......................................................................................................................... 81,700 Broadcom Corp. Class A (NON) 3,339,079 .......................................................................................................................... 681,700 Intel Corp. 21,439,465 .......................................................................................................................... 66,500 Jabil Circuit, Inc. (NON) 1,510,880 .......................................................................................................................... 226,100 Linear Technology Corp. 8,826,944 .......................................................................................................................... 207,700 LSI Logic Corp. (NON) 3,277,506 .......................................................................................................................... 211,600 Maxim Integrated Products, Inc. (NON) 11,111,116 .......................................................................................................................... 331,000 Motorola, Inc. 4,971,620 .......................................................................................................................... 343,700 PMC - Sierra, Inc. (NON) 7,307,062 .......................................................................................................................... 180,800 Sanmina Corp. (NON) 3,597,920 - -------------------------------------------------------------------------------------------------------------------------- 65,381,592 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (2.1%) .......................................................................................................................... 399,800 Viacom, Inc. Class B (NON) 17,651,170 - -------------------------------------------------------------------------------------------------------------------------- Financial (7.0%) .......................................................................................................................... 806,166 Citigroup, Inc. 40,695,260 .......................................................................................................................... 222,098 Fannie Mae 17,656,790 .......................................................................................................................... 22,700 Freddie Mac 1,484,580 - -------------------------------------------------------------------------------------------------------------------------- 59,836,630 - -------------------------------------------------------------------------------------------------------------------------- Food (1.2%) .......................................................................................................................... 295,800 Kraft Foods, Inc. Class A 10,066,074 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (3.9%) .......................................................................................................................... 34,150 Cardinal Health, Inc. 2,208,139 .......................................................................................................................... 239,300 HCA, Inc. 9,222,622 .......................................................................................................................... 270,500 Healthsouth Corp. (NON) 4,008,810 .......................................................................................................................... 221,000 UnitedHealth Group, Inc. 15,640,170 .......................................................................................................................... 22,800 Wellpoint Health Networks, Inc. (NON) 2,664,180 - -------------------------------------------------------------------------------------------------------------------------- 33,743,921 - -------------------------------------------------------------------------------------------------------------------------- Insurance (3.0%) .......................................................................................................................... 181,900 ACE, Ltd. (Bermuda) 7,303,285 .......................................................................................................................... 233,200 American International Group, Inc. 18,516,080 - -------------------------------------------------------------------------------------------------------------------------- 25,819,365 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (2.2%) .......................................................................................................................... 81,400 Lehman Brothers Holdings, Inc. 5,437,520 .......................................................................................................................... 239,200 Morgan Stanley Dean Witter & Co. 13,380,848 - -------------------------------------------------------------------------------------------------------------------------- 18,818,368 - -------------------------------------------------------------------------------------------------------------------------- Leisure (1.1%) .......................................................................................................................... 166,300 Harley-Davidson, Inc. 9,031,753 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (1.2%) .......................................................................................................................... 358,300 Cendant Corp. (NON) 7,026,263 .......................................................................................................................... 90,900 Marriott International, Inc. Class A 3,695,085 - -------------------------------------------------------------------------------------------------------------------------- 10,721,348 - -------------------------------------------------------------------------------------------------------------------------- Media (2.8%) .......................................................................................................................... 273,700 AOL Time Warner, Inc. (NON) 8,785,770 .......................................................................................................................... 734,900 Walt Disney Co. (The) 15,227,128 - -------------------------------------------------------------------------------------------------------------------------- 24,012,898 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (2.4%) .......................................................................................................................... 106,800 Baxter International, Inc. 5,727,684 .......................................................................................................................... 255,300 Medtronic, Inc. 13,073,913 .......................................................................................................................... 57,400 Zimmer Holdings, Inc. (NON) 1,752,996 - -------------------------------------------------------------------------------------------------------------------------- 20,554,593 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.5%) .......................................................................................................................... 162,900 Dynegy, Inc. Class A 4,153,950 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (0.6%) .......................................................................................................................... 59,510 Apache Corp. 2,968,359 .......................................................................................................................... 49,100 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 2,406,882 - -------------------------------------------------------------------------------------------------------------------------- 5,375,241 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (11.5%) .......................................................................................................................... 161,600 Allergan, Inc. 12,128,080 .......................................................................................................................... 110,400 American Home Products Corp. 6,774,144 .......................................................................................................................... 136,000 Johnson & Johnson 8,037,600 .......................................................................................................................... 100,700 King Pharmaceuticals, Inc. (NON) 4,242,491 .......................................................................................................................... 99,200 Lilly (Eli) & Co. 7,791,168 .......................................................................................................................... 955,350 Pfizer, Inc. 38,070,698 .......................................................................................................................... 196,500 Pharmacia Corp. 8,380,725 .......................................................................................................................... 383,700 Schering-Plough Corp. 13,740,297 - -------------------------------------------------------------------------------------------------------------------------- 99,165,203 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (1.8%) .......................................................................................................................... 394,900 SBC Communications, Inc. 15,468,233 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.8%) .......................................................................................................................... 382,900 Starbucks Corp. (NON) 7,294,245 - -------------------------------------------------------------------------------------------------------------------------- Retail (6.6%) .......................................................................................................................... 55,900 AutoZone, Inc. (NON) 4,013,620 .......................................................................................................................... 178,500 Kohls Corp. (NON) 12,573,540 .......................................................................................................................... 312,500 Lowe's Companies, Inc. 14,503,125 .......................................................................................................................... 384,100 Rite Aid Corp. (NON) 1,943,546 .......................................................................................................................... 91,400 Staples, Inc. (NON) 1,709,180 .......................................................................................................................... 53,600 Target Corp. 2,200,280 .......................................................................................................................... 145,000 TJX Companies, Inc. (The) 5,779,700 .......................................................................................................................... 238,800 Wal-Mart Stores, Inc. 13,742,940 - -------------------------------------------------------------------------------------------------------------------------- 56,465,931 - -------------------------------------------------------------------------------------------------------------------------- Software (5.1%) .......................................................................................................................... 102,144 Electronic Arts, Inc. (NON) 6,123,533 .......................................................................................................................... 482,900 Microsoft Corp. (NON) 31,992,125 .......................................................................................................................... 28,700 PeopleSoft, Inc. (NON) 1,153,740 .......................................................................................................................... 19,900 VeriSign, Inc. (NON) 756,996 .......................................................................................................................... 77,000 VERITAS Software Corp. (NON) 3,451,910 - -------------------------------------------------------------------------------------------------------------------------- 43,478,304 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.5%) .......................................................................................................................... 67,100 Automatic Data Processing, Inc. 3,952,190 .......................................................................................................................... 126,700 Electronic Data Systems Corp. 8,685,285 - -------------------------------------------------------------------------------------------------------------------------- 12,637,475 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.0%) .......................................................................................................................... 171,300 Qwest Communications International, Inc. 2,420,469 .......................................................................................................................... 335,400 Sprint Corp. (FON Group) 6,734,832 .......................................................................................................................... 324,300 Sprint Corp. (PCS Group) (NON) 7,916,163 - -------------------------------------------------------------------------------------------------------------------------- 17,071,464 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (1.6%) .......................................................................................................................... 308,900 Philip Morris Companies, Inc. 14,163,065 - -------------------------------------------------------------------------------------------------------------------------- Toys (0.2%) .......................................................................................................................... 122,100 Mattel, Inc. 2,100,120 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.8%) .......................................................................................................................... 206,600 Waste Management, Inc. 6,592,606 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $779,503,027) $839,281,787 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.9%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 104,000 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance S.A.) expiration 09/03/02 $6,954,480 .......................................................................................................................... 21,500 VeriSign Inc. 144A Structured Warrants (issued by Salomon Smith Barney Holdings, Inc.) expiration 01/18/02 775,193 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $7,692,772) (b) $7,729,673 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.6%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $27,954,383 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $27,918,328 .......................................................................................................................... 20,328,000 Interest in $750,000,000 joint tri-party repurchase agreement dated December 31, 2001 with S.B.C. Warburg, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $20,330,033 for an effective yield of 1.80% 20,328,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $48,246,328) $48,246,328 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $835,442,127) (b) $895,257,788 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Money Market Fund The fund's portfolio December 31, 2001 COMMERCIAL PAPER (91.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Maturity Date Value .......................................................................................................................... Domestic (58.3%) (a) - -------------------------------------------------------------------------------------------------------------------------- $15,000,000 Asset Securitization Cooperative Corp. 2.05s 2/1/02 $14,972,667 .......................................................................................................................... 10,000,000 Bank One Australia, Ltd. 1.78s 3/7/02 9,967,367 .......................................................................................................................... 5,000,000 Bank One Corp. 1.94s 1/16/02 4,995,689 .......................................................................................................................... 5,000,000 Bank One Corp. 1.92s 2/13/02 4,988,267 .......................................................................................................................... 15,000,000 Chevron Corp. 1.89s 4/4/02 14,925,975 .......................................................................................................................... 2,000,000 Ciesco L.P. 2.15s 1/4/02 1,999,522 .......................................................................................................................... 9,000,000 CXC, Inc. 1.82s 2/19/02 8,977,250 .......................................................................................................................... 18,000,000 Eureka Securitization, Inc. 2.09s 1/23/02 17,975,965 .......................................................................................................................... 4,400,000 Eureka Securitization, Inc. 2.08s 2/11/02 4,389,271 .......................................................................................................................... 13,000,000 Eureka Securitization, Inc. 2.05s 2/13/02 12,967,428 .......................................................................................................................... 4,000,000 Eureka Securitization, Inc. 1.88s 2/7/02 3,992,062 .......................................................................................................................... 2,390,000 Falcon Asset Securitization Corp. 2.11s 2/5/02 2,384,957 .......................................................................................................................... 4,700,000 Falcon Asset Securitization Corp. 2.09s 2/4/02 4,690,450 .......................................................................................................................... 8,190,000 Falcon Asset Securitization Corp. 2.06s 2/19/02 8,166,567 .......................................................................................................................... 11,900,000 Falcon Asset Securitization Corp. 1.87s 2/15/02 11,871,566 .......................................................................................................................... 7,600,000 Falcon Asset Securitization Corp. 1.79s 1/28/02 7,589,419 .......................................................................................................................... 8,000,000 Federal National Mortgage Association 1.730s 3/21/02 7,969,244 .......................................................................................................................... 15,000,000 Federal National Mortgage Association 2.16s 4/18/02 14,902,800 .......................................................................................................................... 4,225,000 Federal Home Loan Mortgage 2.325s 9/25/02 4,152,030 .......................................................................................................................... 14,000,000 Federal Home Loan Mortgage 2.045s 8/28/02 13,809,600 .......................................................................................................................... 2,650,000 Formosa Plastics Corp. (Bank of America NT & SA (LOC)) 2.05s 2/6/02 2,644,417 .......................................................................................................................... 10,000,000 Formosa Plastics Corp. (Bank of America NT & SA (LOC)) 1.82s 3/20/02 9,960,061 .......................................................................................................................... 15,000,000 General Electric Capital Intl. Funding 2.33s 3/8/02 14,934,954 .......................................................................................................................... 14,000,000 General Electric Capital Intl. Funding 2.27s 3/7/02 13,941,737 .......................................................................................................................... 10,000,000 General Electric Capital Intl. Funding 2.27s 1/22/02 9,986,128 .......................................................................................................................... 7,000,000 General Electric Capital Intl. Funding 1.89s 2/5/02 6,986,770 .......................................................................................................................... 17,000,000 Goldman Sachs Group 2.06s 1/11/02 16,989,299 .......................................................................................................................... 25,000,000 Household Finance Corp. 1.85s 1/2/02 24,997,431 .......................................................................................................................... 7,900,000 International Lease Finance Corp. 2.45s 6/28/02 7,803,763 .......................................................................................................................... 7,000,000 International Lease Finance Corp. 2.39s 2/8/02 6,981,876 .......................................................................................................................... 7,000,000 International Lease Finance Corp. 2.39s 2/7/02 6,982,341 .......................................................................................................................... 10,000,000 International Lease Finance Corp. 2.33s 3/12/02 9,954,047 .......................................................................................................................... 5,035,000 Jupiter Securitization Corp. 2.35s 1/31/02 5,024,811 .......................................................................................................................... 4,248,000 Jupiter Securitization Corp. 2.27s 1/25/02 4,241,304 .......................................................................................................................... 5,000,000 Jupiter Securitization Corp. 2.14s 4/29/02 4,964,631 .......................................................................................................................... 3,053,000 Jupiter Securitization Corp. 2.14s 2/15/02 3,044,652 .......................................................................................................................... 3,000,000 Jupiter Securitization Corp. 2.11s 1/7/02 2,998,769 .......................................................................................................................... 3,130,000 Jupiter Securitization Corp. 2s 1/23/02 3,126,001 .......................................................................................................................... 7,860,000 Jupiter Securitization Corp. 1.89s 2/4/02 7,845,557 .......................................................................................................................... 6,000,000 Jupiter Securitization Corp. 1.85s 2/20/02 5,984,275 .......................................................................................................................... 3,732,000 Jupiter Securitization Corp. 1.84s 1/11/02 3,729,902 .......................................................................................................................... 3,131,000 Old Line Funding Corp. 2.24s 1/4/02 3,130,221 .......................................................................................................................... 16,871,000 Old Line Funding Corp. 2.14s 1/3/02 16,867,983 .......................................................................................................................... 4,000,000 Old Line Funding Corp. 2.12s 1/18/02 3,995,760 .......................................................................................................................... 7,000,000 Old Line Funding Corp. 2.11s 1/22/02 6,990,974 .......................................................................................................................... 5,000,000 Old Line Funding Corp. 2.05s 1/7/02 4,998,007 .......................................................................................................................... 2,328,000 Old Line Funding Corp. 1.81s 1/8/02 2,327,064 .......................................................................................................................... 3,000,000 Park Avenue Receivables Corp. 2.2s 1/4/02 2,999,267 .......................................................................................................................... 4,000,000 Park Avenue Receivables Corp. 2.15s 1/8/02 3,998,089 .......................................................................................................................... 6,513,000 Park Avenue Receivables Corp. 2.06s 2/4/02 6,499,956 .......................................................................................................................... 5,000,000 PNC Funding Corp. 1.85s 1/17/02 4,995,632 .......................................................................................................................... 5,745,000 Preferred Receivables Funding Corp. 2.13s 1/7/02 5,742,641 .......................................................................................................................... 11,926,000 Preferred Receivables Funding Corp. 2.12s 1/8/02 11,920,417 .......................................................................................................................... 7,640,000 Preferred Receivables Funding Corp. 1.91s 1/24/02 7,630,272 .......................................................................................................................... 14,000,000 Preferred Receivables Funding Corp. 1.79s 1/29/02 13,979,813 .......................................................................................................................... 4,020,000 Quincy Capital Corp. 2.1s 1/14/02 4,016,717 .......................................................................................................................... 4,926,000 Quincy Capital Corp. 2.1s 1/2/02 4,925,425 .......................................................................................................................... 5,073,000 Quincy Capital Corp. 1.97s 1/9/02 5,070,502 .......................................................................................................................... 9,631,000 Receivables Capital Corp. 1.88s 1/7/02 9,627,479 .......................................................................................................................... 6,000,000 Salomon Smith Barney Holding, Inc. 1.77s 2/1/02 5,990,560 .......................................................................................................................... 7,000,000 Sheffield Receivables Corp. 2.62s 1/11/02 6,994,396 .......................................................................................................................... 11,900,000 Sheffield Receivables Corp. 2.26s 7/19/02 11,750,589 .......................................................................................................................... 6,000,000 Sheffield Receivables Corp. 1.92s 1/25/02 5,992,000 .......................................................................................................................... 3,500,000 Sheffield Receivables Corp. 1.9s 1/4/02 3,499,222 .......................................................................................................................... 4,100,000 Sheffield Receivables Corp. 1.82s 1/15/02 4,096,891 .......................................................................................................................... 7,500,000 Sheffield Receivables Corp. 1.8s 1/9/02 7,496,625 .......................................................................................................................... 8,350,000 Sigma Finance, Inc. 3.56s 1/17/02 8,335,963 .......................................................................................................................... 8,000,000 Sigma Finance, Inc. 3.4s 2/21/02 7,960,711 .......................................................................................................................... 11,039,000 Thunder Bay Funding, Inc. 2.12s 1/18/02 11,027,299 .......................................................................................................................... 4,000,000 Thunder Bay Funding, Inc. 2.1s 1/25/02 3,994,167 .......................................................................................................................... 10,129,000 Thunder Bay Funding, Inc. 1.85s 3/15/02 10,090,482 .......................................................................................................................... 15,595,000 Thunder Bay Funding, Inc. 1.79s 2/14/02 15,559,407 .......................................................................................................................... 5,347,000 Windmill Funding Corp. 2.1s 1/15/02 5,342,321 .......................................................................................................................... 19,400,000 Windmill Funding Corp. 2.03s 1/2/02 19,397,915 .......................................................................................................................... 5,000,000 Windmill Funding Corp. 2.02s 1/3/02 4,999,158 .......................................................................................................................... 5,000,000 Windmill Funding Corp. 1.9s 2/22/02 4,986,014 .......................................................................................................................... 5,000,000 Windmill Funding Corp. 1.86s 1/30/02 4,992,250 - -------------------------------------------------------------------------------------------------------------------------- $611,033,011 - -------------------------------------------------------------------------------------------------------------------------- Foreign (32.9%) (a) - -------------------------------------------------------------------------------------------------------------------------- $5,000,000 Abbey National North America Corp. 2.19s (United Kingdom) 8/30/02 $4,926,392 .......................................................................................................................... 5,000,000 Abbey National Treasury Service 2.50s (United Kingdom) 3/25/02 5,000,000 .......................................................................................................................... 10,000,000 Aegon Funding Corp. 2.46s (Netherlands) 3/4/02 9,956,950 .......................................................................................................................... 4,500,000 Banco de Galicia Y Buenos Aires S.A. (Bayerische Hypo- und Vereinsbank AG (LOC)) 2.52s (Germany) 2/22/02 4,483,305 .......................................................................................................................... 2,200,000 Banco Itau S.A. (Bayerische Hypo- und Vereinsbank AG (LOC)) 2.26s (Germany) 4/18/02 2,185,084 .......................................................................................................................... 3,500,000 Banco Itau S.A. (Bayerische Hypo- und Vereinsbank AG (LOC)) 2.21s (Germany) 4/15/02 3,477,440 .......................................................................................................................... 5,000,000 Bayerische Hypo- und Vereinsbank AG 3.63s (Germany) 8/20/02 5,000,232 .......................................................................................................................... 9,000,000 Bayerische Hypo- und Vereinsbank AG 2.65s (Germany) 11/29/02 9,000,000 .......................................................................................................................... 4,500,000 Canadian Imperial Bank of Commerce 4.145s (Canada) 5/8/02 4,499,111 .......................................................................................................................... 7,000,000 Canadian Imperial Bank of Commerce 3.43s (Canada) 3/6/02 7,014,051 .......................................................................................................................... 14,000,000 Credit Suisse First Boston 3.7s (Switzerland) 1/14/02 13,979,856 .......................................................................................................................... 7,000,000 Credit Suisse First Boston 1.9s (Switzerland) 1/28/02 6,989,656 .......................................................................................................................... 10,000,000 Danske Bank 2.01s (Denmark) 9/3/02 9,862,650 .......................................................................................................................... 15,000,000 Den Norske Bank 1.91s (Norway) 2/7/02 14,969,758 .......................................................................................................................... 6,031,000 Den Norske Bank 1.91s (Norway) 2/5/02 6,019,745 .......................................................................................................................... 5,500,000 Den Norske Bank 1.88s (Norway) 3/6/02 5,481,331 .......................................................................................................................... 2,030,000 Dexia Delaware LLC 2s (Belgium) 2/1/02 2,026,391 .......................................................................................................................... 5,000,000 Dexia Delaware LLC 1.9s (Belgium) 2/7/02 4,989,972 .......................................................................................................................... 6,099,000 Dresdner Bank AG 2.04s (Germany) 2/5/02 6,086,558 .......................................................................................................................... 6,000,000 Dresdner Bank AG 1.76s (Germany) 3/14/02 6,000,000 .......................................................................................................................... 12,232,000 ED & F Man Treasury Management (Rabobank Nederland (LOC)) 2.05s (Netherlands) 1/11/02 12,224,338 .......................................................................................................................... 7,000,000 Halifax PLC 2.36s (United Kingdom) 3/5/02 7,000,729 .......................................................................................................................... 14,000,000 Halifax PLC 2.29s (United Kingdom) 3/11/02 13,999,179 .......................................................................................................................... 2,800,000 Halifax PLC 1.8s (United Kingdom) 3/28/02 2,787,820 .......................................................................................................................... 10,000,000 National Australia Bank 2.49s (Australia) 3/25/02 10,004,533 .......................................................................................................................... 4,000,000 Nordbanken NA, Inc. 2.6s (Sweden) 2/28/02 3,982,956 .......................................................................................................................... 13,000,000 Nordbanken NA, Inc. 2s (Sweden) 8/8/02 12,841,111 .......................................................................................................................... 3,000,000 PEMEX Capital, Inc. (Barclays (LOC)) 1.85s (United Kingdom) 3/27/02 2,986,742 .......................................................................................................................... 4,400,000 PEMEX Capital, Inc. (Barclays (LOC)) 1.85s (United Kingdom) 3/26/02 4,380,781 .......................................................................................................................... 16,445,000 Petrobras International Finance Co. (Barclays Bank PLC (LOC)) 1.97s (United Kingdom) 1/9/02 16,436,901 .......................................................................................................................... 14,000,000 Petrobras International Finance Co. (Barclays Bank PLC (LOC)) 1.94s (United Kingdom) 1/3/02 13,997,737 .......................................................................................................................... 3,000,000 Societe Generale 2.8s (France) 2/13/02 2,989,733 .......................................................................................................................... 2,500,000 Spintab AB 1.95s (Sweden) 2/5/02 2,495,175 .......................................................................................................................... 14,000,000 Spintab AB 1.8s (Sweden) 3/11/02 13,951,000 .......................................................................................................................... 13,000,000 Stadshypotek Delaware, Inc. 3.36s (Sweden) 3/4/02 12,923,560 .......................................................................................................................... 10,000,000 Stadshypotek Delaware, Inc. 3.205s (Sweden) 2/11/02 9,962,608 .......................................................................................................................... 10,000,000 Stadshypotek Delaware, Inc. 2s (Sweden) 1/14/02 9,992,222 .......................................................................................................................... 2,000,000 Svenska Handelsbanken 2.46s (Sweden) 3/28/02 2,000,615 .......................................................................................................................... 5,100,000 Swedbank 2s (Sweden) 3/28/02 5,076,752 .......................................................................................................................... 3,500,000 Swedbank 1.82s (Sweden) 3/25/02 3,485,137 .......................................................................................................................... 5,150,000 Swedbank 1.82s (Sweden) 3/22/02 5,128,911 .......................................................................................................................... 15,000,000 Transamerican Finance Corp. 2.83s (Netherlands) 2/19/02 14,941,042 .......................................................................................................................... 3,400,000 UBS AG 1.82s (Switzerland) 3/26/02 3,385,389 .......................................................................................................................... 10,000,000 Westdeutsche Landesbank Girozentrale 4.24s (Germany) 5/17/02 10,000,365 .......................................................................................................................... 10,000,000 Westdeutsche Landesbank Girozentrale 3.775s (Germany) 1/10/02 10,000,066 .......................................................................................................................... 6,000,000 Westdeutsche Landesbank Girozentrale 2.23s (Germany) 8/16/02 5,915,260 - -------------------------------------------------------------------------------------------------------------------------- $344,839,144 - -------------------------------------------------------------------------------------------------------------------------- Total Commercial Paper (cost $955,872,155) $955,872,155 - -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES (8.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Maturity Date Value .......................................................................................................................... $5,000,000 Chase Manhattan Corp. sr. notes FRN Ser. C, 2.13s 9/11/02 $5,003,495 .......................................................................................................................... 5,000,000 FleetBoston Financial Corp. sr. notes FRN Ser. N, 2.63s 7/26/02 5,008,537 .......................................................................................................................... 24,000,000 Mercantile Bancorp. sub. notes 7 5/8s 10/15/02 24,868,770 .......................................................................................................................... 14,000,000 US Bank NA bank term loan FRN 2.14s 8/30/02 14,000,000 .......................................................................................................................... 7,000,000 Merrill Lynch & Company, Inc. FRN Ser. B, 2.086s 12/16/02 7,000,000 .......................................................................................................................... 11,000,000 Asset Securitization Corp. FRB 2.05s 4/12/02 11,000,000 .......................................................................................................................... 13,000,000 Credit Suisse First Boston USA, Inc. FRN Ser. MTN, 2s 10/23/02 13,000,000 .......................................................................................................................... 6,000,000 Swedbank (New York) dep. notes FRN Ser. YCD, 2.041s 12/6/02 5,997,183 - -------------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $85,877,985) $85,877,985 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (0.4%)(a)(cost $4,692,000) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $4,692,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $4,692,469 for an effective yield of 1.80% $4,692,000 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $1,046,442,140) (b) $1,046,442,140 - -------------------------------------------------------------------------------------------------------------------------- Diversification by Country - ----------------------------------------------------------------------------- Distribution of investments by country of issue at December 31, 2001: (as percentage of Market Value) - ----------------------------------------------------------------------------- Australia 1.0% ............................................................................. Belgium 0.7 ............................................................................. Canada 1.1 ............................................................................. Denmark 1.0 ............................................................................. France 0.3 ............................................................................. Germany 5.9 ............................................................................. Netherlands 3.5 ............................................................................. Norway 2.5 ............................................................................. Sweden 7.8 ............................................................................. Switzerland 2.3 ............................................................................. United Kingdom 6.8 ............................................................................. United States 67.1 - ----------------------------------------------------------------------------- Total 100.0% - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT New Opportunities Fund The fund's portfolio December 31, 2001 COMMON STOCKS (97.8%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (0.9%) .......................................................................................................................... 36,000 Interpublic Group of Companies, Inc. $1,063,440 .......................................................................................................................... 626,500 Lamar Advertising Co. (NON) 26,526,010 .......................................................................................................................... 14,400 Omnicom Group, Inc. 1,286,640 - -------------------------------------------------------------------------------------------------------------------------- 28,876,090 - -------------------------------------------------------------------------------------------------------------------------- Aerospace and Defense (0.2%) .......................................................................................................................... 64,800 Northrop Grumman Corp. 6,532,488 - -------------------------------------------------------------------------------------------------------------------------- Airlines (1.3%) .......................................................................................................................... 976,000 Ryanair Holdings PLC ADR (Ireland) (NON) 31,280,800 .......................................................................................................................... 618,800 Southwest Airlines Co. 11,435,424 - -------------------------------------------------------------------------------------------------------------------------- 42,716,224 - -------------------------------------------------------------------------------------------------------------------------- Banking (3.2%) .......................................................................................................................... 328,300 Bank of New York Company, Inc. (The) 13,394,640 .......................................................................................................................... 250,700 Fifth Third Bancorp 15,375,431 .......................................................................................................................... 783,000 National Commerce Financial Corp. 19,809,900 .......................................................................................................................... 283,200 North Fork Bancorporation, Inc. 9,059,568 .......................................................................................................................... 25,100 State Street Corp. 1,311,475 .......................................................................................................................... 578,800 TCF Financial Corp. 27,770,824 .......................................................................................................................... 345,900 Zions Bancorporation 18,187,422 - -------------------------------------------------------------------------------------------------------------------------- 104,909,260 - -------------------------------------------------------------------------------------------------------------------------- Beverage (0.4%) .......................................................................................................................... 39,200 Pepsi Bottling Group, Inc. (The) 921,200 .......................................................................................................................... 253,700 PepsiCo, Inc. 12,352,653 - -------------------------------------------------------------------------------------------------------------------------- 13,273,853 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (3.2%) .......................................................................................................................... 174,100 Applera Corporation.-Applied Biosystems Group 6,836,907 .......................................................................................................................... 22,700 Biogen, Inc. (NON) 1,301,845 .......................................................................................................................... 20,300 Chiron Corp. (NON) 889,952 .......................................................................................................................... 190,200 Genzyme Corp. (NON) 11,385,372 .......................................................................................................................... 108,500 ICOS Corp. (NON) 6,232,240 .......................................................................................................................... 101,750 IDEC Pharmaceuticals Corp. (NON) 7,013,628 .......................................................................................................................... 78,200 InterMune, Inc. (NON) 3,852,132 .......................................................................................................................... 438,100 Invitrogen Corp. (NON) 27,131,533 .......................................................................................................................... 633,300 MedImmune, Inc. (NON) 29,353,455 .......................................................................................................................... 450,800 QIAGEN NV (Netherlands) (NON) 8,366,848 .......................................................................................................................... 36,064 SICOR, Inc. (NON) 565,484 .......................................................................................................................... 29,400 Waters Corp. (NON) 1,139,250 - -------------------------------------------------------------------------------------------------------------------------- 104,068,646 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (3.6%) .......................................................................................................................... 583,100 CDW Computer Centers, Inc. (NON) 31,318,301 .......................................................................................................................... 237,100 Cintas Corp. 11,380,800 .......................................................................................................................... 194,400 eBay, Inc. (NON) 13,005,360 .......................................................................................................................... 161,600 H&R Block, Inc. 7,223,520 .......................................................................................................................... 396,900 Paychex, Inc. 13,831,965 .......................................................................................................................... 418,300 Robert Half International, Inc. (NON) 11,168,610 .......................................................................................................................... 44,700 Tech Data Corp. (NON) 1,934,616 .......................................................................................................................... 564,900 TMP Worldwide, Inc. (NON) 24,234,210 .......................................................................................................................... 122,100 Weight Watchers International, Inc. (NON) 4,129,422 - -------------------------------------------------------------------------------------------------------------------------- 118,226,804 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (2.4%) .......................................................................................................................... 1,589,500 Cisco Systems, Inc. (NON) (SEG) 28,785,845 .......................................................................................................................... 377,300 Extreme Networks, Inc. (NON) 4,867,170 .......................................................................................................................... 260,400 Juniper Networks, Inc. (NON) 4,934,580 .......................................................................................................................... 231,200 Nokia OYJ ADR (Finland) 5,671,336 .......................................................................................................................... 173,400 Polycom, Inc. (NON) 5,907,738 .......................................................................................................................... 441,000 QUALCOMM, Inc. (NON) 22,270,500 .......................................................................................................................... 1,140,300 Sonus Networks, Inc. (NON) 5,268,186 - -------------------------------------------------------------------------------------------------------------------------- 77,705,355 - -------------------------------------------------------------------------------------------------------------------------- Computers-- Hardware (3.9%) .......................................................................................................................... 308,000 Brocade Communications Systems, Inc. (NON) 10,200,960 .......................................................................................................................... 819,000 Dell Computer Corp. (NON) 22,260,420 .......................................................................................................................... 295,100 Emulex Corp. (NON) 11,659,401 .......................................................................................................................... 364,200 Hewlett-Packard Co. 7,480,668 .......................................................................................................................... 212,600 IBM Corp. 25,716,096 .......................................................................................................................... 377,800 McDATA Corp. Class A (NON) 9,256,100 .......................................................................................................................... 621,200 Network Appliance, Inc. (NON) 13,585,644 .......................................................................................................................... 575,200 QLogic Corp. (NON) 25,602,152 - -------------------------------------------------------------------------------------------------------------------------- 125,761,441 - -------------------------------------------------------------------------------------------------------------------------- Computers-- Software and Services (1.0%) .......................................................................................................................... 890,340 VeriSign, Inc. (NON) 33,868,534 - -------------------------------------------------------------------------------------------------------------------------- Computer Services (2.2%) .......................................................................................................................... 75,000 Affiliated Computer Services, Inc. Class A (NON) 7,959,750 .......................................................................................................................... 256,700 BISYS Group, Inc. (The) (NON) 16,426,233 .......................................................................................................................... 40,800 Concord EFS, Inc. (NON) 1,337,424 .......................................................................................................................... 225,400 Convergys Corp. (NON) 8,450,246 .......................................................................................................................... 225,800 Electronic Data Systems Corp. 15,478,590 .......................................................................................................................... 39,150 Fiserv, Inc. (NON) 1,656,828 .......................................................................................................................... 361,600 Jack Henry & Associates, Inc. 7,897,344 .......................................................................................................................... 25,500 SEI Investments Co. 1,150,305 .......................................................................................................................... 408,100 SunGard Data Systems, Inc. (NON) 11,806,333 - -------------------------------------------------------------------------------------------------------------------------- 72,163,053 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (2.5%) .......................................................................................................................... 1,173,000 General Electric Co. (SEG) 47,013,840 .......................................................................................................................... 590,500 Tyco International, Ltd. (Bermuda) 34,780,450 - -------------------------------------------------------------------------------------------------------------------------- 81,794,290 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.2%) .......................................................................................................................... 359,400 AmeriCredit Corp. (NON) 11,339,070 .......................................................................................................................... 488,100 Capital One Financial Corp. 26,332,995 .......................................................................................................................... 29,900 Metris Companies, Inc. 768,729 .......................................................................................................................... 213,000 Providian Financial Corp. 756,150 - -------------------------------------------------------------------------------------------------------------------------- 39,196,944 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.2%) .......................................................................................................................... 23,200 Avon Products, Inc. 1,078,800 .......................................................................................................................... 100,900 Colgate-Palmolive Co. 5,826,975 - -------------------------------------------------------------------------------------------------------------------------- 6,905,775 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.1%) .......................................................................................................................... 265,000 Power-One, Inc. (NON) 2,758,650 - -------------------------------------------------------------------------------------------------------------------------- Electronics (14.3%) .......................................................................................................................... 33,200 Altera Corp. (NON) 704,504 .......................................................................................................................... 53,300 Analog Devices, Inc. (NON) 2,365,987 .......................................................................................................................... 629,900 Applied Micro Circuits Corp. (NON) 7,130,468 .......................................................................................................................... 333,900 ASM Lithography Holdings NV (Netherlands) (NON) 5,692,995 .......................................................................................................................... 420,700 Broadcom Corp. Class A (NON) 17,194,009 .......................................................................................................................... 656,600 Celestica, Inc. (Canada) (NON) 26,520,074 .......................................................................................................................... 35,800 Cypress Semiconductor Corp. (NON) 713,494 .......................................................................................................................... 961,700 Finisar Corp. (NON) 9,780,489 .......................................................................................................................... 1,187,700 Flextronics International, Ltd. (Singapore) (NON) 28,492,923 .......................................................................................................................... 522,300 Integrated Device Technology, Inc. (NON) 13,887,957 .......................................................................................................................... 1,354,000 Intel Corp. 42,583,300 .......................................................................................................................... 49,700 Intersil Corp. Class A (NON) 1,602,825 .......................................................................................................................... 651,000 Jabil Circuit, Inc. (NON) 14,790,720 .......................................................................................................................... 316,607 KLA-Tencor Corp. (NON) 15,691,043 .......................................................................................................................... 342,400 LAM Research Corp. (NON) 7,950,528 .......................................................................................................................... 843,700 Linear Technology Corp. 32,938,048 .......................................................................................................................... 703,100 LSI Logic Corp. (NON) 11,094,918 .......................................................................................................................... 1,100,900 Marvell Technology Group, Ltd. (Bermuda) (NON) 39,434,238 .......................................................................................................................... 1,472,600 Maxim Integrated Products, Inc. (NON) 77,326,226 .......................................................................................................................... 346,900 Micrel, Inc. (NON) 9,099,187 .......................................................................................................................... 421,100 Microchip Technology, Inc. (NON) 16,313,414 .......................................................................................................................... 166,100 Novellus Systems, Inc. (NON) 6,552,645 .......................................................................................................................... 34,500 NVIDIA Corp. (NON) 2,308,050 .......................................................................................................................... 370,600 PerkinElmer, Inc. 12,978,412 .......................................................................................................................... 369,400 PMC - Sierra, Inc. (NON) 7,853,444 .......................................................................................................................... 308,700 RF Micro Devices, Inc. (NON) 5,936,301 .......................................................................................................................... 1,051,700 Sanmina Corp. (NON) 20,928,830 .......................................................................................................................... 517,500 Semtech Corp. (NON) 18,469,575 .......................................................................................................................... 711,800 Solectron Corp. (NON) 8,029,104 .......................................................................................................................... 17,100 Xilinx, Inc. (NON) 667,755 - -------------------------------------------------------------------------------------------------------------------------- 465,031,463 - -------------------------------------------------------------------------------------------------------------------------- Energy (1.5%) .......................................................................................................................... 335,700 BJ Services Co. (NON) 10,893,465 .......................................................................................................................... 414,071 GlobalSantaFe Corp. 11,809,305 .......................................................................................................................... 107,100 Key Energy Services, Inc. (NON) 985,320 .......................................................................................................................... 304,300 Nabors Industries, Inc. (NON) 10,446,619 .......................................................................................................................... 400,500 National-Oilwell, Inc. (NON) 8,254,305 .......................................................................................................................... 304,200 Patterson-UTI Energy, Inc. (NON) 7,090,902 - -------------------------------------------------------------------------------------------------------------------------- 49,479,916 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (2.3%) .......................................................................................................................... 1,726,800 Viacom, Inc. Class B (NON) 76,238,220 - -------------------------------------------------------------------------------------------------------------------------- Financial (1.1%) .......................................................................................................................... 284,200 Citigroup, Inc. 14,346,416 .......................................................................................................................... 261,100 Fannie Mae 20,757,450 .......................................................................................................................... 19,600 USA Education, Inc. 1,646,792 - -------------------------------------------------------------------------------------------------------------------------- 36,750,658 - -------------------------------------------------------------------------------------------------------------------------- Food (0.2%) .......................................................................................................................... 214,500 Kraft Foods, Inc. Class A 7,299,435 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (0.4%) .......................................................................................................................... 54,600 Argosy Gaming Co. (NON) 1,775,592 .......................................................................................................................... 289,900 Harrah's Entertainment, Inc. (NON) 10,729,199 - -------------------------------------------------------------------------------------------------------------------------- 12,504,791 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (4.6%) .......................................................................................................................... 386,100 AdvancePCS (NON) 11,332,035 .......................................................................................................................... 319,424 AmerisourceBergen Corp. 20,299,395 .......................................................................................................................... 108,900 Anthem, Inc. (NON) 5,390,550 .......................................................................................................................... 729,900 Caremark Rx, Inc. (NON) 11,904,669 .......................................................................................................................... 10,100 Cerner Corp. (NON) 504,293 .......................................................................................................................... 361,500 Community Health Systems, Inc. (NON) 9,218,250 .......................................................................................................................... 86,200 DaVita, Inc. (NON) 2,107,590 .......................................................................................................................... 315,000 HCA, Inc. 12,140,100 .......................................................................................................................... 181,000 Healthsouth Corp. (NON) 2,682,420 .......................................................................................................................... 634,400 IMS Health, Inc. 12,377,144 .......................................................................................................................... 256,500 McKesson Corp. 9,593,100 .......................................................................................................................... 57,100 Oxford Health Plans, Inc. (NON) 1,720,994 .......................................................................................................................... 31,254 Pharmaceutical Product Development, Inc. (NON) 1,009,817 .......................................................................................................................... 707,400 UnitedHealth Group, Inc. 50,062,698 - -------------------------------------------------------------------------------------------------------------------------- 150,343,055 - -------------------------------------------------------------------------------------------------------------------------- Homebuilding (0.1%) .......................................................................................................................... 21,600 Lennar Corp. 1,011,312 .......................................................................................................................... 5,000 NVR, Inc. (NON) 1,020,000 - -------------------------------------------------------------------------------------------------------------------------- 2,031,312 - -------------------------------------------------------------------------------------------------------------------------- Insurance (0.8%) .......................................................................................................................... 250,600 American International Group, Inc. 19,897,640 .......................................................................................................................... 36,400 Brown & Brown, Inc. 993,720 .......................................................................................................................... 58,600 XL Capital, Ltd. Class A (Bermuda) 5,353,696 - -------------------------------------------------------------------------------------------------------------------------- 26,245,056 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (1.0%) .......................................................................................................................... 50,400 Federated Investors, Inc. 1,606,752 .......................................................................................................................... 87,000 Lehman Brothers Holdings, Inc. 5,811,600 .......................................................................................................................... 400,500 Morgan Stanley, Dean Witter & Co. 22,403,970 .......................................................................................................................... 31,300 T Rowe Price Group, Inc. 1,087,049 - -------------------------------------------------------------------------------------------------------------------------- 30,909,371 - -------------------------------------------------------------------------------------------------------------------------- Leisure (1.0%) .......................................................................................................................... 611,900 Harley-Davidson, Inc. 33,232,289 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.6%) .......................................................................................................................... 683,400 Cendant Corp. (NON) 13,401,474 .......................................................................................................................... 148,230 Four Seasons Hotels, Inc. (Canada) 6,931,235 - -------------------------------------------------------------------------------------------------------------------------- 20,332,709 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (--%) .......................................................................................................................... 21,400 Roper Industries, Inc. 1,059,300 - -------------------------------------------------------------------------------------------------------------------------- Media (7.2%) .......................................................................................................................... 533,700 AOL Time Warner, Inc. (NON) 17,131,770 .......................................................................................................................... 1,067,200 Clear Channel Communications, Inc. (NON) (SEG) 54,331,152 .......................................................................................................................... 410,000 Echostar Communications Corp. Class A (NON) 11,262,700 .......................................................................................................................... 394,900 Entercom Communications Corp. (NON) 19,745,000 .......................................................................................................................... 770,880 Hispanic Broadcasting Corp. (NON) 19,657,440 .......................................................................................................................... 2,705,718 Liberty Media Corp. Class A (NON) 37,880,052 .......................................................................................................................... 1,057,800 Univision Communications, Inc. Class A (NON) 42,798,588 .......................................................................................................................... 1,050,200 Westwood One, Inc. (NON) 31,558,510 - -------------------------------------------------------------------------------------------------------------------------- 234,365,212 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (3.3%) .......................................................................................................................... 1,243,500 Apogent Technologies, Inc. (NON) 32,082,300 .......................................................................................................................... 172,500 Biomet, Inc. 5,330,250 .......................................................................................................................... 446,900 Cytyc Corp. (NON) 11,664,090 .......................................................................................................................... 18,000 DENTSPLY International, Inc. 903,600 .......................................................................................................................... 49,000 Guidant Corp. (NON) 2,440,200 .......................................................................................................................... 551,400 Medtronic, Inc. 28,237,194 .......................................................................................................................... 20,000 Stryker Corp. 1,167,400 .......................................................................................................................... 365,866 Sybron Dental Specialties, Inc. (NON) 7,895,388 .......................................................................................................................... 540,900 Zimmer Holdings, Inc. (NON) 16,519,086 - -------------------------------------------------------------------------------------------------------------------------- 106,239,508 - -------------------------------------------------------------------------------------------------------------------------- Metals (0.1%) .......................................................................................................................... 135,400 Freeport-McMoRan Copper & Gold, Inc. Class A (NON) 1,746,660 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.6%) .......................................................................................................................... 809,500 Dynegy, Inc. Class A 20,642,250 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (0.3%) .......................................................................................................................... 273,700 Noble Drilling Corp. (NON) 9,316,748 .......................................................................................................................... 18,200 Ultramar Diamond Shamrock Corp. 900,536 - -------------------------------------------------------------------------------------------------------------------------- 10,217,284 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (9.8%) .......................................................................................................................... 477,200 Allergan, Inc. 35,813,860 .......................................................................................................................... 164,700 Andrx Group (NON) 11,596,527 .......................................................................................................................... 192,000 Bristol-Myers Squibb Co. 9,792,000 .......................................................................................................................... 405,100 Cephalon, Inc. (NON) 30,619,484 .......................................................................................................................... 236,100 Enzon, Inc. (NON) 13,287,708 .......................................................................................................................... 28,000 Forest Laboratories, Inc. (NON) 2,294,600 .......................................................................................................................... 552,000 Johnson & Johnson 32,623,200 .......................................................................................................................... 750,500 King Pharmaceuticals, Inc. (NON) 31,618,565 .......................................................................................................................... 320,000 Lilly (Eli) & Co. 25,132,800 .......................................................................................................................... 267,300 Medicis Pharmaceutical Corp. Class A (NON) 17,264,907 .......................................................................................................................... 35,700 Mylan Laboratories, Inc. 1,338,750 .......................................................................................................................... 1,525,000 Pfizer, Inc. 60,771,250 .......................................................................................................................... 837,400 Schering-Plough Corp. 29,987,294 .......................................................................................................................... 480,400 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 17,582,640 - -------------------------------------------------------------------------------------------------------------------------- 319,723,585 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.7%) .......................................................................................................................... 1,134,300 Mirant Corp. (NON) 18,171,486 .......................................................................................................................... 173,000 Reliant Resources, Inc. (NON) 2,856,230 - -------------------------------------------------------------------------------------------------------------------------- 21,027,716 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.8%) .......................................................................................................................... 32,400 Darden Restaurants, Inc. 1,146,960 .......................................................................................................................... 1,323,100 Starbucks Corp. (NON) 25,205,055 - -------------------------------------------------------------------------------------------------------------------------- 26,352,015 - -------------------------------------------------------------------------------------------------------------------------- Retail (10.0%) .......................................................................................................................... 31,100 Abercrombie & Fitch Co. Class A (NON) 825,083 .......................................................................................................................... 391,300 AutoZone, Inc. (NON) 28,095,340 .......................................................................................................................... 2,092,900 Bed Bath & Beyond, Inc. (NON) 70,949,310 .......................................................................................................................... 118,400 Best Buy Co., Inc. (NON) 8,818,432 .......................................................................................................................... 1,011,500 Dollar Tree Stores, Inc. (NON) 31,265,465 .......................................................................................................................... 464,100 Family Dollar Stores, Inc. 13,913,718 .......................................................................................................................... 68,100 Gap, Inc. (The) 949,314 .......................................................................................................................... 824,526 Kohls Corp. (NON) 58,079,611 .......................................................................................................................... 86,000 Limited, Inc. (The) 1,265,920 .......................................................................................................................... 839,600 Lowe's Companies, Inc. 38,965,836 .......................................................................................................................... 116,100 Talbots, Inc. (The) 4,208,625 .......................................................................................................................... 393,300 TJX Companies, Inc. (The) 15,676,938 .......................................................................................................................... 702,700 Wal-Mart Stores, Inc. 40,440,385 .......................................................................................................................... 302,900 Whole Foods Market, Inc. (NON) 13,194,324 - -------------------------------------------------------------------------------------------------------------------------- 326,648,301 - -------------------------------------------------------------------------------------------------------------------------- Schools (0.7%) .......................................................................................................................... 222,400 Apollo Group, Inc. Class A (NON) 10,010,224 .......................................................................................................................... 469,300 SmartForce PLC ADR (Ireland) (NON) 11,615,175 - -------------------------------------------------------------------------------------------------------------------------- 21,625,399 - -------------------------------------------------------------------------------------------------------------------------- Software (7.2%) .......................................................................................................................... 24,257 Activision, Inc. (NON) 630,925 .......................................................................................................................... 548,100 Amdocs, Ltd. (Guernsey) (NON) 18,618,957 .......................................................................................................................... 51,500 Cadence Design Systems, Inc. (NON) 1,128,880 .......................................................................................................................... 54,302 Computer Associates International, Inc. 1,872,876 .......................................................................................................................... 452,000 Electronic Arts, Inc. (NON) 27,097,400 .......................................................................................................................... 287,800 Internet Security Systems, Inc. (NON) 9,226,868 .......................................................................................................................... 21,000 Intuit, Inc. (NON) 898,380 .......................................................................................................................... 33,600 Mercury Interactive Corp. (NON) 1,141,728 .......................................................................................................................... 1,193,900 Microsoft Corp. (NON) 79,095,875 .......................................................................................................................... 375,700 Network Associates, Inc. (NON) 9,711,845 .......................................................................................................................... 262,700 Novell, Inc. (NON) 1,205,793 .......................................................................................................................... 1,839,100 Parametric Technology Corp. (NON) 14,363,371 .......................................................................................................................... 33,300 PeopleSoft, Inc. (NON) 1,338,660 .......................................................................................................................... 488,900 Peregrine Systems, Inc. (NON) 7,250,387 .......................................................................................................................... 19,300 Siebel Systems, Inc. (NON) 540,014 .......................................................................................................................... 88,400 Symantec Corp. (NON) 5,863,572 .......................................................................................................................... 1,086,700 VERITAS Software Corp. (NON) 48,716,761 .......................................................................................................................... 288,300 webMethods, Inc. (NON) 4,831,908 - -------------------------------------------------------------------------------------------------------------------------- 233,534,200 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.0%) .......................................................................................................................... 322,500 CenturyTel, Inc. 10,578,000 .......................................................................................................................... 395,300 Earthlink, Inc. (NON) 4,810,801 .......................................................................................................................... 286,400 SBA Communications Corp. (NON) 3,728,928 .......................................................................................................................... 568,400 Sprint Corp. (PCS Group) (NON) 13,874,642 .......................................................................................................................... 712,900 Time Warner Telecom, Inc. Class A (NON) 12,611,201 .......................................................................................................................... 301,800 Triton PCS Holdings, Inc. Class A (NON) 8,857,830 .......................................................................................................................... 12,000 United States Cellular Corp. (NON) 543,000 .......................................................................................................................... 382,000 Western Wireless Corp. Class A (NON) 10,791,500 - -------------------------------------------------------------------------------------------------------------------------- 65,795,902 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (0.8%) .......................................................................................................................... 580,700 Philip Morris Companies, Inc. 26,625,095 - -------------------------------------------------------------------------------------------------------------------------- Transaction Processing (0.1%) .......................................................................................................................... 44,184 NDCHealth Corp. 1,526,557 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $3,200,919,528) $3,186,284,666 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.4%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 196,400 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance S.A.) expiration 9/3/02 $13,133,268 .......................................................................................................................... 28,700 VeriSign, Inc. 144A Structured Warrants (issued by Salomon Smith Barney Holdings, Inc.) expiration 4/8/02 1,034,793 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $14,090,200) $14,168,061 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (2.0%)(a)(cost $65,430,000) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $65,430,000 Interest in $750,000,000 joint tri-party repurchase agreement dated December 31, 2001 with S.B.C. Warburg, Inc. due January 2, 2002 with respect to various U.S. Government obligations-- maturity value of $65,436,543 for an effective yield of 1.80% $65,430,000 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $3,280,439,728) (b) $3,265,882,727 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - -------------------------------------------------------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ......................................................................... S&P 500 Index (Long) $6,033,300 $5,970,749 Mar-02 $62,551 - ------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT New Value Fund The fund's portfolio December 31, 2001 COMMON STOCKS (96.0%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (2.8%) .......................................................................................................................... 153,900 Boeing Co. $5,968,242 .......................................................................................................................... 128,100 Lockheed Martin Corp. 5,978,427 .......................................................................................................................... 180,700 Rockwell Collins, Inc. 3,523,650 - -------------------------------------------------------------------------------------------------------------------------- 15,470,319 - -------------------------------------------------------------------------------------------------------------------------- Automotive (1.5%) .......................................................................................................................... 218,800 Lear Corp. (NON) 8,345,032 - -------------------------------------------------------------------------------------------------------------------------- Banking (9.5%) .......................................................................................................................... 176,200 Bank of America Corp. 11,091,790 .......................................................................................................................... 247,540 Charter One Financial, Inc. 6,720,711 .......................................................................................................................... 109,100 Comerica, Inc. 6,251,430 .......................................................................................................................... 93,400 M&T Bank Corp. 6,804,190 .......................................................................................................................... 524,800 Sovereign Bancorp, Inc. 6,423,552 .......................................................................................................................... 699,900 U.S. Bancorp 14,648,907 - -------------------------------------------------------------------------------------------------------------------------- 51,940,580 - -------------------------------------------------------------------------------------------------------------------------- Beverage (2.4%) .......................................................................................................................... 49,800 Adolf Coors Co. Class B 2,659,320 .......................................................................................................................... 143,800 Fortune Brands, Inc. 5,693,042 .......................................................................................................................... 210,400 Pepsi Bottling Group, Inc. (The) 4,944,400 - -------------------------------------------------------------------------------------------------------------------------- 13,296,762 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (2.8%) .......................................................................................................................... 194,700 Avery Dennison Corp. 11,006,391 .......................................................................................................................... 405,000 Hercules, Inc. (NON) 4,050,000 - -------------------------------------------------------------------------------------------------------------------------- 15,056,391 - -------------------------------------------------------------------------------------------------------------------------- Coal (1.3%) .......................................................................................................................... 222,100 Arch Coal, Inc. 5,041,670 .......................................................................................................................... 69,900 Peabody Energy Corp. 1,970,481 - -------------------------------------------------------------------------------------------------------------------------- 7,012,151 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.8%) .......................................................................................................................... 848,200 Service Corp. International (NON) 4,232,518 - -------------------------------------------------------------------------------------------------------------------------- Computers (2.6%) .......................................................................................................................... 636,700 Compaq Computer Corp. 6,214,192 .......................................................................................................................... 379,300 Hewlett-Packard Co. 7,790,822 - -------------------------------------------------------------------------------------------------------------------------- 14,005,014 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (4.6%) .......................................................................................................................... 5,750 Berkshire Hathaway, Inc. Class B (NON) 14,518,750 .......................................................................................................................... 183,000 Tyco International, Ltd. (Bermuda) 10,778,700 - -------------------------------------------------------------------------------------------------------------------------- 25,297,450 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.2%) .......................................................................................................................... 232,200 Providian Financial Corp. 824,310 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (6.2%) .......................................................................................................................... 345,200 Edison International (NON) 5,212,520 .......................................................................................................................... 139,900 Entergy Corp. 5,471,489 .......................................................................................................................... 136,500 FirstEnergy Corp. 4,774,770 .......................................................................................................................... 289,800 Northeast Utilities 5,109,174 .......................................................................................................................... 167,900 Progress Energy, Inc. 7,560,537 .......................................................................................................................... 209,800 Reliant Energy, Inc. 5,563,896 - -------------------------------------------------------------------------------------------------------------------------- 33,692,386 - -------------------------------------------------------------------------------------------------------------------------- Electronics (1.3%) .......................................................................................................................... 457,700 Motorola, Inc. 6,874,654 - -------------------------------------------------------------------------------------------------------------------------- Energy (1.3%) .......................................................................................................................... 209,800 Transocean Sedco Forex, Inc. 7,095,436 - -------------------------------------------------------------------------------------------------------------------------- Financial (4.2%) .......................................................................................................................... 456,000 Citigroup, Inc. 23,018,880 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (2.2%) .......................................................................................................................... 128,100 CIGNA Corp. 11,868,465 - -------------------------------------------------------------------------------------------------------------------------- Insurance (2.7%) .......................................................................................................................... 266,000 ACE, Ltd. (Bermuda) 10,679,900 .......................................................................................................................... 42,000 XL Capital, Ltd. Class A (Bermuda) 3,837,120 - -------------------------------------------------------------------------------------------------------------------------- 14,517,020 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (6.3%) .......................................................................................................................... 88,400 Bear Stearns Companies, Inc. (The) 5,183,776 .......................................................................................................................... 259,600 JPMorgan Chase & Co. 9,436,460 .......................................................................................................................... 119,200 Lehman Brothers Holdings, Inc. 7,962,560 .......................................................................................................................... 211,500 Morgan Stanley Dean Witter & Co. 11,831,310 - -------------------------------------------------------------------------------------------------------------------------- 34,414,106 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.5%) .......................................................................................................................... 167,900 Royal Caribbean Cruises, Ltd. 2,719,980 - -------------------------------------------------------------------------------------------------------------------------- Media (1.5%) .......................................................................................................................... 599,200 Liberty Media Corp. Class A (NON) 8,388,800 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (1.7%) .......................................................................................................................... 241,100 Dynegy, Inc. Class A 6,148,050 .......................................................................................................................... 67,100 El Paso Corp. 2,993,331 - -------------------------------------------------------------------------------------------------------------------------- 9,141,381 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (6.7%) .......................................................................................................................... 371,000 Conoco, Inc. 10,499,300 .......................................................................................................................... 47,600 Murphy Oil Corp. 4,000,304 .......................................................................................................................... 327,000 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 16,029,540 .......................................................................................................................... 169,500 Unocal Corp. 6,113,865 - -------------------------------------------------------------------------------------------------------------------------- 36,643,009 - -------------------------------------------------------------------------------------------------------------------------- Packaging (1.3%) .......................................................................................................................... 720,000 Owens-Illinois, Inc. (NON) 7,192,800 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (2.5%) .......................................................................................................................... 215,400 Boise Cascade Corp. 7,325,754 .......................................................................................................................... 391,700 Smurfit-Stone Container Corp. (NON) 6,255,449 - -------------------------------------------------------------------------------------------------------------------------- 13,581,203 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (2.7%) .......................................................................................................................... 178,500 Merck & Company, Inc. 10,495,800 .......................................................................................................................... 114,000 Schering-Plough Corp. 4,082,340 - -------------------------------------------------------------------------------------------------------------------------- 14,578,140 - -------------------------------------------------------------------------------------------------------------------------- Photography/Imaging (2.4%) .......................................................................................................................... 1,270,100 Xerox Corp. 13,234,442 - -------------------------------------------------------------------------------------------------------------------------- Railroads (2.8%) .......................................................................................................................... 352,500 Norfolk Southern Corp. 6,461,325 .......................................................................................................................... 151,600 Union Pacific Corp. 8,641,200 - -------------------------------------------------------------------------------------------------------------------------- 15,102,525 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (1.8%) .......................................................................................................................... 133,700 Boston Properties, Inc. (R) 5,080,600 .......................................................................................................................... 161,100 Equity Residential Properties Trust (R) 4,625,181 - -------------------------------------------------------------------------------------------------------------------------- 9,705,781 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (2.5%) .......................................................................................................................... 340,700 SBC Communications, Inc. (SEG) 13,345,219 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.9%) .......................................................................................................................... 141,000 Darden Restaurants, Inc. 4,991,400 - -------------------------------------------------------------------------------------------------------------------------- Retail (6.9%) .......................................................................................................................... 151,000 Circuit City Stores-Circuit City Group 3,918,450 .......................................................................................................................... 139,900 Federated Department Stores, Inc. (NON) 5,721,910 .......................................................................................................................... 335,700 J.C. Penney Co., Inc. 9,030,330 .......................................................................................................................... 383,800 Limited, Inc. (The) 5,649,536 .......................................................................................................................... 976,000 Rite Aid Corp. (NON) 4,938,560 .......................................................................................................................... 439,200 Staples, Inc. (NON) 8,213,040 - -------------------------------------------------------------------------------------------------------------------------- 37,471,826 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (4.1%) .......................................................................................................................... 84,500 ALLTEL Corp. 5,216,185 .......................................................................................................................... 604,300 Qwest Communications International, Inc. 8,538,759 .......................................................................................................................... 439,200 Sprint Corp. (FON Group) 8,819,136 - -------------------------------------------------------------------------------------------------------------------------- 22,574,080 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (2.8%) .......................................................................................................................... 327,300 Philip Morris Companies, Inc. 15,006,705 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (2.2%) .......................................................................................................................... 411,100 Republic Services, Inc. (NON) 8,209,667 .......................................................................................................................... 126,000 Waste Management, Inc. 4,020,660 - -------------------------------------------------------------------------------------------------------------------------- 12,230,327 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $493,068,090) $522,869,092 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES (1.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $1,000,000 Providian Financial Corp. cv. sr. notes 3 1/4s, 2005 $430,000 .......................................................................................................................... 2,060,000 Service Corp. International cv. sub. notes 6 3/4s, 2008 2,106,968 .......................................................................................................................... 7,400,000 Xerox Corp. cv. sub. deb. 0.57s, 2018 3,912,750 - -------------------------------------------------------------------------------------------------------------------------- Total Convertible Bonds and Notes (cost $5,375,285) $6,449,718 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 15,000 Boise Cascade Corp. $3.75 cv. pfd. $816,750 .......................................................................................................................... 25,000 Xerox Corp. 144A $3.75 cv. pfd. 1,724,750 - -------------------------------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $2,054,310) $2,541,500 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (4.7%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $9,972,402 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $9,959,540 .......................................................................................................................... 15,584,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $15,585,558 for an effective yield of 1.80% 15,584,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $25,543,540) $25,543,540 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $526,041,225) (b) $557,403,850 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT OTC & Emerging Growth Fund The fund's portfolio December 31, 2001 COMMON STOCKS (97.7%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (1.0%) .......................................................................................................................... 18,500 Aeroflex, Inc. (NON) $350,205 .......................................................................................................................... 13,400 L-3 Communications Holdings, Inc. (NON) 1,206,000 - -------------------------------------------------------------------------------------------------------------------------- 1,556,205 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.4%) .......................................................................................................................... 31,300 Southwest Airlines Co. 578,424 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.2%) .......................................................................................................................... 14,700 Gentex Corp. (NON) 392,931 - -------------------------------------------------------------------------------------------------------------------------- Banking (1.4%) .......................................................................................................................... 17,800 Greater Bay Bancorp 508,724 .......................................................................................................................... 6,400 North Fork Bancorporation, Inc. 204,736 .......................................................................................................................... 27,800 TCF Financial Corp. 1,333,844 .......................................................................................................................... 3,900 Zions Bancorporation 205,062 - -------------------------------------------------------------------------------------------------------------------------- 2,252,366 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (6.5%) .......................................................................................................................... 6,300 Genzyme Corp. (NON) 377,118 .......................................................................................................................... 18,800 Gilead Sciences, Inc. (NON) 1,235,536 .......................................................................................................................... 14,500 IDEC Pharmaceuticals Corp. (NON) 999,485 .......................................................................................................................... 32,500 ILEX Oncology, Inc. (NON) 878,800 .......................................................................................................................... 30,400 InterMune, Inc. (NON) 1,497,504 .......................................................................................................................... 49,980 Invitrogen Corp. (NON) 3,095,261 .......................................................................................................................... 47,100 Ligand Pharmaceuticals, Inc. Class B (NON) 843,090 .......................................................................................................................... 22,840 QIAGEN NV (Netherlands) (NON) 423,910 .......................................................................................................................... 48,400 Scios, Inc. (NON) 1,150,468 .......................................................................................................................... 4,100 Trimeris, Inc. (NON) 184,377 - -------------------------------------------------------------------------------------------------------------------------- 10,685,549 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (4.3%) .......................................................................................................................... 43,990 CDW Computer Centers, Inc. (NON) 2,362,703 .......................................................................................................................... 21,500 Corporate Executive Board Co. (The) (NON) 789,050 .......................................................................................................................... 25,100 eBay, Inc. (NON) 1,679,190 .......................................................................................................................... 61,800 Exult, Inc. (NON) 991,890 .......................................................................................................................... 4,900 Macrovision Corp. (NON) 172,578 .......................................................................................................................... 13,200 Maximus, Inc. (NON) 555,192 .......................................................................................................................... 12,900 Weight Watchers International, Inc. (NON) 436,278 - -------------------------------------------------------------------------------------------------------------------------- 6,986,881 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (1.1%) .......................................................................................................................... 34,200 Extreme Networks, Inc. (NON) 441,180 .......................................................................................................................... 24,750 Juniper Networks, Inc. (NON) 469,013 .......................................................................................................................... 26,100 Riverstone Networks, Inc. (NON) 433,260 .......................................................................................................................... 99,900 Sonus Networks, Inc. (NON) 461,538 - -------------------------------------------------------------------------------------------------------------------------- 1,804,991 - -------------------------------------------------------------------------------------------------------------------------- Computer Hardware (5.7%) .......................................................................................................................... 34,290 Brocade Communications Systems, Inc. (NON) 1,135,685 .......................................................................................................................... 77,960 Emulex Corp. (NON) 3,080,200 .......................................................................................................................... 92,200 McDATA Corp. Class A (NON) 2,258,900 .......................................................................................................................... 12,500 Network Appliance, Inc. (NON) 273,375 .......................................................................................................................... 57,153 QLogic Corp. (NON) 2,543,880 - -------------------------------------------------------------------------------------------------------------------------- 9,292,040 - -------------------------------------------------------------------------------------------------------------------------- Computer Services (0.8%) .......................................................................................................................... 8,000 BISYS Group, Inc. (The) (NON) 511,920 .......................................................................................................................... 500 Jack Henry & Associates, Inc. 10,920 .......................................................................................................................... 18,540 VeriSign, Inc. (NON) 705,262 - -------------------------------------------------------------------------------------------------------------------------- 1,228,102 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.1%) .......................................................................................................................... 29,300 AmeriCredit Corp. (NON) 924,415 .......................................................................................................................... 37,100 Metris Companies, Inc. 953,841 - -------------------------------------------------------------------------------------------------------------------------- 1,878,256 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.8%) .......................................................................................................................... 31,580 TMP Worldwide, Inc. (NON) 1,354,782 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.1%) .......................................................................................................................... 14,700 Power-One, Inc.(NON) 153,027 - -------------------------------------------------------------------------------------------------------------------------- Electronics (16.5%) .......................................................................................................................... 38,770 Alpha Industries, Inc. (NON) 845,186 .......................................................................................................................... 59,090 Applied Micro Circuits Corp. (NON) 668,899 .......................................................................................................................... 5,400 Broadcom Corp. Class A (NON) 220,698 .......................................................................................................................... 38,090 Celestica, Inc. (Canada) (NON) 1,538,455 .......................................................................................................................... 64,800 Centillium Communications, Inc. (NON) 509,328 .......................................................................................................................... 23,400 Credence Systems Corp. (NON) 434,538 .......................................................................................................................... 69,770 DDi Corp. (NON) 686,537 .......................................................................................................................... 15,800 Emcore Corp. (NON) 212,510 .......................................................................................................................... 59,300 Exar Corp. (NON) 1,236,405 .......................................................................................................................... 138,720 Finisar Corp. (NON) 1,410,782 .......................................................................................................................... 35,500 Flextronics International, Ltd. (Singapore) (NON) 851,645 .......................................................................................................................... 7,500 Integrated Circuit Systems, Inc. (NON) 169,425 .......................................................................................................................... 66,290 Integrated Device Technology, Inc. (NON) 1,762,651 .......................................................................................................................... 8,400 Intersil Corp. Class A (NON) 270,900 .......................................................................................................................... 40,280 Jabil Circuit, Inc. (NON) 915,162 .......................................................................................................................... 23,190 KLA-Tencor Corp. (NON) 1,149,296 .......................................................................................................................... 59,180 LAM Research Corp. (NON) 1,374,160 .......................................................................................................................... 34,700 LTX Corp. (NON) 726,618 .......................................................................................................................... 100,840 Marvell Technology Group, Ltd. (Bermuda) (NON) 3,612,087 .......................................................................................................................... 38,890 Novellus Systems, Inc. (NON) 1,534,211 .......................................................................................................................... 48,100 PMC - Sierra, Inc. (NON) 1,022,606 .......................................................................................................................... 12,500 Plexus Corp. (NON) 332,000 .......................................................................................................................... 54,600 RF Micro Devices, Inc. (NON) 1,049,958 .......................................................................................................................... 33,800 Sanmina Corp. (NON) 672,620 .......................................................................................................................... 28,400 Semtech Corp. (NON) 1,013,596 .......................................................................................................................... 58,050 Silicon Laboratories, Inc. (NON) 1,956,866 .......................................................................................................................... 15,100 Varian Semiconductor Equipment (NON) 522,309 - -------------------------------------------------------------------------------------------------------------------------- 26,699,448 - -------------------------------------------------------------------------------------------------------------------------- Energy (2.5%) .......................................................................................................................... 32,300 BJ Services Co. (NON) 1,048,135 .......................................................................................................................... 31,200 ENSCO International, Inc. 775,320 .......................................................................................................................... 26,600 GlobalSantaFe Corp. 758,632 .......................................................................................................................... 30,400 Nabors Industries, Inc. (NON) 1,043,632 .......................................................................................................................... 18,000 National-Oilwell, Inc. (NON) 370,980 - -------------------------------------------------------------------------------------------------------------------------- 3,996,699 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.1%) .......................................................................................................................... 6,000 Moody's Corp. 239,160 - -------------------------------------------------------------------------------------------------------------------------- Food (0.6%) .......................................................................................................................... 21,980 Krispy Kreme Doughnuts, Inc. (NON) 971,516 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (6.6%) .......................................................................................................................... 40,800 Accredo Health, Inc. (NON) 1,619,760 .......................................................................................................................... 49,500 AdvancePCS (NON) 1,452,825 .......................................................................................................................... 1,300 Anthem, Inc. (NON) 64,350 .......................................................................................................................... 129,200 Caremark Rx, Inc. (NON) 2,107,252 .......................................................................................................................... 40,070 Community Health Systems, Inc. (NON) 1,021,785 .......................................................................................................................... 5,700 Henry Schein, Inc. (NON) 211,071 .......................................................................................................................... 15,490 LifePoint Hospitals, Inc. (NON) 527,280 .......................................................................................................................... 25,800 Orthodontic Centers of America, Inc. (NON) 786,900 .......................................................................................................................... 32,100 Pediatrix Medical Group, Inc. (NON) 1,088,832 .......................................................................................................................... 37,980 Pharmaceutical Product Development, Inc. (NON) 1,227,134 .......................................................................................................................... 15,100 Province Healthcare Co. (NON) 465,986 .......................................................................................................................... 2,700 Quest Diagnostics, Inc. (NON) 193,617 - -------------------------------------------------------------------------------------------------------------------------- 10,766,792 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (1.8%) .......................................................................................................................... 14,300 BlackRock, Inc. (NON) 596,310 .......................................................................................................................... 14,900 Eaton Vance Corp. 529,695 .......................................................................................................................... 26,800 Federated Investors, Inc. 854,384 .......................................................................................................................... 29,300 T Rowe Price Group, Inc. 1,017,589 - -------------------------------------------------------------------------------------------------------------------------- 2,997,978 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (1.3%) .......................................................................................................................... 76,900 Extended Stay America, Inc. (NON) 1,261,160 .......................................................................................................................... 18,590 Four Seasons Hotels, Inc. (Canada) 869,268 - -------------------------------------------------------------------------------------------------------------------------- 2,130,428 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.6%) .......................................................................................................................... 10,900 Roper Industries, Inc. 539,550 .......................................................................................................................... 19,300 Shaw Group, Inc. (NON) 453,550 - -------------------------------------------------------------------------------------------------------------------------- 993,100 - -------------------------------------------------------------------------------------------------------------------------- Media (8.1%) .......................................................................................................................... 24,300 Echostar Communications Corp. Class A (NON) 667,521 .......................................................................................................................... 27,190 Entercom Communications Corp. (NON) 1,359,500 .......................................................................................................................... 82,170 Hispanic Broadcasting Corp. (NON) 2,095,335 .......................................................................................................................... 85,770 Lamar Advertising Co. (NON) 3,631,502 .......................................................................................................................... 73,700 Radio One, Inc. Class D (NON) 1,327,337 .......................................................................................................................... 66,770 Univision Communications, Inc. (NON) 2,701,514 .......................................................................................................................... 43,100 Westwood One, Inc. (NON) 1,295,155 - -------------------------------------------------------------------------------------------------------------------------- 13,077,864 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (4.3%) .......................................................................................................................... 35,700 Apogent Technologies, Inc. (NON) 921,060 .......................................................................................................................... 40,190 Charles River Laboratories International, Inc. (NON) 1,345,561 .......................................................................................................................... 89,460 Cytyc Corp. (NON) 2,334,906 .......................................................................................................................... 6,000 Haemonetics Corp. (NON) 203,520 .......................................................................................................................... 5,600 Respironics, Inc. (NON) 193,984 .......................................................................................................................... 10,500 Varian Medical Systems, Inc. (NON) 748,230 .......................................................................................................................... 38,000 Zimmer Holdings, Inc. (NON) 1,160,520 - -------------------------------------------------------------------------------------------------------------------------- 6,907,781 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (5.0%) .......................................................................................................................... 17,900 Andrx Group (NON) 1,260,339 .......................................................................................................................... 11,790 Cephalon, Inc. (NON) 891,147 .......................................................................................................................... 16,790 Enzon, Inc. (NON) 944,941 .......................................................................................................................... 34,037 King Pharmaceuticals, Inc. (NON) 1,433,979 .......................................................................................................................... 27,000 Medicis Pharmaceutical Corp. Class A (NON) 1,743,930 .......................................................................................................................... 49,620 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 1,816,092 - -------------------------------------------------------------------------------------------------------------------------- 8,090,428 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.2%) .......................................................................................................................... 7,500 Applebee's International, Inc. 256,500 - -------------------------------------------------------------------------------------------------------------------------- Retail (11.1%) .......................................................................................................................... 6,500 99 Cents Only Stores (NON) 247,650 .......................................................................................................................... 11,820 American Eagle Outfitters, Inc. (NON) 309,329 .......................................................................................................................... 24,200 AutoZone, Inc. (NON) 1,737,560 .......................................................................................................................... 19,290 Barnes & Noble, Inc. (NON) 570,984 .......................................................................................................................... 70,470 Bed Bath & Beyond, Inc. (NON) 2,388,933 .......................................................................................................................... 23,700 Chico's FAS, Inc. (NON) 940,890 .......................................................................................................................... 24,700 Circuit City Stores-Circuit City Group 640,965 .......................................................................................................................... 42,580 Coach, Inc. (NON) 1,659,768 .......................................................................................................................... 47,458 Columbia Sportswear Co. (NON) 1,580,351 .......................................................................................................................... 81,180 Dollar Tree Stores, Inc. (NON) 2,509,274 .......................................................................................................................... 38,500 Family Dollar Stores, Inc. 1,154,230 .......................................................................................................................... 8,400 Hot Topic, Inc. (NON) 263,676 .......................................................................................................................... 5,800 Jones Apparel Group, Inc. (NON) 192,386 .......................................................................................................................... 40,900 O'Reilly Automotive, Inc. (NON) 1,491,623 .......................................................................................................................... 30,800 Staples, Inc. (NON) 575,960 .......................................................................................................................... 11,700 Tiffany & Co. 368,199 .......................................................................................................................... 51,300 Too, Inc. (NON) 1,410,750 - -------------------------------------------------------------------------------------------------------------------------- 18,042,528 - -------------------------------------------------------------------------------------------------------------------------- Schools (3.6%) .......................................................................................................................... 16,990 Apollo Group, Inc. Class A (NON) 764,720 .......................................................................................................................... 68,480 Career Education Corp. (NON) 2,347,494 .......................................................................................................................... 107,260 SmartForce PLC ADR (Ireland) (NON) 2,654,685 - -------------------------------------------------------------------------------------------------------------------------- 5,766,899 - -------------------------------------------------------------------------------------------------------------------------- Software (8.7%) .......................................................................................................................... 7,850 Activision, Inc. (NON) 204,179 .......................................................................................................................... 16,290 Electronic Arts, Inc. (NON) 976,586 .......................................................................................................................... 124,289 Informatica Corp. (NON) 1,803,433 .......................................................................................................................... 23,300 Internet Security Systems, Inc. (NON) 746,998 .......................................................................................................................... 62,350 Interwoven, Inc. (NON) 607,289 .......................................................................................................................... 20,600 Intuit, Inc. (NON) 881,268 .......................................................................................................................... 100,740 Manugistics Group, Inc. (NON) 2,123,599 .......................................................................................................................... 29,580 Netegrity, Inc. (NON) 572,669 .......................................................................................................................... 10,000 NETIQ Corp. (NON) 352,600 .......................................................................................................................... 35,600 Network Associates, Inc. (NON) 920,260 .......................................................................................................................... 103,850 Peregrine Systems, Inc. (NON) 1,540,096 .......................................................................................................................... 26,500 Quest Software, Inc. (NON) 585,915 .......................................................................................................................... 16,600 TIBCO Software, Inc. (NON) 247,838 .......................................................................................................................... 20,600 VERITAS Software Corp. (NON) 923,498 .......................................................................................................................... 100,450 webMethods, Inc. (NON) 1,683,542 - -------------------------------------------------------------------------------------------------------------------------- 14,169,770 - -------------------------------------------------------------------------------------------------------------------------- Staffing (0.2%) .......................................................................................................................... 6,800 AMN Healthcare Services, Inc. (NON) 186,320 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (0.6%) .......................................................................................................................... 10,400 Concurrent Computer Corp. (NON) 154,440 .......................................................................................................................... 52,690 KPMG Consulting, Inc. (NON) 873,073 - -------------------------------------------------------------------------------------------------------------------------- 1,027,513 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.5%) .......................................................................................................................... 9,400 Airgate PCS, Inc. (NON) 428,170 .......................................................................................................................... 21,000 CenturyTel, Inc. 688,800 .......................................................................................................................... 8,000 Leap Wireless International, Inc. (NON) 167,760 .......................................................................................................................... 81,070 Time Warner Telecom, Inc. Class A (NON) (SEG) 1,434,128 .......................................................................................................................... 24,490 Triton PCS Holdings, Inc. Class A (NON) 718,782 .......................................................................................................................... 20,390 Western Wireless Corp. Class A (NON) 576,018 - -------------------------------------------------------------------------------------------------------------------------- 4,013,658 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $163,327,075) $158,497,936 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (4.4%)(a)(cost $7,152,000) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $7,152,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations-- maturity value of $7,152,715 for an effective yield of 1.80% $7,152,000 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $170,479,075) (b) $165,649,936 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ............................................................................. S&P 500 Index (Long) $574,600 $563,196 Mar-02 $11,404 - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Research Fund The fund's portfolio December 31, 2001 COMMON STOCKS (98.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (1.2%) .......................................................................................................................... 123,189 Interpublic Group of Companies, Inc. $3,639,003 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.4%) .......................................................................................................................... 65,500 Southwest Airlines Co. 1,210,440 - -------------------------------------------------------------------------------------------------------------------------- Banking (8.3%) .......................................................................................................................... 49,726 Bank of America Corp. 3,130,252 .......................................................................................................................... 107,200 Bank of New York Company, Inc. (The) 4,373,760 .......................................................................................................................... 68,600 Charter One Financial, Inc. 1,862,490 .......................................................................................................................... 52,000 Comerica, Inc. 2,979,600 .......................................................................................................................... 302,301 U.S. Bancorp 6,327,160 .......................................................................................................................... 120,100 Wells Fargo & Co. 5,218,345 .......................................................................................................................... 47,200 Zions Bancorporation 2,481,776 - -------------------------------------------------------------------------------------------------------------------------- 26,373,383 - -------------------------------------------------------------------------------------------------------------------------- Beverage (1.2%) .......................................................................................................................... 194,800 Coca-Cola Enterprises, Inc. 3,689,512 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (2.5%) .......................................................................................................................... 121,290 Clear Channel Communications, Inc. (NON) 6,174,874 .......................................................................................................................... 66,100 Echostar Communications Corp. Class A (NON) 1,815,767 - -------------------------------------------------------------------------------------------------------------------------- 7,990,641 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.5%) .......................................................................................................................... 88,600 Charter Communications, Inc. Class A (NON) 1,455,698 - -------------------------------------------------------------------------------------------------------------------------- Capital Goods (0.6%) .......................................................................................................................... 23,600 Eaton Corp. 1,756,076 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (1.1%) .......................................................................................................................... 99,400 Avaya, Inc. (NON) 1,207,710 .......................................................................................................................... 129,600 Cisco Systems, Inc. (NON) 2,347,056 - -------------------------------------------------------------------------------------------------------------------------- 3,554,766 - -------------------------------------------------------------------------------------------------------------------------- Computers (2.6%) .......................................................................................................................... 299,800 Compaq Computer Corp. 2,926,048 .......................................................................................................................... 264,700 Hewlett-Packard Co. 5,436,938 - -------------------------------------------------------------------------------------------------------------------------- 8,362,986 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (8.1%) .......................................................................................................................... 308,800 General Electric Co. 12,376,704 .......................................................................................................................... 227,000 Tyco International, Ltd. (Bermuda) 13,370,300 - -------------------------------------------------------------------------------------------------------------------------- 25,747,004 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.4%) .......................................................................................................................... 130,000 MBNA Corp. 4,576,000 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.4%) .......................................................................................................................... 74,100 Kimberly-Clark Corp. 4,431,180 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (3.7%) .......................................................................................................................... 254,900 Edison International (NON) 3,848,990 .......................................................................................................................... 214,800 PG&E Corp. 4,132,752 .......................................................................................................................... 142,900 Reliant Energy, Inc. 3,789,708 - -------------------------------------------------------------------------------------------------------------------------- 11,771,450 - -------------------------------------------------------------------------------------------------------------------------- Electronics (6.2%) .......................................................................................................................... 163,500 Agere Systems, Inc. Class A (NON) 930,315 .......................................................................................................................... 94,800 Broadcom Corp. Class A (NON) 3,874,476 .......................................................................................................................... 82,300 Celestica, Inc. (Canada) (NON) 3,324,097 .......................................................................................................................... 145,600 Flextronics International, Ltd. (Singapore) (NON) 3,492,944 .......................................................................................................................... 344,100 Motorola, Inc. 5,168,382 .......................................................................................................................... 115,100 PMC - Sierra, Inc. (NON) 2,447,026 .......................................................................................................................... 43,000 Solectron Corp. (NON) 485,040 - -------------------------------------------------------------------------------------------------------------------------- 19,722,280 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.7%) .......................................................................................................................... 26,600 Baker Hughes, Inc. 970,102 .......................................................................................................................... 47,500 GlobalSantaFe Corp. 1,354,700 - -------------------------------------------------------------------------------------------------------------------------- 2,324,802 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (1.9%) .......................................................................................................................... 133,417 Viacom, Inc. Class B (NON) 5,890,361 - -------------------------------------------------------------------------------------------------------------------------- Financial (4.1%) .......................................................................................................................... 260,400 Citigroup, Inc. (SEG) 13,144,992 - -------------------------------------------------------------------------------------------------------------------------- Food (2.6%) .......................................................................................................................... 73,500 General Mills, Inc. 3,822,735 .......................................................................................................................... 125,100 Kraft Foods, Inc. Class A 4,257,153 - -------------------------------------------------------------------------------------------------------------------------- 8,079,888 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (1.9%) .......................................................................................................................... 23,200 AmerisourceBergen Corp. 1,474,360 .......................................................................................................................... 10,600 CIGNA Corp. 982,090 .......................................................................................................................... 96,700 HCA, Inc. 3,726,818 - -------------------------------------------------------------------------------------------------------------------------- 6,183,268 - -------------------------------------------------------------------------------------------------------------------------- Insurance (1.3%) .......................................................................................................................... 68,300 ACE, Ltd. (Bermuda) 2,742,245 .......................................................................................................................... 18,800 Chubb Corp. (The) 1,297,200 - -------------------------------------------------------------------------------------------------------------------------- 4,039,445 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (2.4%) .......................................................................................................................... 39,800 Goldman Sachs Group, Inc. (The) 3,691,450 .......................................................................................................................... 72,100 Morgan Stanley Dean Witter & Co. 4,033,274 - -------------------------------------------------------------------------------------------------------------------------- 7,724,724 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.8%) .......................................................................................................................... 159,400 Royal Caribbean Cruises, Ltd. 2,582,280 - -------------------------------------------------------------------------------------------------------------------------- Media (0.7%) .......................................................................................................................... 165,800 Liberty Media Corp. Class A (NON) 2,321,200 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (3.0%) .......................................................................................................................... 185,600 Medtronic, Inc. 9,504,576 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.6%) .......................................................................................................................... 75,500 Dynegy, Inc. Class A 1,925,250 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (5.3%) .......................................................................................................................... 272,258 Exxon Mobil Corp. 10,699,739 .......................................................................................................................... 95,900 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 4,701,018 .......................................................................................................................... 38,700 Unocal Corp. 1,395,909 - -------------------------------------------------------------------------------------------------------------------------- 16,796,666 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (1.4%) .......................................................................................................................... 179,200 Smurfit-Stone Container Corp. (NON) 2,861,824 .......................................................................................................................... 29,700 Weyerhaeuser Co. 1,606,176 - -------------------------------------------------------------------------------------------------------------------------- 4,468,000 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (10.7%) .......................................................................................................................... 55,400 Allergan, Inc. 4,157,770 .......................................................................................................................... 117,700 AstraZeneca PLC ADR (United Kingdom) 5,484,820 .......................................................................................................................... 179,500 Johnson & Johnson 10,608,450 .......................................................................................................................... 171,900 Pharmacia Corp. 7,331,535 .......................................................................................................................... 181,400 Schering-Plough Corp. 6,495,934 - -------------------------------------------------------------------------------------------------------------------------- 34,078,509 - -------------------------------------------------------------------------------------------------------------------------- Publishing (0.6%) .......................................................................................................................... 32,000 McGraw-Hill Companies, Inc. (The) 1,951,360 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (4.0%) .......................................................................................................................... 218,955 SBC Communications, Inc. 8,576,467 .......................................................................................................................... 87,000 Verizon Communications, Inc. 4,129,020 - -------------------------------------------------------------------------------------------------------------------------- 12,705,487 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (1.3%) .......................................................................................................................... 214,200 Starbucks Corp. (NON) 4,080,510 - -------------------------------------------------------------------------------------------------------------------------- Retail (4.1%) .......................................................................................................................... 87,200 Bed Bath & Beyond, Inc. (NON) 2,956,080 .......................................................................................................................... 140,100 Gap, Inc. (The) 1,952,994 .......................................................................................................................... 231,000 Limited, Inc. (The) 3,400,320 .......................................................................................................................... 117,300 TJX Companies, Inc. (The) 4,675,578 - -------------------------------------------------------------------------------------------------------------------------- 12,984,972 - -------------------------------------------------------------------------------------------------------------------------- Software (4.8%) .......................................................................................................................... 78,500 Adobe Systems, Inc. 2,437,425 .......................................................................................................................... 163,000 BMC Software, Inc. (NON) 2,668,310 .......................................................................................................................... 153,300 Microsoft Corp. (NON) 10,156,125 - -------------------------------------------------------------------------------------------------------------------------- 15,261,860 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (2.3%) .......................................................................................................................... 97,600 Convergys Corp. (NON) 3,659,024 .......................................................................................................................... 214,400 KPMG Consulting, Inc. (NON) 3,552,608 - -------------------------------------------------------------------------------------------------------------------------- 7,211,632 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (0.9%) .......................................................................................................................... 199,100 Qwest Communications International, Inc. 2,813,283 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (2.6%) .......................................................................................................................... 179,800 Philip Morris Companies, Inc. 8,243,830 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (1.0%) .......................................................................................................................... 101,900 Waste Management, Inc. 3,251,629 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $313,766,821) $311,848,943 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (2.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $2,206,266 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $2,203,420 .......................................................................................................................... 5,629,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations-- maturity value of $5,629,563 for an effective yield of 1.80% 5,629,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $7,832,420) $7,832,420 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $321,599,241) (b) $319,681,363 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ............................................................................. S&P 500 Index (Long) $4,022,200 $3,999,390 Mar-02 $22,810 - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Small Cap Value Fund The fund's portfolio December 31, 2001 COMMON STOCKS (96.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (1.8%) .......................................................................................................................... 343,300 AAR Corp. $3,093,133 .......................................................................................................................... 47,200 Heico Corp. 711,304 .......................................................................................................................... 4,690 Heico Corp. Class A 63,268 .......................................................................................................................... 138,100 Innovative Solutions & Support, Inc. (NON) 1,073,037 .......................................................................................................................... 34,300 Precision Castparts Corp. 968,975 .......................................................................................................................... 32,800 United Defense Industries, Inc. (NON) 690,440 - -------------------------------------------------------------------------------------------------------------------------- 6,600,157 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.9%) .......................................................................................................................... 163,900 Airtran Holdings, Inc. (NON) 1,081,740 .......................................................................................................................... 71,200 Frontier Airlines, Inc. (NON) 1,210,400 .......................................................................................................................... 32,900 SkyWest, Inc. 837,305 - -------------------------------------------------------------------------------------------------------------------------- 3,129,445 - -------------------------------------------------------------------------------------------------------------------------- Automotive (2.6%) .......................................................................................................................... 43,000 BorgWarner, Inc. 2,246,750 .......................................................................................................................... 46,900 Carlisle Companies, Inc. 1,734,362 .......................................................................................................................... 59,400 CLARCOR, Inc. 1,612,710 .......................................................................................................................... 71,200 Sonic Automotive, Inc. (NON) 1,668,928 .......................................................................................................................... 151,900 Tower Automotive, Inc. (NON) 1,371,657 .......................................................................................................................... 70,800 Tower Automotive, Inc. (Private) (NON) 639,324 - -------------------------------------------------------------------------------------------------------------------------- 9,273,731 - -------------------------------------------------------------------------------------------------------------------------- Banking (8.1%) .......................................................................................................................... 71,200 AMCORE Financial, Inc. 1,591,320 .......................................................................................................................... 158,000 BankAtlantic Bancorp, Inc. Class A 1,450,440 .......................................................................................................................... 103,700 Banknorth Group, Inc. 2,335,324 .......................................................................................................................... 74,473 Centennial Bancorp 549,611 .......................................................................................................................... 27,000 Citizens Banking Corp. 887,760 .......................................................................................................................... 25,900 City National Corp. 1,213,415 .......................................................................................................................... 79,900 Commercial Federal Corp. 1,877,650 .......................................................................................................................... 53,600 Community First Bankshares 1,376,984 .......................................................................................................................... 45,600 Downey Financial Corp. 1,881,000 .......................................................................................................................... 68,100 East West Bancorp, Inc. 1,753,575 .......................................................................................................................... 38,100 Hudson United Bancorp 1,093,470 .......................................................................................................................... 95,555 Provident Bankshares Corp. 2,321,987 .......................................................................................................................... 62,563 Republic Bancorp, Inc. 866,498 .......................................................................................................................... 278,300 Sovereign Bancorp, Inc. 3,406,392 .......................................................................................................................... 109,400 Sterling Bancshares, Inc. 1,369,688 .......................................................................................................................... 82,770 Washington Federal, Inc. 2,133,811 .......................................................................................................................... 101,600 Webster Financial Corp. 3,203,448 - -------------------------------------------------------------------------------------------------------------------------- 29,312,373 - -------------------------------------------------------------------------------------------------------------------------- Beverage (0.4%) .......................................................................................................................... 36,500 Constellation Brands, Inc. Class A (NON) 1,564,025 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.2%) .......................................................................................................................... 80,200 Sinclair Broadcast Group, Inc. (NON) 758,692 - -------------------------------------------------------------------------------------------------------------------------- Building Materials (0.7%) .......................................................................................................................... 167,800 Apogee Enterprises, Inc. 2,654,596 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (4.7%) .......................................................................................................................... 82,100 Airgas, Inc. (NON) 1,241,352 .......................................................................................................................... 336,100 Crompton Corp. 3,024,900 .......................................................................................................................... 102,100 Delta & Pine Land Co. 2,310,523 .......................................................................................................................... 76,900 Ferro Corp. 1,984,020 .......................................................................................................................... 52,900 H.B. Fuller Co. 1,521,933 .......................................................................................................................... 77,600 Mississippi Chemical Corp. (NON) 219,608 .......................................................................................................................... 408,600 Omnova Solutions, Inc. 2,778,480 .......................................................................................................................... 319,700 PolyOne Corp. 3,133,060 .......................................................................................................................... 47,800 RPM, Inc. 691,188 - -------------------------------------------------------------------------------------------------------------------------- 16,905,064 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (3.8%) .......................................................................................................................... 22,000 ADVO, Inc. (NON) 946,000 .......................................................................................................................... 119,400 American Greetings Corp. Class A 1,645,332 .......................................................................................................................... 40,700 Banta Corp. 1,201,464 .......................................................................................................................... 87,800 ePlus, Inc. (NON) 838,490 .......................................................................................................................... 126,100 Hall, Kinion & Associates, Inc. (NON) 1,182,818 .......................................................................................................................... 93,300 Harland (John H.) Co. 2,061,930 .......................................................................................................................... 200,100 Modis Professional Services, Inc. (NON) 1,428,714 .......................................................................................................................... 19,900 NCO Group, Inc. (NON) 455,710 .......................................................................................................................... 73,900 Rayovac Corp. (NON) 1,300,640 .......................................................................................................................... 47,700 RemedyTemp, Inc. Class A (NON) 679,248 .......................................................................................................................... 358,600 Stewart Enterprises, Inc. Class A (NON) 2,148,014 - -------------------------------------------------------------------------------------------------------------------------- 13,888,360 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (1.5%) .......................................................................................................................... 32,600 Communications Systems, Inc. 245,804 .......................................................................................................................... 147,800 Inter-Tel, Inc. 2,840,716 .......................................................................................................................... 399,400 Loral Space & Communications, Ltd. (NON) 1,194,206 .......................................................................................................................... 76,200 Performance Technologies, Inc. (NON) 1,014,984 - -------------------------------------------------------------------------------------------------------------------------- 5,295,710 - -------------------------------------------------------------------------------------------------------------------------- Computers (2.4%) .......................................................................................................................... 113,300 Anixter International, Inc. (NON) 3,286,833 .......................................................................................................................... 71,200 Centra Software, Inc. (NON) 569,600 .......................................................................................................................... 197,100 Gerber Scientific, Inc. 1,833,030 .......................................................................................................................... 70,800 Mentor Graphics Corp. (NON) 1,668,756 .......................................................................................................................... 88,500 MSC. Software Corp. (NON) 1,380,600 - -------------------------------------------------------------------------------------------------------------------------- 8,738,819 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (1.1%) .......................................................................................................................... 289,400 GenCorp, Inc. 4,083,434 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.3%) .......................................................................................................................... 70,000 AmeriCredit Corp. (NON) 2,208,500 .......................................................................................................................... 677,300 Providian Financial Corp. 2,404,415 - -------------------------------------------------------------------------------------------------------------------------- 4,612,915 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.6%) .......................................................................................................................... 105,000 Dial Corp. (The) 1,800,750 .......................................................................................................................... 43,500 Lancaster Colony Corp. 1,544,685 .......................................................................................................................... 135,600 Tupperware Corp. 2,610,300 - -------------------------------------------------------------------------------------------------------------------------- 5,955,735 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.7%) .......................................................................................................................... 63,800 Arbitron, Inc. (NON) 2,178,770 .......................................................................................................................... 23,200 Heidrick & Struggles International, Inc. (NON) 421,080 - -------------------------------------------------------------------------------------------------------------------------- 2,599,850 - -------------------------------------------------------------------------------------------------------------------------- Distribution (0.9%) .......................................................................................................................... 107,100 Fleming Companies, Inc. 1,981,350 .......................................................................................................................... 53,500 Ingram Micro, Inc. Class A (NON) 926,620 .......................................................................................................................... 20,200 MCSi, Inc. (NON) 473,690 - -------------------------------------------------------------------------------------------------------------------------- 3,381,660 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (1.4%) .......................................................................................................................... 31,700 Hawaiian Electric Industries, Inc. 1,276,876 .......................................................................................................................... 261,100 Sierra Pacific Resources 3,929,555 - -------------------------------------------------------------------------------------------------------------------------- 5,206,431 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.9%) .......................................................................................................................... 45,700 Compudyne Corp. (Private) (NON) 799,750 .......................................................................................................................... 79,600 Lincoln Electric Holdings, Inc. 1,945,424 .......................................................................................................................... 25,600 Thomas & Betts Corp. 541,440 - -------------------------------------------------------------------------------------------------------------------------- 3,286,614 - -------------------------------------------------------------------------------------------------------------------------- Electronics (3.8%) .......................................................................................................................... 89,300 Avnet, Inc. 2,274,471 .......................................................................................................................... 58,200 Belden, Inc. 1,370,610 .......................................................................................................................... 262,400 General Cable Corp. 3,437,440 .......................................................................................................................... 67,400 Park Electrochemical Corp. 1,779,360 .......................................................................................................................... 236,700 Pioneer-Standard Electronics, Inc. 3,006,090 .......................................................................................................................... 211,800 X-Rite, Inc. 1,802,418 - -------------------------------------------------------------------------------------------------------------------------- 13,670,389 - -------------------------------------------------------------------------------------------------------------------------- Energy (2.7%) .......................................................................................................................... 40,500 Chiles Offshore, Inc. (NON) 805,545 .......................................................................................................................... 81,100 Global Industries, Ltd. (NON) 721,790 .......................................................................................................................... 20,600 GulfMark Offshore, Inc. (NON) 583,186 .......................................................................................................................... 56,200 Helmerich & Payne, Inc. (NON) 1,875,956 .......................................................................................................................... 36,700 Hydril Co. (NON) 647,021 .......................................................................................................................... 50,500 National-Oilwell, Inc. (NON) 1,040,805 .......................................................................................................................... 73,300 Newpark Resources, Inc. (NON) 579,070 .......................................................................................................................... 25,100 Patterson-UTI Energy, Inc. (NON) 585,081 .......................................................................................................................... 58,200 Pride International, Inc. (NON) 878,820 .......................................................................................................................... 49,500 Tidewater, Inc. 1,678,050 .......................................................................................................................... 36,300 Varco International, Inc. (NON) 543,774 - -------------------------------------------------------------------------------------------------------------------------- 9,939,098 - -------------------------------------------------------------------------------------------------------------------------- Engineering & Construction (0.8%) .......................................................................................................................... 27,300 Ameron International Corp. 1,889,160 .......................................................................................................................... 30,200 Texas Industries, Inc. 1,114,380 - -------------------------------------------------------------------------------------------------------------------------- 3,003,540 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.7%) .......................................................................................................................... 96,000 Advanta Corp. Class B 873,600 .......................................................................................................................... 171,700 Saxon Capital Acquisition Co. 144A (NON) 1,759,925 - -------------------------------------------------------------------------------------------------------------------------- 2,633,525 - -------------------------------------------------------------------------------------------------------------------------- Food (2.1%) .......................................................................................................................... 13,600 American Italian Pasta Co. Class A (NON) 571,608 .......................................................................................................................... 101,900 Bunge, Ltd. 2,372,232 .......................................................................................................................... 120,100 International Multifoods Corp. 2,870,390 .......................................................................................................................... 75,400 Smithfield Foods, Inc. (NON) 1,661,816 - -------------------------------------------------------------------------------------------------------------------------- 7,476,046 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (0.8%) .......................................................................................................................... 25,700 Argosy Gaming Co. (NON) 835,764 .......................................................................................................................... 44,500 GTECH Holdings Corp. (NON) 2,015,405 - -------------------------------------------------------------------------------------------------------------------------- 2,851,169 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (3.8%) .......................................................................................................................... 129,400 Beverly Enterprises, Inc. (NON) 1,112,840 .......................................................................................................................... 111,500 Britesmile, Inc. (NON) 557,500 .......................................................................................................................... 79,300 Britesmile, Inc. (Private) (NON) 396,500 .......................................................................................................................... 24,600 Invacare Corp. 829,266 .......................................................................................................................... 190,300 Omnicare, Inc. 4,734,664 .......................................................................................................................... 44,300 Owens & Minor, Inc. 819,550 .......................................................................................................................... 73,300 Per-Se Technologies, Inc. (NON) 787,975 .......................................................................................................................... 176,400 PSS World Medical, Inc. (NON) 1,439,424 .......................................................................................................................... 17,500 Sunrise Assisted Living, Inc. (NON) 509,425 .......................................................................................................................... 335,100 US Oncology, Inc. (NON) 2,526,654 - -------------------------------------------------------------------------------------------------------------------------- 13,713,798 - -------------------------------------------------------------------------------------------------------------------------- Homebuilding (1.1%) .......................................................................................................................... 144,000 Fleetwood Enterprises, Inc. 1,631,520 .......................................................................................................................... 82,100 Getty Realty Corp. 1,547,585 .......................................................................................................................... 16,000 Lennar Corp. 749,120 - -------------------------------------------------------------------------------------------------------------------------- 3,928,225 - -------------------------------------------------------------------------------------------------------------------------- Household Furniture and Appliances (0.8%) .......................................................................................................................... 91,500 Applica, Inc. (NON) 824,415 .......................................................................................................................... 67,200 Furniture Brands International, Inc. (NON) 2,151,744 - -------------------------------------------------------------------------------------------------------------------------- 2,976,159 - -------------------------------------------------------------------------------------------------------------------------- Insurance (5.6%) .......................................................................................................................... 62,900 AmerUs Group Co. 2,254,336 .......................................................................................................................... 93,600 Ceres Group, Inc. (NON) 345,384 .......................................................................................................................... 33,618 FBL Financial Group, Inc. Class A 560,748 .......................................................................................................................... 80,460 Fidelity National Financial, Inc. 1,995,408 .......................................................................................................................... 432,500 Fremont General Corp. 3,382,150 .......................................................................................................................... 61,900 Landamerica Financial Group, Inc. 1,776,530 .......................................................................................................................... 49,700 Philadelphia Consolidated Holding Corp. (NON) 1,874,187 .......................................................................................................................... 108,100 Presidential Life Corp. 2,222,534 .......................................................................................................................... 21,200 Radian Group, Inc. 910,540 .......................................................................................................................... 45,200 Stancorp Financial Group 2,135,700 .......................................................................................................................... 79,600 State Auto Financial Corp. 1,292,704 .......................................................................................................................... 25,200 W.R. Berkley Corp. 1,353,240 - -------------------------------------------------------------------------------------------------------------------------- 20,103,461 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.7%) .......................................................................................................................... 21,700 Jefferies Group, Inc. 918,127 .......................................................................................................................... 87,300 Knight Trading Group, Inc. (NON) 962,046 .......................................................................................................................... 20,000 SWS Group, Inc. 509,000 - -------------------------------------------------------------------------------------------------------------------------- 2,389,173 - -------------------------------------------------------------------------------------------------------------------------- Leisure (1.2%) .......................................................................................................................... 87,300 Brunswick Corp. 1,899,648 .......................................................................................................................... 127,400 Callaway Golf Co. 2,439,710 - -------------------------------------------------------------------------------------------------------------------------- 4,339,358 - -------------------------------------------------------------------------------------------------------------------------- Machinery (2.4%) .......................................................................................................................... 100,300 DT Industries, Inc. (NON) 551,650 .......................................................................................................................... 16,100 Flow International Corp. (Japan) (NON) 199,157 .......................................................................................................................... 40,100 Gardner Denver, Inc. (NON) 895,032 .......................................................................................................................... 132,400 Milacron, Inc. 2,093,244 .......................................................................................................................... 45,400 MSC Industrial Direct Co., Inc. Class A (NON) 896,650 .......................................................................................................................... 61,200 Presstek, Inc. (NON) 561,204 .......................................................................................................................... 72,000 Regal-Beloit Corp. 1,569,600 .......................................................................................................................... 43,100 Toro Co. (The) 1,939,500 - -------------------------------------------------------------------------------------------------------------------------- 8,706,037 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (3.0%) .......................................................................................................................... 75,400 AMETEK, Inc. 2,404,506 .......................................................................................................................... 22,800 Harsco Corp. 782,040 .......................................................................................................................... 105,856 Kaman Corp. 1,651,354 .......................................................................................................................... 48,000 Pentair, Inc. 1,752,480 .......................................................................................................................... 56,100 Tennant Co. 2,081,310 .......................................................................................................................... 52,900 York International Corp. 2,017,077 - -------------------------------------------------------------------------------------------------------------------------- 10,688,767 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (4.2%) .......................................................................................................................... 48,500 Arrow International, Inc. 1,937,090 .......................................................................................................................... 35,800 Beckman Coulter, Inc. 1,585,940 .......................................................................................................................... 33,450 Conmed Corp. (NON) 667,662 .......................................................................................................................... 52,000 Datascope Corp. 1,763,840 .......................................................................................................................... 33,600 Haemonetics Corp. (NON) 1,139,712 .......................................................................................................................... 93,500 Mentor Corp. 2,670,360 .......................................................................................................................... 307,000 Meridian Bioscience, Inc. 1,848,969 .......................................................................................................................... 67,400 Serologicals Corp. (NON) 1,449,100 .......................................................................................................................... 58,300 Vital Signs, Inc. 2,034,670 - -------------------------------------------------------------------------------------------------------------------------- 15,097,343 - -------------------------------------------------------------------------------------------------------------------------- Metals (1.4%) .......................................................................................................................... 67,800 Carpenter Technology Corp. 1,804,836 .......................................................................................................................... 33,400 Material Sciences Corp. (NON) 338,008 .......................................................................................................................... 60,800 Quanex Corp. 1,720,640 .......................................................................................................................... 24,600 Reliance Steel & Aluminum Co. 645,750 .......................................................................................................................... 36,900 Steel Dynamics, Inc. (NON) 428,409 - -------------------------------------------------------------------------------------------------------------------------- 4,937,643 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.3%) .......................................................................................................................... 45,900 Energen Corp. 1,131,435 - -------------------------------------------------------------------------------------------------------------------------- Office Equipment & Supplies (1.3%) .......................................................................................................................... 34,800 Falcon Products, Inc. 234,900 .......................................................................................................................... 132,200 Standard Register Co. (The) 2,449,666 .......................................................................................................................... 102,900 Wallace Computer Services, Inc. 1,954,071 - -------------------------------------------------------------------------------------------------------------------------- 4,638,637 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (3.2%) .......................................................................................................................... 17,600 Exco Resources, Inc. (NON) 295,680 .......................................................................................................................... 26,600 Newfield Exploration Co. (NON) 944,566 .......................................................................................................................... 4,500 Quicksilver Resources, Inc. (NON) 85,725 .......................................................................................................................... 444,600 Range Resources Corp. (NON) 2,022,930 .......................................................................................................................... 83,800 Remington Oil & Gas Corp. (NON) 1,449,740 .......................................................................................................................... 105,200 St. Mary Land & Exploration Co. (NON) 2,229,188 .......................................................................................................................... 113,100 Universal Compression Holdings, Inc. (NON) 3,335,319 .......................................................................................................................... 95,900 Vintage Petroleum, Inc. 1,385,755 - -------------------------------------------------------------------------------------------------------------------------- 11,748,903 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (0.3%) .......................................................................................................................... 31,700 Albany International Corp. 687,890 .......................................................................................................................... 41,100 BWAY Corp. (NON) 452,100 - -------------------------------------------------------------------------------------------------------------------------- 1,139,990 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (0.9%) .......................................................................................................................... 71,000 Alpharma, Inc. Class A 1,877,950 .......................................................................................................................... 130,400 Perrigo Co. (NON) 1,541,328 - -------------------------------------------------------------------------------------------------------------------------- 3,419,278 - -------------------------------------------------------------------------------------------------------------------------- Photography/Imaging (1.0%) .......................................................................................................................... 359,700 BMC Industries, Inc. 740,982 .......................................................................................................................... 199,100 Ikon Office Solutions, Inc. 2,327,479 .......................................................................................................................... 32,200 Imation Corp. (NON) 694,876 - -------------------------------------------------------------------------------------------------------------------------- 3,763,337 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.7%) .......................................................................................................................... 15,000 Genesee & Wyoming, Inc., Class A (NON) 489,750 .......................................................................................................................... 105,000 Rail America (Private) (NON) 1,518,300 .......................................................................................................................... 46,900 Rail America, Inc. (acquired 12/05/01, cost $586,250) (NON) (RES) 609,935 - -------------------------------------------------------------------------------------------------------------------------- 2,617,985 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (1.2%) .......................................................................................................................... 42,500 Alexandria Real Estate Equities, Inc. (R) 1,746,750 .......................................................................................................................... 141,000 Apex Mortgage Capital, Inc. 1,586,250 .......................................................................................................................... 30,100 LNR Property Corp. 938,518 - -------------------------------------------------------------------------------------------------------------------------- 4,271,518 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.9%) .......................................................................................................................... 77,200 CBRL Group, Inc. 2,272,768 .......................................................................................................................... 31,200 Sonic Corp. (NON) 1,123,200 - -------------------------------------------------------------------------------------------------------------------------- 3,395,968 - -------------------------------------------------------------------------------------------------------------------------- Retail (6.4%) .......................................................................................................................... 15,300 Aaron Rents, Inc. 249,390 .......................................................................................................................... 70,800 Casey's General Stores Inc. 1,054,920 .......................................................................................................................... 172,700 Claire's Stores, Inc. 2,607,770 .......................................................................................................................... 45,500 Coldwater Creek, Inc. (NON) 963,690 .......................................................................................................................... 67,900 dELiA*s Corp. Class A (NON) 420,980 .......................................................................................................................... 87,800 Dillards, Inc. Class A 1,404,800 .......................................................................................................................... 77,300 Hughes Supply, Inc. 2,386,251 .......................................................................................................................... 57,200 J. Jill Group, Inc. (NON) 1,231,516 .......................................................................................................................... 22,500 J. Jill Group, Inc. (Private) (NON) 484,425 .......................................................................................................................... 30,700 Lands' End, Inc. 1,539,912 .......................................................................................................................... 80,700 Longs Drug Stores, Inc. 1,886,766 .......................................................................................................................... 160,700 Nu Skin Enterprises, Inc. (Class A) 1,406,125 .......................................................................................................................... 69,900 Pathmark Stores, Inc. (NON) 1,723,734 .......................................................................................................................... 151,900 Pier 1 Imports, Inc. 2,633,946 .......................................................................................................................... 50,700 Regis Corp. 1,307,046 .......................................................................................................................... 69,300 Ruddick Corp. 1,108,107 .......................................................................................................................... 135,400 Spiegel, Inc. Class A 616,070 - -------------------------------------------------------------------------------------------------------------------------- 23,025,448 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (1.6%) .......................................................................................................................... 130,300 Cohu, Inc. 2,573,425 .......................................................................................................................... 85,200 Helix Technology Corp. 1,921,260 .......................................................................................................................... 73,300 Newport Corp. 1,413,224 - -------------------------------------------------------------------------------------------------------------------------- 5,907,909 - -------------------------------------------------------------------------------------------------------------------------- Shipping (2.1%) .......................................................................................................................... 131,800 EGL, Inc. (NON) 1,838,610 .......................................................................................................................... 155,400 General Maritime Corp. (NON) 1,554,000 .......................................................................................................................... 21,900 Landstar System, Inc. (NON) 1,587,969 .......................................................................................................................... 70,900 USFreightways Corp. 2,226,260 .......................................................................................................................... 16,700 Werner Enterprises, Inc. 405,810 - -------------------------------------------------------------------------------------------------------------------------- 7,612,649 - -------------------------------------------------------------------------------------------------------------------------- Software (3.0%) .......................................................................................................................... 273,900 Aether Systems, Inc. (NON) 2,519,880 .......................................................................................................................... 47,300 Autodesk, Inc. 1,762,871 .......................................................................................................................... 228,800 Borland Software Corp. (NON) 3,583,008 .......................................................................................................................... 73,800 FileNET Corp. (NON) 1,497,402 .......................................................................................................................... 31,400 Hyperion Solutions Corp. (NON) 623,604 .......................................................................................................................... 40,300 JDA Software Group, Inc. (NON) 900,705 - -------------------------------------------------------------------------------------------------------------------------- 10,887,470 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.8%) .......................................................................................................................... 72,100 American Management Systems (NON) 1,303,568 .......................................................................................................................... 103,600 Ciber, Inc. (NON) 979,020 .......................................................................................................................... 105,500 Keane, Inc. (NON) 1,902,165 .......................................................................................................................... 120,600 MTS Systems Corp. 1,219,266 .......................................................................................................................... 120,300 Sapient Corp. (NON) 928,716 - -------------------------------------------------------------------------------------------------------------------------- 6,332,735 - -------------------------------------------------------------------------------------------------------------------------- Textiles (1.4%) .......................................................................................................................... 129,300 Interface, Inc. (Class A) 725,373 .......................................................................................................................... 84,600 Kellwood Co. 2,031,246 .......................................................................................................................... 143,700 Wolverine World Wide, Inc. 2,162,685 - -------------------------------------------------------------------------------------------------------------------------- 4,919,304 - -------------------------------------------------------------------------------------------------------------------------- Transaction Processing (0.3%) .......................................................................................................................... 31,000 NDCHealth Corp. 1,071,050 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $309,475,379) $349,584,958 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.6%)(a)(cost $2,685,630) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 128,470 Exco Resources, Inc. $5.00 cum. cv. pfd. $2,248,225 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (8.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $15,182,316 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $15,162,734 .......................................................................................................................... 14,225,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $14,226,423 for an effective yield of 1.80% 14,225,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $29,387,734) $29,387,734 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $341,548,743) (b) $381,220,917 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Technology Fund The fund's portfolio December 31, 2001 COMMON STOCKS (98.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Communications Equipment (14.0%) .......................................................................................................................... 9,100 CIENA Corp. (NON) $130,221 .......................................................................................................................... 143,710 Cisco Systems, Inc. (NON) 2,602,588 .......................................................................................................................... 40,400 Lucent Technologies, Inc. 254,116 .......................................................................................................................... 9,400 Nokia OYJ ADR (Finland) 230,582 .......................................................................................................................... 16,810 QUALCOMM, Inc. (NON) 848,905 .......................................................................................................................... 2,980 Scientific-Atlanta, Inc. 71,341 .......................................................................................................................... 36,200 Telefonaktiebolaget LM Ericsson AB ADR (Sweden) 188,964 - -------------------------------------------------------------------------------------------------------------------------- 4,326,717 - -------------------------------------------------------------------------------------------------------------------------- Computers (25.7%) .......................................................................................................................... 4,385 Brocade Communications Systems, Inc. (NON) 145,231 .......................................................................................................................... 79,320 Compaq Computer Corp. 774,163 .......................................................................................................................... 43,915 Dell Computer Corp. (NON) 1,193,610 .......................................................................................................................... 45,975 EMC Corp. (NON) 617,904 .......................................................................................................................... 7,005 Emulex Corp. (NON) 276,768 .......................................................................................................................... 36,155 Hewlett-Packard Co. 742,624 .......................................................................................................................... 18,820 IBM Corp. 2,276,467 .......................................................................................................................... 5,815 Lexmark International, Inc. (NON) 343,085 .......................................................................................................................... 13,575 McDATA Corp. Class A (NON) 332,588 .......................................................................................................................... 1,550 NCR Corp. (NON) 57,133 .......................................................................................................................... 6,205 QLogic Corp. (NON) 276,185 .......................................................................................................................... 3,835 Research in Motion, Ltd. (Canada) (NON) 90,966 .......................................................................................................................... 55,900 Sun Microsystems, Inc. (NON) 687,570 .......................................................................................................................... 5,075 Symbol Technologies, Inc. 80,591 .......................................................................................................................... 2,110 VeriSign, Inc. (NON) 80,264 - -------------------------------------------------------------------------------------------------------------------------- 7,975,149 - -------------------------------------------------------------------------------------------------------------------------- Electronics (30.8%) .......................................................................................................................... 4,885 Alpha Industries, Inc. (NON) 106,493 .......................................................................................................................... 7,000 Altera Corp. (NON) 148,540 .......................................................................................................................... 8,800 Broadcom Corp. Class A (NON) 359,656 .......................................................................................................................... 7,365 Celestica, Inc. (Canada) (NON) 297,472 .......................................................................................................................... 20,995 Flextronics International, Ltd. (Singapore) (NON) 503,670 .......................................................................................................................... 8,100 Integrated Device Technology, Inc. (NON) 215,379 .......................................................................................................................... 92,350 Intel Corp. 2,904,408 .......................................................................................................................... 3,670 International Rectifier Corp. (NON) 128,010 .......................................................................................................................... 12,910 Jabil Circuit, Inc. (NON) 293,315 .......................................................................................................................... 11,260 Linear Technology Corp. 439,590 .......................................................................................................................... 13,325 LSI Logic Corp. (NON) 210,269 .......................................................................................................................... 7,280 Marvell Technology Group, Ltd. (Bermuda) (NON) 260,770 .......................................................................................................................... 11,160 Maxim Integrated Products, Inc. (NON) 586,012 .......................................................................................................................... 7,025 Micrel, Inc. (NON) 184,266 .......................................................................................................................... 46,600 Motorola, Inc. 699,932 .......................................................................................................................... 12,200 PMC - Sierra, Inc. (NON) 259,372 .......................................................................................................................... 18,716 Sanmina Corp. (NON) 372,448 .......................................................................................................................... 4,290 Semtech Corp. (NON) 153,110 .......................................................................................................................... 8,810 Solectron Corp. (NON) 99,377 .......................................................................................................................... 41,045 Texas Instruments, Inc. 1,149,260 .......................................................................................................................... 4,400 Xilinx, Inc. (NON) 171,820 - -------------------------------------------------------------------------------------------------------------------------- 9,543,169 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (3.9%) .......................................................................................................................... 14,180 Applied Materials, Inc. (NON) 568,618 .......................................................................................................................... 3,990 KLA-Tencor Corp. (NON) 197,744 .......................................................................................................................... 11,075 LAM Research Corp. (NON) 257,162 .......................................................................................................................... 4,300 Novellus Systems, Inc. (NON) 169,635 - -------------------------------------------------------------------------------------------------------------------------- 1,193,159 - -------------------------------------------------------------------------------------------------------------------------- Software (17.4%) .......................................................................................................................... 3,000 Activision, Inc. (NON) 78,030 .......................................................................................................................... 2,100 Adobe Systems, Inc. 65,205 .......................................................................................................................... 14,800 BMC Software, Inc. (NON) 242,276 .......................................................................................................................... 9,300 Computer Associates International, Inc. 320,757 .......................................................................................................................... 6,593 Electronic Arts, Inc. (NON) 395,250 .......................................................................................................................... 35,230 Microsoft Corp. (NON) 2,333,988 .......................................................................................................................... 62,100 Oracle Corp. (NON) 857,601 .......................................................................................................................... 1,050 PeopleSoft, Inc. (NON) 42,210 .......................................................................................................................... 19,560 Peregrine Systems, Inc. (NON) 290,075 .......................................................................................................................... 8,215 Siebel Systems, Inc. (NON) 229,856 .......................................................................................................................... 11,670 VERITAS Software Corp. (NON) 523,166 - -------------------------------------------------------------------------------------------------------------------------- 5,378,414 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (6.7%) .......................................................................................................................... 6,800 Accenture, Ltd. Class A (Bermuda) (NON) 183,055 .......................................................................................................................... 8,705 Automatic Data Processing, Inc. 512,725 .......................................................................................................................... 3,275 BISYS Group, Inc. (The) (NON) 209,566 .......................................................................................................................... 2,800 Computer Sciences Corp. (NON) 137,144 .......................................................................................................................... 7,490 Convergys Corp. (NON) 280,800 .......................................................................................................................... 7,375 Electronic Data Systems Corp. 505,555 .......................................................................................................................... 14,950 KPMG Consulting, Inc. (NON) 247,722 - -------------------------------------------------------------------------------------------------------------------------- 2,076,567 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $30,536,520) $30,493,175 - -------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS (0.3%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 31,660 MarketSoft Software Corp. Ser. D, zero % cv. pfd. (acquired 12/7/00, cost $154,501) (RES) $87,065 .......................................................................................................................... 16,600 Totality Corp. Ser. D, $0.346 cum. cv. pfd. (acquired 7/27/00, cost $71,830) (RES) 20,418 - -------------------------------------------------------------------------------------------------------------------------- Total Convertible Preferred Stocks (cost $226,330) $107,483 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.8%)(a) (NON) (cost $167,482) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 94,800 Taiwan Semiconductor Manufacturing Co. Ltd. Structured Warrants Expiration 7/26/02 (issued by Merrill Lynch International & Co. C.V.) (Taiwan) $237,136 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (4.0%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $412,032 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates from January 2, 2002 to February 28, 2002 (d) $428,259 .......................................................................................................................... 804,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001, with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $804,080 for an effective yield of 1.80% 804,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $1,232,259) $1,232,259 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $32,162,591) (b) $32,070,053 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Utilities Growth and Income Fund The fund's portfolio December 31, 2001 COMMON STOCKS (87.2%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Electric Utilities (40.5%) .......................................................................................................................... 119,700 Allegheny Energy, Inc. $4,335,534 .......................................................................................................................... 113,200 ALLETE, Inc. 2,852,640 .......................................................................................................................... 102,400 Alliant Energy Corp. 3,108,864 .......................................................................................................................... 87,900 Ameren Corp. 3,718,170 .......................................................................................................................... 268,500 American Electric Power Company, Inc. 11,687,805 .......................................................................................................................... 124,000 Cinergy Corp. 4,145,320 .......................................................................................................................... 71,400 Consolidated Edison, Inc. 2,881,704 .......................................................................................................................... 193,100 Constellation Energy Group, Inc. 5,126,805 .......................................................................................................................... 173,200 Dominion Resources, Inc. 10,409,320 .......................................................................................................................... 168,900 DTE Energy Co. 7,083,666 .......................................................................................................................... 516,100 Duke Energy Corp. 20,262,086 .......................................................................................................................... 1,009,800 Edison International 15,247,980 .......................................................................................................................... 9,200 Electrabel SA (Belgium) 1,916,423 .......................................................................................................................... 163,200 Energy East Corp. 3,099,168 .......................................................................................................................... 457,000 Entergy Corp. 17,873,270 .......................................................................................................................... 347,787 Exelon Corp. 16,652,042 .......................................................................................................................... 296,000 FirstEnergy Corp. 10,354,080 .......................................................................................................................... 265,000 FPL Group, Inc. 14,946,000 .......................................................................................................................... 165,000 Iberdrola SA (Spain) 2,147,429 .......................................................................................................................... 133,800 Korea Electric Power Corp. (South Korea) 2,210,644 .......................................................................................................................... 103,400 NRG Energy, Inc. (NON) 1,602,700 .......................................................................................................................... 107,600 OGE Energy Corp. 2,483,408 .......................................................................................................................... 915,900 PG&E Corp. 17,621,916 .......................................................................................................................... 112,500 Pinnacle West Capital Corp. 4,708,125 .......................................................................................................................... 68,500 PNM Resources, Inc. 1,914,575 .......................................................................................................................... 158,800 PPL Corp. 5,534,180 .......................................................................................................................... 294,000 Progress Energy, Inc. 13,238,820 .......................................................................................................................... 232,000 Public Power Corp. 144A GDR (Greece) (NON) 2,478,317 .......................................................................................................................... 225,300 Public Service Enterprise Group, Inc. 9,505,407 .......................................................................................................................... 79,400 Puget Energy, Inc. 1,738,066 .......................................................................................................................... 591,600 Reliant Energy, Inc. 15,689,232 .......................................................................................................................... 240,600 Sierra Pacific Resources 3,621,030 .......................................................................................................................... 385,000 Southern Co. (The) 9,759,750 .......................................................................................................................... 147,900 Teco Energy, Inc. 3,880,896 .......................................................................................................................... 127,600 TransAlta Corp. (Canada) 1,726,917 .......................................................................................................................... 203,100 TXU Corp. 9,576,165 .......................................................................................................................... 219,900 Utilicorp United, Inc. 5,534,883 .......................................................................................................................... 59,000 WPS Resources Corp. 2,156,450 .......................................................................................................................... 264,455 XCEL Energy, Inc. 7,335,982 - -------------------------------------------------------------------------------------------------------------------------- 280,165,769 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.7%) .......................................................................................................................... 122,751 Kinder Morgan Management, LLC (NON) 4,652,263 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (9.1%) .......................................................................................................................... 338,900 Dynegy, Inc. Class A 8,641,950 .......................................................................................................................... 327,994 El Paso Corp. 14,631,812 .......................................................................................................................... 82,400 Energen Corp. 2,031,160 .......................................................................................................................... 105,900 Equitable Resources, Inc. 3,608,013 .......................................................................................................................... 177,800 KeySpan Corp. 6,160,770 .......................................................................................................................... 26,700 New Jersey Resources Corp. 1,249,560 .......................................................................................................................... 67,900 NICOR, Inc. 2,827,356 .......................................................................................................................... 454,031 NiSource, Inc. 10,469,955 .......................................................................................................................... 32,700 Peoples Energy Corp. 1,240,311 .......................................................................................................................... 459,300 Williams Companies, Inc. (The) 11,721,336 - -------------------------------------------------------------------------------------------------------------------------- 62,582,223 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (0.4%) .......................................................................................................................... 89,919 Enbridge, Inc. (Canada) 2,445,166 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (2.4%) .......................................................................................................................... 176,800 AES Corp. (The) (NON) 2,890,680 .......................................................................................................................... 147,600 Aquila, Inc. (NON) 2,523,960 .......................................................................................................................... 297,300 Calpine Corp. (NON) 4,991,667 .......................................................................................................................... 614,300 International Power PLC (United Kingdom) (NON) 1,810,207 .......................................................................................................................... 292,986 Mirant Corp. (NON) 4,693,636 - -------------------------------------------------------------------------------------------------------------------------- 16,910,150 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (17.2%) .......................................................................................................................... 688,100 BellSouth Corp. 26,251,015 .......................................................................................................................... 1,236,300 SBC Communications, Inc. 48,425,871 .......................................................................................................................... 933,700 Verizon Communications, Inc. 44,313,402 - -------------------------------------------------------------------------------------------------------------------------- 118,990,288 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (0.6%) .......................................................................................................................... 117,600 Convergys Corp. (NON) 4,408,824 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (15.4%) .......................................................................................................................... 45,100 ALLTEL Corp. 2,784,023 .......................................................................................................................... 84,800 AT&T Corp. 1,538,272 .......................................................................................................................... 267,600 AT&T Wireless Services, Inc. (NON) 3,845,412 .......................................................................................................................... 34,700 BCE, Inc. (Canada) 791,160 .......................................................................................................................... 42,900 Broadwing, Inc. (NON) 407,550 .......................................................................................................................... 266,000 BT Group PLC (United Kingdom) 979,321 .......................................................................................................................... 44,900 CenturyTel, Inc. 1,472,720 .......................................................................................................................... 488,000 China Mobile, Ltd. (Hong Kong) (NON) 1,717,891 .......................................................................................................................... 104,000 Citizens Communications Co. (NON) 1,108,640 .......................................................................................................................... 75,051 Deutsche Telekom AG ADR (Germany) 1,268,362 .......................................................................................................................... 160,197 Koninlijke (Royal) KPN NV (Netherlands) (NON) 814,288 .......................................................................................................................... 266,000 mmO2 PLC (United Kingdom) 334,827 .......................................................................................................................... 68,600 Nextel Communications, Inc. Class A (NON) 751,856 .......................................................................................................................... 503 Nippon Telegraph and Telephone Corp. (NTT) (Japan) 1,639,112 .......................................................................................................................... 632 NTT DoCoMo, Inc. (Japan) 7,427,634 .......................................................................................................................... 445,700 Olivetti SpA (Italy) 570,941 .......................................................................................................................... 130,900 Orange SA (France) (NON) 1,186,247 .......................................................................................................................... 367,600 Portugal Telecom, SGPS SA ADR (Portugal) 2,797,436 .......................................................................................................................... 692,500 Qwest Communications International, Inc. 9,785,025 .......................................................................................................................... 68,600 Sonera Group OYJ (Finland) 347,475 .......................................................................................................................... 307,100 Sprint Corp. (FON Group) (SEG) 6,166,568 .......................................................................................................................... 229,000 Sprint Corp. (PCS Group) (NON) 5,589,890 .......................................................................................................................... 6,506 Swisscom AG (Switzerland) 1,803,737 .......................................................................................................................... 42,500 TDC A/S (Denmark) 1,514,584 .......................................................................................................................... 813,800 Telecom Italia Mobile SpA (Italy) 4,542,269 .......................................................................................................................... 691,000 Telecom Italia SpA (Italy) 5,905,231 .......................................................................................................................... 212,700 Telefonica SA (Spain) (NON) 2,845,863 .......................................................................................................................... 15,100 Telephone and Data Systems, Inc. 1,355,225 .......................................................................................................................... 212,300 Telstra Corporation, Ltd. (Australia) 591,084 .......................................................................................................................... 18,400 Time Warner Telecom, Inc. Class A (NON) 325,496 .......................................................................................................................... 39,600 Triton PCS Holdings, Inc. Class A (NON) 1,162,260 .......................................................................................................................... 11,371,800 Vodafone Group PLC (United Kingdom) 29,745,467 .......................................................................................................................... 21,100 Western Wireless Corp. Class A (NON) 596,075 .......................................................................................................................... 195,500 Worldcom, Inc.-WorldCom Group (NON) 2,752,640 - -------------------------------------------------------------------------------------------------------------------------- 106,464,581 - -------------------------------------------------------------------------------------------------------------------------- Water Utilities (0.9%) .......................................................................................................................... 106,875 Philadelphia Suburban Corp. 2,410,031 .......................................................................................................................... 345,100 Severn Trent PLC (United Kingdom) 3,610,743 - -------------------------------------------------------------------------------------------------------------------------- 6,020,774 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $547,625,398) $602,640,038 - -------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES (11.1%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... Distribution (0.2%) .......................................................................................................................... $1,625,000 ONEOK, Inc. sr. notes 7 1/8s, 2011 $1,656,086 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (7.0%) .......................................................................................................................... 1,630,000 AmerenEnergy Generating Co. sr. notes Ser. C, 7 3/4s, 2005 1,720,479 .......................................................................................................................... 1,660,000 American Electric Power Company, Inc. notes Ser. A, 6 1/8s, 2006 1,640,661 .......................................................................................................................... 2,000,000 Arizona Public Service Co. notes 6 1/4s, 2005 2,009,060 .......................................................................................................................... 1,000,000 Avista Corp. sr. notes 9 3/4s, 2008 1,026,000 .......................................................................................................................... 1,600,000 CILCORP, Inc. sr. notes 8.7s, 2009 1,569,600 .......................................................................................................................... 2,000,000 Cinergy Corp. deb. 6 1/8s, 2004 2,025,860 .......................................................................................................................... 1,200,000 CMS Energy Corp. pass-through certificates 7s, 2005 1,157,760 .......................................................................................................................... 2,000,000 Conectiv, Inc. notes Ser. A, 6.73s, 2006 2,019,680 .......................................................................................................................... 1,000,000 Connecticut Light & Power Co. 1st mtge. Ser. D, 7 7/8s, 2024 1,060,170 .......................................................................................................................... 1,660,000 Dominion Resources, Inc. sr. notes 8 1/8s, 2010 1,817,219 .......................................................................................................................... 1,880,000 DPL, Inc. 144A bonds 8 1/8s, 2031 1,806,473 .......................................................................................................................... 1,665,000 Exelon Corp. sr. notes 6 3/4s, 2011 1,669,229 .......................................................................................................................... 1,630,000 FirstEnergy Corp. notes Ser. B, 6.45s, 2011 1,595,852 .......................................................................................................................... 820,000 Florida Power & Light Co. 1st mtge. 6 7/8s, 2005 855,314 .......................................................................................................................... 3,000,000 Hydro Quebec local government guaranty Ser. HY, 8.4s, 2022 (Canada) 3,604,200 .......................................................................................................................... 1,195,000 Kansas Gas & Electric debs. 8.29s, 2016 1,040,594 .......................................................................................................................... 1,650,000 Mission Energy Holding Co. sec. notes 13 1/2s, 2008 1,831,500 .......................................................................................................................... 2,920,000 New Century Energies, Inc. coll. trust 6 3/8s, 2005 2,998,344 .......................................................................................................................... 3,000,000 Niagara Mohawk Power Corp. sr. notes Ser. G, 7 3/4s, 2008 3,189,030 .......................................................................................................................... 2,000,000 PG&E Gas Transmission Northwest sr. notes 7.1s, 2005 1,927,900 .......................................................................................................................... 2,065,000 PSI Energy, Inc. 1st mtge. Ser. EEE, 6.65s, 2006 2,091,760 .......................................................................................................................... 1,500,000 Sierra Pacific Power Co. med. term notes Ser. C, 6.82s, 2006 1,502,145 .......................................................................................................................... 2,660,000 Southern Investments Service Co. sr. notes 6.8s, 2006 (United Kingdom) 2,713,732 .......................................................................................................................... 1,240,000 Tampa Electric Co. notes 6 7/8s, 2012 1,275,662 .......................................................................................................................... 2,496,792 Texas Utilities Co. secd. lease fac. bonds 7.46s, 2015 2,505,830 .......................................................................................................................... 2,000,000 Western Resources, Inc. sr. notes 6 7/8s, 2004 1,869,220 - -------------------------------------------------------------------------------------------------------------------------- 48,523,274 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.2%) .......................................................................................................................... 1,300,000 Nisource Finance Corp. company guaranty 7 7/8s, 2010 1,344,473 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.5%) .......................................................................................................................... 1,500,000 Columbia Energy Group notes Ser. E, 7.32s, 2010 1,464,435 .......................................................................................................................... 380,000 KN Capital Trust III company guaranty 7.63s, 2028 339,383 .......................................................................................................................... 1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,542,165 - -------------------------------------------------------------------------------------------------------------------------- 3,345,983 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (0.2%) .......................................................................................................................... 1,250,000 Louis Dreyfus Natural Gas Corp. notes 6 7/8s, 2007 1,292,175 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.3%) .......................................................................................................................... 800,000 Calpine Corp. sr. notes 7 3/4s, 2009 708,000 .......................................................................................................................... 305,000 Midland Funding Corp. II debs. Ser. A, 11 3/4s, 2005 326,737 .......................................................................................................................... 608,241 Salton Sea Funding Corp. company guaranty Ser. E, 8.3s, 2011 537,867 - -------------------------------------------------------------------------------------------------------------------------- 1,572,604 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (0.4%) .......................................................................................................................... 2,650,000 Bell Atlantic Corp. debs. 7 7/8s, 2029 2,951,650 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.1%) .......................................................................................................................... 1,660,000 AT&T Wireless Services, Inc. sr. notes 7 7/8s, 2011 1,769,394 .......................................................................................................................... 815,000 British Telecommunications PLC notes 8 3/8s, 2010 (United Kingdom) 901,436 .......................................................................................................................... 2,000,000 Century Telephone Enterprises, Inc. deb. Ser. G, 6 7/8s, 2028 1,740,740 .......................................................................................................................... 1,245,000 Citizens Communications Co. notes 9 1/4s, 2011 1,377,045 .......................................................................................................................... 1,660,000 France Telecom 144A notes 7 3/4s, 2011 (France) 1,777,725 .......................................................................................................................... 1,250,000 MCI WorldCom, Inc. notes 7 3/4s, 2007 1,324,925 .......................................................................................................................... 3,200,000 Qwest Capital Funding, Inc. company guaranty 7 1/4s, 2011 3,121,632 .......................................................................................................................... 810,000 Verizon Global Funding Corp. notes 7 1/4s, 2010 866,287 .......................................................................................................................... 1,660,000 Worldcom, Inc.-WorldCom Group notes 7 1/2s, 2011 1,699,973 - -------------------------------------------------------------------------------------------------------------------------- 14,579,157 - -------------------------------------------------------------------------------------------------------------------------- Water Utilities (0.2%) .......................................................................................................................... 1,500,000 Pennsylvania-American Water Co. 144A mtge. 7.8s, 2026 1,533,675 - -------------------------------------------------------------------------------------------------------------------------- Total Corporate Bonds and Notes (cost $76,332,105) $76,799,077 - -------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS (0.2%)(a)(cost $1,500,000) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... 1,500 Centaur Funding Corp. 144A Ser, B, 9.08% pfd. (Cayman Islands) $1,602,240 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (5.0%) (a) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $27,720,010 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $27,684,257 .......................................................................................................................... 6,860,000 Interest in $500,000,000 joint tri-party repurchase agreement dated December 31, 2001 with Credit Suisse First Boston due January 2, 2002 with respect to various U.S. Government obligations-- maturity value of $6,860,686 for an effective yield of 1.80% 6,860,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $34,544,257) $34,544,257 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $660,001,760) (b) $715,585,612 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Unrealized Aggregate Expiration Appreciation/ Total Value Face Value Date (Depreciation) ............................................................................. U.S. Treasury Bond (Long) $4,467,375 $4,599,218 Mar-02 $(131,843) ............................................................................. U.S. Treasury Note 5yr (Short) 2,645,703 2,650,480 Mar-02 4,777 ............................................................................. U.S. Treasury Note 10yr (Long) 1,682,250 1,684,138 Mar-02 (1,888) - ----------------------------------------------------------------------------- $(128,954) - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Vista Fund The fund's portfolio December 31, 2001 COMMON STOCKS (96.5%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (3.1%) .......................................................................................................................... 423,200 Interpublic Group of Companies, Inc. $12,501,328 .......................................................................................................................... 248,100 Lamar Advertising Co. (NON) 10,504,554 - -------------------------------------------------------------------------------------------------------------------------- 23,005,882 - -------------------------------------------------------------------------------------------------------------------------- Aerospace and Defense (1.0%) .......................................................................................................................... 46,000 L-3 Communications Holdings, Inc. (NON) 4,140,000 .......................................................................................................................... 32,700 Northrop Grumman Corp. 3,296,487 - -------------------------------------------------------------------------------------------------------------------------- 7,436,487 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.9%) .......................................................................................................................... 171,700 Lear Corp. (NON) 6,548,638 - -------------------------------------------------------------------------------------------------------------------------- Banking (3.1%) .......................................................................................................................... 97,805 Charter One Financial, Inc. 2,655,406 .......................................................................................................................... 30,700 Greenpoint Financial Corp. 1,097,525 .......................................................................................................................... 71,270 M&T Bank Corp. 5,192,020 .......................................................................................................................... 85,300 North Fork Bancorporation, Inc. 2,728,747 .......................................................................................................................... 36,600 South Trust Corp. 902,922 .......................................................................................................................... 191,300 Zions Bancorporation 10,058,554 - -------------------------------------------------------------------------------------------------------------------------- 22,635,174 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (10.5%) .......................................................................................................................... 68,100 Abgenix, Inc. (NON) 2,290,884 .......................................................................................................................... 157,800 Applera Corporation.-Applied Biosystems Group 6,196,806 .......................................................................................................................... 9,400 Chiron Corp. (NON) 412,096 .......................................................................................................................... 145,007 Genzyme Corp. (NON) 8,680,119 .......................................................................................................................... 107,300 Gilead Sciences, Inc. (NON) 7,051,756 .......................................................................................................................... 134,300 IDEC Pharmaceuticals Corp. (NON) 9,257,299 .......................................................................................................................... 118,600 IDEXX Laboratories, Inc. (NON) 3,381,286 .......................................................................................................................... 17,400 Immunex Corp. (NON) 482,154 .......................................................................................................................... 112,700 Invitrogen Corp. (NON) 6,979,511 .......................................................................................................................... 293,200 MedImmune, Inc. (NON) 13,589,820 .......................................................................................................................... 165,800 Millennium Pharmaceuticals, Inc. (NON) 4,063,758 .......................................................................................................................... 156,700 Protein Design Labs, Inc. (NON) 5,139,760 .......................................................................................................................... 27,200 QIAGEN N.V. (Netherlands) (NON) 504,832 .......................................................................................................................... 24,900 Scios, Inc. (NON) 591,873 .......................................................................................................................... 249,500 Waters Corp. (NON) 9,668,125 - -------------------------------------------------------------------------------------------------------------------------- 78,290,079 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (1.7%) .......................................................................................................................... 283,000 Univision Communications, Inc. (NON) 11,450,180 .......................................................................................................................... 25,990 Westwood One, Inc. (NON) 781,000 - -------------------------------------------------------------------------------------------------------------------------- 12,231,180 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.1%) .......................................................................................................................... 39,500 Charter Communications, Inc. Class A (NON) 648,985 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.7%) .......................................................................................................................... 120,557 Ecolab, Inc. 4,852,419 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.9%) .......................................................................................................................... 117,300 CDW Computer Centers, Inc. (NON) 6,300,183 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (0.8%) .......................................................................................................................... 54,500 Crown Castle International Corp. (NON) 582,060 .......................................................................................................................... 288,400 Extreme Networks, Inc. (NON) 3,720,360 .......................................................................................................................... 83,400 Juniper Networks, Inc. (NON) 1,580,430 .......................................................................................................................... 57,800 Sonus Networks, Inc. (NON) 267,036 - -------------------------------------------------------------------------------------------------------------------------- 6,149,886 - -------------------------------------------------------------------------------------------------------------------------- Computers (5.8%) .......................................................................................................................... 147,300 Brocade Communications Systems, Inc. (NON) 4,878,576 .......................................................................................................................... 194,600 Emulex Corp. (NON) 7,688,646 .......................................................................................................................... 18,500 Lexmark International, Inc. (NON) 1,091,500 .......................................................................................................................... 134,900 McDATA Corp. Class A (NON) 3,305,050 .......................................................................................................................... 50,400 Mentor Graphics Corp. (NON) 1,187,928 .......................................................................................................................... 23,000 Network Appliance, Inc. (NON) 503,010 .......................................................................................................................... 226,900 QLogic Corp. (NON) 10,099,319 .......................................................................................................................... 251,200 Symbol Technologies, Inc. 3,989,056 .......................................................................................................................... 275,300 VeriSign, Inc. (NON) 10,472,412 - -------------------------------------------------------------------------------------------------------------------------- 43,215,497 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (2.6%) .......................................................................................................................... 295,800 AmeriCredit Corp. (NON) 9,332,490 .......................................................................................................................... 33,200 Capital One Financial Corp. 1,791,140 .......................................................................................................................... 301,800 Metris Companies, Inc. 7,759,278 - -------------------------------------------------------------------------------------------------------------------------- 18,882,908 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.2%) .......................................................................................................................... 9,900 Alberto-Culver Co. Class B 442,926 .......................................................................................................................... 261,100 Estee Lauder Companies, Inc. (The) Class A 8,370,866 - -------------------------------------------------------------------------------------------------------------------------- 8,813,792 - -------------------------------------------------------------------------------------------------------------------------- Distribution (1.3%) .......................................................................................................................... 377,100 SYSCO Corp. 9,887,562 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (0.1%) .......................................................................................................................... 17,200 Allegheny Energy, Inc. 622,984 - -------------------------------------------------------------------------------------------------------------------------- Electronics (9.7%) .......................................................................................................................... 13,400 Alpha Industries, Inc. (NON) 292,120 .......................................................................................................................... 178,300 Broadcom Corp. Class A (NON) 7,287,121 .......................................................................................................................... 130,000 Celestica, Inc. (Canada) (NON) 5,250,700 .......................................................................................................................... 16,700 FEI Co. (NON) 526,217 .......................................................................................................................... 186,400 Integrated Device Technology, Inc. (NON) 4,956,376 .......................................................................................................................... 264,300 Jabil Circuit, Inc. (NON) 6,004,896 .......................................................................................................................... 128,900 Linear Technology Corp. 5,032,256 .......................................................................................................................... 384,500 LSI Logic Corp. (NON) 6,067,410 .......................................................................................................................... 17,800 Marvell Technology Group, Ltd. (Bermuda) (NON) 637,596 .......................................................................................................................... 26,600 Maxim Integrated Products, Inc. (NON) 1,396,766 .......................................................................................................................... 198,000 Micrel, Inc. (NON) 5,193,540 .......................................................................................................................... 492,500 PerkinElmer, Inc. 17,247,350 .......................................................................................................................... 349,600 PMC - Sierra, Inc. (NON) 7,432,496 .......................................................................................................................... 21,300 RF Micro Devices, Inc. (NON) 409,599 .......................................................................................................................... 111,200 Semtech Corp. (NON) 3,968,728 .......................................................................................................................... 32,900 Solectron Corp. (NON) 371,112 - -------------------------------------------------------------------------------------------------------------------------- 72,074,283 - -------------------------------------------------------------------------------------------------------------------------- Energy (3.0%) .......................................................................................................................... 115,200 Cooper Cameron Corp. (NON) 4,649,472 .......................................................................................................................... 252,367 GlobalSantaFe Corp. 7,197,507 .......................................................................................................................... 14,200 Nabors Industries, Inc. (NON) 487,486 .......................................................................................................................... 163,300 Smith International, Inc. (NON) 8,756,146 .......................................................................................................................... 29,593 Transocean Sedco Forex, Inc. 1,000,835 - -------------------------------------------------------------------------------------------------------------------------- 22,091,446 - -------------------------------------------------------------------------------------------------------------------------- Financial (1.0%) .......................................................................................................................... 72,500 Moody's Corp. 2,889,850 .......................................................................................................................... 54,700 USA Education, Inc. 4,595,894 - -------------------------------------------------------------------------------------------------------------------------- 7,485,744 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (1.6%) .......................................................................................................................... 155,800 International Game Technology (NON) 10,641,140 .......................................................................................................................... 28,800 MGM Mirage, Inc. (NON) 831,456 - -------------------------------------------------------------------------------------------------------------------------- 11,472,596 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (5.7%) .......................................................................................................................... 170,000 AmerisourceBergen Corp. 10,803,500 .......................................................................................................................... 69,800 Caremark Rx, Inc. (NON) 1,138,438 .......................................................................................................................... 20,900 Express Scripts, Inc. Class A (NON) 977,284 .......................................................................................................................... 40,200 Health Net, Inc. (NON) 875,556 .......................................................................................................................... 125,100 Laboratory Corporation of America Holdings (NON) 10,114,335 .......................................................................................................................... 238,800 Lincare Holdings, Inc. (NON) 6,841,620 .......................................................................................................................... 106,000 Quest Diagnostics, Inc. (NON) 7,601,260 .......................................................................................................................... 11,900 Trigon Healthcare, Inc. (NON) 826,455 .......................................................................................................................... 74,600 Universal Health Services, Inc. Class B (NON) 3,191,388 - -------------------------------------------------------------------------------------------------------------------------- 42,369,836 - -------------------------------------------------------------------------------------------------------------------------- Insurance (1.2%) .......................................................................................................................... 162,372 ACE, Ltd. (Bermuda) 6,519,236 .......................................................................................................................... 22,300 AMBAC Financial Group, Inc. 1,290,278 .......................................................................................................................... 9,600 Everest Re Group, Ltd. (Barbados) 678,720 - -------------------------------------------------------------------------------------------------------------------------- 8,488,234 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.7%) .......................................................................................................................... 16,501 A.G. Edwards, Inc. 728,849 .......................................................................................................................... 21,500 Bear Stearns Companies, Inc. (The) 1,260,760 .......................................................................................................................... 59,700 Legg Mason, Inc. 2,983,806 - -------------------------------------------------------------------------------------------------------------------------- 4,973,415 - -------------------------------------------------------------------------------------------------------------------------- Leisure (0.3%) .......................................................................................................................... 37,400 Harley-Davidson, Inc. 2,031,194 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.6%) .......................................................................................................................... 88,000 Four Seasons Hotels, Inc. (Canada) 4,114,880 - -------------------------------------------------------------------------------------------------------------------------- Media (0.2%) .......................................................................................................................... 56,800 USA Networks, Inc. (NON) 1,551,208 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (3.4%) .......................................................................................................................... 18,700 Charles River Laboratories International, Inc. (NON) 626,076 .......................................................................................................................... 258,200 Cytyc Corp. (NON) 6,739,020 .......................................................................................................................... 107,800 Guidant Corp. (NON) 5,368,440 .......................................................................................................................... 17,000 St. Jude Medical, Inc. (NON) 1,320,050 .......................................................................................................................... 72,800 Stryker Corp. 4,249,336 .......................................................................................................................... 223,500 Zimmer Holdings, Inc. (NON) 6,825,690 - -------------------------------------------------------------------------------------------------------------------------- 25,128,612 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (3.7%) .......................................................................................................................... 157,900 Burlington Resources, Inc. 5,927,566 .......................................................................................................................... 29,500 EOG Resources, Inc. 1,153,745 .......................................................................................................................... 8,700 Kerr-McGee Corp. 476,760 .......................................................................................................................... 97,000 Murphy Oil Corp. 8,151,880 .......................................................................................................................... 22,652 Noble Drilling Corp. (NON) 771,074 .......................................................................................................................... 100,100 Ultramar Diamond Shamrock Corp. 4,952,948 .......................................................................................................................... 146,000 Valero Energy Corp. 5,565,520 - -------------------------------------------------------------------------------------------------------------------------- 26,999,493 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (4.9%) .......................................................................................................................... 9,897 Allergan, Inc. (SEG) 742,770 .......................................................................................................................... 164,600 Andrx Group (NON) 11,589,486 .......................................................................................................................... 16,700 Barr Laboratories, Inc. (NON) 1,325,312 .......................................................................................................................... 7,000 Cephalon, Inc. (NON) 529,095 .......................................................................................................................... 11,600 Cima Labs, Inc. (NON) 419,340 .......................................................................................................................... 8,089 Enzon, Inc. (NON) 455,249 .......................................................................................................................... 19,000 Forest Laboratories, Inc. (NON) 1,557,050 .......................................................................................................................... 189,527 IVAX Corp. (NON) 3,817,074 .......................................................................................................................... 256,800 King Pharmaceuticals, Inc. (NON) 10,818,984 .......................................................................................................................... 142,100 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 5,200,860 - -------------------------------------------------------------------------------------------------------------------------- 36,455,220 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.2%) .......................................................................................................................... 34,000 Calpine Corp. (NON) 570,860 .......................................................................................................................... 39,700 Mirant Corp. (NON) 635,994 - -------------------------------------------------------------------------------------------------------------------------- 1,206,854 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (0.9%) .......................................................................................................................... 170,300 Boston Properties, Inc. (R) 6,471,400 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (2.8%) .......................................................................................................................... 99,600 Darden Restaurants, Inc. 3,525,840 .......................................................................................................................... 894,500 Starbucks Corp. (NON) 17,040,225 - -------------------------------------------------------------------------------------------------------------------------- 20,566,065 - -------------------------------------------------------------------------------------------------------------------------- Retail (6.2%) .......................................................................................................................... 119,700 Bed Bath & Beyond, Inc. (NON) 4,057,830 .......................................................................................................................... 63,800 Best Buy Co., Inc. (NON) 4,751,824 .......................................................................................................................... 117,500 Columbia Sportswear Co. (NON) 3,912,750 .......................................................................................................................... 271,900 Family Dollar Stores, Inc. 8,151,562 .......................................................................................................................... 14,531 Jones Apparel Group, Inc. (NON) 481,993 .......................................................................................................................... 12,821 Lands' End, Inc. (NON) 643,101 .......................................................................................................................... 76,500 RadioShack Corp. 2,302,650 .......................................................................................................................... 15,800 Ross Stores, Inc. 506,864 .......................................................................................................................... 146,267 Talbots, Inc. (The) 5,302,179 .......................................................................................................................... 107,200 Tiffany & Co. 3,373,584 .......................................................................................................................... 309,300 TJX Companies, Inc. (The) 12,328,698 - -------------------------------------------------------------------------------------------------------------------------- 45,813,035 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (2.2%) .......................................................................................................................... 119,500 KLA-Tencor Corp. (NON) 5,922,420 .......................................................................................................................... 131,400 LAM Research Corp. (NON) 3,051,108 .......................................................................................................................... 186,700 Novellus Systems, Inc. (NON) 7,365,315 - -------------------------------------------------------------------------------------------------------------------------- 16,338,843 - -------------------------------------------------------------------------------------------------------------------------- Software (7.4%) .......................................................................................................................... 335,200 Adobe Systems, Inc. 10,407,959 .......................................................................................................................... 19,847 Amdocs, Ltd. (Guernsey) (NON) 674,203 .......................................................................................................................... 20,900 BEA Systems, Inc. (NON) 321,860 .......................................................................................................................... 15,900 Electronic Arts, Inc. (NON) 953,205 .......................................................................................................................... 122,900 Internet Security Systems, Inc. (NON) 3,940,174 .......................................................................................................................... 24,700 Intuit, Inc. (NON) 1,056,666 .......................................................................................................................... 156,300 NETIQ Corp. (NON) 5,511,138 .......................................................................................................................... 28,700 Network Associates, Inc. (NON) 741,895 .......................................................................................................................... 873,630 Peregrine Systems, Inc. (NON) 12,955,933 .......................................................................................................................... 139,700 Retek, Inc. (NON) 4,172,839 .......................................................................................................................... 51,600 Siebel Systems, Inc. (NON) 1,443,768 .......................................................................................................................... 18,600 Symantec Corp. (NON) 1,233,738 .......................................................................................................................... 11,900 Synopsys, Inc. (NON) 702,933 .......................................................................................................................... 41,200 TIBCO Software, Inc. (NON) 615,116 .......................................................................................................................... 220,477 VERITAS Software Corp. (NON) 9,883,984 - -------------------------------------------------------------------------------------------------------------------------- 54,615,411 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (6.1%) .......................................................................................................................... 61,800 Affiliated Computer Services, Inc. Class A (NON) 6,558,834 .......................................................................................................................... 60,000 Concord EFS, Inc. (NON) 1,966,800 .......................................................................................................................... 461,900 Convergys Corp. (NON) (SEG) 17,316,631 .......................................................................................................................... 84,100 DST Systems, Inc. (NON) 4,192,385 .......................................................................................................................... 136,450 Fiserv, Inc. (NON) 5,774,564 .......................................................................................................................... 60,300 Jack Henry & Associates, Inc. 1,316,952 .......................................................................................................................... 279,700 SunGard Data Systems, Inc. (NON) 8,091,721 - -------------------------------------------------------------------------------------------------------------------------- 45,217,887 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (0.9%) .......................................................................................................................... 56,600 Telephone and Data Systems, Inc. 5,079,850 .......................................................................................................................... 33,100 Time Warner Telecom, Inc. Class A (NON) 585,539 .......................................................................................................................... 28,877 Western Wireless Corp. Class A (NON) 815,775 - -------------------------------------------------------------------------------------------------------------------------- 6,481,164 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $706,878,178) $711,468,476 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (11.6%) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $65,453,064 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 $65,368,644 .......................................................................................................................... 20,432,000 Interest in $750,000,000 joint tri-party repurchase agreement dated December 31, 2001 with S.B.C. Warburg, Inc. due January 2, 2002 with respect to various U.S. Government obligations -- maturity value of $20,434,043 for an effective yield of 1.80% 20,432,000 - -------------------------------------------------------------------------------------------------------------------------- Total Short Term Investments (cost $85,800,644) $85,800,644 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $792,678,822) (b) $797,269,120 - -------------------------------------------------------------------------------------------------------------------------- Futures Contracts Outstanding at December 31, 2001 - ----------------------------------------------------------------------------- Aggregate Expiration Unrealized Total Value Face Value Date Appreciation ............................................................................. S&P 500 Index (Long) $14,939,600 $14,876,862 Mar-02 $62,738 - ----------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Voyager Fund The fund's portfolio December 31, 2001 COMMON STOCKS (100.0%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Advertising and Marketing Services (0.5%) .......................................................................................................................... 571,951 Interpublic Group of Companies, Inc. $16,895,433 .......................................................................................................................... 88,700 Omnicom Group, Inc. 7,925,345 - -------------------------------------------------------------------------------------------------------------------------- 24,820,778 - -------------------------------------------------------------------------------------------------------------------------- Aerospace and Defense (0.9%) .......................................................................................................................... 79,500 Boeing Co. 3,083,010 .......................................................................................................................... 4,600 L-3 Communications Holdings, Inc. (NON) 414,000 .......................................................................................................................... 468,270 Lockheed Martin Corp. 21,854,161 .......................................................................................................................... 442,870 Raytheon Co. 14,379,989 .......................................................................................................................... 78,700 Rockwell Collins, Inc. 1,534,650 .......................................................................................................................... 58,105 United Technologies Corp. 3,755,326 - -------------------------------------------------------------------------------------------------------------------------- 45,021,136 - -------------------------------------------------------------------------------------------------------------------------- Airlines (0.1%) .......................................................................................................................... 164,900 Southwest Airlines Co. 3,047,352 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.3%) .......................................................................................................................... 263,900 Delphi Automotive Systems Corp. 3,604,874 .......................................................................................................................... 183,300 General Motors Corp. 8,908,380 .......................................................................................................................... 55,200 Johnson Controls, Inc. 4,457,400 - -------------------------------------------------------------------------------------------------------------------------- 16,970,654 - -------------------------------------------------------------------------------------------------------------------------- Banking (5.5%) .......................................................................................................................... 361,530 Bank of America Corp. 22,758,314 .......................................................................................................................... 693,302 Bank of New York Company, Inc. (The) 28,286,722 .......................................................................................................................... 17,600 BB&T Corp. 635,536 .......................................................................................................................... 302,725 Charter One Financial, Inc. 8,218,984 .......................................................................................................................... 482,750 Comerica, Inc. 27,661,575 .......................................................................................................................... 312,530 Fifth Third Bancorp 19,167,465 .......................................................................................................................... 191,430 M&T Bank Corp. 13,945,676 .......................................................................................................................... 578,910 Mellon Financial Corp. 21,778,594 .......................................................................................................................... 154,100 South Trust Corp. 3,801,647 .......................................................................................................................... 107,283 State Street Corp. 5,605,537 .......................................................................................................................... 3,506,923 U.S. Bancorp 73,399,898 .......................................................................................................................... 307,400 Washington Mutual, Inc. 10,051,980 .......................................................................................................................... 866,244 Wells Fargo & Co. 37,638,302 .......................................................................................................................... 304,070 Zions Bancorporation 15,988,001 - -------------------------------------------------------------------------------------------------------------------------- 288,938,231 - -------------------------------------------------------------------------------------------------------------------------- Beverage (2.6%) .......................................................................................................................... 644,600 Anheuser-Busch Companies, Inc. 29,142,366 .......................................................................................................................... 1,068,550 Coca-Cola Co. (The) 50,382,133 .......................................................................................................................... 644,906 Coca-Cola Enterprises, Inc. 12,214,520 .......................................................................................................................... 503,400 Pepsi Bottling Group, Inc. (The) 11,829,900 .......................................................................................................................... 653,102 PepsiCo, Inc. 31,799,536 - -------------------------------------------------------------------------------------------------------------------------- 135,368,455 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (2.0%) .......................................................................................................................... 893,930 Amgen, Inc. (NON) 50,453,409 .......................................................................................................................... 60,400 Biogen, Inc. (NON) 3,463,940 .......................................................................................................................... 12,700 Chiron Corp. (NON) 556,768 .......................................................................................................................... 125,300 Genentech, Inc. (NON) 6,797,525 .......................................................................................................................... 253,720 Genzyme Corp. (NON) 15,187,679 .......................................................................................................................... 51,700 Gilead Sciences, Inc. (NON) 3,397,724 .......................................................................................................................... 10,600 ICOS Corp. (NON) 608,864 .......................................................................................................................... 104,049 Immunex Corp. (NON) 2,883,198 .......................................................................................................................... 57,800 Invitrogen Corp. (NON) 3,579,554 .......................................................................................................................... 294,700 MedImmune, Inc. (NON) 13,659,345 .......................................................................................................................... 74,000 Millennium Pharmaceuticals, Inc. (NON) 1,813,740 .......................................................................................................................... 82,500 SICOR, Inc. (NON) 1,293,600 - -------------------------------------------------------------------------------------------------------------------------- 103,695,346 - -------------------------------------------------------------------------------------------------------------------------- Broadcasting (0.9%) .......................................................................................................................... 728,650 Clear Channel Communications, Inc. (NON) 37,095,572 .......................................................................................................................... 102,800 Cox Radio, Inc. Class A (NON) 2,619,344 .......................................................................................................................... 125,530 Echostar Communications Corp. Class A (NON) 3,448,309 .......................................................................................................................... 200,500 General Motors Corp. Class H (NON) 3,097,725 - -------------------------------------------------------------------------------------------------------------------------- 46,260,950 - -------------------------------------------------------------------------------------------------------------------------- Cable Television (0.4%) .......................................................................................................................... 44,500 Adelphia Communications Corp. Class A (NON) 1,387,510 .......................................................................................................................... 44,940 Charter Communications, Inc. Class A (NON) 738,364 .......................................................................................................................... 577,330 Comcast Corp. Class A (NON) 20,783,880 - -------------------------------------------------------------------------------------------------------------------------- 22,909,754 - -------------------------------------------------------------------------------------------------------------------------- Capital Goods (0.2%) .......................................................................................................................... 135,130 Eaton Corp. 10,055,023 - -------------------------------------------------------------------------------------------------------------------------- Chemicals (0.4%) .......................................................................................................................... 83,200 Air Products & Chemicals, Inc. 3,902,912 .......................................................................................................................... 32,500 Dow Chemical Co. (The) 1,097,850 .......................................................................................................................... 154,280 E.I. du Pont de Nemours & Co. 6,558,443 .......................................................................................................................... 50,300 Eastman Chemical Co. 1,962,706 .......................................................................................................................... 102,700 PPG Industries, Inc. 5,311,644 .......................................................................................................................... 5,700 Sigma-Adrich Corp. 224,637 - -------------------------------------------------------------------------------------------------------------------------- 19,058,192 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (0.3%) .......................................................................................................................... 9,200 Choicepoint, Inc. (NON) 466,348 .......................................................................................................................... 60,900 eBay, Inc. (NON) 4,074,210 .......................................................................................................................... 59,300 H&R Block, Inc. 2,650,710 .......................................................................................................................... 85,700 Iron Mountain, Inc. (NON) 3,753,660 .......................................................................................................................... 30,000 Paychex, Inc. 1,045,500 .......................................................................................................................... 8,900 Tech Data Corp. (NON) 385,192 .......................................................................................................................... 44,500 United Rentals, Inc. (NON) 1,010,150 - -------------------------------------------------------------------------------------------------------------------------- 13,385,770 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (2.9%) .......................................................................................................................... 228,900 CIENA Corp. (NON) 3,275,559 .......................................................................................................................... 5,992,301 Cisco Systems, Inc. (NON) 108,520,571 .......................................................................................................................... 100,436 Comverse Technology, Inc. (NON) 2,246,753 .......................................................................................................................... 110,300 Foundry Networks, Inc. (NON) 898,945 .......................................................................................................................... 11,200 Harris Corp. 341,712 .......................................................................................................................... 1,285,815 Lucent Technologies, Inc. 8,087,776 .......................................................................................................................... 530,520 QUALCOMM, Inc. (NON) 26,791,260 .......................................................................................................................... 24,300 Tekelec (NON) 440,073 - -------------------------------------------------------------------------------------------------------------------------- 150,602,649 - -------------------------------------------------------------------------------------------------------------------------- Computers (4.9%) .......................................................................................................................... 108,900 Brocade Communications Systems, Inc. (NON) 3,606,768 .......................................................................................................................... 3,989,000 Compaq Computer Corp. 38,932,640 .......................................................................................................................... 1,669,592 Dell Computer Corp. (NON) 45,379,511 .......................................................................................................................... 1,466,300 EMC Corp. (NON) 19,707,072 .......................................................................................................................... 36,100 Emulex Corp. (NON) 1,426,311 .......................................................................................................................... 398,400 Hewlett-Packard Co. 8,183,136 .......................................................................................................................... 813,602 IBM Corp. 98,413,298 .......................................................................................................................... 235,000 Lexmark International, Inc. (NON) 13,865,000 .......................................................................................................................... 204,050 NCR Corp. (NON) 7,521,283 .......................................................................................................................... 1,206,700 Sun Microsystems, Inc. (NON) 14,842,410 .......................................................................................................................... 174,589 VeriSign, Inc. (NON) 6,641,366 - -------------------------------------------------------------------------------------------------------------------------- 258,518,795 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (6.2%) .......................................................................................................................... 5,652,173 General Electric Co. (SEG) 226,539,094 .......................................................................................................................... 201,548 Honeywell International, Inc. 6,816,353 .......................................................................................................................... 1,598,027 Tyco International, Ltd. (Bermuda) 94,123,790 - -------------------------------------------------------------------------------------------------------------------------- 327,479,237 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (1.2%) .......................................................................................................................... 312,496 Capital One Financial Corp. 16,859,159 .......................................................................................................................... 169,300 Household International, Inc. 9,809,242 .......................................................................................................................... 946,007 MBNA Corp. 33,299,446 .......................................................................................................................... 32,200 Metris Companies, Inc. 827,862 .......................................................................................................................... 389,700 Providian Financial Corp. 1,383,435 - -------------------------------------------------------------------------------------------------------------------------- 62,179,144 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (1.3%) .......................................................................................................................... 2,900 Avon Products, Inc. 134,850 .......................................................................................................................... 630,500 Colgate-Palmolive Co. 36,411,375 .......................................................................................................................... 477,830 Gillette Co. (The) 15,959,522 .......................................................................................................................... 61,300 Kimberly-Clark Corp. 3,665,740 .......................................................................................................................... 176,505 Procter & Gamble Co. 13,966,841 - -------------------------------------------------------------------------------------------------------------------------- 70,138,328 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (--%) .......................................................................................................................... 8,600 Hotel Reservations Network, Inc. Class A (NON) 395,600 .......................................................................................................................... 35,000 TMP Worldwide, Inc. (NON) 1,501,500 - -------------------------------------------------------------------------------------------------------------------------- 1,897,100 - -------------------------------------------------------------------------------------------------------------------------- Distribution (0.3%) .......................................................................................................................... 44,400 Ingram Micro, Inc. Class A (NON) 769,008 .......................................................................................................................... 587,562 SYSCO Corp. 15,405,876 - -------------------------------------------------------------------------------------------------------------------------- 16,174,884 - -------------------------------------------------------------------------------------------------------------------------- Electric Utilities (2.0%) .......................................................................................................................... 1,900 Dominion Resources, Inc. 114,190 .......................................................................................................................... 307,300 Duke Energy Corp. 12,064,598 .......................................................................................................................... 728,100 Edison International (NON) 10,994,310 .......................................................................................................................... 211,500 Entergy Corp. 8,271,765 .......................................................................................................................... 199,400 Exelon Corp. 9,547,272 .......................................................................................................................... 108,670 FirstEnergy Corp. 3,801,277 .......................................................................................................................... 384,400 FPL Group, Inc. 21,680,160 .......................................................................................................................... 702,100 PG&E Corp. 13,508,404 .......................................................................................................................... 236,690 Progress Energy, Inc. 10,658,151 .......................................................................................................................... 623,000 Reliant Energy, Inc. 16,521,960 - -------------------------------------------------------------------------------------------------------------------------- 107,162,087 - -------------------------------------------------------------------------------------------------------------------------- Electrical Equipment (0.3%) .......................................................................................................................... 262,950 Emerson Electric Co. 15,014,445 - -------------------------------------------------------------------------------------------------------------------------- Electronics (6.6%) .......................................................................................................................... 108,064 Advanced Micro Devices, Inc. (NON) 1,713,895 .......................................................................................................................... 948,500 Agere Systems, Inc. Class A (NON) 5,396,965 .......................................................................................................................... 147,700 Agilent Technologies, Inc. (NON) 4,210,927 .......................................................................................................................... 267,500 Altera Corp. (NON) 5,676,350 .......................................................................................................................... 40,880 Analog Devices, Inc. (NON) 1,814,663 .......................................................................................................................... 97,600 Arrow Electronics, Inc. (NON) 2,918,240 .......................................................................................................................... 154,100 Avnet, Inc. 3,924,927 .......................................................................................................................... 197,120 Broadcom Corp. Class A (NON) 8,056,294 .......................................................................................................................... 207,500 Celestica, Inc. (Canada) (NON) 8,380,925 .......................................................................................................................... 66,300 Conexant Systems, Inc. (NON) 952,068 .......................................................................................................................... 114,550 Cypress Semiconductor Corp. (NON) 2,282,982 .......................................................................................................................... 133,400 Fairchild Semiconductor Corp. Class A (NON) 3,761,880 .......................................................................................................................... 764,000 Flextronics International, Ltd. (Singapore) (NON) 18,328,360 .......................................................................................................................... 81,600 Integrated Device Technology, Inc. (NON) 2,169,744 .......................................................................................................................... 4,898,600 Intel Corp. 154,060,970 .......................................................................................................................... 58,500 Intersil Corp. Class A (NON) 1,886,625 .......................................................................................................................... 85,200 Jabil Circuit, Inc. (NON) 1,935,744 .......................................................................................................................... 49,200 Lattice Semiconductor Corp. (NON) 1,012,044 .......................................................................................................................... 197,298 Linear Technology Corp. 7,702,514 .......................................................................................................................... 82,401 LSI Logic Corp. (NON) 1,300,288 .......................................................................................................................... 43,610 Marvell Technology Group, Ltd. (Bermuda) (NON) 1,562,110 .......................................................................................................................... 384,213 Maxim Integrated Products, Inc. (NON) 20,175,025 .......................................................................................................................... 37,650 Microchip Technology, Inc. (NON) 1,458,561 .......................................................................................................................... 2,935,250 Motorola, Inc. 44,087,455 .......................................................................................................................... 20,300 NVIDIA Corp. (NON) 1,358,070 .......................................................................................................................... 173,764 PMC - Sierra, Inc. (NON) 3,694,223 .......................................................................................................................... 26,000 RF Micro Devices, Inc. (NON) 499,980 .......................................................................................................................... 166,696 Sanmina Corp. (NON) 3,317,250 .......................................................................................................................... 35,050 Silicon Laboratories, Inc. (NON) 1,181,536 .......................................................................................................................... 821,840 Texas Instruments, Inc. 23,011,520 .......................................................................................................................... 51,400 Thermo Electron Corp. (NON) 1,226,404 .......................................................................................................................... 189,920 Vishay Intertechnology, Inc. (NON) 3,703,440 .......................................................................................................................... 123,150 Xilinx, Inc. (NON) 4,809,008 - -------------------------------------------------------------------------------------------------------------------------- 347,570,987 - -------------------------------------------------------------------------------------------------------------------------- Energy (0.7%) .......................................................................................................................... 365,500 Baker Hughes, Inc. 13,329,785 .......................................................................................................................... 169,300 BJ Services Co. (NON) 5,493,785 .......................................................................................................................... 3,500 ENSCO International, Inc. 86,975 .......................................................................................................................... 175,011 GlobalSantaFe Corp. 4,991,314 .......................................................................................................................... 83,200 Halliburton Co. 1,089,920 .......................................................................................................................... 49,346 Nabors Industries, Inc. (NON) 1,694,048 .......................................................................................................................... 175,000 Schlumberger, Ltd. 9,616,250 - -------------------------------------------------------------------------------------------------------------------------- 36,302,077 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (1.2%) .......................................................................................................................... 22,000 International Speedway Corp. Class A 860,200 .......................................................................................................................... 37,850 Pixar, Inc. (NON) 1,361,086 .......................................................................................................................... 1,427,871 Viacom, Inc. Class B (NON) 63,040,505 - -------------------------------------------------------------------------------------------------------------------------- 65,261,791 - -------------------------------------------------------------------------------------------------------------------------- Financial (3.5%) .......................................................................................................................... 5,700 American Express Co. 203,433 .......................................................................................................................... 2,243,975 Citigroup, Inc. 113,275,858 .......................................................................................................................... 21,900 Fannie Mae 1,741,050 .......................................................................................................................... 968,746 Freddie Mac 63,355,988 .......................................................................................................................... 73,400 Moody's Corp. 2,925,724 - -------------------------------------------------------------------------------------------------------------------------- 181,502,053 - -------------------------------------------------------------------------------------------------------------------------- Food (0.7%) .......................................................................................................................... 129,900 General Mills, Inc. 6,756,099 .......................................................................................................................... 22,800 Hershey Foods Corp. 1,543,560 .......................................................................................................................... 464,400 Kraft Foods, Inc. Class A 15,803,532 .......................................................................................................................... 554,700 Sara Lee Corp. 12,330,981 - -------------------------------------------------------------------------------------------------------------------------- 36,434,172 - -------------------------------------------------------------------------------------------------------------------------- Gaming & Lottery (--%) .......................................................................................................................... 36,400 MGM Mirage, Inc. (NON) 1,050,868 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (2.1%) .......................................................................................................................... 17,200 AmerisourceBergen Corp. 1,093,060 .......................................................................................................................... 100 Anthem, Inc. (NON) 4,950 .......................................................................................................................... 360,400 Cardinal Health, Inc. 23,303,464 .......................................................................................................................... 48,512 CIGNA Corp. 4,494,637 .......................................................................................................................... 128,600 DaVita, Inc. (NON) 3,144,270 .......................................................................................................................... 17,500 Express Scripts, Inc. Class A (NON) 818,300 .......................................................................................................................... 1,079,050 HCA, Inc. 41,586,587 .......................................................................................................................... 21,100 Lincare Holdings, Inc. (NON) 604,515 .......................................................................................................................... 91,900 McKesson Corp. 3,437,060 .......................................................................................................................... 192,100 Tenet Healthcare Corp. (NON) 11,280,112 .......................................................................................................................... 45,200 Triad Hospitals, Inc. (NON) 1,326,620 .......................................................................................................................... 14,500 Trigon Healthcare, Inc. (NON) 1,007,025 .......................................................................................................................... 263,820 UnitedHealth Group, Inc. 18,670,541 .......................................................................................................................... 12,600 Universal Health Services, Inc. Class B (NON) 539,028 - -------------------------------------------------------------------------------------------------------------------------- 111,310,169 - -------------------------------------------------------------------------------------------------------------------------- Insurance (2.9%) .......................................................................................................................... 244,800 ACE, Ltd. (Bermuda) 9,828,720 .......................................................................................................................... 184,758 AFLAC, Inc. 4,537,656 .......................................................................................................................... 1,408,424 American International Group, Inc. 111,828,866 .......................................................................................................................... 66,500 Gallagher, Arthur J. & Co. 2,293,585 .......................................................................................................................... 32,700 PMI Group, Inc. (The) 2,191,227 .......................................................................................................................... 96,300 Radian Group, Inc. 4,136,085 .......................................................................................................................... 193,200 XL Capital, Ltd. Class A (Bermuda) 17,650,752 - -------------------------------------------------------------------------------------------------------------------------- 152,466,891 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (1.8%) .......................................................................................................................... 124,412 Charles Schwab Corp. (The) 1,924,654 .......................................................................................................................... 98,900 Federated Investors, Inc. 3,152,932 .......................................................................................................................... 218,100 Goldman Sachs Group, Inc. (The) 20,228,775 .......................................................................................................................... 472,040 JPMorgan Chase & Co. 17,158,654 .......................................................................................................................... 46,100 Lehman Brothers Holdings, Inc. 3,079,480 .......................................................................................................................... 169,550 Merrill Lynch & Company, Inc. 8,836,946 .......................................................................................................................... 739,500 Morgan Stanley Dean Witter & Co. 41,367,630 .......................................................................................................................... 15,700 Waddell & Reed Financial, Inc. 505,540 - -------------------------------------------------------------------------------------------------------------------------- 96,254,611 - -------------------------------------------------------------------------------------------------------------------------- Leisure (--%) .......................................................................................................................... 2,700 Harley-Davidson, Inc. 146,637 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (0.3%) .......................................................................................................................... 277,700 Carnival Corp. Class A 7,797,816 .......................................................................................................................... 60,200 Cendant Corp. (NON) 1,180,522 .......................................................................................................................... 164,320 Marriott International, Inc. Class A 6,679,608 .......................................................................................................................... 80,600 Royal Caribbean Cruises, Ltd. 1,305,720 - -------------------------------------------------------------------------------------------------------------------------- 16,963,666 - -------------------------------------------------------------------------------------------------------------------------- Machinery (0.1%) .......................................................................................................................... 88,100 Caterpillar, Inc. 4,603,225 .......................................................................................................................... 3,000 Deere (John) & Co. 130,980 - -------------------------------------------------------------------------------------------------------------------------- 4,734,205 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.1%) .......................................................................................................................... 94,460 Illinois Tool Works, Inc. 6,396,831 - -------------------------------------------------------------------------------------------------------------------------- Media (2.1%) .......................................................................................................................... 2,167,975 AOL Time Warner, Inc. (NON) 69,591,998 .......................................................................................................................... 328,120 Fox Entertainment Group, Inc. Class A (NON) 8,705,024 .......................................................................................................................... 772,965 Liberty Media Corp. Class A (NON) 10,821,510 .......................................................................................................................... 632,467 USA Networks, Inc. (NON) 17,272,674 .......................................................................................................................... 162,700 Walt Disney Co. (The) 3,371,144 - -------------------------------------------------------------------------------------------------------------------------- 109,762,350 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (1.7%) .......................................................................................................................... 123,200 Baxter International, Inc. 6,607,216 .......................................................................................................................... 63,300 Beckman Coulter, Inc. 2,804,190 .......................................................................................................................... 49,500 Cytyc Corp. (NON) 1,291,950 .......................................................................................................................... 117,200 Guidant Corp. (NON) 5,836,560 .......................................................................................................................... 1,131,680 Medtronic, Inc. 57,953,333 .......................................................................................................................... 1,300 Serologicals Corp. (NON) 27,950 .......................................................................................................................... 95,600 St. Jude Medical, Inc. (NON) 7,423,340 .......................................................................................................................... 100,860 Stryker Corp. 5,887,198 .......................................................................................................................... 9,300 Varian Medical Systems, Inc. (NON) 662,718 .......................................................................................................................... 82,690 Zimmer Holdings, Inc. (NON) 2,525,353 - -------------------------------------------------------------------------------------------------------------------------- 91,019,808 - -------------------------------------------------------------------------------------------------------------------------- Metals (0.2%) .......................................................................................................................... 34,821 Barrick Gold Corp. 555,395 .......................................................................................................................... 559,500 Freeport-McMoRan Copper & Gold, Inc. Class B (NON) 7,491,705 .......................................................................................................................... 4,100 USX-U.S. Steel Group (NON) 74,251 - -------------------------------------------------------------------------------------------------------------------------- 8,121,351 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.5%) .......................................................................................................................... 638,066 Dynegy, Inc. Class A 16,270,683 .......................................................................................................................... 24,100 El Paso Corp. 1,075,101 .......................................................................................................................... 350,260 NiSource, Inc. 8,076,996 - -------------------------------------------------------------------------------------------------------------------------- 25,422,780 - -------------------------------------------------------------------------------------------------------------------------- Office Equipment & Supplies (--%) .......................................................................................................................... 17,900 Pitney Bowes, Inc. 673,219 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (3.5%) .......................................................................................................................... 224,460 Anadarko Petroleum Corp. 12,760,551 .......................................................................................................................... 4,900 BP PLC ADR (United Kingdom) 227,899 .......................................................................................................................... 27,700 Burlington Resources, Inc. 1,039,858 .......................................................................................................................... 39,600 EOG Resources, Inc. 1,548,756 .......................................................................................................................... 2,845,200 Exxon Mobil Corp. 111,816,360 .......................................................................................................................... 58,700 Murphy Oil Corp. 4,933,148 .......................................................................................................................... 65,411 Noble Drilling Corp. (NON) 2,226,590 .......................................................................................................................... 239,600 Occidental Petroleum Corp. 6,356,588 .......................................................................................................................... 104,500 Phillips Petroleum Co. 6,297,170 .......................................................................................................................... 324,100 Royal Dutch Petroleum Co. PLC ADR (Netherlands) 15,887,382 .......................................................................................................................... 3,300 TotalFinaElf SA ADR (France) 231,792 .......................................................................................................................... 465,100 Unocal Corp. 16,776,157 .......................................................................................................................... 71,400 Valero Energy Corp. 2,721,768 - -------------------------------------------------------------------------------------------------------------------------- 182,824,019 - -------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products (0.9%) .......................................................................................................................... 2,200 Boise Cascade Corp. 74,822 .......................................................................................................................... 153,900 International Paper Co. 6,209,865 .......................................................................................................................... 33,600 Packaging Corp. Of America (NON) 609,840 .......................................................................................................................... 734,600 Smurfit-Stone Container Corp. (NON) 11,731,562 .......................................................................................................................... 571,400 Weyerhaeuser Co. 30,901,312 .......................................................................................................................... 3,100 Willamette Industries, Inc. 161,572 - -------------------------------------------------------------------------------------------------------------------------- 49,688,973 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (13.6%) .......................................................................................................................... 582,420 Abbott Laboratories 32,469,915 .......................................................................................................................... 231,600 Allergan, Inc. 17,381,580 .......................................................................................................................... 1,249,800 American Home Products Corp. 76,687,728 .......................................................................................................................... 600 Andrx Group (NON) 42,246 .......................................................................................................................... 101,530 AstraZeneca PLC ADR (United Kingdom) 4,731,298 .......................................................................................................................... 865,500 Bristol-Myers Squibb Co. 44,140,500 .......................................................................................................................... 600 Enzon, Inc. (NON) 33,768 .......................................................................................................................... 37,470 GlaxoSmithKline PLC ADR (United Kingdom) 1,866,755 .......................................................................................................................... 16,000 ICN Pharmaceuticals, Inc. 536,000 .......................................................................................................................... 2,162,886 Johnson & Johnson 127,826,563 .......................................................................................................................... 123,300 King Pharmaceuticals, Inc. (NON) 5,194,629 .......................................................................................................................... 338,387 Lilly (Eli) & Co. 26,576,915 .......................................................................................................................... 19,200 Medicis Pharmaceutical Corp. Class A (NON) 1,240,128 .......................................................................................................................... 1,322,500 Merck & Company, Inc. 77,763,000 .......................................................................................................................... 5,126,232 Pfizer, Inc. 204,280,345 .......................................................................................................................... 1,240,150 Pharmacia Corp. 52,892,398 .......................................................................................................................... 1,124,350 Schering-Plough Corp. 40,262,974 - -------------------------------------------------------------------------------------------------------------------------- 713,926,742 - -------------------------------------------------------------------------------------------------------------------------- Photography/Imaging (--%) .......................................................................................................................... 197,000 Xerox Corp. 2,052,740 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.2%) .......................................................................................................................... 13,800 AES Corp. (The) (NON) 225,630 .......................................................................................................................... 89,800 Aquila, Inc. (NON) 1,535,580 .......................................................................................................................... 616,150 Mirant Corp. (NON) 9,870,723 .......................................................................................................................... 31,000 Orion Power Holdings, Inc. (NON) 809,100 - -------------------------------------------------------------------------------------------------------------------------- 12,441,033 - -------------------------------------------------------------------------------------------------------------------------- Publishing (0.4%) .......................................................................................................................... 18,200 Dow Jones & Co., Inc. 996,086 .......................................................................................................................... 22,800 Gannett Co., Inc. 1,532,844 .......................................................................................................................... 76,500 Knight-Ridder, Inc. 4,967,145 .......................................................................................................................... 119,000 McGraw-Hill Companies, Inc. (The) 7,256,620 .......................................................................................................................... 128,000 Tribune Co. 4,791,040 - -------------------------------------------------------------------------------------------------------------------------- 19,543,735 - -------------------------------------------------------------------------------------------------------------------------- Railroads (0.3%) .......................................................................................................................... 162,200 Burlington Northern Santa Fe Corp. 4,627,566 .......................................................................................................................... 70,200 CSX Corp. 2,460,510 .......................................................................................................................... 171,250 Union Pacific Corp. 9,761,250 - -------------------------------------------------------------------------------------------------------------------------- 16,849,326 - -------------------------------------------------------------------------------------------------------------------------- Real Estate (0.1%) .......................................................................................................................... 220,400 Equity Office Properties Trust (R) 6,629,632 - -------------------------------------------------------------------------------------------------------------------------- Regional Bells (2.2%) .......................................................................................................................... 215,700 BellSouth Corp. 8,228,955 .......................................................................................................................... 1,459,570 SBC Communications, Inc. 57,171,357 .......................................................................................................................... 1,078,560 Verizon Communications, Inc. 51,188,458 - -------------------------------------------------------------------------------------------------------------------------- 116,588,770 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (0.4%) .......................................................................................................................... 6,800 Darden Restaurants, Inc. 240,720 .......................................................................................................................... 418,070 McDonald's Corp. 11,066,313 .......................................................................................................................... 85,700 Starbucks Corp. (NON) 1,632,585 .......................................................................................................................... 196,200 Tricon Global Restaurants, Inc. (NON) 9,653,040 - -------------------------------------------------------------------------------------------------------------------------- 22,592,658 - -------------------------------------------------------------------------------------------------------------------------- Retail (7.8%) .......................................................................................................................... 93,350 99 Cents Only Stores (NON) 3,556,635 .......................................................................................................................... 97,030 AutoZone, Inc. (NON) 6,966,754 .......................................................................................................................... 11,000 Barnes & Noble, Inc. (NON) 325,600 .......................................................................................................................... 203,925 Bed Bath & Beyond, Inc. (NON) 6,913,058 .......................................................................................................................... 37,700 Best Buy Companies, Inc. (NON) 2,807,896 .......................................................................................................................... 23,800 Blockbuster, Inc. Class A 599,760 .......................................................................................................................... 117,800 Circuit City Stores-Circuit City Group 3,056,910 .......................................................................................................................... 254,455 CVS Corp. 7,531,868 .......................................................................................................................... 5,400 Dollar Tree Stores, Inc. (NON) 166,914 .......................................................................................................................... 107,900 Family Dollar Stores, Inc. 3,234,842 .......................................................................................................................... 132,600 Federated Department Stores, Inc. (NON) 5,423,340 .......................................................................................................................... 8,100 Foot Locker, Inc. (NON) 126,765 .......................................................................................................................... 1,314,092 Home Depot, Inc. (The) 67,031,833 .......................................................................................................................... 1,334,900 Intimate Brands, Inc. 19,836,614 .......................................................................................................................... 160,700 J.C. Penney Co., Inc. 4,322,830 .......................................................................................................................... 20,500 Jones Apparel Group, Inc. (NON) 679,985 .......................................................................................................................... 15,800 Kohls Corp. (NON) 1,112,952 .......................................................................................................................... 877,722 Kroger Co. (NON) 18,318,058 .......................................................................................................................... 477,900 Limited, Inc. (The) 7,034,688 .......................................................................................................................... 1,192,620 Lowe's Companies, Inc. 55,349,494 .......................................................................................................................... 374,100 Office Depot, Inc. (NON) 6,935,814 .......................................................................................................................... 1,214,870 Rite Aid Corp. (NON) 6,147,242 .......................................................................................................................... 193,460 Safeway, Inc. (NON) 8,076,955 .......................................................................................................................... 34,500 Staples, Inc. (NON) 645,150 .......................................................................................................................... 577,900 Target Corp. 23,722,795 .......................................................................................................................... 1,346,701 TJX Companies, Inc. (The) 53,679,502 .......................................................................................................................... 1,563,300 Wal-Mart Stores, Inc. 89,967,915 .......................................................................................................................... 24,900 Walgreen Co. 838,134 .......................................................................................................................... 125,900 Whole Foods Market, Inc. (NON) 5,484,204 - -------------------------------------------------------------------------------------------------------------------------- 409,894,507 - -------------------------------------------------------------------------------------------------------------------------- Semiconductor (0.5%) .......................................................................................................................... 415,333 Applied Materials, Inc. (NON) 16,654,853 .......................................................................................................................... 136,100 KLA-Tencor Corp. (NON) 6,745,116 .......................................................................................................................... 56,000 LAM Research Corp. (NON) 1,300,320 - -------------------------------------------------------------------------------------------------------------------------- 24,700,289 - -------------------------------------------------------------------------------------------------------------------------- Software (6.3%) .......................................................................................................................... 156,100 Activision, Inc. (NON) 4,060,161 .......................................................................................................................... 116,900 Adobe Systems, Inc. 3,629,745 .......................................................................................................................... 15,800 Amdocs, Ltd. (Guernsey) (NON) 536,726 .......................................................................................................................... 599,907 BMC Software, Inc. (NON) 9,820,478 .......................................................................................................................... 58,800 Citrix Systems, Inc. (NON) 1,332,408 .......................................................................................................................... 36,300 Compuware Corp. (NON) 427,977 .......................................................................................................................... 164,444 Electronic Arts, Inc. (NON) 9,858,418 .......................................................................................................................... 203,500 I2 Technologies, Inc. (NON) 1,607,650 .......................................................................................................................... 3,581,556 Microsoft Corp. (NON) (SEG) 237,278,076 .......................................................................................................................... 2,519,402 Oracle Corp. (NON) 34,792,942 .......................................................................................................................... 125,500 PeopleSoft, Inc. (NON) 5,045,100 .......................................................................................................................... 110,227 Rational Software Corp. (NON) 2,149,427 .......................................................................................................................... 16,300 Retek, Inc. (NON) 486,881 .......................................................................................................................... 268,880 Siebel Systems, Inc. (NON) 7,523,262 .......................................................................................................................... 39,100 Symantec Corp. (NON) 2,593,503 .......................................................................................................................... 293,830 VERITAS Software Corp. (NON) 13,172,399 - -------------------------------------------------------------------------------------------------------------------------- 334,315,153 - -------------------------------------------------------------------------------------------------------------------------- Technology Services (1.2%) .......................................................................................................................... 378,900 Accenture, Ltd. Class A (Bermuda) (NON) 10,199,988 .......................................................................................................................... 18,400 Affiliated Computer Services, Inc. Class A (NON) 1,952,792 .......................................................................................................................... 579,350 Automatic Data Processing, Inc. 34,123,715 .......................................................................................................................... 14,800 Checkfree Corp. (NON) 266,400 .......................................................................................................................... 54,770 Computer Sciences Corp. (NON) 2,682,635 .......................................................................................................................... 125,907 Convergys Corp. (NON) 4,720,253 .......................................................................................................................... 75,239 Electronic Data Systems Corp. 5,157,633 .......................................................................................................................... 39,800 Fiserv, Inc. (NON) 1,684,336 .......................................................................................................................... 16,300 KPMG Consulting, Inc. (NON) 270,091 .......................................................................................................................... 196,500 Unisys Corp. (NON) 2,464,110 - -------------------------------------------------------------------------------------------------------------------------- 63,521,953 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (2.0%) .......................................................................................................................... 544,870 AT&T Corp. 9,883,942 .......................................................................................................................... 344,058 AT&T Wireless Services, Inc. (NON) 4,944,113 .......................................................................................................................... 127,500 Citizens Communications Co. (NON) 1,359,150 .......................................................................................................................... 1,900 Level 3 Communications, Inc. (NON) 9,500 .......................................................................................................................... 1,063,079 Nextel Communications, Inc. Class A (NON) 11,651,346 .......................................................................................................................... 1,182,950 Qwest Communications International, Inc. 16,715,084 .......................................................................................................................... 465,280 Sprint Corp. (FON Group) 9,342,822 .......................................................................................................................... 1,626,130 Sprint Corp. (PCS Group) (NON) 39,693,833 .......................................................................................................................... 16,700 Telephone and Data Systems, Inc. 1,498,825 .......................................................................................................................... 25,700 Time Warner Telecom, Inc. Class A (NON) 454,633 .......................................................................................................................... 26,500 Triton PCS Holdings, Inc. Class A (NON) 777,775 .......................................................................................................................... 21,600 Western Wireless Corp. Class A (NON) 610,200 .......................................................................................................................... 620,000 Worldcom, Inc.-WorldCom Group (NON) 8,729,600 - -------------------------------------------------------------------------------------------------------------------------- 105,670,823 - -------------------------------------------------------------------------------------------------------------------------- Textiles (0.2%) .......................................................................................................................... 1,800 Nike, Inc. 101,232 .......................................................................................................................... 371,000 Reebok International, Ltd. (NON) 9,831,500 - -------------------------------------------------------------------------------------------------------------------------- 9,932,732 - -------------------------------------------------------------------------------------------------------------------------- Tire & Rubber (--%) .......................................................................................................................... 88,800 Goodyear Tire & Rubber Co. (The) 2,114,328 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (2.0%) .......................................................................................................................... 2,231,800 Philip Morris Companies, Inc. 102,328,030 .......................................................................................................................... 2,600 R.J. Reynolds Tobacco Holdings, Inc. 146,380 .......................................................................................................................... 22,600 UST, Inc. 791,000 - -------------------------------------------------------------------------------------------------------------------------- 103,265,410 - -------------------------------------------------------------------------------------------------------------------------- Toys (0.3%) .......................................................................................................................... 827,700 Mattel, Inc. 14,236,440 - -------------------------------------------------------------------------------------------------------------------------- Transportation Services (--%) .......................................................................................................................... 44,100 United Parcel Service, Inc. Class B 2,403,450 - -------------------------------------------------------------------------------------------------------------------------- Waste Management (0.4%) .......................................................................................................................... 279,700 Allied Waste Industries, Inc. (NON) 3,932,582 .......................................................................................................................... 597,550 Waste Management, Inc. 19,067,821 - -------------------------------------------------------------------------------------------------------------------------- 23,000,403 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $5,317,828,235) $5,266,285,892 - -------------------------------------------------------------------------------------------------------------------------- UNITS (--%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 40,500 Rite Aid Corp., Ltd. 144A Structured Call Warrants (issued by Salomon Smith Barney Holdings, Inc.) expiration 4/8/02 $154,832 .......................................................................................................................... 6,500 Royal Caribbean Cruises, Ltd. 144A Structured Call Warrants (issued by UBS, AG) expiration 1/17/03 18,980 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $160,440) $173,812 - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS (1.2%)(a)(cost $60,892,799) - -------------------------------------------------------------------------------------------------------------------------- Principal Amount Value .......................................................................................................................... $60,971,438 Short-term investments held as collateral for loaned securities with yields ranging from 1.78% to 2.625% and due dates ranging from January 2, 2002 to February 28, 2002 (d) $60,892,799 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $5,378,881,474) (b) $5,327,352,503 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam VT Voyager Fund II The fund's portfolio December 31, 2001 Common Stocks (99.7%) (a) - -------------------------------------------------------------------------------------------------------------------------- Number of Shares Value .......................................................................................................................... Aerospace and Defense (0.1%) .......................................................................................................................... 260 Northrop Grumman Corp. $26,211 - -------------------------------------------------------------------------------------------------------------------------- Airlines (1.2%) .......................................................................................................................... 5,380 Ryanair Holdings PLC ADR (Ireland) (NON) 172,429 .......................................................................................................................... 3,700 Southwest Airlines Co. 68,376 - -------------------------------------------------------------------------------------------------------------------------- 240,805 - -------------------------------------------------------------------------------------------------------------------------- Automotive (0.4%) .......................................................................................................................... 3,100 Gentex Corp. (NON) 82,863 - -------------------------------------------------------------------------------------------------------------------------- Banking (3.1%) .......................................................................................................................... 1,200 Bank of New York Company, Inc. (The) 48,960 .......................................................................................................................... 4,100 Fifth Third Bancorp 251,453 .......................................................................................................................... 7,100 TCF Financial Corp. 340,658 - -------------------------------------------------------------------------------------------------------------------------- 641,071 - -------------------------------------------------------------------------------------------------------------------------- Beverage (0.2%) .......................................................................................................................... 890 PepsiCo, Inc. 43,334 - -------------------------------------------------------------------------------------------------------------------------- Biotechnology (3.9%) .......................................................................................................................... 1,600 Genzyme Corp. (NON) 95,776 .......................................................................................................................... 1,400 IDEC Pharmaceuticals Corp. (NON) 96,502 .......................................................................................................................... 3,200 ILEX Oncology, Inc. (NON) 86,528 .......................................................................................................................... 2,700 InterMune, Inc. (NON) 133,002 .......................................................................................................................... 3,600 Invitrogen Corp. (NON) 222,948 .......................................................................................................................... 2,800 Ligand Pharmaceuticals, Inc. Class B (NON) 50,120 .......................................................................................................................... 1,230 MedImmune, Inc. (NON) 57,011 .......................................................................................................................... 3,200 Scios, Inc. (NON) 76,064 - -------------------------------------------------------------------------------------------------------------------------- 817,951 - -------------------------------------------------------------------------------------------------------------------------- Commercial and Consumer Services (5.1%) .......................................................................................................................... 3,500 CDW Computer Centers, Inc. (NON) 187,985 .......................................................................................................................... 4,100 Choicepoint, Inc. (NON) 207,829 .......................................................................................................................... 3,300 Cintas Corp. (NON) 158,400 .......................................................................................................................... 4,600 Corporate Executive Board Co. (The) (NON) 168,820 .......................................................................................................................... 2,200 eBay, Inc. (NON) 147,180 .......................................................................................................................... 5,500 Exult, Inc. (NON) 88,275 .......................................................................................................................... 1,500 Paychex, Inc. 52,275 .......................................................................................................................... 1,420 Weight Watchers International, Inc. (NON) 48,024 - -------------------------------------------------------------------------------------------------------------------------- 1,058,788 - -------------------------------------------------------------------------------------------------------------------------- Communications Equipment (1.9%) .......................................................................................................................... 5,990 Cisco Systems, Inc. (NON) 108,479 .......................................................................................................................... 5,250 Extreme Networks, Inc. (NON) 67,725 .......................................................................................................................... 2,300 Juniper Networks, Inc. (NON) 43,585 .......................................................................................................................... 830 Nokia OYJ ADR (Finland) 20,360 .......................................................................................................................... 1,590 QUALCOMM, Inc. (NON) 80,295 .......................................................................................................................... 17,400 Sonus Networks, Inc. (NON) 80,388 - -------------------------------------------------------------------------------------------------------------------------- 400,832 - -------------------------------------------------------------------------------------------------------------------------- Computer-- Hardware (4.4%) .......................................................................................................................... 3,600 Brocade Communications Systems, Inc. (NON) 119,232 .......................................................................................................................... 2,890 Dell Computer Corp. (NON) 78,550 .......................................................................................................................... 7,000 Emulex Corp. (NON) 276,570 .......................................................................................................................... 1,310 Hewlett-Packard Co. 26,907 .......................................................................................................................... 760 IBM Corp. 91,930 .......................................................................................................................... 3,900 McDATA Corp. Class A (NON) 95,550 .......................................................................................................................... 5,200 QLogic Corp. (NON) 231,452 - -------------------------------------------------------------------------------------------------------------------------- 920,191 - -------------------------------------------------------------------------------------------------------------------------- Computer-- Services (1.3%) .......................................................................................................................... 630 BISYS Group, Inc. (The) (NON) 40,314 .......................................................................................................................... 800 Electronic Data Systems Corp. 54,840 .......................................................................................................................... 3,100 Jack Henry & Associates, Inc. 67,704 .......................................................................................................................... 2,835 VeriSign, Inc. (NON) 107,843 - -------------------------------------------------------------------------------------------------------------------------- 270,701 - -------------------------------------------------------------------------------------------------------------------------- Conglomerates (1.5%) .......................................................................................................................... 4,450 General Electric Co. 178,356 .......................................................................................................................... 2,230 Tyco International, Ltd. (Bermuda) 131,347 - -------------------------------------------------------------------------------------------------------------------------- 309,703 - -------------------------------------------------------------------------------------------------------------------------- Consumer Finance (0.5%) .......................................................................................................................... 1,880 AmeriCredit Corp. (NON) 59,314 .......................................................................................................................... 950 Capital One Financial Corp. 51,253 .......................................................................................................................... 750 Providian Financial Corp. 2,663 - -------------------------------------------------------------------------------------------------------------------------- 113,230 - -------------------------------------------------------------------------------------------------------------------------- Consumer Goods (0.1%) .......................................................................................................................... 385 Colgate-Palmolive Co. 22,234 - -------------------------------------------------------------------------------------------------------------------------- Consumer Services (0.8%) .......................................................................................................................... 3,700 TMP Worldwide, Inc. (NON) 158,730 - -------------------------------------------------------------------------------------------------------------------------- Electronics (15.7%) .......................................................................................................................... 3,900 Alpha Industries, Inc. (NON) 85,020 .......................................................................................................................... 6,700 Applied Micro Circuits Corp. (NON) 75,844 .......................................................................................................................... 940 Broadcom Corp. Class A (NON) 38,418 .......................................................................................................................... 4,000 DDi Corp. (NON) 39,360 .......................................................................................................................... 3,700 Exar Corp. (NON) 77,145 .......................................................................................................................... 8,300 Finisar Corp. (NON) 84,411 .......................................................................................................................... 5,060 Flextronics International, Ltd. (Singapore) (NON) 121,389 .......................................................................................................................... 3,000 Integrated Device Technology, Inc. (NON) 79,770 .......................................................................................................................... 4,870 Intel Corp. 153,162 .......................................................................................................................... 6,300 Jabil Circuit, Inc. (NON) 143,136 .......................................................................................................................... 385 KLA-Tencor Corp. (NON) 19,081 .......................................................................................................................... 2,200 LAM Research Corp. (NON) 51,084 .......................................................................................................................... 5,600 Linear Technology Corp. 218,624 .......................................................................................................................... 2,560 LSI Logic Corp. (NON) 40,397 .......................................................................................................................... 3,400 LTX Corp. (NON) 71,196 .......................................................................................................................... 10,100 Marvell Technology Group, Ltd. (Bermuda) (NON) 361,782 .......................................................................................................................... 7,790 Maxim Integrated Products, Inc. (NON) 409,053 .......................................................................................................................... 2,200 Micrel, Inc. (NON) 57,706 .......................................................................................................................... 3,400 Microchip Technology, Inc. (NON) 131,716 .......................................................................................................................... 2,000 Novellus Systems, Inc. (NON) 78,900 .......................................................................................................................... 1,800 PerkinElmer, Inc. 63,036 .......................................................................................................................... 2,560 Plexus Corp. (NON) 67,994 .......................................................................................................................... 3,600 PMC - Sierra, Inc. (NON) 76,536 .......................................................................................................................... 3,600 RF Micro Devices, Inc. (NON) 69,228 .......................................................................................................................... 9,710 Sanmina Corp. (NON) 193,229 .......................................................................................................................... 4,400 Semtech Corp. (NON) 157,036 .......................................................................................................................... 6,200 Silicon Laboratories, Inc. (NON) 209,002 .......................................................................................................................... 2,560 Solectron Corp. (NON) 28,877 .......................................................................................................................... 1,700 Varian Semiconductor Equipment 58,803 - -------------------------------------------------------------------------------------------------------------------------- 3,260,935 - -------------------------------------------------------------------------------------------------------------------------- Energy (2.6%) .......................................................................................................................... 3,500 BJ Services Co. (NON) 113,575 .......................................................................................................................... 2,700 ENSCO International, Inc. 67,095 .......................................................................................................................... 3,000 Nabors Industries, Inc. (NON) 102,990 .......................................................................................................................... 3,600 National-Oilwell, Inc. (NON) 74,196 .......................................................................................................................... 2,400 Patterson-UTI Energy, Inc. (NON) 55,944 .......................................................................................................................... 8,900 Varco International, Inc. (NON) 133,322 - -------------------------------------------------------------------------------------------------------------------------- 547,122 - -------------------------------------------------------------------------------------------------------------------------- Entertainment (1.0%) .......................................................................................................................... 4,710 Viacom, Inc. Class B (NON) 207,947 - -------------------------------------------------------------------------------------------------------------------------- Financial (0.6%) .......................................................................................................................... 1,070 Citigroup, Inc. 54,014 .......................................................................................................................... 970 Fannie Mae 77,115 - -------------------------------------------------------------------------------------------------------------------------- 131,129 - -------------------------------------------------------------------------------------------------------------------------- Food (0.6%) .......................................................................................................................... 770 Kraft Foods, Inc. Class A 26,203 .......................................................................................................................... 2,300 Krispy Kreme Doughnuts, Inc. (NON) 101,660 - -------------------------------------------------------------------------------------------------------------------------- 127,863 - -------------------------------------------------------------------------------------------------------------------------- Health Care Services (7.3%) .......................................................................................................................... 3,430 Accredo Health, Inc. (NON) 136,171 .......................................................................................................................... 6,500 AdvancePCS (NON) 190,775 .......................................................................................................................... 3,350 AmerisourceBergen Corp. 212,893 .......................................................................................................................... 900 Anthem, Inc. (NON) 44,550 .......................................................................................................................... 9,500 Caremark Rx, Inc. (NON) 154,945 .......................................................................................................................... 4,500 Community Health Systems, Inc. (NON) 114,750 .......................................................................................................................... 1,140 HCA, Inc. 43,936 .......................................................................................................................... 10,100 Healthsouth Corp. (NON) 149,682 .......................................................................................................................... 910 McKesson Corp. 34,034 .......................................................................................................................... 3,700 Pharmaceutical Product Development, Inc. (NON) 119,547 .......................................................................................................................... 4,600 Province Healthcare Co. (NON) 141,956 .......................................................................................................................... 1,200 Quest Diagnostics, Inc. (NON) 86,052 .......................................................................................................................... 1,110 UnitedHealth Group, Inc. 78,555 - -------------------------------------------------------------------------------------------------------------------------- 1,507,846 - -------------------------------------------------------------------------------------------------------------------------- Insurance (0.4%) .......................................................................................................................... 870 American International Group, Inc. 69,078 .......................................................................................................................... 230 XL Capital, Ltd. Class A (Bermuda) 21,013 - -------------------------------------------------------------------------------------------------------------------------- 90,091 - -------------------------------------------------------------------------------------------------------------------------- Investment Banking/Brokerage (0.6%) .......................................................................................................................... 800 Lehman Brothers Holdings, Inc. 53,440 .......................................................................................................................... 1,430 Morgan Stanley Dean Witter & Co. 79,994 - -------------------------------------------------------------------------------------------------------------------------- 133,434 - -------------------------------------------------------------------------------------------------------------------------- Lodging/Tourism (1.7%) .......................................................................................................................... 2,560 Cendant Corp. (NON) 50,202 .......................................................................................................................... 14,300 Extended Stay America, Inc. (NON) 234,520 .......................................................................................................................... 1,400 Four Seasons Hotels, Inc. (Canada) 65,464 - -------------------------------------------------------------------------------------------------------------------------- 350,186 - -------------------------------------------------------------------------------------------------------------------------- Manufacturing (0.2%) .......................................................................................................................... 1,700 Shaw Group, Inc. (NON) 39,950 - -------------------------------------------------------------------------------------------------------------------------- Media (8.8%) .......................................................................................................................... 1,920 AOL Time Warner, Inc. (NON) 61,632 .......................................................................................................................... 2,400 Cox Radio, Inc. Class A (NON) 61,152 .......................................................................................................................... 1,440 Echostar Communications Corp. Class A (NON) 39,557 .......................................................................................................................... 5,300 Entercom Communications Corp. (NON) 265,000 .......................................................................................................................... 4,200 Hispanic Broadcasting Corp. (NON) 107,100 .......................................................................................................................... 7,000 Lamar Advertising Co. (NON) 296,380 .......................................................................................................................... 7,900 Radio One, Inc. Class A (NON) 145,913 .......................................................................................................................... 11,700 Radio One, Inc. Class D (NON) 210,717 .......................................................................................................................... 7,300 Univision Communications, Inc. (NON) 295,358 .......................................................................................................................... 11,800 Westwood One, Inc. (NON) 354,590 - -------------------------------------------------------------------------------------------------------------------------- 1,837,399 - -------------------------------------------------------------------------------------------------------------------------- Medical Technology (6.2%) .......................................................................................................................... 7,000 Charles River Laboratories International, Inc. (NON) 234,360 .......................................................................................................................... 8,010 Cytyc Corp. (NON) 209,061 .......................................................................................................................... 1,300 Haemonetics Corp. (NON) 44,096 .......................................................................................................................... 2,060 Medtronic, Inc. 105,493 .......................................................................................................................... 1,700 ResMed, Inc. (NON) 91,664 .......................................................................................................................... 1,700 Respironics, Inc. (NON) 58,888 .......................................................................................................................... 5,200 Stryker Corp. 303,524 .......................................................................................................................... 1,800 Varian Medical Systems, Inc. (NON) 128,268 .......................................................................................................................... 3,600 Zimmer Holdings, Inc. (NON) 109,944 - -------------------------------------------------------------------------------------------------------------------------- 1,285,298 - -------------------------------------------------------------------------------------------------------------------------- Natural Gas Utilities (0.2%) .......................................................................................................................... 1,515 Dynegy, Inc. Class A 38,633 - -------------------------------------------------------------------------------------------------------------------------- Oil & Gas (0.4%) .......................................................................................................................... 2,000 EOG Resources, Inc. 78,220 - -------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals (8.0%) .......................................................................................................................... 970 Allergan, Inc. 72,799 .......................................................................................................................... 1,210 Andrx Group (NON) 85,196 .......................................................................................................................... 700 Bristol-Myers Squibb Co. 35,700 .......................................................................................................................... 4,900 Cephalon, Inc. (NON) 370,367 .......................................................................................................................... 1,980 Johnson & Johnson 117,018 .......................................................................................................................... 5,951 King Pharmaceuticals, Inc. (NON) 250,716 .......................................................................................................................... 1,170 Lilly (Eli) & Co. 91,892 .......................................................................................................................... 1,700 Medicis Pharmaceutical Corp. Class A (NON) 109,803 .......................................................................................................................... 5,380 Pfizer, Inc. 214,393 .......................................................................................................................... 3,000 Schering-Plough Corp. 107,430 .......................................................................................................................... 5,900 Shire Pharmaceuticals Group PLC ADR (United Kingdom) (NON) 215,940 - -------------------------------------------------------------------------------------------------------------------------- 1,671,254 - -------------------------------------------------------------------------------------------------------------------------- Power Producers (0.1%) .......................................................................................................................... 1,845 Mirant Corp. (NON) 29,557 - -------------------------------------------------------------------------------------------------------------------------- Restaurants (1.0%) .......................................................................................................................... 1,500 Applebee's International, Inc. 51,300 .......................................................................................................................... 7,630 Starbucks Corp. (NON) 145,352 - -------------------------------------------------------------------------------------------------------------------------- 196,652 - -------------------------------------------------------------------------------------------------------------------------- Retail (8.6%) .......................................................................................................................... 3,400 AutoZone, Inc. (NON) 244,120 .......................................................................................................................... 16,100 Bed Bath & Beyond, Inc. (NON) 545,779 .......................................................................................................................... 390 Best Buy Co., Inc. (NON) 29,047 .......................................................................................................................... 1,900 Columbia Sportswear Co. (NON) 63,270 .......................................................................................................................... 7,700 Dollar Tree Stores, Inc. (NON) 238,007 .......................................................................................................................... 4,200 Family Dollar Stores, Inc. 125,916 .......................................................................................................................... 2,300 Kohls Corp. (NON) 162,012 .......................................................................................................................... 3,030 Lowe's Companies, Inc. 140,622 .......................................................................................................................... 420 O'Reilly Automotive, Inc. (NON) 15,317 .......................................................................................................................... 2,400 Tiffany & Co. 75,528 .......................................................................................................................... 2,480 Wal-Mart Stores, Inc. 142,724 - -------------------------------------------------------------------------------------------------------------------------- 1,782,342 - -------------------------------------------------------------------------------------------------------------------------- Schools (1.3%) .......................................................................................................................... 2,950 Apollo Group, Inc. Class A (NON) 132,780 .......................................................................................................................... 5,600 SmartForce PLC ADR (Ireland) (NON) 138,600 - -------------------------------------------------------------------------------------------------------------------------- 271,380 - -------------------------------------------------------------------------------------------------------------------------- Software (8.2%) .......................................................................................................................... 2,875 Advent Software, Inc. (NON) 143,606 .......................................................................................................................... 1,900 Electronic Arts, Inc. (NON) 113,905 .......................................................................................................................... 10,400 Informatica Corp. (NON) 150,904 .......................................................................................................................... 1,710 Internet Security Systems, Inc. (NON) 54,823 .......................................................................................................................... 7,100 Manugistics Group, Inc. (NON) 149,668 .......................................................................................................................... 4,210 Microsoft Corp. (NON) 278,913 .......................................................................................................................... 3,900 Netegrity, Inc. (NON) 75,504 .......................................................................................................................... 2,400 Network Associates, Inc. (NON) 62,040 .......................................................................................................................... 10,600 Parametric Technology Corp. (NON) 82,786 .......................................................................................................................... 6,600 Peregrine Systems, Inc. (NON) 97,878 .......................................................................................................................... 2,350 Quest Software, Inc. (NON) 51,959 .......................................................................................................................... 6,730 VERITAS Software Corp. (NON) 301,706 .......................................................................................................................... 7,900 webMethods, Inc. (NON) 132,404 - -------------------------------------------------------------------------------------------------------------------------- 1,696,096 - -------------------------------------------------------------------------------------------------------------------------- Staffing (0.1%) .......................................................................................................................... 700 AMN Healthcare Services, Inc. (NON) 19,180 - -------------------------------------------------------------------------------------------------------------------------- Telecommunications (1.1%) .......................................................................................................................... 970 Sprint Corp. (PCS Group) (NON) 23,678 .......................................................................................................................... 4,140 Time Warner Telecom, Inc. Class A (NON) 73,237 .......................................................................................................................... 2,500 Triton PCS Holdings, Inc. Class A (NON) 73,375 .......................................................................................................................... 2,000 Western Wireless Corp. Class A (NON) 56,500 - -------------------------------------------------------------------------------------------------------------------------- 226,790 - -------------------------------------------------------------------------------------------------------------------------- Tobacco (0.5%) .......................................................................................................................... 2,070 Philip Morris Companies, Inc. 94,910 - -------------------------------------------------------------------------------------------------------------------------- Total Common Stocks (cost $19,451,949) $20,730,858 - -------------------------------------------------------------------------------------------------------------------------- UNITS (0.1%)(a) (NON) - -------------------------------------------------------------------------------------------------------------------------- Number of Units Value .......................................................................................................................... 330 Lehman Brothers Holdings, Inc. 144A Structured Warrants (issued by Lehman Brothers Finance S.A.) expiration 09/03/02 $22,067 .......................................................................................................................... 100 VeriSign Inc. 144A Structured Warrants (issued by Salomon Smith Barney Holdings, Inc.) expiration 01/18/02 3,606 - -------------------------------------------------------------------------------------------------------------------------- Total Units (cost $25,577) $25,673 - -------------------------------------------------------------------------------------------------------------------------- Total Investments (cost $19,477,526) (b) $20,756,531 - -------------------------------------------------------------------------------------------------------------------------- See page 167 for Notes to the Portfolios. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Notes to the Portfolios December 31, 2001 (a) Percentages indicated are based on net assets. (NON) Non-income-producing security. (STP) The interest or dividend rate and date shown parenthetically represent the new interest or dividend rate to be paid and the date the fund will begin accruing interest or dividend income at this rate. (POR) A portion of the income will be received in additional securities. (RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities by fund did not exceed 3.0% of each fund's net assets. (PIK) Income may be received in cash or additional securities at the discretion of the issuer. (DEF) Security is in default of principal and interest. (SEG) A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures contracts on Putnam VT Capital Appreciation Fund, Putnam VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global Asset Allocation Fund, Putnam VT Growth & Income Fund, Putnam VT Health Sciences Fund, Putnam VT Income Fund, Putnam VT New Opportunities Fund, Putnam VT OTC & Emerging Growth Fund, Putnam VT Research Fund, Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund, and Putnam VT Voyager Fund at December 31, 2001. (d) See footnote 1 to Financial Statements on page xx. (R) Real Estate Investment Trust. 144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. ADR or GDR after the name of a foreign holding stands for American Depositary Receipts or Global Depositary Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank. TBA after the name of a security represents to be announced securities (Note 1). FLIRB represents Front Loaded Interest Reduction Bond. The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates shown at December 31, 2001, which are subject to change based on the terms of the security. (b) On December 31, 2001, the composition of unrealized appreciation and (depreciation) of investment securities based on the aggregate cost of investments on a tax basis was as follows:
Federal Tax Appreciation Depreciation Net Cost -------------- ------------ ------------- ------------- Putnam VT American Government Fund $2,518,667 $1,124,184 $1,394,483 $221,374,473 Putnam VT Asia Pacific Growth Fund 2,107,834 17,838,419 (15,730,585) 84,143,539 Putnam VT Capital Appreciation Fund 1,198,675 701,812 496,863 20,408,698 Putnam VT Diversified Income Fund 20,940,308 79,249,584 (58,309,276) 630,857,712 Putnam VT The George Putnam Fund of Boston 35,400,922 23,535,231 11,865,691 552,241,520 Putnam VT Global Asset Allocation Fund 28,701,183 41,734,030 (13,032,847) 655,549,962 Putnam VT Global Growth Fund 57,927,244 88,114,278 (30,187,034) 1,316,524,706 Putnam VT Growth and Income Fund 1,303,295,016 654,283,261 649,011,755 7,300,165,716 Putnam VT Growth Opportunities Fund 2,758,810 13,204,858 (10,446,048) 111,738,915 Putnam VT Health Sciences Fund 60,178,730 22,245,695 37,933,035 446,623,900 Putnam VT High Yield Fund 23,660,859 195,305,344 (171,644,485) 864,344,825 Putnam VT Income Fund 13,913,899 19,941,351 (6,027,452) 1,151,983,891 Putnam VT International Growth Fund 25,118,719 108,865,520 (83,746,801) 879,903,179 Putnam VT International Growth and Income Fund 11,017,205 18,489,932 (7,472,727) 321,431,868 Putnam VT International New Opportunities Fund 16,784,038 18,580,866 (1,796,828) 313,053,007 Putnam VT Investors Fund 89,743,250 40,269,098 49,474,152 845,783,636 Putnam VT Money Market Fund -- -- -- 1,046,442,140 Putnam VT New Opportunities Fund 479,384,591 528,268,383 (48,883,792) 3,314,766,519 Putnam VT New Value Fund 62,547,719 36,045,120 26,502,599 530,901,251 Putnam VT OTC & Emerging Growth Fund 11,456,980 27,562,534 (16,105,554) 181,755,490 Putnam VT Research Fund 11,249,155 19,460,449 (8,211,294) 327,892,657 Putnam VT Small Cap Value Fund 53,539,606 15,155,941 38,383,665 342,837,252 Putnam VT Technology Fund 284,948 3,948,113 (3,663,165) 35,733,218 Putnam VT Utilities Growth and Income Fund 106,503,536 54,336,598 52,166,938 663,418,674 Putnam VT Vista Fund 60,864,505 75,635,202 (14,770,697) 812,039,817 Putnam VT Voyager Fund 399,678,680 644,622,072 (244,943,392) 5,572,295,895 Putnam VT Voyager Fund II 757,021 959,313 (202,292) 20,958,823 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities - -------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Putnam VT American Putnam VT Capital Putnam VT The George Government Asia Pacific Appreciation Diversified Putnam Fund Income Fund Growth Fund Fund Income Fund of Boston - -------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $207,538,956 $ 68,412,954 $ 19,370,561 $ 554,071,436 $ 538,826,211 Repurchase agreements, at value (Note 1) 15,230,000 -- 1,535,000 18,477,000 25,281,000 Cash 41,407 -- 204,047 1,826,511 1,546,981 Foreign currency, at value (Note 1) -- 1,347,139 -- 748,068 -- Dividends, interest, and other receivables 2,574,112 28,157 16,636 12,072,131 2,227,262 Receivable for shares of the fund sold 419,620 2,280 266,401 97,238 714,617 Receivable for securities sold 3,670,969 1,343,177 9,203 4,154,732 328,758 Receivable for variation margin (Note 1) -- -- -- 13,633 -- Receivable for open swap contracts (Note 1) -- -- -- 398,796 -- Receivable for open forward currency contracts (Note 1) -- -- -- 64,956 -- Receivable for closed forward currency contracts (Note 1) -- -- -- 9,828 -- Foreign tax reclaim -- -- -- -- 9,697 ................................................................................................................................ Total assets 229,475,064 71,133,707 21,401,848 591,934,329 568,934,526 ................................................................................................................................ Liabilities Payable to subcustodian (Note 2) -- 1,725,908 -- -- -- Payable for variation margin (Note 1) -- -- 14,100 -- 70,939 Payable for securities purchased 18,835,116 746,530 36,696 2,147,654 14,646,556 Payable for shares of the fund repurchased 71,309 275,744 -- 401,865 248,295 Payable for compensation of Manager (Note 2) 714,171 138,447 10,709 1,014,290 845,798 Payable for investor servicing and custodian fees (Note 2) 7,769 54,049 17,230 129,149 87,959 Payable for compensation of Trustees (Note 2) 655 21,085 413 32,558 9,706 Payable for administrative services (Note 2) 2,193 1,656 25 3,639 2,449 Payable for distribution fees (Note 2) 15,210 948 1,958 19,500 32,306 Collateral on securities loaned, at value (Note 1) -- 1,088,546 532,788 2,905 8,635,595 Payable for open forward currency contracts (Note 1) -- -- -- 1,025,610 -- Payable for closed forward currency contracts (Note 1) -- -- -- 105,364 -- TBA sales commitments at value (Note 1) -- -- -- 2,528,106 -- Other accrued expenses 1,302 7,937 1,170 22,579 16,707 ................................................................................................................................ Total liabilities 19,647,725 4,060,850 615,089 7,433,219 24,596,310 ................................................................................................................................ Net assets $209,827,339 $ 67,072,857 $ 20,786,759 $ 584,501,110 $ 544,338,216 ................................................................................................................................ Represented by: Paid-in capital (Notes 1, 4 and 5) $203,144,592 $114,249,871 $ 22,110,816 $ 693,746,834 $ 525,956,421 Undistributed net investment income (loss) (Note 1) 5,510,036 427,326 601 48,697,442 13,617,482 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (264,387) (35,606,823) (2,095,096) (100,803,714) (11,914,345) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 1,437,098 (11,997,517) 770,438 (57,139,452) 16,678,658 ................................................................................................................................ Total -- Representing net assets applicable to capital shares outstanding $209,827,339 $ 67,072,857 $ 20,786,759 $ 584,501,110 $ 544,338,216 ................................................................................................................................ Computation of net asset value Class IA Net Assets $136,461,062 $ 62,754,782 $ 11,003,013 $ 491,673,269 $ 387,517,194 Number of shares outstanding 11,745,559 12,023,824 1,406,599 55,822,316 36,126,512 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 11.62 $ 5.22 $ 7.82 $ 8.81 $ 10.73 Computation of net asset value Class IB Net Assets $ 73,366,277 $ 4,318,075 $ 9,783,746 $ 92,827,841 $ 156,821,022 Number of shares outstanding 6,331,958 834,069 1,253,603 10,612,402 14,664,590 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 11.59 $ 5.18 $ 7.80 $ 8.75 $ 10.69 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $221,331,858 $ 80,388,158 $ 20,159,623 $ 628,515,481 $ 547,483,291 Cost of foreign currency (Note 1) -- 1,369,583 -- 750,536 -- Value of securities on loan (Note 1) -- 1,028,374 512,243 1,702 8,243,122 Proceeds receivable on TBA sales commitments (Note 1) -- -- -- 2,534,602 -- - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) - ---------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Putnam VT Putnam VT Growth Putnam VT Global Asset Global Growth Growth and Opportunities Health Sciences Allocation Fund Fund Income Fund Fund Fund - ---------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $ 606,437,115 $1,269,291,672 $7,885,669,471 $ 98,830,867 $468,311,935 Repurchase agreements, at value (Note 1) 36,080,000 17,046,000 63,508,000 2,462,000 16,245,000 Cash 2,216,999 24,201 163,033 157,823 164,614 Foreign currency, at value (Note 1) 8,000,534 -- -- -- -- Dividends, interest, and other receivables 2,864,337 861,027 10,745,976 63,588 332,850 Receivable for shares of the fund sold 70,404 108,536 1,525,657 179,364 365,077 Receivable for securities sold 6,257,214 482,912 25,303,076 95,275 -- Receivable for open forward currency contracts (Note 1) 1,316,711 -- -- -- -- Receivable for closed forward currency contracts (Note 1) 9,283 -- -- -- -- Foreign tax reclaim 111,714 127,837 168,026 -- 8,791 .................................................................................................................................. Total assets 663,364,311 1,287,942,185 7,987,083,239 101,788,917 485,428,267 .................................................................................................................................. Liabilities Payable for variation margin (Note 1) 955,036 -- 12,655 -- 58,075 Payable for securities purchased 6,686,908 3,892,501 13,856,728 197,578 48,230 Payable for shares of the fund repurchased 326,125 542,562 3,186,764 3,012 33,342 Payable for compensation of Manager (Note 2) 1,080,937 2,244,916 9,174,379 169,418 822,134 Payable for investor servicing and custodian fees (Note 2) 265,893 146,520 807,804 23,957 83,091 Payable for compensation of Trustees (Note 2) 59,259 116,931 275,789 675 12,925 Payable for administrative services (Note 2) 3,563 6,699 12,986 1,642 2,374 Payable for distribution fees (Note 2) 5,165 19,490 147,013 9,445 26,799 Collateral on securities loaned, at value (Note 1) 13,085,636 48,959,825 33,191,500 1,210,016 13,768,198 Payable for open forward currency contracts (Note 1) 831,080 -- -- -- -- Payable for closed forward currency contracts (Note 1) 86,156 -- -- -- -- Payable for open swap contracts (Note 1) 1,190,149 -- -- -- -- TBA sales commitments, at value (Note 1) 2,794,581 -- -- -- -- Other accrued expenses 26,034 64,182 187,043 6,256 18,690 .................................................................................................................................. Total liabilities 27,396,522 55,993,626 60,852,661 1,621,999 14,873,858 .................................................................................................................................. Net assets $ 635,967,789 $1,231,948,559 $7,926,230,578 $ 100,166,918 $470,554,409 .................................................................................................................................. Represented by: Paid-in capital (Notes 1, 4 and 5) $ 675,551,697 $2,025,688,274 $7,118,276,350 $ 181,759,408 $462,983,374 Undistributed net investment income (loss) (Note 1) 12,036,760 2,657,387 119,266,435 -- 179,872 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (47,211,796) (793,442,261) (152,433,012) (74,376,505) (34,158,651) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (4,408,872) (2,954,841) 841,120,805 (7,215,985) 41,549,814 .................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $ 635,967,789 $1,231,948,559 $7,926,230,578 $ 100,166,918 $470,554,409 .................................................................................................................................. Computation of net asset value Class IA Net Assets $ 611,233,206 $1,139,131,116 $7,216,388,194 $ 55,645,535 $342,487,798 Number of shares outstanding 45,708,619 121,943,544 306,343,588 10,473,706 29,149,808 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 13.37 $ 9.34 $ 23.56 $ 5.31 $ 11.75 Computation of net asset value Class IB Net Assets $ 24,734,583 $ 92,817,443 $ 709,842,384 $ 44,521,383 $128,066,611 Number of shares outstanding 1,849,374 10,014,928 30,277,889 8,410,493 10,943,244 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 13.37 $ 9.27 $ 23.44 $ 5.29 $ 11.70 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $ 645,802,112 $1,289,295,731 $7,108,056,666 $ 108,508,852 $443,104,905 Cost of foreign currency (Note 1) 8,125,360 -- -- -- -- Value of securities on loan (Note 1) 12,374,255 47,106,630 31,509,927 1,182,842 13,257,125 Proceeds receivable on TBA sales commitments (Note 1) 2,744,573 -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) - --------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Putnam VT International Putnam VT International International New High Yield Putnam VT Growth Growth and Opportunities Fund Income Fund Fund Income Fund Fund - --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $ 651,810,340 $1,145,497,439 $ 759,872,378 $ 309,151,141 $ 304,639,179 Repurchase agreements, at value (Note 1) 40,890,000 459,000 36,284,000 4,808,000 6,617,000 Cash 3,547,669 6,454,292 -- 626,347 29,056 Foreign currency, at value (Note 1) -- -- 88,870 2,102 5,671 Dividends, interest, and other receivables 16,966,661 9,908,043 548,505 241,909 142,685 Receivable for shares of the fund sold 459,207 669,907 545,183 138,190 34,926 Receivable for securities sold 1,541,615 77,109,743 1,674,534 12,550,993 1,532,861 Receivable for open forward currency contracts (Note 1) -- -- -- 1,060 226,995 Receivable for swap contracts (Note 1) 1,110,931 -- -- -- -- Foreign tax reclaim -- -- 540,775 496,700 107,540 .................................................................................................................................. Total assets 716,326,423 1,240,098,424 799,554,245 328,016,442 313,335,913 .................................................................................................................................. Liabilities Payable to subcustodian (Note 2) -- -- 253,672 -- -- Payable for variation margin (Note 1) -- 108,438 -- -- -- Payable for securities purchased 1,316,931 161,026,637 2,178,207 11,555,423 1,142,358 Payable for shares of the fund repurchased 175,722 806,244 18,915,028 309,301 1,420,617 Payable for compensation of Manager (Note 2) 1,184,468 1,550,812 1,450,354 622,022 741,078 Payable for investor servicing and custodian fees (Note 2) 115,029 89,247 216,216 110,933 30,781 Payable for compensation of Trustees (Note 2) 83,897 56,235 20,266 17,117 16,773 Payable for administrative services (Note 2) 3,714 6,169 3,790 2,509 2,479 Payable for distribution fees (Note 2) 13,517 29,708 53,803 8,643 33,154 Written options outstanding, at value 900,500 -- -- -- -- Collateral on securities loaned, at value (Note 1) 11,075 -- 2,598,240 -- 9,968,112 Payable for open forward currency contracts (Note 1) -- -- -- 139,337 -- Payable for closed forward currency contracts (Note 1) -- -- -- 166,012 -- TBA sales commitments, at value (Note 1) -- 52,105,539 -- -- -- Other accrued expenses 44,271 28,758 26,038 17,088 21,691 .................................................................................................................................. Total liabilities 3,849,124 215,807,787 25,715,614 12,948,385 13,377,043 .................................................................................................................................. Net assets $ 712,477,299 $1,024,290,637 $ 773,838,631 $ 315,068,057 $ 299,958,870 .................................................................................................................................. Represented by: Paid-in capital (Notes 1, 4 and 5) $1,043,034,853 $1,016,446,721 $ 939,554,267 $ 386,151,565 $ 508,203,541 Undistributed net investment income (loss) (Note 1) 75,332,979 53,720,206 6,480,725 1,968,221 927,820 Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (240,531,371) (39,122,126) (105,172,579) (71,521,673) (213,110,268) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (165,359,162) (6,754,164) (67,023,782) (1,530,056) 3,937,777 .................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $ 712,477,299 $1,024,290,637 $ 773,838,631 $ 315,068,057 $ 299,958,870 .................................................................................................................................. Computation of net asset value Class IA Net Assets $ 647,505,465 $ 879,910,681 $ 521,191,919 $ 273,297,552 $ 140,731,465 Number of shares outstanding 80,128,288 69,580,083 41,975,027 27,993,130 14,361,787 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 8.08 $ 12.65 $ 12.42 $ 9.76 $ 9.80 Computation of net asset value Class IB Net Assets $ 64,971,834 $ 144,379,956 $ 252,646,712 $ 41,770,505 $ 159,227,405 Number of shares outstanding 8,061,574 11,459,892 20,435,554 4,292,770 16,327,767 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 8.06 $ 12.60 $ 12.36 $ 9.73 $ 9.75 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $ 859,214,832 $1,151,750,270 $ 863,179,596 $ 315,371,608 $ 307,546,138 Cost of foreign currency (Note 1) -- -- 90,014 2,149 5,891 Premiums received on written options (Note 1) 898,100 -- -- -- -- Proceeds receivable on TBA sales commitments (Note 1) -- 51,208,393 -- -- -- Value of securities on loan (Note 1) 6,488 -- 2,476,637 -- 9,474,947 - --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) - ---------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Putnam VT Putnam VT New Putnam VT OTC & Investors Money Opportunities New Value Emerging Fund Market Fund Fund Fund Growth Fund - ---------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $ 874,929,788 $ 1,041,750,140 $ 3,200,452,727 $541,819,850 $ 158,497,936 Repurchase agreements, at value (Note 1) 20,328,000 4,692,000 65,430,000 15,584,000 7,152,000 Cash 7,814 -- -- 35,627 14 Dividends, interest, and other receivables 624,174 1,532,627 1,054,184 844,699 12,453 Receivable for shares of the fund sold 315,118 1,659,124 2,535,490 702,277 -- Receivable for securities sold 1,569,333 -- 1,640,635 6,017,969 120,330 Receivable for variation margin (Note 1) -- -- -- -- -- .................................................................................................................................. Total assets 897,774,227 1,049,633,891 3,271,113,036 565,004,422 165,782,733 .................................................................................................................................. Liabilities Payable to subcustodian (Note 2) -- 88,472 23,148 -- -- Payable for variation margin (Note 1) -- -- 53,025 -- 5,050 Payable for securities purchased 9,925,338 -- 6,090,368 9,519,764 482,420 Payable for shares of the fund repurchased 108,452 509,409 1,812,569 17,682 2,681,448 Payable for compensation of Manager (Note 2) 1,286,977 1,097,278 4,375,301 879,046 265,552 Payable for investor servicing and custodian fees (Note 2) 88,180 59,496 299,711 57,644 51,819 Payable for compensation of Trustees (Note 2) 17,943 17,716 173,273 12,798 10,518 Payable for administrative services (Note 2) 3,653 5,929 11,023 3,518 2,237 Payable for distribution fees (Note 2) 55,277 32,437 41,878 17,765 12,024 Collateral on securities loaned, at value (Note 1) 27,918,328 -- -- 9,959,540 -- Other accrued expenses 33,083 -- 104,633 19,130 13,257 .................................................................................................................................. Total liabilities 39,437,231 1,810,737 12,984,929 20,486,887 3,524,325 .................................................................................................................................. Net assets $ 858,336,996 $1,047,823,154 $ 3,258,128,107 $544,517,535 $ 162,258,408 .................................................................................................................................. Represented by: Paid-in capital (Notes 1, 4 and 5) $1,186,932,208 $1,047,823,154 $ 4,186,618,462 $496,303,900 $ 517,274,072 Undistributed net investment income (loss) (Note 1) 2,262,699 -- -- 5,672,535 -- Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (390,673,572) -- (913,995,905) 11,178,475 (350,197,929) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 59,815,661 -- (14,494,450) 31,362,625 (4,817,735) .................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $ 858,336,996 $1,047,823,154 $ 3,258,128,107 $544,517,535 $ 162,258,408 .................................................................................................................................. Computation of net asset value Class IA Net Assets $ 597,311,628 $ 893,646,967 $ 3,058,086,844 $455,974,645 $ 107,049,800 Number of shares outstanding 64,178,508 893,646,967 183,446,703 33,846,809 17,770,313 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 9.31 $ 1.00 $ 16.67 $ 13.47 $ 6.02 Computation of net asset value Class IB Net Assets $ 261,025,368 $ 154,176,187 $ 200,041,263 $ 88,542,890 $ 55,208,608 Number of shares outstanding 28,176,280 154,176,187 12,090,008 6,596,269 9,212,300 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 9.26 $ 1.00 $ 16.55 $ 13.42 $ 5.99 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $ 835,442,127 $1,046,442,140 $ 3,280,439,728 $526,041,225 $ 170,479,075 Value of securities on loan (Note 1) 27,185,584 -- -- 9,094,163 -- - ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) - --------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Putnam VT Putnam VT Utilities Putnam VT Research Small Cap Technology Growth and Vista Fund Value Fund Fund Income Fund Fund - --------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $ 314,052,363 $ 366,995,917 $ 31,266,053 $ 708,725,612 $ 776,837,120 Repurchase agreements, at value (Note 1) 5,629,000 14,225,000 804,000 6,860,000 20,432,000 Cash 155,578 -- -- 2,790 253,406 Dividends, interest, and other receivables 357,744 353,863 7,988 2,199,924 252,006 Receivable for shares of the fund sold 184,611 1,161,398 104,105 271,670 241,075 Receivable for securities sold 2,016,344 402,271 -- 5,198,827 7,941,164 Receivable for variation margin (Note 1) -- -- -- 40,859 -- Foreign tax reclaim -- -- -- 85,253 -- .................................................................................................................................. Total assets 322,395,640 383,138,449 32,182,146 723,384,935 805,956,771 .................................................................................................................................. Liabilities Payable to subcustodian (Note 2) -- 974,481 735,886 -- -- Payable for variation margin (Note 1) 32,677 -- -- -- 133,409 Payable for securities purchased 2,084,559 3,936,859 -- 3,007,757 1,495,532 Payable for shares of the fund repurchased 176,750 36,963 1,037 88,143 692,471 Payable for compensation of Manager (Note 2) 484,852 601,132 27,468 1,196,137 1,071,173 Payable for investor servicing and custodian fees (Note 2) 37,190 66,496 23,257 118,097 70,488 Payable for compensation of Trustees (Note 2) 7,491 2,584 509 62,499 15,300 Payable for administrative services (Note 2) 2,358 2,253 1,172 3,728 2,420 Payable for distribution fees (Note 2) 24,901 25,576 3,453 12,189 61,327 Collateral on securities loaned, at value (Note 1) 2,203,420 15,162,734 428,259 27,684,257 65,368,644 Other accrued expenses 10,633 9,389 2,025 30,837 26,180 .................................................................................................................................. Total liabilities 5,064,831 20,818,467 1,223,066 32,203,644 68,936,944 .................................................................................................................................. Net assets $ 317,330,809 $ 362,319,982 $ 30,959,080 $ 691,181,291 $ 737,019,827 .................................................................................................................................. Represented by: Paid-in capital (Notes 1, 4 and 5) $ 386,111,426 $ 318,965,854 $ 58,715,056 $ 657,122,439 $ 1,114,919,897 Undistributed net investment income (loss) (Note 1) 1,840,459 1,022,005 -- 20,227,168 -- Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (68,726,008) 2,659,949 (27,663,438) (41,628,379) (382,553,106) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (1,895,068) 39,672,174 (92,538) 55,460,063 4,653,036 .................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $ 317,330,809 $ 362,319,982 $ 30,959,080 $ 691,181,291 $ 737,019,827 .................................................................................................................................. Computation of net asset value Class IA Net Assets $ 197,442,669 $ 231,329,335 $ 15,526,253 $ 631,897,188 $ 443,879,488 Number of shares outstanding 17,962,248 15,331,524 3,650,289 48,727,897 38,953,839 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 10.99 $ 15.09 $ 4.25 $ 12.97 $ 11.40 Computation of net asset value Class IB Net Assets $ 119,888,140 $ 130,990,647 $ 15,432,827 $ 59,284,103 $ 293,140,339 Number of shares outstanding 10,961,822 8,717,841 3,643,984 4,589,620 25,854,382 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 10.94 $ 15.03 $ 4.24 $ 12.92 $ 11.34 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $ 321,599,241 $ 341,548,743 $ 32,162,591 $ 660,001,760 $ 792,678,822 Value of securities on loan (Note 1) 2,148,365 14,127,672 411,501 26,712,764 63,364,111 - --------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Assets and Liabilities (continued) - ---------------------------------------------------------------------------------------------------------------------------------- December 31, 2001 Putnam VT Putnam VT Voyager Voyager Fund Fund II - ---------------------------------------------------------------------------------------------------------------------------------- Assets Investments in securities, at value (Note 1) $5,327,352,503 $20,756,531 Repurchase agreements, at value (Note 1) -- -- Cash -- 1,350,928 Dividends, interest, and other receivables 5,376,445 4,628 Receivable for shares of the fund sold 624,694 312,433 Receivable for securities sold 23,419,452 14,039 Foreign tax reclaim 60,713 -- .................................................................................................................................. Total assets 5,356,833,807 22,438,559 .................................................................................................................................. Liabilities Payable to subcustodian (Note 2) 3,205,945 -- Payable for securities purchased 15,499,751 494,097 Payable for shares of the fund repurchased 2,801,027 1,099,457 Payable for compensation of Manager (Note 2) 6,972,092 12,774 Payable for investor servicing and custodian fees (Note 2) 573,289 25,223 Payable for compensation of Trustees (Note 2) 218,255 413 Payable for administrative services (Note 2) 12,050 25 Payable for distribution fees (Note 2) 101,333 3,043 Collateral on securities loaned, at value (Note 1) 60,892,799 -- Other accrued expenses 163,648 1,025 .................................................................................................................................. Total liabilities 90,440,189 1,636,057 .................................................................................................................................. Net assets $5,266,393,618 $20,802,502 .................................................................................................................................. Represented by: Paid-in capital (Notes 1, 4 and 5) $6,015,117,431 $24,910,415 Undistributed net investment income (loss) (Note 1) 36,213,451 -- Accumulated net realized gain (loss) on investments and foreign currency transactions (Note 1) (733,408,184) (5,386,918) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (51,529,080) 1,279,005 .................................................................................................................................. Total -- Representing net assets applicable to capital shares outstanding $5,266,393,618 $20,802,502 .................................................................................................................................. Computation of net asset value Class IA Net Assets $4,784,867,860 $ 7,557,668 Number of shares outstanding 166,609,726 1,517,386 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 28.72 $ 4.98 Computation of net asset value Class IB Net Assets $ 481,525,758 $13,244,834 Number of shares outstanding 16,858,037 2,666,179 Net asset value, offering price and redemption price per share (net assets divided by number of shares outstanding) $ 28.56 $ 4.97 .................................................................................................................................. Cost of investments, including repurchase agreements (Note 1) $5,378,881,474 $19,477,526 Value of securities on loan (Note 1) 59,241,437 -- - ---------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Putnam VT American Putnam VT Capital Putnam VT The George Government Asia Pacific Appreciation Diversified Putnam Fund Income Fund Growth Fund Fund Income Fund of Boston - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ -- $ 1,245,820 $ 109,169 $ 1,370,362 $5,370,575 Interest 6,173,474 116,811 53,401 57,063,843 11,707,634 Securities lending -- 678 1,212 274 6,386 Less foreign taxes withheld -- (112,448) (540) -- (37,201) ................................................................................................................................ Total investment income 6,173,474 1,250,861 163,242 58,434,479 17,047,394 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 802,595 708,128 73,394 4,146,009 3,030,468 Investor servicing and custodian fees (Note 2) 110,694 218,276 48,276 500,372 409,661 Compensation of Trustees (Note 2) 6,422 13,377 1,663 20,814 14,010 Administrative services (Note 2) 8,599 7,192 45 14,179 11,066 Distribution fees-Class IB (Note 2) 106,128 13,775 11,759 183,833 270,355 Auditing 19,604 27,820 23,905 60,444 35,338 Other 5,449 24,327 5,000 72,973 49,455 ................................................................................................................................ Total expenses 1,059,491 1,012,895 164,042 4,998,624 3,820,353 ................................................................................................................................ Expense reduction (Note 2) (51,845) (114,556) (2,006) (40,206) (93,015) Net expenses 1,007,646 898,339 162,036 4,958,418 3,727,338 ................................................................................................................................ Net investment income (loss) 5,165,828 352,522 1,206 53,476,061 13,320,056 ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) 82,460 (29,453,539) (1,516,408) (35,515,446) 2,390,769 Net realized gain (loss) on futures contracts (Note 1) -- (246,894) (319,094) 513,094 39,376 Net realized gain (loss) on swap contracts (Note 1) -- 28,183 -- -- -- Net realized gain (loss) on written options (Note 1) -- -- -- 21,747 -- Net realized gain (loss) on foreign currency transactions (Note 1) -- 78,993 -- (3,342,404) 25 Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the year -- (29,091) -- (617,470) (120) Net unrealized appreciation (depreciation) of investments, TBA sale commitments, swap contracts and futures contracts during the year 896,965 8,688,690 709,028 7,500,653 (11,912,457) ................................................................................................................................ Net gain (loss) on investments 979,425 (20,933,658) (1,126,474) (31,439,826) (9,482,407) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $6,145,253 $(20,581,136) $(1,125,268) $22,036,235 $3,837,649 - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations (continued) - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Growth Health Global Asset Global Growth Growth and Opportunities Sciences Allocation Fund Fund Income Fund Fund Fund - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ 6,257,483 $ 14,217,488 $ 160,645,002 $ 539,344 $ 3,648,468 Interest 17,669,028 1,060,266 4,079,250 157,568 478,682 Securities lending 32,450 37,984 80,215 4,288 39,254 Less foreign taxes withheld (248,216) (1,098,664) (691,862) -- (58,374) ................................................................................................................................ Total investment income 23,710,745 14,217,074 164,112,605 701,200 4,108,030 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 4,755,368 10,730,488 39,524,781 736,339 3,326,045 Investor servicing and custodian fees (Note 2) 1,018,861 1,231,384 3,009,263 102,660 338,190 Compensation of Trustees (Note 2) 16,628 35,607 195,143 7,673 17,937 Administrative services (Note 2) 12,210 30,679 58,747 8,911 10,769 Distribution fees-Class IB (Note 2) 48,239 201,509 1,354,592 91,937 232,874 Auditing 65,201 65,211 72,165 22,680 19,681 Other 78,767 297,450 644,175 19,964 53,598 ................................................................................................................................ Total expenses 5,995,274 12,592,328 44,858,866 990,164 3,999,094 ................................................................................................................................ Expense reduction (Note 2) (222,495) (1,144,879) (337,791) (5,201) (86,625) Net expenses 5,772,779 11,447,449 44,521,075 984,963 3,912,469 ................................................................................................................................ Net investment income (loss) 17,937,966 2,769,625 119,591,530 (283,763) 195,561 ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (38,930,454) (755,350,310) (44,576,112) (56,664,931) (13,688,082) Net realized gain (loss) on swap contracts (Note 1) 2,440,707 -- -- -- -- Net realized gain (loss) on futures contracts (Note 1) (5,150,082) -- (1,113,990) -- (158,434) Net realized gain (loss) on written options (Note 1) 227,765 -- -- -- -- Net realized gain (loss) on foreign currency transactions (Note 1) (5,993,644) (327,824) -- -- (1,157) Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the year (1,184,633) 12,277 -- -- 344 Net unrealized appreciation (depreciation) of investments, TBA sale commitments, swap contracts and futures contracts during the year (38,883,567) 141,419,065 (646,734,843) 13,123,588 (105,374,016) ................................................................................................................................ Net gain (loss) on investments (87,473,908) (614,246,792) (692,424,945) (43,541,343) (119,221,345) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $(69,535,942) $(611,477,167) $(572,833,415) $(43,825,106) $(119,025,784) - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations (continued) - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Putnam VT International Putnam VT International International New High Yield Putnam VT Growth Growth and Opportunities Fund Income Fund Fund Income Fund Fund - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ 4,118,258 $ 118,249 $ 14,945,931 $ 8,106,786 $ 4,920,127 Interest 83,265,291 59,066,915 1,235,751 471,844 468,375 Securities lending 403 17 12,769 -- 12,289 Less foreign taxes withheld -- -- (1,854,938) (959,085) (612,425) ................................................................................................................................ Total investment income 87,383,952 59,185,181 14,339,513 7,619,545 4,788,366 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 4,963,809 5,707,283 6,118,396 2,844,877 3,455,856 Investor servicing and custodian fees (Note 2) 451,794 524,272 1,191,451 530,856 721,638 Compensation of Trustees (Note 2) 8,288 18,763 22,824 15,994 16,651 Administrative services (Note 2) 16,856 21,341 17,373 11,495 11,451 Distribution fees-Class IB (Note 2) 118,621 224,083 482,862 84,101 362,890 Auditing 53,786 49,508 37,222 28,865 37,079 Other 194,960 82,802 145,558 49,982 41,563 ................................................................................................................................ Total expenses 5,808,114 6,628,052 8,015,686 3,566,170 4,647,128 ................................................................................................................................ Expense reduction (Note 2) (51,992) (121,802) (571,695) (332,247) (728,297) Net expenses 5,756,122 6,506,250 7,443,991 3,233,923 3,918,831 ................................................................................................................................ Net investment income (loss) 81,627,830 52,678,931 6,895,522 4,385,622 869,535 ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (89,280,519) 6,455,292 (99,288,786) (66,022,246) (121,832,327) Net realized gain (loss) on futures contracts (Note 1) 139,045 (783,504) -- (315,282) -- Net realized gain (loss) on swap contracts (Note 1) 751,303 -- -- -- -- Net realized gain (loss) on written options (Note 1) -- -- 6,806 -- -- Net realized gain (loss) on foreign currency transactions (Note 1) (2,966) -- 590,316 151,228 (110,783) Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the year 1,728 -- (1,790,468) (2,771,003) 228,701 Net unrealized appreciation (depreciation) of investments, TBA sale commitments, swap contracts and futures contracts during the year 36,169,226 7,430,451 (92,515,363) (23,658,810) (3,734,286) ................................................................................................................................ Net gain (loss) on investments (52,222,183) 13,102,239 (192,997,495) (92,616,113) (125,448,695) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $29,405,647 $65,781,170 $(186,101,973) $(88,230,491) $(124,579,160) - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations (continued) - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Putnam VT New Putnam VT Putnam VT Investors Money Opportunities New Value OTC & Emerging Fund Market Fund Fund Fund Growth Fund - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ 7,615,100 $ -- $ 9,994,646 $ 8,160,354 $ 25,955 Interest 1,276,918 40,192,886 4,220,177 1,148,759 378,196 Securities lending 38,085 -- -- 31,082 -- Less foreign taxes withheld (10,735) -- -- (38,553) (216) ................................................................................................................................ Total investment income 8,919,368 40,192,886 14,214,823 9,301,642 403,935 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 5,765,246 3,840,752 21,142,217 3,127,684 1,355,499 Investor servicing and custodian fees (Note 2) 425,141 302,007 1,215,376 296,998 211,080 Compensation of Trustees (Note 2) 30,802 16,930 59,922 14,435 13,507 Administrative services (Note 2) 16,827 8,169 50,811 13,000 10,351 Distribution fees-Class IB (Note 2) 566,673 300,880 441,651 129,867 128,416 Auditing 29,534 40,807 45,458 21,791 20,007 Other 93,884 66,583 329,107 54,116 38,036 ................................................................................................................................ Total expenses 6,928,107 4,576,128 23,284,542 3,657,891 1,776,896 ................................................................................................................................ Expense reduction (Note 2) (285,895) (25,076) (311,550) (101,625) (10,156) Net expenses 6,642,212 4,551,052 22,972,992 3,556,266 1,766,740 ................................................................................................................................ Net investment income (loss) 2,277,156 35,641,834 (8,758,169) 5,745,376 (1,362,805) ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (245,178,759) -- (886,287,960) 14,797,859 (213,522,376) Net realized gain (loss) on futures contracts (Note 1) (2,605,980) -- (17,648,523) (12,714) (558,841) Net unrealized appreciation (depreciation) of investments and futures contracts during the year (50,966,500) -- (646,948,159) (9,398,584) 78,180,430 ................................................................................................................................ Net gain (loss) on investments (298,751,239) -- (1,550,884,642) 5,386,561 (135,900,787) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $(296,474,083) $35,641,834 $(1,559,642,811) $11,131,937 $(137,263,592) - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations (continued) - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Putnam VT Putnam VT Putnam VT Research Small Cap Technology Utilities Growth Vista Fund Value Fund Fund and Income Fund Fund - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ 3,990,264 $ 2,750,829 $ 50,212 $ 20,007,025 $ 2,584,643 Interest 283,453 401,321 40,325 6,554,825 1,180,895 Securities lending 9,085 20,232 1,778 187,166 105,917 Less foreign taxes withheld (25,768) -- (327,991) (919) ................................................................................................................................ Total investment income 4,257,034 3,172,382 92,315 26,421,025 3,870,536 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 1,995,993 1,704,436 279,371 5,507,340 4,929,542 Investor servicing and custodian fees (Note 2) 202,850 220,214 88,003 459,707 365,315 Compensation of Trustees (Note 2) 13,163 9,784 6,158 17,503 20,827 Administrative services (Note 2) 10,800 8,801 1,109 16,348 17,613 Distribution fees-Class IB (Note 2) 225,729 157,045 29,533 123,059 604,248 Auditing 19,625 21,907 26,285 31,537 31,856 Other 30,254 38,228 6,780 93,015 77,364 ................................................................................................................................ Total expenses 2,498,414 2,160,415 437,239 6,248,509 6,046,765 ................................................................................................................................ Expense reduction (Note 2) (97,685) (19,306) (2,211) (179,523) (161,754) Net expenses 2,400,729 2,141,109 435,028 6,068,986 5,885,011 ................................................................................................................................ Net investment income (loss) 1,856,305 1,031,273 (342,713) 20,352,039 (2,014,475) ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (66,131,493) 2,999,444 (21,260,179) (41,767,696) (366,658,838) Net realized gain (loss) on swap contracts (Note 1) -- -- -- 36,072 -- Net realized gain (loss) on futures contracts (Note 1) (884,151) -- -- 240,327 (4,802,715) Net realized gain (loss) on foreign currency transactions (Note 1) -- -- -- (77,014) -- Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the year -- -- -- 5,172 -- Net unrealized appreciation (depreciation) of investments and futures contracts during the year (145,819) 27,107,932 6,904,449 (193,428,684) (108,149) ................................................................................................................................ Net gain (loss) on investments (67,161,463) 30,107,376 (14,355,730) (234,991,823) (371,569,702) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $(65,305,158) $31,138,649 $(14,698,443) $(214,639,784) $(373,584,177) - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
Putnam Variable Trust Statement of Operations (continued) - -------------------------------------------------------------------------------------------------------------------------------- Year ended December 31, 2001 Putnam VT Putnam VT Voyager Voyager Fund Fund II - -------------------------------------------------------------------------------------------------------------------------------- Investment income Dividends $ 63,876,317 $ 23,791 Interest 7,857,031 27,065 Securities lending 105,190 -- Less foreign taxes withheld (192,156) (109) ................................................................................................................................ Total investment income 71,646,382 50,747 ................................................................................................................................ Expenses Compensation of Manager (Note 2) 32,259,746 83,615 Investor servicing and custodian fees (Note 2) 1,903,113 79,828 Compensation of Trustees (Note 2) 84,182 1,727 Administrative services (Note 2) 55,173 45 Distribution fees-Class IB (Note 2) 1,013,704 16,754 Auditing 59,486 22,808 Other 517,066 5,148 ................................................................................................................................ Total expenses 35,892,470 209,925 ................................................................................................................................ Expense reduction (Note 2) (701,147) (9,442) Net expenses 35,191,323 200,483 ................................................................................................................................ Net investment income (loss) 36,455,059 (149,736) ................................................................................................................................ Net realized gain (loss) on investments (Notes 1 and 3) (553,875,806) (5,024,830) Net realized gain (loss) on futures contracts (Note 1) (56,474,734) -- Net realized gain (loss) on foreign currency ransactions (Note 1) 244,164 -- Net unrealized appreciation (depreciation) of assets and liabilities in foreign currencies during the year (124,558) -- Net unrealized appreciation (depreciation) of investments and futures contracts during the year (1,127,808,966) 2,033,703 ................................................................................................................................ Net gain (loss) on investments (1,738,039,900) (2,991,127) ................................................................................................................................ Net increase (decrease) in net assets resulting from operations $(1,701,584,841) $(3,140,863) - -------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT American Government Income Fund Asia Pacific Growth Fund Year ended Period ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000* 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 5,165,828 $ 464,146 $ 352,522 $ (189,167) Net realized gain (loss) on investments and foreign currency transactions 82,460 235,787 (29,593,257) 28,676,205 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 896,965 540,133 8,659,599 (122,856,636) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations 6,145,253 1,240,066 (20,581,136) (94,369,598) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- (321,435) -- (7,263,236) Class IB -- (143,633) -- (246,420) From net realized short term gain on investments Class IA (10,809) (151,546) (1,226,022) (173,763) Class IB (6,516) (68,633) (81,391) (5,920) From net realized long term gain on investments Class IA -- -- (21,450,168) -- Class IB -- -- (1,423,996) -- Increase (decrease) from capital share transactions (Note 4) 178,017,371 24,127,221 (456,487) (43,500,182) ............................................................................................................................... Total increase (decrease) in net assets 184,145,299 24,682,040 (45,219,200) (145,559,119) ............................................................................................................................... Net assets: Beginning of period (Note 5) 25,682,040 1,000,000 112,292,057 257,851,176 ............................................................................................................................... End of period $209,827,339 $25,682,040 $ 67,072,857 $112,292,057 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 5,510,036 $ -- $ 427,326 $ (21,017) - ------------------------------------------------------------------------------------------------------------------------------- *From February 1, 2000 (commencement of operations) to December 31, 2000. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Capital Appreciation Diversified Income Fund Year ended Period ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000** 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 1,206 $ (16,527) $ 53,476,061 $ 53,510,664 Net realized gain (loss) on investments and foreign currency transactions (1,835,502) (260,816) (38,323,009) (28,128,568) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 709,028 61,410 6,883,183 (24,183,780) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (1,125,268) (215,933) 22,036,235 1,198,316 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- -- (39,521,197) (47,334,433) Class IB -- -- (5,675,376) (2,708,184) Increase (decrease) from capital share transactions (Note 4) 18,664,627 1,463,333 1,086,547 8,500,651 ............................................................................................................................... Total increase (decrease) in net assets 17,539,359 1,247,400 (22,073,791) (40,343,650) ............................................................................................................................... Net assets: Beginning of period (Note 5) 3,247,400 2,000,000 606,574,901 646,918,551 ............................................................................................................................... End of period $20,786,759 $3,247,400 $ 584,501,110 $ 606,574,901 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 601 $ -- $ 48,697,442 $ 43,520,911 - ------------------------------------------------------------------------------------------------------------------------------- **From September 29, 2000 (commencement of operations) to December 31, 2000. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT The George Putnam Fund of Boston Global Asset Allocation Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 13,320,056 $ 11,746,784 $ 17,937,966 $ 25,047,171 Net realized gain (loss) on investments and foreign currency transactions 2,430,170 (9,257,671) (47,405,708) 52,349,604 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (11,912,577) 32,294,386 (40,068,200) (123,470,409) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations 3,837,649 34,783,499 (69,535,942) (46,073,634) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (8,953,349) -- (8,320,785) (16,495,290) Class IB (2,828,500) -- (216,063) (157,517) From net realized short term gain on investments Class IA -- -- (17,431,812) (7,244,223) Class IB -- -- (494,047) (71,075) From net realized long term gain on investments Class IA -- -- (60,941,613) (78,903,291) Class IB -- -- (1,727,187) (774,137) Increase (decrease) from capital share transactions (Note 4) 152,481,788 49,897,904 (39,483,526) (23,866,289) ............................................................................................................................... Total increase (decrease) in net assets 144,537,588 84,681,403 (198,150,975) (173,585,456) ............................................................................................................................... Net assets: Beginning of period 399,800,628 315,119,225 834,118,764 1,007,704,220 ............................................................................................................................... End of period $ 544,338,216 $ 399,800,628 $ 635,967,789 $ 834,118,764 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 13,617,482 $ 11,818,162 $ 12,036,760 $ 6,615,993 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Global Growth Fund Growth and Income Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 2,769,625 $ (9,053,258) $ 119,591,530 $ 145,596,938 Net realized gain (loss) on investments and foreign currency transactions (755,678,134) 373,904,145 (45,690,102) 50,256,711 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 141,431,342 (1,281,312,255) (646,734,843) 463,119,346 ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (611,477,167) (916,461,368) (572,833,415) 658,972,995 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- (18,660,757) (135,302,207) (165,592,457) Class IB -- (289,603) (8,853,040) (4,513,879) From net realized short term gain on investments Class IA -- (252,773,352) -- (124,952,239) Class IB -- (4,077,262) -- (3,468,562) From net realized long term gain on investments Class IA (380,084,619) (231,748,874) (94,450,091) (652,581,031) Class IB (23,009,538) (3,738,056) (6,526,859) (18,115,065) Increase (decrease) from capital share transactions (Note 4) 124,647,953 430,639,478 (444,891,182) (229,851,590) ............................................................................................................................... Total increase (decrease) in net assets (889,923,371) (997,109,794) (1,262,856,794) (540,101,828) ............................................................................................................................... Net assets: Beginning of period 2,121,871,930 3,118,981,724 9,189,087,372 9,729,189,200 ............................................................................................................................... End of period $1,231,948,559 $ 2,121,871,930 $7,926,230,578 $9,189,087,372 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 2,657,387 $ -- $ 119,266,435 $ 144,090,736 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Growth Opportunities Fund Health Sciences Fund Year ended Period ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000* 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ (283,763) $ (225,256) $ 195,561 $ 173,160 Net realized gain (loss) on investments and foreign currency transactions (56,664,931) (17,711,574) (13,847,673) 1,816,077 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 13,123,588 (20,339,573) (105,373,672) 115,490,590 ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (43,825,106) (38,276,403) (119,025,784) 117,479,827 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- -- (185,990) -- Class IB -- -- -- -- Increase (decrease) from capital share transactions (Note 4) 25,898,333 155,370,094 (15,919,904) 249,196,248 ............................................................................................................................... Total increase (decrease) in net assets (17,926,773) 117,093,691 (135,131,678) 366,676,075 ............................................................................................................................... Net assets: Beginning of period (Note 5) 118,093,691 1,000,000 605,686,087 239,010,012 ............................................................................................................................... End of period $ 100,166,918 $ 118,093,691 $470,554,409 $605,686,087 ............................................................................................................................... Undistributed net investment income (loss), end of period $ -- $ -- $ 179,872 $ 171,459 - ------------------------------------------------------------------------------------------------------------------------------- *From February 1, 2000 (commencement of operations) to December 31, 2000. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT High Yield Fund Income Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 81,627,830 $ 99,542,105 $ 52,678,931 $ 60,297,732 Net realized gain (loss) on investments and foreign currency transactions (88,393,137) (70,877,350) 5,671,788 (26,917,943) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 36,170,954 (99,250,114) 7,430,451 32,051,399 ............................................................................................................................... Net increase (decrease) in net assets resulting from operations 29,405,647 (70,585,359) 65,781,170 65,431,188 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (97,385,674) (102,642,266) (56,276,353) (58,222,017) Class IB (6,365,166) (2,784,077) (4,975,666) (1,648,307) Increase (decrease) from capital share transactions (Note 4) 39,250,196 (58,652,216) 157,639,949 (97,355,561) ............................................................................................................................... Total increase (decrease) in net assets (35,094,997) (234,663,918) 162,169,100 (91,794,697) ............................................................................................................................... Net assets: Beginning of period 747,572,296 982,236,214 862,121,537 953,916,234 ............................................................................................................................... End of period $ 712,477,299 $ 747,572,296 $1,024,290,637 $ 862,121,537 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 75,332,979 $ 97,449,112 $ 53,720,206 $ 60,925,108 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT International International Growth Fund Growth and Income Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 6,895,522 $ 12,461,218 $ 4,385,622 $ 4,785,641 Net realized gain (loss) on investments and foreign currency transactions (98,691,664) 86,124,818 (66,186,300) 20,882,264 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (94,305,831) (177,468,638) (26,429,813) (18,167,951) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (186,101,973) (78,882,602) (88,230,491) 7,499,954 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (2,190,800) (13,169,652) (3,776,201) (17,611,936) Class IB (540,011) (1,262,969) (369,218) (810,646) From net realized short term gain on investments Class IA (14,474,927) (24,996,768) (6,024,627) (20,530,042) Class IB (4,646,610) (2,420,690) (648,458) (951,940) From net realized long term gain on investments Class IA (54,104,929) (32,125,002) (14,643,590) (18,076,767) Class IB (17,368,274) (3,110,989) (1,576,155) (838,187) Increase (decrease) from capital share transactions (Note 4) 158,985,816 382,433,005 (570,460) 84,070,531 ............................................................................................................................... Total increase (decrease) in net assets (120,441,708) 226,464,333 (115,839,200) 32,750,967 ............................................................................................................................... Net assets: Beginning of period 894,280,339 667,816,006 430,907,257 398,156,290 ............................................................................................................................... End of period $ 773,838,631 $ 894,280,339 $ 315,068,057 $ 430,907,257 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 6,480,725 $ (1,535,746) $ 1,968,221 $ (1,710,046) - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT International Putnam VT New Opportunities Fund Investors Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 869,535 $ (3,049,724) $ 2,277,156 $ 617,303 Net realized gain (loss) on investments and foreign currency transactions (121,943,110) (88,783,158) (247,784,739) (124,509,805) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (3,505,585) (145,931,623) (50,966,500) (124,634,548) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (124,579,160) (237,764,505) (296,474,083) (248,527,050) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- (196,889) (631,760) -- Class IB -- (36,051) -- -- From net realized short term gain on investments Class IA -- (5,107,180) -- -- Class IB -- (1,142,973) -- -- From net realized long term gain on investments Class IA -- (13,812,473) -- -- Class IB -- (3,091,198) -- -- From return of capital Class IA -- (72,633) -- -- Class IB -- (16,040) -- -- Increase (decrease) from capital share transactions (Note 4) (15,569,524) 336,811,896 (29,367,942) 464,392,383 ............................................................................................................................... Total increase (decrease) in net assets (140,148,684) 75,571,954 (326,473,785) 215,865,333 ............................................................................................................................... Net assets: Beginning of period 440,107,554 364,535,600 1,184,810,781 968,945,448 ............................................................................................................................... End of period $299,958,870 $440,107,554 $858,336,996 $1,184,810,781 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 927,820 $ -- $ 2,262,699 $ 617,303 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Money Market Fund New Opportunities Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 35,641,834 $ 42,279,737 $ (8,758,169) $ (21,518,383) Net realized gain (loss) on investments and foreign currency transactions -- -- (903,936,483) 745,903,185 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies -- -- (646,948,159) (2,600,355,494) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations 35,641,834 42,279,737 (1,559,642,811) (1,875,970,692) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (30,910,790) (38,745,671) -- -- Class IB (4,731,044) (3,534,066) -- -- From net realized short term gain on investments Class IA -- -- -- (68,327,904) Class IB -- -- -- (1,154,680) From net realized long term gain on investments Class IA -- -- (712,524,348) (466,652,005) Class IB -- -- (37,587,894) (7,886,001) From return of capital Class IA -- -- (112,385) -- Class IB -- -- (5,929) -- Increase (decrease) from capital share transactions (Note 4) 308,598,875 (125,305,075) 343,526,216 1,149,262,474 ............................................................................................................................... Total increase (decrease) in net assets 308,598,875 (125,305,075) (1,966,347,151) (1,270,728,808) ............................................................................................................................... Net assets: Beginning of period 739,224,279 864,529,354 5,224,475,258 6,495,204,066 ............................................................................................................................... End of period $1,047,823,154 $739,224,279 $3,258,128,107 $5,224,475,258 ............................................................................................................................... Undistributed net investment income (loss), end of period $ -- $ -- $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT New Value Fund OTC & Emerging Growth Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 5,745,376 $ 4,653,886 $ (1,362,805) $ (1,795,263) Net realized gain (loss) on investments and foreign currency transactions 14,785,145 7,048,596 (214,081,217) (135,551,560) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (9,398,584) 44,618,764 78,180,430 (171,802,617) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations 11,131,937 56,321,246 (137,263,592) (309,149,440) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (3,520,603) (3,561,839) -- -- Class IB (395,480) (190,193) -- -- From net realized short term gain on investments Class IA (6,711,941) (5,018,060) -- (3,606,379) Class IB (806,170) (275,564) -- (454,368) From net realized long term gain on investments Class IA (2,760,762) (7,595,966) -- (258,182) Class IB (331,594) (417,129) -- (32,529) From return of capital Class IA -- -- -- (43,314) Class IB -- -- -- (5,457) Increase (decrease) from capital share transactions (Note 4) 214,176,135 35,840,069 7,357,856 374,278,710 ............................................................................................................................... Total increase (decrease) in net assets 210,781,522 75,102,564 (129,905,736) 60,729,041 ............................................................................................................................... Net assets: Beginning of period 333,736,013 258,633,449 292,164,144 231,435,103 ............................................................................................................................... End of period $544,517,535 $333,736,013 $162,258,408 $292,164,144 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 5,672,535 $ 4,657,655 $ -- $ -- - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Research Fund Small Cap Value Fund Year ended Year ended Year ended Period ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ 1,856,305 $ 1,086,773 $ 1,031,273 $ 254,255 Net realized gain (loss) on investments and foreign currency transactions (67,015,644) 13,587,731 2,999,444 527,051 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (145,819) (22,990,394) 27,107,932 12,139,542 ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (65,305,158) (8,315,890) 31,138,649 12,920,848 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA (812,364) -- (7,678) (154,683) Class IB (279,742) -- (3,388) (58,487) From net realized short term gain on investments Class IA (7,116,312) (1,000,453) (314,807) -- Class IB (3,224,391) (236,392) (138,904) -- From net realized long term gain on investments Class IA (3,086,985) (168,616) (199,633) -- Class IB (1,398,709) (39,841) (88,086) -- Increase (decrease) from capital share transactions (Note 4) 87,141,138 160,849,156 241,864,912 58,679,596 ............................................................................................................................... Total increase (decrease) in net assets 5,917,477 151,087,964 272,251,065 71,387,274 ............................................................................................................................... Net assets: Beginning of period 311,413,332 160,325,368 90,068,917 18,681,643 ............................................................................................................................... End of period $317,330,809 $311,413,332 $362,319,982 $90,068,917 ............................................................................................................................... Undistributed net investment income (loss), end of period $ 1,840,459 $ 1,086,773 $ 1,022,005 $ 8,683 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Technology Fun Utilities Growth and Income Fund Year ended Period ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000*** 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ (342,713) $ (155,031) $ 20,352,039 $ 27,418,451 Net realized gain (loss) on investments and foreign currency transactions (21,260,179) (6,403,259) (41,568,311) 46,157,351 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 6,904,449 (6,996,987) (193,423,512) 79,364,490 ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (14,698,443) (13,555,277) (214,639,784) 152,940,292 ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- -- (25,672,355) (29,564,191) Class IB -- -- (1,557,252) (529,611) From net realized short term gain on investments Class IA -- -- -- (13,358,260) Class IB -- -- -- (242,698) From net realized long term gain on investments Class IA -- -- (43,433,745) (38,832,150) Class IB -- -- (2,699,025) (705,522) Increase (decrease) from capital share transactions (Note 4) 16,441,190 41,771,610 (27,437,500) (20,004,723) ............................................................................................................................... Total increase (decrease) in net assets 1,742,747 28,216,333 (315,439,661) 49,703,137 ............................................................................................................................... Net assets: Beginning of period 29,216,333 1,000,000 1,006,620,952 956,917,815 ............................................................................................................................... End of period $30,959,080 $29,216,333 $ 691,181,291 $1,006,620,952 ............................................................................................................................... Undistributed net investment income (loss), end of period $ -- $ -- $ 20,227,168 $ 27,203,868 - ------------------------------------------------------------------------------------------------------------------------------- ***From June 14, 2000 (commencement of operations) to December 31, 2000. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Putnam VT Vista Fund Voyager Fund Year ended Year ended Year ended Year ended December 31 December 31 December 31 December 31 2001 2000 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $ (2,014,475) $ (2,308,078) $ 36,455,059 $ 5,987,169 Net realized gain (loss) on investments and foreign currency transactions (371,461,553) 87,294,345 (610,106,376) 1,366,975,998 Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies (108,149) (196,346,819) (1,127,933,524) (2,923,578,526) ............................................................................................................................... Net increase (decrease) in net assets resulting from operations (373,584,177) (111,360,552) (1,701,584,841) (1,550,615,359) ............................................................................................................................... Distributions to shareholders (Note 1): From net investment income Class IA -- -- (6,702,488) (2,774,979) Class IB -- -- -- (14,629) From net realized short term gain on investments Class IA -- (7,580,009) (71,730,881) (268,339,667) Class IB -- (1,004,929) (5,471,474) (7,072,956) From net realized long term gain on investments Class IA (65,476,025) -- (1,296,574,895) (909,080,400) Class IB (31,558,082) -- (98,899,881) (23,961,743) From return of capital Class IA (31,184) -- -- -- Class IB (15,030) -- -- -- Increase (decrease) from capital share transactions (Note 4) 143,110,436 604,522,682 636,084,907 1,287,046,817 ............................................................................................................................... Total increase (decrease) in net assets (327,554,062) 484,577,192 (2,544,879,553) (1,474,812,916) ............................................................................................................................... Net assets: Beginning of period 1,064,573,889 579,996,697 7,811,273,171 9,286,086,087 ............................................................................................................................... End of period $ 737,019,827 $1,064,573,889 $5,266,393,618 $7,811,273,171 ............................................................................................................................... Undistributed net investment income (loss), end of period $ -- $ -- $ 36,213,451 $ 6,466,128 - ------------------------------------------------------------------------------------------------------------------------------- THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Statement of Changes in Net Assets (continued) - ---------------------------------------------------------------------------------------------- Putnam VT Voyager Fund II Year ended Period ended December 31 December 31 2001 2000** - ---------------------------------------------------------------------------------------------- Increase (decrease) in net assets Operations: Net investment income (loss) $(149,736) $(24,092) Net realized gain (loss) on investments and foreign currency transactions (5,024,830) (362,088) Net unrealized appreciation (depreciation) of investments and assets and liabilities in foreign currencies 2,033,703 (754,698) ............................................................................................... Net increase (decrease) in net assets resulting from operations (3,140,863) (1,140,878) ............................................................................................... Increase (decrease) from capital share transactions (Note 4) 18,848,377 3,235,866 ............................................................................................... Total increase (decrease) in net assets 15,707,514 2,094,988 ............................................................................................... Net assets: Beginning of period (Note 5) 5,094,988 3,000,000 ............................................................................................... End of period $20,802,502 $5,094,988 ............................................................................................... Undistributed net investment income (loss), end of period $ -- $ -- - ---------------------------------------------------------------------------------------------- **From September 29, 2000 (commencement of operations) to December 31, 2000. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income (Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $10.88 $.48(a)(b) $.26 $.74 December 31, 2000******* 10.00 .59(a)(b) .62 1.21 - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $9.31 $.03(a) $(1.96) $(1.93) December 31, 2000 17.29 (.01)(a) (7.41) (7.42) December 31, 1999 8.33 (.01)(a) 8.97 8.96 December 31, 1998 9.20 .08(a) (.56) (.48) December 31, 1997 11.01 .07 (1.66) (1.59) - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $9.06 $.01(a) $(1.25) $(1.24) December 31, 2000********* 10.00 (.07)(a) (.87) (.94) - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $9.15 $.78(a) $(.44) $.34 December 31, 2000 9.92 .80(a) (.78) .02 December 31, 1999 10.49 .80(a) (.63) .17 December 31, 1998 11.31 .86(a) (.99) (.13) December 31, 1997 11.27 .82(a) (.05) .77 - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $10.96 $.31(a) $(.24) $.07 December 31, 2000 9.98 .19(a) .79 .98 December 31, 1999 10.28 .32(a) (.36) (.04) December 31, 1998**** 10.00 .18(a)(b) .19 .37 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $16.66 $.36(a) $(1.78) $(1.42) December 31, 2000 19.60 .48(a) (1.32) (.84) December 31, 1999 18.94 .41(a) 1.69 2.10 December 31, 1998 18.76 .46(a) 2.00 2.46 December 31, 1997 17.25 .50 2.63 3.13 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $18.10 $.02(a) $(5.17) $(5.15) December 31, 2000 30.49 (.08)(a) (7.36) (7.44) December 31, 1999 20.28 (.02)(a) 12.09 12.07 December 31, 1998 18.34 .05(a) 5.01 5.06 December 31, 1997 16.88 .13 2.18 2.31 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $25.85 $.35(a) $(1.94) $(1.59) December 31, 2000 26.80 .40(a) 1.49 1.89 December 31, 1999 28.77 .47(a) 0.01 .48 December 31, 1998 28.32 .44(a) 3.77 4.21 December 31, 1997 24.56 .48 5.07 5.55 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $7.80 $(.01)(a) $(2.48) $(2.49) December 31, 2000******* 10.00 (.02)(a) (2.18) (2.20) - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $14.61 $.01(a) $(2.86) $(2.85) December 31, 2000 10.50 .01(a) 4.10 4.11 December 31, 1999 10.94 .01(a) (.44) (.43) December 31, 1998**** 10.00 .01(a)(b) .94 .95 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $ -- $ --(e) $ -- $ -- December 31, 2000******* (.22) (.11) -- (.33) - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $ -- $(2.16) $ -- $(2.16) December 31, 2000 (.55) (.01) -- (.56) December 31, 1999 -- -- -- -- December 31, 1998 (.38) -- (.01) (.39) December 31, 1997 (.22) -- -- (.22) - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000********* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $(.68) $ -- $ -- $(.68) December 31, 2000 (.79) -- -- (.79) December 31, 1999 (.74) -- -- (.74) December 31, 1998 (.48) (.21) -- (.69) December 31, 1997 (.63) (.10) -- (.73) - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $(.30) $ -- $ -- $(.30) December 31, 2000 -- -- -- -- December 31, 1999 (.23) (.02) (.01) (.26) December 31, 1998**** (.09) -- -- (.09) - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $(.18) $(1.69) $ -- $(1.87) December 31, 2000 (.34) (1.76) -- (2.10) December 31, 1999 (.38) (1.06) -- (1.44) December 31, 1998 (.43) (1.85) -- (2.28) December 31, 1997 (.60) (1.02) -- (1.62) - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $ -- $(3.61) $ -- $(3.61) December 31, 2000 (.18) (4.77) -- (4.95) December 31, 1999 (.09) (1.77) -- (1.86) December 31, 1998 (.52) (2.60) -- (3.12) December 31, 1997 (.41) (.44) -- (.85) - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $(.41) $ (.29) $ -- $(.70) December 31, 2000 (.50) (2.34) -- (2.84) December 31, 1999 (.41) (2.04) -- (2.45) December 31, 1998 (.50) (3.26) -- (3.76) December 31, 1997 (.52) (1.27) -- (1.79) - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000******* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $(.01) $ -- $ -- $(.01) December 31, 2000 -- -- -- -- December 31, 1999 (.01) -- -- (.01) December 31, 1998**** (.01) -- --(e) (.01) - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $11.62 6.82 $ 136,461 December 31, 2000******* 10.88 12.11* 17,992 - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $5.22 (23.84) $62,755 December 31, 2000 9.31 (44.21) 105.373 December 31, 1999 17.29 107.56 250,986 December 31, 1998 8.33 (5.48) 90,667 December 31, 1997 9.20 (14.66) 112,902 - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $7.82 (13.69) $ 11,003 December 31, 2000********* 9.06 (9.40)* 2,258 - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $8.81 3.82 $ 491,673 December 31, 2000 9.15 0.19 537,743 December 31, 1999 9.92 1.66 623,737 December 31, 1998 10.49 (1.37) 669,053 December 31, 1997 11.31 7.38 608,148 - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $10.73 0.74 $ 387,517 December 31, 2000 10.96 9.82 305,564 December 31, 1999 9.98 (0.36) 276,553 December 31, 1998**** 10.28 3.69* 113,202 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $13.37 (8.42) $ 611,233 December 31, 2000 16.66 (4.87) 815,135 December 31, 1999 19.60 11.85 1,001,087 December 31, 1998 18.94 13.47 1,020,354 December 31, 1997 18.76 19.67 956,532 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $9.34 (29.66) $1,139,131 December 31, 2000 18.10 (29.64) 2,018,743 December 31, 1999 30.49 65.00 3,090,073 December 31, 1998 20.28 29.71 1,987,094 December 31, 1997 18.34 14.33 1,611,503 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $23.56 (6.16) $7,216,388 December 31, 2000 25.85 8.11 8,675,872 December 31, 1999 26.80 1.59 9,567,077 December 31, 1998 28.77 15.42 9,948,386 December 31, 1997 28.32 24.15 8,337,334 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $ 5.31 (31.92) $ 55,646 December 31, 2000******* 7.80 (22.00)* 77,022 - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $11.75 (19.53) $ 342,488 December 31, 2000 14.61 39.14 497,695 December 31, 1999 10.50 (3.93) 218,848 December 31, 1998**** 10.94 9.51* 134,436 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 .77(b) 4.23(b) 262.05(f) December 31, 2000******* .82(b)* 5.20(b)* 336.72* - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 1.13 .41 100.86 December 31, 2000 1.07 (.10) 149.46 December 31, 1999 1.13 (.09) 145.51 December 31, 1998 1.12 1.01 136.49 December 31, 1997 1.07 .70 102.92 - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 1.35 .13 101.98 December 31, 2000********* 1.18* (.72)* 89.87* - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 .79 8.83 139.13(f) December 31, 2000 .78 8.62 169.27 December 31, 1999 .78 7.86 117.02 December 31, 1998 .78 7.94 186.80 December 31, 1997 .80 7.43 282.56 - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 .76 2.92 334.64(f) December 31, 2000 .76 3.44 154.53 December 31, 1999 .83 3.04 173.41 December 31, 1998**** .57(b)* 1.84(b)* 99.85* - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 .84 2.54 187.96(f) December 31, 2000 .79 2.73 159.03 December 31, 1999 .77 2.22 149.82 December 31, 1998 .78 2.54 133.80 December 31, 1997 .77 3.01 181.05 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 .82 .20 186.11 December 31, 2000 .76 (.32) 170.41 December 31, 1999 .73 (.09) 154.88 December 31, 1998 .72 .26 164.56 December 31, 1997 .75 .77 158.37 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 .51 1.42 32.75 December 31, 2000 .50 1.63 55.04 December 31, 1999 .50 1.66 53.68 December 31, 1998 .50 1.59 63.62 December 31, 1997 .51 2.08 64.96 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 .85 (.19) 83.13 December 31, 2000******* .80* (.23)* 57.60* - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 .79 .09 53.20 December 31, 2000 .79 .06 49.10 December 31, 1999 .83 .14 82.45 December 31, 1998**** .61(b)* .14(b)* 39.68* - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $ 8.98 $ .91(a) $ (.55) $ .36 December 31, 2000 11.09 1.14(a) (1.97) (.83) December 31, 1999 11.70 1.13(a) (.48) .65 December 31, 1998 13.62 1.31(a) (1.98) (.67) December 31, 1997 12.96 1.06 .65 1.71 - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $12.61 $ .70(a) $ .21 $ .91 December 31, 2000 12.52 .84(a) .11 .95 December 31, 1999 13.73 .78(a) (1.05) (.27) December 31, 1998 13.42 .82(a) .24 1.06 December 31, 1997 13.21 .88 .18 1.06 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $17.72 $ .13(a) $(3.62) $(3.49) December 31, 2000 21.66 .31(a) (2.05) (1.74) December 31, 1999 13.52 .08(a) 8.06 8.14 December 31, 1998 11.43 .11(a) 2.03 2.14 December 31, 1997** 10.00 .05(b) 1.56 1.61 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $13.28 $ .13(a) $(2.80) $(2.67) December 31, 2000 15.25 .16(a) .05 .21 December 31, 1999 12.24 .21(a) 2.80 3.01 December 31, 1998 11.53 .23(a) 1.06 1.29 December 31, 1997** 10.00 .07 1.87 1.94 - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $13.71 $ .04(a) $(3.95) $(3.91) December 31, 2000 23.31 (.11)(a) (8.45) (8.56) December 31, 1999 11.49 (.05)(a) 11.88 11.83 December 31, 1998 9.96 (.04)(a)(b) 1.59 1.55 December 31, 1997** 10.00 .01(b) (.02) (.01) - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $12.36 $ .03(a) $(3.07) $(3.04) December 31, 2000 15.16 .01(a) (2.81) (2.80) December 31, 1999 11.65 .01(a) 3.50 3.51 December 31, 1998**** 10.00 .02(a)(b) 1.65 1.67 - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $ 1.00 $ .0392 $ -- $.0392 December 31, 2000 1.00 .0588 -- .0588 December 31, 1999 1.00 .0476 -- .0476 December 31, 1998 1.00 .0510 -- .0510 December 31, 1997 1.00 .0509 -- .0509 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $29.89 $(.04)(a) $(8.76) $(8.80) December 31, 2000 43.54 (.13)(a) (10.03) (10.16) December 31, 1999 26.06 (.08)(a) 17.93 17.85 December 31, 1998 21.23 (.04) 5.19 5.15 December 31, 1997 17.22 --(e) 4.01 4.01 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $(1.26) $ -- $ -- $ (1.26) December 31, 2000 (1.28) -- -- (1.28) December 31, 1999 (1.26) -- -- (1.26) December 31, 1998 (1.08) (.17) -- (1.25) December 31, 1997 (.94) (.11) -- (1.05) - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $ (.87) $ -- $ -- $ (.87) December 31, 2000 (.86) -- -- (.86) December 31, 1999 (.73) (.21) -- (.94) December 31, 1998 (.75) -- -- (.75) December 31, 1997 (.85) -- -- (.85) - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $ (.06) $(1.75) $ -- $(1.81) December 31, 2000 (.41) (1.79) -- (2.20) December 31, 1999 -- -- -- -- December 31, 1998 (.04) -- (.01) (.05) December 31, 1997** (.07) (.10) (.01) (.18) - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $ (.13) $ (.72) $ -- $ (.85) December 31, 2000 (.68) (1.50) -- (2.18) December 31, 1999 -- -- -- -- December 31, 1998 (.11) (.41) (.06) (.58) December 31, 1997** (.13) (.28) -- (.41) - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 (.01) (1.03) --(e) (1.04) December 31, 1999 (.01) -- -- (.01) December 31, 1998 (.02) -- -- (.02) December 31, 1997** (.03) -- -- (.03) - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $ (.01) $ -- $ -- $ (.01) December 31, 2000 -- -- -- -- December 31, 1999 -- -- -- -- December 31, 1998**** (.01) -- (.01) (.02) - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $ (.0392) $ -- $ -- $(.0392) December 31, 2000 (.0588) -- -- (.0588) December 31, 1999 (.0476) -- -- (.0476) December 31, 1998 (.0510) -- -- (.0510) December 31, 1997 (.0509) -- -- (.0509) - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $ -- $(4.42) $ --(e) $(4.42) December 31, 2000 -- (3.49) -- (3.49) December 31, 1999 -- (.37) -- (.37) December 31, 1998 -- (.32) -- (.32) December 31, 1997 -- -- -- -- - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $ 8.08 4.00 $ 647,505 December 31, 2000 8.98 (8.45) 709,534 December 31, 1999 11.09 5.92 964,590 December 31, 1998 11.70 (5.86) 1,032,892 December 31, 1997 13.62 14.34 1,025,298 - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $12.65 7.53 $ 879,911 December 31, 2000 12.61 8.01 806,452 December 31, 1999 12.52 (2.07) 935,800 December 31, 1998 13.73 8.25 1,000,161 December 31, 1997 13.42 8.64 789,540 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $12.42 (20.41) $ 521,192 December 31, 2000 17.72 (9.48) 696,527 December 31, 1999 21.66 60.21 627,368 December 31, 1998 13.52 18.69 317,602 December 31, 1997** 11.43 16.13 150,884 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $9.76 (20.67) $ 273,298 December 31, 2000 13.28 1.36 393,973 December 31, 1999 15.25 24.59 387,504 December 31, 1998 12.24 11.28 305,047 December 31, 1997** 11.53 19.43 206,598 - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $9.80 (28.52) $ 140,731 December 31, 2000 13.71 (38.56) 255,447 December 31, 1999 23.31 102.96 330,982 December 31, 1998 11.49 15.58 135,451 December 31, 1997** 9.96 (.10) 107,000 - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $9.31 (24.61) $ 597,312 December 31, 2000 12.36 (18.47) 905,213 December 31, 1999 15.16 30.13 867,151 December 31, 1998**** 11.65 16.66* 243,296 - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $ 1.00 3.99 $ 893,647 December 31, 2000 1.00 6.03 637,405 December 31, 1999 1.00 4.86 823,013 December 31, 1998 1.00 5.19 595,158 December 31, 1997 1.00 5.22 405,577 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $16.67 (29.99) $3,058,087 December 31, 2000 29.89 (26.09) 4,992,696 December 31, 1999 43.54 69.35 6,432,227 December 31, 1998 26.06 24.38 3,586,225 December 31, 1997 21.23 23.29 2,590,244 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 .76 10.99 81.97 December 31, 2000 .74 11.46 69.05 December 31, 1999 .72 10.18 52.96 December 31, 1998 .71 10.31 52.00 December 31, 1997 .72 9.26 84.61 - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 .68 5.60 250.79(f) December 31, 2000 .67 6.94 238.00 December 31, 1999 .67 6.07 220.90 December 31, 1998 .67 6.13 233.04 December 31, 1997 .69 6.58 194.29 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 .94 .93 69.81 December 31, 2000 .94 1.62 78.84 December 31, 1999 1.02 .51 107.38 December 31, 1998 1.07 .84 98.31 December 31, 1997** 1.20(b) .79(b) 75.18 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 .98 1.26 154.29 December 31, 2000 .97 1.15 82.02 December 31, 1999 .98 1.50 92.27 December 31, 1998 .99 1.86 62.61 December 31, 1997** 1.12 1.11 53.20 - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 1.24 .35 198.97 December 31, 2000 1.21 (.57) 189.71 December 31, 1999 1.41 (.36) 196.53 December 31, 1998 1.60(b) (.36)(b) 157.72 December 31, 1997** 1.60(b) .09(b) 131.89 - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 .66 .23 98.05 December 31, 2000 .65 .08 76.32 December 31, 1999 .71 .05 65.59 December 31, 1998**** .57(b)* .19(b)* 42.97* - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 .45 3.75 -- December 31, 2000 .50 5.87 -- December 31, 1999 .49 4.77 -- December 31, 1998 .53 5.04 -- December 31, 1997 .54 5.10 -- - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 .59 (.21) 72.16 December 31, 2000 .57 (.31) 53.64 December 31, 1999 .59 (.28) 71.14 December 31, 1998 .61 (.16) 59.75 December 31, 1997 .63 (.01) 71.78 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $13.52 $ .18(a) $ .28 $ .46 December 31, 2000 11.86 .21(a) 2.27 2.48 December 31, 1999 12.03 .18(a) (.14) .04 December 31, 1998 11.76 .16(a) .57 .73 December 31, 1997** 10.00 .18(a) 1.58 1.76 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $11.06 $(.05)(a) $ (4.99) $ (5.04) December 31, 2000 22.79 (.08)(a) (11.42) (11.50) December 31, 1999 10.09 (.08)(a)(b) 12.84 12.76 December 31, 1998**** 10.00 (.01)(a)(b) .10 .09 - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $14.32 $ .08(a) $ (2.73) $ (2.65) December 31, 2000 14.69 .07(a) (.34) (.27) December 31, 1999 11.93 .05(a)(b) 3.20 3.25 December 31, 1998***** 10.00 .02(a)(b) 1.93 1.95 - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $12.81 $ .08(a) $ 2.27 $ 2.35 December 31, 2000 10.31 .07(a) 2.47 2.54 December 31, 1999****** 10.00 (.02)(a) .37 .35 - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $ 6.98 $(.05)(a) $ (2.68) $ (2.73) December 31, 2000******** 10.00 (.07)(a) (2.95) (3.02) - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $18.13 $ .36(a) $ (4.17) $ (3.81) December 31, 2000 16.97 .49(a) 2.25 2.74 December 31, 1999 18.19 .52(a) (.72) (.20) December 31, 1998 17.14 .54(a) 1.90 2.44 December 31, 1997 14.80 .53 3.11 3.64 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $19.65 $(.02)(a) $ (6.47) $ (6.49) December 31, 2000 20.68 (.05)(a) (.73) (.78) December 31, 1999 14.72 (.05)(a) 7.64 7.59 December 31, 1998 12.32 (.02)(a) 2.42 2.40 December 31, 1997** 10.00 --(e) 2.32 2.32 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $48.82 $ .20(a) $(10.65) $(10.45) December 31, 2000 66.25 .04(a) (8.96) (8.92) December 31, 1999 45.85 .03(a) 24.59 24.62 December 31, 1998 39.08 .05(a) 9.26 9.31 December 31, 1997 32.53 .10 8.01 8.11 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $ 7.18 $(.06)(a) $ (2.14) $(2.20) December 31, 2000********* 10.00 (.05)(a) (2.77) (2.82) - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $(.14) $ (.37) $ -- $ (.51) December 31, 2000 (.18) (.64) -- (.82) December 31, 1999 --(e) (.21) -- (.21) December 31, 1998 (.23) (.23) -- (.46) December 31, 1997** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 -- (.23) --(e) (.23) December 31, 1999 -- (.06) -- (.06) December 31, 1998**** -- -- --(e) -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $(.05) $ (.63) $ -- $ (.68) December 31, 2000 -- (.10) -- (.10) December 31, 1999 (.03) (.46) -- (.49) December 31, 1998***** (.01) (.01) -- (.02) - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $ --(e) $ (.07) $ -- $ (.07) December 31, 2000 (.04) -- -- (.04) December 31, 1999****** -- (.03) (.01) (.04) - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $ -- $ -- $ -- $-- December 31, 2000******** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $(.50) $ (.85) $ -- $(1.35) December 31, 2000 (.57) (1.01) -- (1.58) December 31, 1999 (.50) (.52) -- (1.02) December 31, 1998 (.51) (.88) -- (1.39) December 31, 1997 (.55) (.75) -- (1.30) - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $ -- $(1.76) $ --(e) $(1.76) December 31, 2000 -- (.25) -- (.25) December 31, 1999 -- (1.63) -- (1.63) December 31, 1998 -- -- -- -- December 31, 1997** --(e) -- --(e) -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $(.05) $(9.60) $ -- $(9.65) December 31, 2000 (.02) (8.49) -- (8.51) December 31, 1999 (.05) (4.17) -- (4.22) December 31, 1998 (.10) (2.44) -- (2.54) December 31, 1997 (.07) (1.49) -- (1.56) - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $ -- $-- $ -- $ -- December 31, 2000********* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $13.47 3.53 $ 455,975 December 31, 2000 $13.52 22.59 302,930 December 31, 1999 11.86 .27 249,092 December 31, 1998 12.03 6.26 255,754 December 31, 1997** 11.76 17.60 195,391 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $ 6.02 (45.57) $ 107,050 December 31, 2000 11.06 (51.03) 217,797 December 31, 1999 22.79 126.52 207,003 December 31, 1998**** 10.09 .94* 28,059 - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $10.99 (18.62) $ 197,443 December 31, 2000 14.32 (1.84) 222,579 December 31, 1999 14.69 27.58 134,115 December 31, 1998***** 11.93 19.51* 22,626 - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $15.09 18.42 $ 231,329 December 31, 2000 12.81 24.62 59,483 December 31, 1999****** 10.31 3.47* 12,298 - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $ 4.25 (39.11) $ 15,526 December 31, 2000******** 6.98 (30.20)* 16,743 - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $12.97 (22.11) $ 631,897 December 31, 2000 18.13 17.61 958,078 December 31, 1999 16.97 (.66) 945,581 December 31, 1998 18.19 14.92 1,015,327 December 31, 1997 17.14 27.10 822,257 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $11.40 (33.34) $ 443,879 December 31, 2000 19.65 (3.98) 767,550 December 31, 1999 20.68 52.90 542,491 December 31, 1998 14.72 19.48 311,612 December 31, 1997** 12.32 23.21 170,660 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $28.72 (22.24) $4,784,868 December 31, 2000 48.82 (16.41) 7,326,157 December 31, 1999 66.25 58.22 9,130,197 December 31, 1998 45.85 24.36 5,803,073 December 31, 1997 39.08 26.51 4,538,535 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $ 4.98 (30.64) $ 7,558 December 31, 2000********* 7.18 (28.20)* 3,174 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IA Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 .79 1.32 74.80 December 31, 2000 .79 1.75 83.62 December 31, 1999 .80 1.40 98.21 December 31, 1998 .81 1.34 130.96 December 31, 1997** .85 1.59 64.15 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 .85 (.63) 116.66 December 31, 2000 .81 (.42) 88.63 December 31, 1999 .90(b) (.55)(b) 127.98 December 31, 1998**** .60(b)* (.16)(b)* 59.93* - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 .74 .67 146.42 December 31, 2000 .78 .47 161.52 December 31, 1999 .85(b) .34(b) 169.16 December 31, 1998***** .22(b)* .19(b)* 19.76* - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 .94 .56 36.65 December 31, 2000 1.10 .59 34.05 December 31, 1999****** 1.29* (.24)* 48.24* - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 1.45 (1.12) 280.37 December 31, 2000******** 1.04* (.78)* 150.70* - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 .73 2.45 93.13 December 31, 2000 .72 2.94 28.88 December 31, 1999 .71 3.02 26.16 December 31, 1998 .72 3.19 24.77 December 31, 1997 .74 3.63 42.46 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 .67 (.18) 112.81 December 31, 2000 .67 (.22) 104.60 December 31, 1999 .75 (.29) 133.32 December 31, 1998 .77 (.12) 116.48 December 31, 1997** .87 -- 75.43 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 .57 .61 105.03 December 31, 2000 .56 .07 92.54 December 31, 1999 .57 .05 85.13 December 31, 1998 .58 .14 62.99 December 31, 1997 .59 .30 82.00 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 1.62 (1.10) 109.55 December 31, 2000********* .85* (.67)* 28.20* - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $10.87 $ .47(a)(b) $ .25 $ .72 December 31, 2000******* 10.00 .54(a)(b) .66 1.20 - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $9.27 $ .01(a) $(1.94) $ (1.93) December 31, 2000 17.25 (.02)(a) (7.41) (7.43) December 31, 1999 8.33 (.08)(a) 9.00 8.92 December 31, 1998**** 8.57 (.01)(a) (.23) (.24) - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $9.06 $ (.01)(a) $(1.25) $(.1.26) December 31, 2000********* 10.00 (.05)(a) (.89) (.94) - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $9.11 $ .76(a) $ (.45) $ .31 December 31, 2000 9.90 .78(a) (.78) -- December 31, 1999 10.47 .78(a) (.62) .16 December 31, 1998*** 10.95 .62(a) (1.10) (.48) - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $10.94 $ .29(a) $ (.25) $.04 December 31, 2000 9.98 .18(a) .78 .96 December 31, 1999 10.28 .30(a) (.34) (.04) December 31, 1998**** 10.00 .17(a)(b) .20 .37 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $16.67 $ .32(a) $(1.77) $ (1.45) December 31, 2000 19.60 .45(a) (1.29) (.84) December 31, 1999 18.95 .39(a) 1.69 2.08 December 31, 1998**** 18.16 .33(a) .46 .79 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $18.02 $ --(a)(e) $(5.14) $ (5.14) December 31, 2000 30.41 (.10)(a) (7.34) (7.44) December 31, 1999 20.28 (.10)(a) 12.08 11.98 December 31, 1998**** 18.03 (.05)(a) 2.30 2.25 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $25.76 $ .29(a) $(1.93) $ (1.64) December 31, 2000 26.75 .36(a) 1.48 1.84 December 31, 1999 28.75 .41(a) .04 .45 December 31, 1998*** 28.02 .26(a) .47 .73 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $7.79 $ (.02)(a) $(2.48) $ (2.50) December 31, 2000******* 10.00 (.04)(a) (2.17) (2.21) - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $14.58 $ (.02)(a) $(2.86) $ (2.88) December 31, 2000 10.50 (.01)(a) 4.09 4.08 December 31, 1999 10.93 --(a) (.43) (.43) December 31, 1998**** 10.00 (.01)(a)(b) .95 .94 - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $8.97 $ .88(a) $ (.54) $ .34 December 31, 2000 11.08 1.13(a) (1.97) (.84) December 31, 1999 11.70 1.11(a) (.47) .64 December 31, 1998**** 12.99 .79(a) (2.08) (1.29) - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $12.58 $ .65(a) $ .23 $ .88 December 31, 2000 12.51 .81(a) .11 .92 December 31, 1999 13.73 .76(a) (1.04) (.28) December 31, 1998**** 12.88 .50(a) .35 .85 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $ -- $ --(e) $ -- $ -- December 31, 2000******* (.22) (.11) -- (.33) - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $ -- $(2.16) $ -- $(2.16) December 31, 2000 (.54) (.01) -- (.55) December 31, 1999 -- -- -- -- December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000********* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $ (.67) $ -- $ -- $ (.67) December 31, 2000 (.79) -- -- (.79) December 31, 1999 (.73) -- -- (.73) December 31, 1998*** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $ (.29) $ -- $ -- $ (.29) December 31, 2000 -- -- -- -- December 31, 1999 (.23) (.02) (.01) (.26) December 31, 1998**** (.09) -- -- (.09) - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $ (.16) $(1.69) $ -- $(1.85) December 31, 2000 (.33) (1.76) -- (2.09) December 31, 1999 (.37) (1.06) -- (1.43) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $ -- $(3.61) $ -- $(3.61) December 31, 2000 (.18) (4.77) -- (4.95) December 31, 1999 (.08) (1.77) -- (1.85) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $ (.39) $ (.29) $ -- $ (.68) December 31, 2000 (.49) (2.34) -- (2.83) December 31, 1999 (.41) (2.04) -- (2.45) December 31, 1998*** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000******* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 -- -- -- -- December 31, 1999 --(e) -- -- --(e) December 31, 1998**** (.01) -- --(e) (.01) - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $(1.25) $ -- $ -- $(1.25) December 31, 2000 (1.27) -- -- (1.27) December 31, 1999 (1.26) -- -- (1.26) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $(.86) $ -- $ -- $ (.86) December 31, 2000 (.85) -- -- (.85) December 31, 1999 (.73) (.21) -- (.94) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 $11.59 6.64 $ 73,366 December 31, 2000******* 10.87 11.98* 7,690 - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 $ 5.18 (24.00) $ 4,318 December 31, 2000 9.27 (44.34) 6,919 December 31, 1999 17.25 107.08 6,866 December 31, 1998**** 8.33 (2.80)* 111 - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 $ 7.80 (13.91) $ 9,784 December 31, 2000********* 9.06 (9.40)* 989 - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 $ 8.75 3.51 $ 92,828 December 31, 2000 9.11 (0.07) 68,832 December 31, 1999 9.90 1.65 23,182 December 31, 1998*** 10.47 (4.38)* 1,963 - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 $10.69 0.46 $156,821 December 31, 2000 10.94 9.62 94,236 December 31, 1999 9.98 (.41) 38,566 December 31, 1998**** 10.28 3.69* 1,924 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 $13.37 (8.58) $ 24,735 December 31, 2000 16.67 (4.87) 18,984 December 31, 1999 19.60 11.76 6,617 December 31, 1998**** 18.95 4.35* 1,319 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 $ 9.27 (29.76) $ 92,817 December 31, 2000 18.02 (29.75) 103,129 December 31, 1999 30.41 64.56 28,909 December 31, 1998**** 20.28 12.48* 823 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 $23.44 (6.39) $709,842 December 31, 2000 25.76 7.92 513,216 December 31, 1999 26.75 1.47 162,112 December 31, 1998*** 28.75 2.61* 7,583 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 $ 5.29 (32.09) $ 44,521 December 31, 2000******* 7.79 (22.10)* 41,072 - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 $11.70 (19.75) $128,067 December 31, 2000 14.58 38.86 107,991 December 31, 1999 10.50 (3.90) 20,162 December 31, 1998**** 10.93 9.40* 2,129 - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 $ 8.06 3.78 $ 64,972 December 31, 2000 8.97 (8.51) 38,039 December 31, 1999 11.08 5.81 17,646 December 31, 1998**** 11.70 (9.93)* 1,840 - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 $12.60 7.30 $144,380 December 31, 2000 12.58 7.79 55,669 December 31, 1999 12.51 (2.16) 18,116 December 31, 1998**** 13.73 6.60* 2,288 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT American Government Income Fund December 31, 2001 .99(b) 4.12(b) 262.05(f) December 31, 2000******* .95(b)* 5.21(b)* 336.72* - ------------------------------------------------------------------------------------------------------------ Putnam VT Asia Pacific Growth Fund December 31, 2001 1.35 .21 100.86 December 31, 2000 1.22 (.19) 149.46 December 31, 1999 1.28 (.64) 145.51 December 31, 1998**** .85* (.10)* 136.49 - ------------------------------------------------------------------------------------------------------------ Putnam VT Capital Appreciation Fund December 31, 2001 1.57 (.13) 101.98 December 31, 2000********* 1.22* (.66)* 89.87* - ------------------------------------------------------------------------------------------------------------ Putnam VT Diversified Income Fund December 31, 2001 1.01 8.58 139.13(f) December 31, 2000 .93 8.45 169.27 December 31, 1999 .93 7.67 117.02 December 31, 1998*** .69* 5.74* 186.80 - ------------------------------------------------------------------------------------------------------------ Putnam VT The George Putnam Fund of Boston December 31, 2001 .98 2.69 334.64(f) December 31, 2000 .91 3.27 154.53 December 31, 1999 .98 3.00 173.41 December 31, 1998**** .67(b)* 1.74(b)* 99.85* - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Asset Allocation Fund December 31, 2001 1.06 2.29 187.96(f) December 31, 2000 .94 2.60 159.03 December 31, 1999 .92 2.15 149.82 December 31, 1998**** .63* 1.82* 133.80 - ------------------------------------------------------------------------------------------------------------ Putnam VT Global Growth Fund December 31, 2001 1.04 (.02) 186.11 December 31, 2000 .91 (.43) 170.41 December 31, 1999 .88 (.43) 154.88 December 31, 1998**** .59* (.34)* 164.56 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth and Income Fund December 31, 2001 .73 1.22 32.75 December 31, 2000 .65 1.47 55.04 December 31, 1999 .65 1.55 53.68 December 31, 1998*** .49* 1.20* 63.62 - ------------------------------------------------------------------------------------------------------------ Putnam VT Growth Opportunities Fund December 31, 2001 1.07 (.39) 83.13 December 31, 2000******* .94* (.39)* 57.60* - ------------------------------------------------------------------------------------------------------------ Putnam VT Health Sciences Fund December 31, 2001 1.01 (.13) 53.20 December 31, 2000 .94 (.10) 49.10 December 31, 1999 .98 (.01) 82.45 December 31, 1998**** .71(b)* (.11)(b)* 39.68* - ------------------------------------------------------------------------------------------------------------ Putnam VT High Yield Fund December 31, 2001 .98 10.71 81.97 December 31, 2000 .89 11.61 69.05 December 31, 1999 .87 10.01 52.96 December 31, 1998**** .58* 7.63* 52.00 - ------------------------------------------------------------------------------------------------------------ Putnam VT Income Fund December 31, 2001 .90 5.26 250.79(f) December 31, 2000 .82 6.74 238.00 December 31, 1999 .82 6.14 220.90 December 31, 1998**** .56* 4.03* 233.04 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $17.67 $ .09(a) $ (3.61) $ (3.52) December 31, 2000 21.63 .21(a) (1.97) (1.76) December 31, 1999 13.51 .05(a) 8.07 8.12 December 31, 1998**** 13.44 (.04)(a) .15 .11 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $13.25 $ .11(a) $ (2.79) $ (2.68) December 31, 2000 15.22 .13(a) .08 .21 December 31, 1999 12.24 .15(a) 2.83 2.98 December 31, 1998*** 13.36 (.01)(a) (.57) (.58) - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $13.67 $ .02(a) $ (3.94) $ (3.92) December 31, 2000 23.28 (.13)(a) (8.44) (8.57) December 31, 1999 11.48 (.16)(a) 11.96 11.80 December 31, 1998**** 11.39 (.05)(a)(b) .14 .09 - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $12.31 $ .01(a) $ (3.06) $ (3.05) December 31, 2000 15.13 (.01)(a) (2.81) (2.82) December 31, 1999 11.64 (.01)(a) 3.50 3.49 December 31, 1998**** 10.00 .01(a)(b) 1.64 1.65 - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $1.00 $ .0370 $ -- $ .0370 December 31, 2000 1.00 .0566 -- .0566 December 31, 1999 1.00 .0460 -- .0460 December 31, 1998**** 1.00 .0338(a) -- .0338 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $29.77 $(.08)(a) $ (8.72) $ (8.80) December 31, 2000 43.44 (.18)(a) (10.00) (10.18) December 31, 1999 26.04 (.15)(a) 17.92 17.77 December 31, 1998**** 23.94 (.05)(a) 2.15 2.10 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $13.49 $ .14(a) $ .29 $ .43 December 31, 2000 11.85 .20(a) 2.26 2.46 December 31, 1999 12.02 .17(a) (.13) .04 December 31, 1998**** 11.91 .13(a) .13 .26 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $11.03 $(.06)(a) $ (4.98) $ (5.04) December 31, 2000 22.76 (.10)(a) (11.40) (11.50) December 31, 1999 10.08 (.10)(a)(b) 12.84 12.74 December 31, 1998**** 10.00 (.03)(a)(b) .11 .08 - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $14.28 $ .05(a) $ (2.72) $ (2.67) December 31, 2000 14.67 .05(a) (.34) (.29) December 31, 1999 11.90 .02(a)(b) 3.23 3.25 December 31, 1998***** 10.00 .02(a)(b) 1.90 1.92 - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $12.79 $ .04(a) $ 2.27 $ 2.31 December 31, 2000 10.30 .05(a) 2.47 2.52 December 31, 1999****** 10.00 (.03)(a) .37 .34 - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $6.97 $(.06)(a) $ (2.67) $ (2.73) December 31, 2000******** 10.00 (.07)(a) (2.96) (3.03) - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $(.04) $(1.75) $ -- $ (1.79) December 31, 2000 (.41) (1.79) -- (2.20) December 31, 1999 -- -- -- -- December 31, 1998**** (.03) -- (.01) (.04) - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $(.12) $ (.72) $ -- $ (.84) December 31, 2000 (.68) (1.50) -- (2.18) December 31, 1999 -- -- -- -- December 31, 1998*** (.11) (.37) (.06) (.54) - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 (.01) (1.03) --(e) (1.04) December 31, 1999 --(e) -- -- --(e) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 -- -- -- -- December 31, 1999 -- -- -- -- December 31, 1998**** (.01) -- --(e) (.01) - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $(.0370) $ -- $ -- $(.0370) December 31, 2000 (.0566) -- -- (.0566) December 31, 1999 (.0460) -- -- (.0460) December 31, 1998**** (.0338) -- -- (.0338) - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $ -- $(4.42) $ --(e) $ (4.42) December 31, 2000 -- (3.49) -- (3.49) December 31, 1999 -- (.37) -- (.37) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $(.13) $ (.37) $ -- $ (.50) December 31, 2000 (.18) (.64) -- (.82) December 31, 1999 -- (.21) -- (.21) December 31, 1998**** (.13) (.02) -- (.15) - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000 -- (.23) --(e) (.23) December 31, 1999 -- (.06) -- (.06) December 31, 1998**** -- -- --(e) -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $(.04) $ (.63) $ -- $ (.67) December 31, 2000 -- (.10) -- (.10) December 31, 1999 (.02) (.46) -- (.48) December 31, 1998***** (.01) (.01) -- (.02) - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $ --(e) $ (.07) $ -- $ (.07) December 31, 2000 (.03) -- -- (.03) December 31, 1999****** -- (.03) (.01) (.04) - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000******** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 $12.36 (20.61) $252,647 December 31, 2000 17.67 (9.61) 197,754 December 31, 1999 21.63 60.10 40,448 December 31, 1998**** 13.51 .81* 1,234 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 $ 9.73 (20.81) $ 41,771 December 31, 2000 13.25 1.33 36,934 December 31, 1999 15.22 24.35 10,652 December 31, 1998*** 12.24 (4.24)* 926 - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 $ 9.75 (28.68) $159,227 December 31, 2000 13.67 (38.67) 184,660 December 31, 1999 23.28 102.80 33,554 December 31, 1998**** 11.48 .79* 85 - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 $ 9.26 (24.78) $261,025 December 31, 2000 12.31 (18.64) 279,598 December 31, 1999 15.13 29.98 101,795 December 31, 1998**** 11.64 16.54* 2,619 - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 $ 1.00 3.76 $154,176 December 31, 2000 1.00 5.82 101,820 December 31, 1999 1.00 4.66 41,516 December 31, 1998**** 1.00 3.42* 13,188 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 $16.55 (30.14) $200,041 December 31, 2000 29.77 (26.20) 231,779 December 31, 1999 43.44 69.10 62,977 December 31, 1998**** 26.04 8.77* 1,359 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 $13.42 3.32 $ 88,543 December 31, 2000 13.49 22.37 30,806 December 31, 1999 11.85 .26 9,541 December 31, 1998**** 12.02 2.28* 414 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 $ 5.99 (45.69) $ 55,209 December 31, 2000 11.03 (51.09) 74,367 December 31, 1999 22.76 126.45 24,432 December 31, 1998**** 10.08 .82* 541 - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 $10.94 (18.83) $119,888 December 31, 2000 14.28 (1.98) 88,834 December 31, 1999 14.67 27.69 26,210 December 31, 1998***** 11.90 19.19* 255 - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 $15.03 18.13 $130,991 December 31, 2000 12.79 24.44 30,586 December 31, 1999****** 10.30 3.37* 6,384 - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 $ 4.24 (39.17) $ 15,433 December 31, 2000******** 6.97 (30.30)* 12,473 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth Fund December 31, 2001 1.16 .66 69.81 December 31, 2000 1.09 1.13 78.84 December 31, 1999 1.17 .31 107.38 December 31, 1998**** .83* (.29)* 98.31 - ------------------------------------------------------------------------------------------------------------ Putnam VT International Growth and Income Fund December 31, 2001 1.20 1.02 154.29 December 31, 2000 1.12 .97 82.02 December 31, 1999 1.13 1.08 92.27 December 31, 1998*** .84* (.07)* 62.61 - ------------------------------------------------------------------------------------------------------------ Putnam VT International New Opportunities Fund December 31, 2001 1.46 .14 198.97 December 31, 2000 1.36 (.74) 189.71 December 31, 1999 1.56 (.97) 196.53 December 31, 1998**** 1.18(b)* (.44)(b)* 157.72 - ------------------------------------------------------------------------------------------------------------ Putnam VT Investors Fund December 31, 2001 .88 .02 98.05 December 31, 2000 .80 (.06) 76.32 December 31, 1999 .86 (.11) 65.59 December 31, 1998**** .67(b)* .03(b)* 42.97* - ------------------------------------------------------------------------------------------------------------ Putnam VT Money Market Fund December 31, 2001 .67 3.51 -- December 31, 2000 .65 5.81 -- December 31, 1999 .64 4.61 -- December 31, 1998**** .46* 3.18* -- - ------------------------------------------------------------------------------------------------------------ Putnam VT New Opportunities Fund December 31, 2001 .81 (.43) 72.16 December 31, 2000 .72 (.45) 53.64 December 31, 1999 .74 (.47) 71.14 December 31, 1998**** .51* (.25)* 59.75 - ------------------------------------------------------------------------------------------------------------ Putnam VT New Value Fund December 31, 2001 1.01 1.10 74.80 December 31, 2000 .94 1.65 83.62 December 31, 1999 .95 1.43 98.21 December 31, 1998**** .65* 1.26* 130.96 - ------------------------------------------------------------------------------------------------------------ Putnam VT OTC & Emerging Growth Fund December 31, 2001 1.07 (.86) 116.66 December 31, 2000 .96 (.59) 88.63 December 31, 1999 1.05(b) (.68)(b) 127.98 December 31, 1998**** .71(b)* (.42)(b)* 59.93* - ------------------------------------------------------------------------------------------------------------ Putnam VT Research Fund December 31, 2001 .96 .46 146.42 December 31, 2000 .93 .35 161.52 December 31, 1999 1.00(b) .13(b) 169.16 December 31, 1998***** .25(b)* .15(b)* 19.76* - ------------------------------------------------------------------------------------------------------------ Putnam VT Small Cap Value Fund December 31, 2001 1.16 .33 36.65 December 31, 2000 1.25 .44 34.05 December 31, 1999****** 1.39* (.31)* 48.24* - ------------------------------------------------------------------------------------------------------------ Putnam VT Technology Fund December 31, 2001 1.67 (1.34) 280.37 December 31, 2000******** 1.12* (.89)* 150.70* - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Investment Operations Net Net Realized and Asset Unrealized Value, Net Gain(Loss) Total from Beginning Investment on Investment Period ended of Period Income(Loss) Investments Operations - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $18.09 $ .33(a) $ (4.16) $ (3.83) December 31, 2000 16.95 .45(a) 2.26 2.71 December 31, 1999 18.19 .47(a) (.69) (.22) December 31, 1998**** 16.19 .29(a) 1.71 2.00 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $19.60 $(.05)(a) $ (6.45) $ (6.50) December 31, 2000 20.65 (.08)(a) (.72) (.80) December 31, 1999 14.73 (.07)(a) 7.62 7.55 December 31, 1998**** 13.76 (.02)(a) .99 .97 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $48.64 $ .13(a) $(10.61) $(10.48) December 31, 2000 66.11 .01(a) (8.99) (8.98) December 31, 1999 45.81 (.10)(a) 24.62 24.52 December 31, 1998**** 41.55 (.01)(a) 4.27 4.26 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $7.18 $(.07)(a) $ (2.14) $ (2.21) December 31, 2000********* 10.00 (.07)(a) (2.75) (2.82) - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Less Distributions: From From Net Net Realized From Investment Gain on Return Total Period ended Income Investments of Capital Distributions - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $(.49) $ (.85) $ -- $(1.34) December 31, 2000 (.56) (1.01) -- (1.57) December 31, 1999 (.50) (.52) -- (1.02) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $ -- $(1.76) $ --(e) $(1.76) December 31, 2000 -- (.25) -- (.25) December 31, 1999 -- (1.63) -- (1.63) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $ -- $(9.60) $ -- $(9.60) December 31, 2000 --(e) (8.49) -- (8.49) December 31, 1999 (.05) (4.17) -- (4.22) December 31, 1998**** -- -- -- -- - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $ -- $ -- $ -- $ -- December 31, 2000********* -- -- -- -- - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Total Investment Net Asset Return at Net Assets, Value Net Asset End of Period Period ended End of Period Value(%)(c) (in thousands) - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 $12.92 (22.28) $ 59,284 December 31, 2000 18.09 17.45 48,543 December 31, 1999 16.95 (0.79) 11,337 December 31, 1998**** 18.19 12.35* 1,799 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 $11.34 (33.50) $293,140 December 31, 2000 19.60 (4.09) 297.024 December 31, 1999 20.65 52.59 37,506 December 31, 1998**** 14.73 7.05* 851 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 $28.56 (22.41) $481,526 December 31, 2000 48.64 (16.54) 485,116 December 31, 1999 66.11 58.01 155,889 December 31, 1998**** 45.81 10.25* 4,332 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 $ 4.97 (30.78) $ 13,245 December 31, 2000********* 7.18 (28.20)* 1,921 - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Financial Highlights CLASS IB Ratio of Net Ratio of Investment Expenses Income(Loss) to Average Net to Average Portfolio Period ended Assets(%)(d) Net Assets(%) Turnover(%) - ------------------------------------------------------------------------------------------------------------ Putnam VT Utilities Growth and Income Fund December 31, 2001 .95 2.23 93.13 December 31, 2000 .87 2.68 28.88 December 31, 1999 .86 2.77 26.16 December 31, 1998**** .59* 1.98* 24.77 - ------------------------------------------------------------------------------------------------------------ Putnam VT Vista Fund December 31, 2001 .89 (.39) 112.81 December 31, 2000 .82 (.36) 104.60 December 31, 1999 .90 (.42) 133.32 December 31, 1998**** .62* (.18)* 116.48 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund December 31, 2001 .79 .39 105.03 December 31, 2000 .71 .02 92.54 December 31, 1999 .72 (.21) 85.13 December 31, 1998**** .49* (.04)* 62.99 - ------------------------------------------------------------------------------------------------------------ Putnam VT Voyager Fund II December 31, 2001 1.84 (1.34) 109.55 December 31, 2000********* .89* (.67)* 28.20* - ------------------------------------------------------------------------------------------------------------ See page 206 for Notes to Financial Highlights.
PUTNAM VARIABLE TRUST Notes to Financial Highlights * Not annualized. ** For the period January 2, 1997 (commencement of operations) to December 31, 1997. *** For the period April 6, 1998 (commencement of operations) to December 31, 1998. **** For the period April 30, 1998 (commencement of operations) to December 31, 1998. ***** For the period September 30, 1998 (commencement of operations) to December 31, 1998. ****** For the period April 30, 1999 (commencement of operations) to December 31, 1999. ******* For the period February 1, 2000 (commencement of operations) to December 31, 2000 ******** For the period June 14, 2000 (commencement of operations) to December 31, 2000. ********* For the period September 29, 2000 (commencement of operations) to December 31, 2000. (a) Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period. (b) Reflects an expense limitation in effect during the period. As a result of such limitation, the expenses of the following funds reflect a reduction of the following amounts based on average net assets.
12/31/01 12/31/00 12/31/99 12/31/98 12/31/97 -------- -------- -------- -------- -------- Putnam VT American Government Income Fund Class IA 0% 0.19% Putnam VT American Government Income Fund Class IB 0% 0.19% Putnam VT The George Putnam Fund of Boston Class IA 0.28% Putnam VT The George Putnam Fund of Boston Class IB 0.28% Putnam VT Health Sciences Fund Class IA 0.07% Putnam VT Health Sciences Fund Class IB 0.07% Putnam VT International Growth Fund Class IA 0.10% Putnam VT International New Opportunities Fund Class IA 0.02% 0.28% Putnam VT International New Opportunities Fund Class IB 0.02% Putnam VT Investors Fund Class IA 0.02% Putnam VT Investors Fund Class IB 0.02% Putnam VT OTC & Emerging Growth Fund Class IA 0.53% 0.71% Putnam VT OTC & Emerging Growth Fund Class IB 0.53% 0.71% Putnam VT Research Fund Class IA 0.54% 0.24% Putnam VT Research Fund Class IB 0.54% 0.24%
(c) Total return assumes dividend reinvestment. (d) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2). (e) Amount represents less than $0.01 per share. (f) Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy. PUTNAM VARIABLE TRUST Notes to Financial Statements December 31, 2001 NOTE 1 SIGNIFICANT ACCOUNTING POLICIES Putnam Variable Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as a diversified, open-end management investment company (except for Putnam VT Health Sciences Fund, Putnam VT Technology Fund and Putnam VT Utilities Growth and Income Fund, which are non-diversified) which consists of a series of investment portfolios (the "funds"), each of which is represented by a separate series of class IA shares and class IB shares of beneficial interest. The Trust currently offers the following twenty-seven funds: Putnam VT American Government Income Fund, Putnam VT Asia Pacific Growth Fund, Putnam VT Capital Appreciation Fund, Putnam VT Diversified Income Fund, Putnam VT The George Putnam Fund of Boston, Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam VT Growth Opportunities Fund, Putnam VT Health Sciences Fund, Putnam VT High Yield Fund, Putnam VT Income Fund, Putnam VT International Growth Fund, Putnam VT International Growth and Income Fund, Putnam VT International New Opportunities Fund, Putnam VT Investors Fund, Putnam VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT New Value Fund, Putnam VT OTC & Emerging Growth Fund, Putnam VT Research Fund, Putnam VT Small Cap Value Fund, Putnam VT Technology Fund, Putnam VT Utilities Growth and Income Fund, Putnam VT Vista Fund, Putnam VT Voyager Fund and Putnam VT Voyager Fund II. Class IA shares are offered at net asset value and are not subject to a distribution fee. Class IB shares are offered at net asset value and pay an ongoing distribution fee. Expenses of each fund are borne pro-rata by the holders of both classes of shares, except that each class bears expenses unique to that class (including the distribution fees applicable to such class). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. Shares of each class would receive their pro-rata share of the net assets of the fund if that fund were liquidated. In addition, the Trustees declare separate dividends on each class of shares. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. A) Security valuation For all funds other than Putnam VT Money Market Fund, investments for which market quotations are readily available are stated at market value, which is determined using the last reported sales price on its principal exchange, or if no sales are reported -- as in the case of some securities traded over-the-counter -- the last reported bid price. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are stated at amortized cost, which approximates market value. Other investments, including restricted securities, are stated at fair value following procedures approved by the Trustees. Market quotations are not considered to be readily available for certain debt obligations; such investments are stated at fair value on the basis of valuations furnished by a pricing service or dealers, approved by the Trustees, which determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and variable relationships between securities that are generally recognized by institutional traders. See sections F, G, H, I, J and K with respect to the valuation of forward currency contracts, futures and options contracts, swap contracts, and TBA purchase and sale commitments. The valuation of Putnam VT Money Market Fund's portfolio instruments is determined by means of the amortized cost method as set forth in Rule 2a-7 under the Investment Company Act of 1940. The amortized cost of an instrument is determined by valuing it at cost originally and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. B) Joint trading account Each fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Investment Management, LLC ("Putnam Management"), the Trust's manager, a wholly-owned subsidiary of Putnam Investments, LLC. These balances may be invested in one or more repurchase agreements and/or short-term money market instruments. C) Repurchase agreements The funds, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. D) Security transactions and related investment income Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis. Interest income is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date except that certain dividends from foreign securities are recorded as soon as the funds are informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the security received. For all funds other than Putnam VT Money Market Fund, all premiums/discounts are amortized/accreted on a yield to maturity basis. The premium in excess of the call price, if any, is amortized to the call date; thereafter, the remaining excess premium is amortized to maturity. For Putnam VT Money Market Fund, premiums and discounts from purchases of short-term investments are amortized/accreted at a constant rate until maturity. E) Foreign currency translation The accounting records of the Trust are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities are recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when accrued or incurred. The Trust does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies and the difference between the amount of investment income and foreign withholding taxes recorded on the fund's books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments. F) Forward currency contracts Each fund, except for Putnam VT Money Market Fund, may engage in forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date, to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short-term investments). The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is "marked-to-market" daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. G) Futures and options contracts Each fund, except for Putnam VT Money Market Fund, may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase. The same funds may also write options on securities it owns or in which it may invest to increase its current returns. The potential risk to each fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin." Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. H) Equity swap contracts Putnam VT Global Asset Allocation Fund, Putnam VT Global Growth Fund, Putnam VT Growth and Income Fund, Putnam VT International New Opportunities Fund and Putnam VT International Growth Fund, may engage in equity swap agreements, which are arrangements to exchange the return generated by one instrument for the return generated by another instrument. To manage its exposure to equity markets each fund may enter into equity swap agreements, which involve a commitment by one party to pay interest in exchange for a market-linked return based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty, respectively. Equity swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made at the end of the measurement period are recorded as realized gains or losses. Each fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. I) Interest rate swap contracts Putnam VT Diversified Income Fund, Putnam VT Global Asset Allocation Fund and Putnam VT High Yield Fund may engage in interest rate swap agreements, which are arrangements between two parties to exchange cash flows based on a notional principal amount. Each fund may enter into interest rate swap agreements to manage the funds' exposure to interest rates. Interest rate swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments made or received are included as part of interest income. Payments received or made upon early termination are recorded as realized gain or loss. Each fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or that the counterparty may default on its obligation to perform. J) TBA purchase commitments Each fund, except for Putnam VT Money Market Fund, may enter into "TBA" (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not fluctuate more than 0.01% from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund's other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, according to the procedures described under "Security valuation" above. Although a fund will generally enter into TBA purchase commitments with the intention of acquiring securities for their portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so. K) TBA sale commitments Each fund, except for Putnam VT Money Market Fund, may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction. Unsettled TBA sale commitments are valued at the current market value of the underlying securities, generally according to the procedures described under "Security valuation" above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. L) Security lending Each fund, except for Putnam VT American Government Income Fund, Putnam VT International Growth and Income Fund, and Putnam VT Money Market Fund, may lend securities, through its agent Citibank N.A., to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by Citibank N.A., the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At December 31, 2001, the value of securities loaned and the cash collateral received, which is pooled with collateral from other Putnam funds into 50 (except for Putnam VT Utilities Growth and Income Fund which invested in 51) issuers of high-grade short-term investments amounted to the following: Loaned Amount Cash Collateral - -------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund $1,028,374 $1,088,546 Putnam VT Capital Appreciation Fund 512,243 532,788 Putnam VT Diversified Income Fund 1,702 2,905 Putnam VT The George Putnam Fund of Boston 8,243,122 8,635,595 Putnam VT Global Asset Allocation Fund 12,374,255 13,085,636 Putnam VT Global Growth Fund 47,106,630 48,959,825 Putnam VT Growth and Income Fund 31,509,927 33,191,500 Putnam VT Growth Opportunities Fund 1,182,842 1,210,016 Putnam VT Health Sciences Fund 13,257,125 13,768,198 Putnam VT High Yield Fund 6,488 11,075 Putnam VT International Growth Fund 2,476,637 2,598,240 Putnam VT International New Opportunities Fund 9,474,947 9,968,112 Putnam VT Investors Fund 27,185,584 27,918,328 Putnam VT New Value Fund 9,094,163 9,959,540 Putnam VT Research Fund 2,148,365 2,203,420 Putnam VT Small Cap Value Fund 14,127,672 15,162,734 Putnam VT Technology Fund 411,501 428,259 Putnam VT Utilities Growth and Income Fund 26,712,764 27,684,257 Putnam VT Vista Fund 63,364,111 65,368,644 Putnam VT Voyager Fund 59,241,437 60,892,799 - -------------------------------------------------------------- M) Line of credit Each fund, except for Putnam VT Money Market Fund, has entered into a committed line of credit with certain banks. This line of credit agreement includes restrictions that the funds maintain an asset coverage ratio of at least 300% and borrowings must not exceed prospectus limitations. For the year ended December 31, 2001, the funds had no borrowings against the line of credit. N) Federal income taxes Each fund of the Trust is created as a separate entity for federal income tax purposes. It is the policy of each fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. It is also the intention of each fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Internal Revenue Code of 1986, as amended. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. At December 31, 2001, the following funds had capital loss carryovers, which will expire on the following dates: Loss Carryover Expiration Date - -------------------------------------------------------------- Putnam VT American Government Income Fund $222,000 December 31, 2009 Putnam VT Asia Pacific Growth Fund 31,983,000 December 31, 2009 Putnam VT Capital Appreciation Fund 78,000 December 31, 2008 1,722,000 December 31, 2009 Putnam VT Diversified Income Fund 16,535,000 December 31, 2006 29,254,000 December 31, 2007 17,509,000 December 31, 2008 35,410,000 December 31, 2009 Putnam VT The George Putnam Fund of Boston 7,088,000 December 31, 2008 Putnam VT Global Asset Allocation Fund 37,482,000 December 31, 2009 Putnam VT Global Growth Fund 766,368,000 December 31, 2009 Putnam VT Growth Opportunities Fund 9,529,000 December 31, 2008 61,617,000 December 31, 2009 Putnam VT Health Sciences Fund 1,006,000 December 31, 2006 15,598,000 December 31, 2007 13,938,000 December 31, 2009 Putnam VT High Yield Fund 16,523,000 December 31, 2006 60,940,000 December 31, 2007 69,811,000 December 31, 2008 88,127,000 December 31, 2009 Putnam VT Income Fund 11,074,000 December 31, 2007 27,780,000 December 31, 2008 Putnam VT International Growth Fund 86,447,000 December 31, 2009 Putnam VT International Growth and Income Fund 65,631,000 December 31, 2009 Loss Carryover Expiration Date - -------------------------------------------------------------- Putnam VT International New Opportunities Fund 72,898,000 December 31, 2008 135,535,000 December 31, 2009 Putnam VT Investors Fund 7,569,000 December 31, 2006 7,090,000 December 31, 2007 120,474,000 December 31, 2008 245,199,000 December 31, 2009 Putnam VT New Opportunities Fund 879,654,000 December 31, 2009 Putnam VT OTC & Emerging Growth Fund 131,657,000 December 31, 2008 207,253,000 December 31, 2009 Putnam VT Research Fund 62,410,000 December 31, 2009 Putnam VT Technology Fund 1,302,000 December 31, 2008 22,326,000 December 31, 2009 Putnam VT Utilities Growth and Income Fund 38,340,000 December 31, 2009 Putnam VT Vista Fund 363,129,000 December 31, 2009 Putnam VT Voyager Fund 539,960,000 December 31, 2009 Putnam VT Voyager Fund II 73,000 December 31, 2008 3,127,000 December 31, 2009 - -------------------------------------------------------------- These capital loss carryovers may be used to offset future capital gains, if any. O) Distributions to shareholders For Putnam VT Money Market Fund, income dividends are recorded daily by the fund and are paid monthly to shareholders. For all other funds, distributions to shareholders from net investment income are recorded by each fund on the ex-dividend date. Capital gain distributions, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. These differences include temporary and permanent differences of losses on wash sale transactions, foreign currency gains and losses, post-October loss deferrals, non-taxable dividends, defaulted bond interest, realized and unrealized gains and losses on certain futures contracts, paydown gains and losses on mortgage-backed securities, market discount, interest on payment-in-kind securities, realized and unrealized gains and losses on passive foreign investment companies, net operating loss, and income from swap contracts. Reclassifications are made to the fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. For the year ended December 31, 2001, the funds reclassified the following amounts:
Accumulated Undistributed Net Realized Net Gain/(Loss) on Investment Investment Paid-in- Income /(Loss) Transactions Capital - -------------------------------------------------------------------------------- Putnam VT American Government Income Fund $344,208 $(344,208) -- Putnam VT Asia Pacific Growth Fund 95,821 (95,821) -- Putnam VT Capital Appreciation Fund (605) 1,222 (617) Putnam VT Diversified Income Fund (3,102,957) 3,223,810 (120,853) Putnam VT The George Putnam Fund of Boston 261,113 (261,113) -- Putnam VT Global Asset Allocation Fund (3,980,351) 3,888,822 91,529 Putnam VT Global Growth Fund (112,238) 112,238 -- Putnam VT Growth and Income Fund (260,585) 260,585 -- Putnam VT Growth Opportunities Fund 283,763 -- (283,763) Putnam VT Health Sciences Fund (1,158) 1,158 -- Putnam VT High Yield Fund 6,877 (1,221,234) 1,214,357 Putnam VT Income Fund 1,368,186 (1,368,186) -- Putnam VT International Growth Fund 3,851,760 (3,851,760) -- Putnam VT International Growth and Income Fund 3,438,064 (3,438,064) -- Putnam VT International New Opportunities Fund 58,285 (58,285) -- Putnam VT Investors Fund -- -- -- Putnam VT New Opportunities Fund 8,758,169 -- (8,758,169) Putnam VT New Value Fund (814,413) 814,413 -- Putnam VT OTC & Emerging Growth Fund 1,362,805 -- (1,362,805) Putnam VT Research Fund (10,513) 10,513 -- Putnam VT Small Cap Value Fund (7,065) 7,065 -- Putnam VT Technology Fund 342,713 -- (342,713) Putnam VT Utilities Growth and Income Fund (99,132) 99,122 10 Putnam VT Vista Fund 2,014,475 -- (2,014,475) Putnam VT Voyager Fund (5,248) 5,248 -- Putnam VT Voyager Fund II 149,736 -- (149,736) - ------------------------------------------------------------------------------ The calculation of net investment income per share in the financial highlights table excludes these adjustments.
P) Expenses of the trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund. Q) Beneficial interest At December 31, 2001, insurance companies or their separate accounts were record owners of all but a de minimis number of the shares of each fund. From 29% to 97% of each fund is owned by accounts of one group of insurance companies. NOTE 2 MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS Compensation of Putnam Management, for management and investment advisory services, is paid quarterly (except Putnam VT Capital Appreciation Fund, Putnam VT Technology Fund and Putnam VT Voyager Fund II, which pay monthly) based on the average net assets of the funds. The following summarizes the management fee rates in effect at December 31, 2001:
Rate - ---------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets, Putnam VT Global Growth Fund 0.70% of the next $500 million, Putnam VT International Growth Fund 0.65% of the next $500 million, Putnam VT International Growth and Income Fund 0.60% of the next $5 billion, Putnam VT Small Cap Value Fund 0.575% of the next $5 billion, 0.555% of the next $5 billion, 0.54% of the next $5 billion, and 0.53% thereafter. .......................................................................................................... Putnam VT Money Market Fund 0.45% of first $500 million of average net assets, 0.35% of the next $500 million, 0.30% of the next $500 million, 0.25% of the next $5 billion, 0.225% of the next $5 billion, 0.205% of the next $5 billion, 0.19% of the next $5 billion, and 0.18% thereafter. .......................................................................................................... Putnam VT The George Putnam Fund of Boston 0.65% of first $500 million of average net assets, Putnam VT Growth and Income Fund 0.55% of the next $500 million, Putnam VT Income Fund 0.50% of the next $500 million, Putnam VT Investors Fund 0.45% of the next $5 billion, Putnam VT Research Fund 0.425% of the next $5 billion, Putnam VT Vista Fund 0.405% of the next $5 billion, 0.39% of the next $5 billion, and 0.38% thereafter. .......................................................................................................... Putnam VT Diversified Income Fund 0.70% of first $500 million of average net assets, Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million, Putnam VT Health Sciences Fund 0.55% of the next $500 million, Putnam VT High Yield Fund 0.50% of the next $5 billion, Putnam VT New Opportunities Fund 0.475% of the next $5 billion, Putnam VT New Value Fund 0.455% of the next $5 billion, Putnam VT OTC & Emerging Growth Fund 0.44% of the next $5 billion, and 0.43% thereafter. Putnam VT Utilities Growth and Income Fund Putnam VT Voyager Fund .......................................................................................................... Putnam VT International New Opportunities Fund 1.00% of the first $500 million of average net assets, Putnam VT Technology Fund 0.90% of the next $500 million, 0.85% of the next $500 million, 0.80% of the next $5 billion, 0.775% of the next $5 billion, 0.755% of the next $5 billion, 0.74% of the next $5 billion, and 0.73% thereafter. .......................................................................................................... Putnam VT American Government Income Fund 0.65% of the first $500 million of average net assets, 0.55% of the next $500 million, 0.50% of the next $500 million, 0.45% of the next $5 billion, 0.425% of the next $5 billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $5 billion, 0.37% of the next $5 billion, 0.36% of the next $5 billion, 0.35% of the next $5 billion, and 0.34% of any excess thereafter. .......................................................................................................... Putnam VT Growth Opportunities Fund 0.70% of the first $500 million of average net assets, 0.60% of the next $500 million, 0.55% of the next $500 million, 0.50% of the next $5 billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion, 0.43% of the next $5 billion, and 0.42% of any excess thereafter. .......................................................................................................... Putnam VT Capital Appreciation Fund 0.65% of the first $500 million of average net assets, 0.55% of the next $500 million, 0.50% of the next $500 million, 0.45% of the next $5 billion, 0.425% of the next $5 billion, 0.405% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $5 billion, 0.37% of the next $5 billion, 0.36% of the next $5 billion, 0.35% of the next $5 billion, 0.34% of the next $5 billion, 0.33% of the next $8.5 billion, and 0.32% of any excess thereafter. .......................................................................................................... Putnam VT Voyager Fund II 0.70% of the first $500 million of average net assets, 0.60% of the next $500 million, 0.55% of the next $500 million, 0.50% of the next $5 billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.44% of the next $5 billion, 0.43% of the next $5 billion, 0.42% of the next $5 billion, 0.41% of the next $5 billion, 0.40% of the next $5 billion, 0.39% of the next $5 billion, 0.38% of the next $8.5 billion, and 0.37% of any excess thereafter. ..........................................................................................................
Putnam Management has agreed to limit its compensation (and, to the extent necessary, bear other expenses) of Putnam VT American Government Income Fund through December 31, 2001, to the extent that expenses of the fund (exclusive of brokerage commissions, interest, taxes, deferred organizational and extraordinary expense, credits from Putnam Fiduciary Trust Company (PFTC), a subsidiary of Putnam Investments, LLC and payments under the Trust's distribution plan) would exceed an annual rate of 0.90% of the fund's average net assets. The funds reimburse Putnam Management an allocated amount for the compensation and related expenses of certain officers of the trust and their staff who provide administrative services to the Trust or funds. The aggregate amount of all such reimbursements is determined annually by the Trustees. Custodial functions for the fund's assets are provided by PFTC. Investor servicing agent functions are provided by Putnam Investor Services, a division of PFTC. Under the subcustodian contract between the subcustodian bank and PFTC, the subcustodian bank has a lien on the securities of Putnam VT Asia Pacific Growth Fund, Putnam VT International Growth Fund, Putnam VT Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT Small Cap Value Fund, Putnam VT Technology Fund and Putnam VT Voyager Fund to the extent permitted by each fund's investment restrictions to cover any advances made by the subcustodian bank for the settlement of securities purchased by the fund. At December 31, 2001 the payable to the subcustodian bank represents the amount due for cash advanced for the settlement of a security purchased. The funds have entered into an arrangement with PFTC whereby the credits realized as a result of uninvested cash balances are used to reduce a portion of the funds expenses. The funds also reduced expenses through brokerage service arrangements. For the year ended December 31, 2001 the funds' expenses were reduced by the following amounts: Putnam VT American Government Income Fund $ 51,845 Putnam VT Asia Pacific Growth Fund 114,556 Putnam VT Capital Appreciation Fund 2,006 Putnam VT Diversified Income Fund 40,206 Putnam VT The George Putnam Fund of Boston 93,015 Putnam VT Global Asset Allocation Fund 222,495 Putnam VT Global Growth Fund 1,144,879 Putnam VT Growth and Income Fund 337,791 Putnam VT Growth Opportunities Fund 5,201 Putnam VT Health Sciences Fund 86,625 Putnam VT High Yield Fund 51,992 Putnam VT Income Fund 121,802 Putnam VT International Growth Fund 571,695 Putnam VT International Growth and Income Fund 332,247 Putnam VT International New Opportunities Fund 728,297 Putnam VT Investors Fund 285,895 Putnam VT Money Market Fund 25,076 Putnam VT New Opportunities Fund 311,550 Putnam VT New Value Fund 101,625 Putnam VT OTC & Emerging Growth Fund 10,156 Putnam VT Research Fund 97,685 Putnam VT Small Cap Value Fund 19,306 Putnam VT Technology Fund 2,211 Putnam VT Utilities Growth and Income Fund 179,523 Putnam VT Vista Fund $161,754 Putnam VT Voyager Fund 701,147 Putnam VT Voyager Fund II 9,442 Each independent Trustee of the fund receives an annual Trustee fee, of which $30,493 has been allocated to the Trust, and an additional fee for each Trustee's meeting attended. Trustees receive additional fees for attendance at certain committee meetings. Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral Plan") which allows the Trustees to defer the receipt of all or a portion of Trustees Fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan. Each fund has adopted an unfunded noncontributory defined benefit pension plan (the "Pension Plan") covering all Trustees of the fund who have served as a Trustee for at least five years. Benefits under the Pension Plan are equal to 50% of the Trustee's average total retainer and meeting fees for the three years preceding retirement. Pension expense for the fund is included in Compensation of Trustees in the Statement of operations. Accrued pension liability is included in Payable for compensation of Trustees in the Statement of assets and liabilities. Each fund has adopted a distribution plan (the "Plan") with respect to its class IB shares, pursuant to Rule 12b-1 under the Investment Company Act of 1940. The purpose of the Plan is to compensate Putnam Retail Management, a wholly-owned subsidiary of Putnam Investments, LLC and Putnam Retail Management GP, Inc., for services provided and expenses incurred by it in distributing shares of the fund. The Plan provides for payment by the fund to Putnam Retail Management at an annual rate of up to 0.35% of the fund's average net assets. The Trustees have approved payment by each fund to an annual rate of 0.25% of the average net assets of class IB shares. Prior to April 30, 2001 the annual rate for class IB was 0.15%. NOTE 3 PURCHASES AND SALES OF SECURITIES During the year ended December 31, 2001, cost of purchases and proceeds from sales of investment securities (other than short-term investments) were as follows:
U.S. Government Obligations Other Securities - ----------------------------------------------------------------------------------------------------------------------------------- Purchases Sales Purchases Sales - ----------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund $1,636,212,113 $1,451,388,120 $ -- $ -- Putnam VT Asia Pacific Growth Fund -- -- 86,569,328 110,878,742 Putnam VT Capital Appreciation Fund 609,103 500,000 26,884,985 9,780,179 Putnam VT Diversified Income Fund 822,832,354 863,154,034 489,908,923 448,318,302 Putnam VT The George Putnam Fund of Boston 1,255,996,331 1,294,165,148 480,416,314 303,860,582 Putnam VT Global Asset Allocation Fund 267,536,421 328,826,438 916,949,684 990,026,807 Putnam VT Global Growth Fund -- -- 2,787,896,816 3,064,246,858 Putnam VT Growth and Income Fund -- -- 2,756,557,069 3,320,678,848 Putnam VT Growth Opportunities Fund -- -- 112,563,610 84,620,485 Putnam VT Health Sciences Fund -- -- 251,598,660 263,247,039 Putnam VT High Yield Fund 137,914 166,000 574,812,052 565,695,620 Putnam VT Income Fund 8,951,659,760 8,785,306,802 422,610,416 373,952,722 Putnam VT International Growth Fund -- -- 634,394,915 540,764,925 Putnam VT International Growth and Income Fund -- -- 533,125,083 552,282,827 Putnam VT International New Opportunities Fund -- -- 677,170,285 698,005,093 Putnam VT Investors Fund -- -- 920,727,796 919,478,782 Putnam VT New Opportunities Fund -- -- 2,747,384,538 3,014,850,208 Putnam VT New Value Fund -- -- 530,613,545 326,051,124 Putnam VT OTC & Emerging Growth Fund -- -- 242,262,238 220,213,129 Putnam VT Research Fund -- -- 517,900,354 440,027,417 Putnam VT Small Cap Value Fund -- -- 312,290,210 75,436,930 Putnam VT Technology Fund -- -- 92,510,846 76,188,056 Putnam VT Utilities Growth and Income Fund -- -- 762,563,932 793,395,484 Putnam VT Vista Fund -- -- 956,650,822 895,323,524 Putnam VT Voyager Fund -- -- 6,282,470,673 6,511,158,438 Putnam VT Voyager Fund II -- -- 31,493,603 12,518,795
Putnam VT Money Market Fund: Cost of purchases and proceeds from sales (including maturities) of investment securities (all short-term obligations) aggregated $24,762,967,745 and $24,452,073,155, respectively. Written option transactions during the period are summarized as follows:
Putnam VT Diversified Income - ---------------------------------------------------------------------------------------------------------------- Contract Amounts Premiums Received - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at beginning of year $-- $-- Options opened 904,962,800 48,944 Options expired (3,894,000) (7,100) Options closed (901,068,800) (41,844) - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at end of year $-- $-- - ---------------------------------------------------------------------------------------------------------------- Putnam VT Global Asset Allocation Fund - ---------------------------------------------------------------------------------------------------------------- Contract Amounts Premiums Received - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at beginning of year $-- $-- Options opened 17,299,750 233,734 Options expired (12,524,000) (22,824) Options closed (4,775,750) (210,910) - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at end of year $-- $-- - ---------------------------------------------------------------------------------------------------------------- Putnam VT High Yield Fund - ---------------------------------------------------------------------------------------------------------------- Contract Amounts Premiums Received - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at beginning of year $-- $-- Options opened 5,825,600 914,612 Options expired -- -- Options closed (825,600) (16,512) - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at end of year 5,000,000 $898,100 - ---------------------------------------------------------------------------------------------------------------- Putnam VT International Growth Fund - ---------------------------------------------------------------------------------------------------------------- Contract Amounts Premiums Received - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at beginning of year $-- $-- Options opened 22,400 7,616 Options expired (22,400) (7,616) Options closed -- -- - ---------------------------------------------------------------------------------------------------------------- Written options outstanding at end of year $-- $-- - ----------------------------------------------------------------------------------------------------------------
NOTE 4 CAPITAL SHARES At December 31, 2001, there was an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
Year ended December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IA 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund Shares sold 51,372,148 $335,576,147 38,515,762 $485,564,402 Shares issued in connection with reinvestment of distributions 3,754,336 22,676,190 481,048 7,436,999 ............................................................................................................................... 55,126,484 358,252,337 38,996,810 493,001,401 Shares repurchased (54,425,193) (357,983,911) (42,194,545) (538,648,695) ............................................................................................................................... Net increase (decrease) 701,291 $268,426 (3,197,735) $(45,647,294) ............................................................................................................................... Putnam VT Diversified Income Fund Shares sold 1,860,849 $17,002,170 1,004,422 $9,947,488 Shares issued in connection with reinvestment of distributions 4,542,666 39,521,197 5,145,052 47,334,433 ............................................................................................................................... 6,403,515 56,523,367 6,149,474 57,281,921 Shares repurchased (9,331,691) (82,541,567) (10,266,740) (97,291,996) ............................................................................................................................... Net decrease (2,928,176) $(26,018,200) (4,117,266) $(40,010,075) ............................................................................................................................... Putnam VT The George Putnam Fund of Boston Shares sold 8,609,614 $91,976,642 2,778,810 $28,029,124 Shares issued in connection with reinvestment of distributions 855,961 8,953,349 -- -- ............................................................................................................................... 9,465,575 100,929,991 2,778,810 28,029,124 Shares repurchased (1,219,975) (12,955,558) (2,612,027) (25,913,592) ............................................................................................................................... Net increase 8,245,600 $87,974,433 166,783 $2,115,532 ............................................................................................................................... Putnam VT Global Asset Allocation Fund Shares sold 346,018 $4,703,859 442,756 $7,705,476 Shares issued in connection with reinvestment of distributions 6,562,771 86,694,210 5,819,706 102,642,805 ............................................................................................................................... 6,908,789 91,398,069 6,262,462 110,348,281 Shares repurchased (10,123,947) (141,066,363) (8,414,991) (147,665,668) ............................................................................................................................... Net decrease (3,215,158) $(49,668,294) (2,152,529) $(37,317,387) ............................................................................................................................... Putnam VT Global Growth Fund Shares sold 4,473,613 $48,945,691 4,392,306 $110,785,953 Shares issued in connection with reinvestment of distributions 38,199,459 380,084,619 18,824,651 503,182,982 ............................................................................................................................... 42,673,072 429,030,310 23,216,957 613,968,935 Shares repurchased (32,263,881) (351,564,283) (13,036,145) (294,738,117) ............................................................................................................................... Net increase 10,409,191 $77,466,027 10,180,812 $319,230,818 ............................................................................................................................... Putnam VT Growth and Income Fund Shares sold 5,710,671 $140,154,311 6,669,995 $163,946,932 Shares issued in connection with reinvestment of distributions 9,661,577 229,752,298 40,164,312 943,125,727 ............................................................................................................................... 15,372,248 369,906,609 46,834,307 1,107,072,659 Shares repurchased (44,644,589) (1,067,479,417) (68,174,353) (1,675,153,288) ............................................................................................................................... Net decrease (29,272,341) $(697,572,808) (21,340,046) $(568,080,629) ............................................................................................................................... Putnam VT Health Sciences Fund Shares sold 2,571,574 $31,349,161 16,862,622 $223,616,972 Shares issued in connection with reinvestment of distributions 16,445 185,990 -- -- ............................................................................................................................... 2,588,019 31,535,151 16,862,622 223,616,972 Shares repurchased (7,492,011) (89,719,326) (3,644,616) (46,899,302) ............................................................................................................................... Net increase (decrease) (4,903,992) $(58,184,175) 13,218,006 $176,717,670 ............................................................................................................................... Putnam VT High Yield Fund Shares sold 11,365,542 $96,108,618 6,799,348 $65,669,789 Shares issued in connection with reinvestment of distributions 12,037,784 97,385,674 10,516,626 102,642,266 ............................................................................................................................... 23,403,326 193,494,292 17,315,974 168,312,055 Shares repurchased (22,272,120) (185,862,716) (25,298,665) (252,734,311) ............................................................................................................................... Net increase (decrease) 1,131,206 $7,631,576 (7,982,691) $(84,422,256) ............................................................................................................................... Putnam VT Income Fund Shares sold 9,170,570 $116,004,826 1,814,108 $22,223,638 Shares issued in connection with reinvestment of distributions 4,639,436 56,276,353 4,921,557 58,222,016 ............................................................................................................................... 13,810,006 172,281,179 6,735,665 80,445,654 Shares repurchased (8,195,820) (102,479,918) (17,484,956) (213,939,474) ............................................................................................................................... Net increase (decrease) 5,614,186 $69,801,261 (10,749,291) $(133,493,820) ............................................................................................................................... Putnam VT International Growth Fund Shares sold 18,131,059 $263,584,498 25,510,188 $492,219,557 Shares issued in connection with reinvestment of distributions 5,301,172 70,770,656 3,403,943 70,291,422 ............................................................................................................................... 23,432,231 334,355,154 28,914,131 562,510,979 Shares repurchased (20,761,193) (295,868,554) (18,572,361) (354,864,433) ............................................................................................................................... Net increase 2,671,038 $38,486,600 10,341,770 $207,646,546 ............................................................................................................................... Putnam VT International Growth and Income Fund Shares sold 7,607,808 $85,635,447 23,660,023 $328,708,761 Shares issued in connection with reinvestment of distributions 2,288,803 24,444,418 4,260,432 56,218,745 ............................................................................................................................... 9,896,611 110,079,865 27,920,455 384,927,506 Shares repurchased (11,560,295) (126,616,826) (23,674,407) (326,281,113) ............................................................................................................................... Net increase (decrease) (1,663,684) $(16,536,961) 4,246,048 $58,646,393 ............................................................................................................................... Putnam VT International New Opportunities Fund Shares sold 21,289,410 $241,252,603 31,809,454 $619,021,932 Shares issued in connection with reinvestment of distributions -- -- 818,651 19,189,175 ............................................................................................................................... 21,289,410 241,252,603 32,628,105 638,211,107 Shares repurchased (25,564,188) (287,406,580) (28,192,449) (532,011,647) ............................................................................................................................... Net increase (decrease) (4,274,778) $(46,153,977) 4,435,656 $106,199,460 ............................................................................................................................... Putnam VT Investors Fund Shares sold 2,685,939 $27,484,116 18,710,488 $273,048,909 Shares issued in connection with reinvestment of distributions 64,073 631,760 -- -- ............................................................................................................................... 2,750,012 28,115,876 18,710,488 273,048,909 Shares repurchased (11,831,665) (116,116,342) (2,654,378) (37,476,867) ............................................................................................................................... Net increase (decrease) (9,081,653) $(88,000,466) 16,056,110 $235,572,042 ............................................................................................................................... Putnam VT Money Market Fund* Shares sold -- $1,360,725,013 -- $1,878,542,098 Shares issued in connection with reinvestment of distributions -- 30,910,790 -- 38,745,671 ............................................................................................................................... -- 1,391,635,803 -- 1,917,287,769 Shares repurchased -- (1,135,393,453) -- (2,102,896,484) ............................................................................................................................... Net increase (decrease) -- $256,242,350 -- $(185,608,715) ............................................................................................................................... Putnam VT New Opportunities Fund Shares sold 6,652,468 $135,837,844 15,166,342 $652,720,038 Shares issued in connection with reinvestment of distributions 41,169,078 712,636,733 11,737,163 534,979,909 ............................................................................................................................... 47,821,546 848,474,577 26,903,505 1,187,699,947 Shares repurchased (31,403,315) (590,391,834) (7,603,682) (299,664,545) ............................................................................................................................... Net increase 16,418,231 $258,082,743 19,299,823 $888,035,402 ............................................................................................................................... Putnam VT New Value Fund Shares sold 13,237,005 $179,444,258 4,037,770 $49,133,034 Shares issued in connection with reinvestment of distributions 992,613 12,993,306 1,482,664 16,175,865 ............................................................................................................................... 14,229,618 192,437,564 5,520,434 65,308,899 Shares repurchased (2,796,229) (35,919,095) (4,112,981) (47,010,368) ............................................................................................................................... Net increase 11,433,389 $156,518,469 1,407,453 $18,298,531 ............................................................................................................................... Putnam VT OTC & Emerging Growth Fund Shares sold 18,471,382 $132,815,890 21,868,565 $470,316,472 Shares issued in connection with reinvestment of distributions -- -- 158,820 3,907,875 ............................................................................................................................... 18,471,382 132,815,890 22,027,385 474,224,347 Shares repurchased (20,386,698) (145,347,984) (11,424,605) (206,130,616) ............................................................................................................................... Net increase (decrease) (1,915,316) $(12,532,094) 10,602,780 $268,093,731 ............................................................................................................................... Putnam VT Research Fund Shares sold 2,965,941 $36,745,033 6,755,922 $100,384,367 Shares issued in connection with reinvestment of distributions 981,788 11,015,661 77,938 1,169,068 ............................................................................................................................... 3,947,729 47,760,694 6,833,860 101,553,435 Shares repurchased (1,526,890) (17,029,512) (424,495) (6,202,086) ............................................................................................................................... Net increase 2,420,839 $30,731,182 6,409,365 $95,351,349 ............................................................................................................................... Putnam VT Small Cap Value Fund Shares sold 14,021,027 $197,045,613 3,769,142 $42,424,575 Shares issued in connection with reinvestment of distributions 40,412 522,118 13,210 154,683 ............................................................................................................................... 14,061,439 197,567,731 3,782,352 42,579,258 Shares repurchased (3,372,557) (44,849,986) (332,633) (3,701,033) ............................................................................................................................... Net increase 10,688,882 $152,717,745 3,449,719 $38,878,225 ............................................................................................................................... Putnam VT Utilities Growth and Income Fund Shares sold 905,068 $13,818,831 2,494,589 $42,046,907 Shares issued in connection with reinvestment of distributions 4,534,521 69,106,100 5,220,601 80,572,958 ............................................................................................................................... 5,439,589 82,924,931 7,715,190 122,619,865 Shares repurchased (9,545,806) (139,432,117) (10,607,707) (176,382,173) ............................................................................................................................... Net decrease (4,106,217) $(56,507,186) (2,892,517) $(53,762,308) ............................................................................................................................... Putnam VT Vista Fund Shares sold 3,892,486 $54,721,076 14,717,603 $342,567,326 Shares issued in connection with reinvestment of distributions 5,560,884 65,507,209 318,488 7,580,009 ............................................................................................................................... 9,453,370 120,228,285 15,036,091 350,147,335 Shares repurchased (9,563,229) (121,435,643) (2,207,495) (47,320,385) ............................................................................................................................... Net increase (decrease) (109,859) $(1,207,358) 12,828,596 $302,826,950 ............................................................................................................................... Putnam VT Voyager Fund Shares sold 3,757,455 $125,187,488 7,094,171 $428,809,842 Shares issued in connection with reinvestment of distributions 45,894,802 1,375,008,264 18,635,639 1,180,195,046 ............................................................................................................................... 49,652,257 1,500,195,752 25,729,810 1,609,004,888 Shares repurchased (33,114,206) (1,086,039,194) (13,474,625) (771,881,867) ............................................................................................................................... Net increase 16,538,051 $414,156,558 12,255,185 $837,123,021 ............................................................................................................................... For the period February 1, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IA 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund Shares sold 12,980,682 $147,695,704 2,012,993 $21,397,467 Shares issued in connection with reinvestment of distributions 971 10,809 43,512 472,981 ............................................................................................................................... 12,981,653 147,706,513 2,056,505 21,870,448 Shares repurchased (2,889,892) (32,737,837) (502,606) (5,375,442) ............................................................................................................................... Net increase 10,091,761 $114,968,676 1,553,899 $16,495,006 ............................................................................................................................... Putnam VT Growth Opportunities Fund Shares sold 3,407,707 $22,466,349 10,220,237 $106,715,080 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 3,407,707 22,466,349 10,220,237 106,715,080 Shares repurchased (2,807,723) (16,650,213) (446,415) (4,399,191) ............................................................................................................................... Net increase 599,984 $5,816,136 9,773,822 $102,315,889 ............................................................................................................................... For the period June 14, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IA 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund Shares sold 7,407,113 $38,939,366 4,059,769 $40,876,587 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 7,407,113 38,939,366 4,059,769 40,876,587 Shares repurchased (6,156,424) (32,288,523) (1,760,069) (16,910,739) ............................................................................................................................... Net increase 1,250,689 $6,650,843 2,299,700 $23,965,848 ............................................................................................................................... For the period September 29, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IA 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund Shares sold 1,460,588 $11,814,157 108,706 $1,007,010 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 1,460,588 11,814,157 108,706 1,007,010 Shares repurchased (303,230) (2,323,365) (59,365) (539,357) ............................................................................................................................... Net increase 1,157,358 $9,490,792 49,341 $467,653 ............................................................................................................................... Putnam VT Voyager Fund II Shares sold 2,309,778 13,067,405 191,184 1,486,672 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 2,309,778 $13,067,405 191,184 $1,486,672 Shares repurchased (1,234,200) (6,983,434) (49,276) (359,424) ............................................................................................................................... Net increase 1,075,578 $6,083,971 141,908 $1,127,248 ............................................................................................................................... Year ended December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IB 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Asia Pacific Growth Fund Shares sold 21,875,147 $141,615,782 17,554,672 $210,227,505 Shares issued in connection with reinvestment of distributions 250,481 1,505,387 16,364 252,340 ............................................................................................................................... 22,125,628 143,121,169 17,571,036 210,479,845 Shares repurchased (22,038,121) (143,846,082) (17,222,547) (208,332,733) ............................................................................................................................... Net increase (decrease) 87,507 $(724,913) 348,489 $2,147,112 ............................................................................................................................... Putnam VT Diversified Income Fund Shares sold 3,228,519 $28,714,071 5,243,724 $48,797,728 Shares issued in connection with reinvestment of distributions 655,355 5,675,376 295,003 2,708,184 ............................................................................................................................... 3,883,874 34,389,447 5,538,727 51,505,912 Shares repurchased (827,494) (7,284,700) (323,520) (2,995,186) ............................................................................................................................... Net increase 3,056,380 $27,104,747 5,215,207 $48,510,726 ............................................................................................................................... Putnam VT George Putnam Fund of Boston Shares sold 6,214,940 $66,310,186 5,227,768 $52,612,814 Shares issued in connection with reinvestment of distributions 270,670 2,828,500 -- -- ............................................................................................................................... 6,485,610 69,138,686 5,227,768 52,612,814 Shares repurchased (434,738) (4,631,331) (479,943) (4,830,442) ............................................................................................................................... Net increase 6,050,872 $64,507,355 4,747,825 $47,782,372 ............................................................................................................................... Putnam VT Global Asset Allocation Fund Shares sold 913,717 $13,024,518 767,354 $13,056,976 Shares issued in connection with reinvestment of distributions 184,225 2,437,297 69,325 1,002,729 ............................................................................................................................... 1,097,942 15,461,815 836,679 14,059,705 Shares repurchased (387,274) (5,277,047) (35,567) (608,607) ............................................................................................................................... Net increase 710,668 $10,184,768 801,112 $13,451,098 ............................................................................................................................... Putnam VT Global Growth Fund Shares sold 4,127,227 $50,330,782 9,036,437 $210,097,348 Shares issued in connection with reinvestment of distributions 2,326,546 23,009,538 304,121 8,104,922 ............................................................................................................................... 6,453,773 73,340,320 9,340,558 218,202,270 Shares repurchased (2,160,988) (26,158,394) (4,568,972) (106,793,610) ............................................................................................................................... Net increase 4,292,785 $47,181,926 4,771,586 $111,408,660 ............................................................................................................................... Putnam VT Growth and Income Fund Shares sold 11,723,239 $284,146,173 14,035,930 $343,541,228 Shares issued in connection with reinvestment of distributions 648,667 15,379,899 1,113,850 26,097,506 ............................................................................................................................... 12,371,906 299,526,072 15,149,780 369,638,734 Shares repurchased (2,016,025) (48,055,350) (1,288,594) (31,409,695) ............................................................................................................................... Net increase 10,355,881 $251,470,722 13,861,186 $338,229,039 ............................................................................................................................... Putnam VT Health Sciences Fund Shares sold 4,821,956 $57,789,181 6,054,506 $80,069,728 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 4,821,956 57,789,181 6,054,506 80,069,728 Shares repurchased (1,283,321) (15,524,910) (570,959) (7,591,150) ............................................................................................................................... Net increase 3,538,635 $42,264,271 5,483,547 $72,478,578 ............................................................................................................................... Putnam VT High Yield Fund Shares sold 8,822,432 $73,566,892 3,870,067 $37,532,980 Shares issued in connection with reinvestment of distributions 787,769 6,365,166 285,254 2,784,077 ............................................................................................................................... 9,610,201 79,932,058 4,155,321 40,317,057 Shares repurchased (5,789,774) (48,313,438) (1,506,433) (14,547,017) ............................................................................................................................... Net increase 3,820,427 $31,618,620 2,648,888 $25,770,040 ............................................................................................................................... Putnam VT Income Fund Shares sold 7,088,578 $88,677,137 3,198,222 $38,888,775 Shares issued in connection with reinvestment of distributions 410,872 4,975,666 139,448 1,648,307 ............................................................................................................................... 7,499,450 93,652,803 3,337,670 40,537,082 Shares repurchased (464,719) (5,814,115) (360,359) (4,398,823) ............................................................................................................................... Net increase 7,034,731 $87,838,688 2,977,311 $36,138,259 ............................................................................................................................... Putnam VT International Growth Fund Shares sold 70,643,367 $911,390,877 25,118,298 $471,505,315 Shares issued in connection with reinvestment of distributions 1,694,582 22,554,895 329,677 6,794,648 ............................................................................................................................... 72,337,949 933,945,772 25,447,975 478,299,963 Shares repurchased (63,091,542) (813,446,556) (16,128,945) (303,513,504) ............................................................................................................................... Net increase 9,246,407 $120,499,216 9,319,030 $174,786,459 ............................................................................................................................... Putnam VT International Growth and Income Fund Shares sold 5,584,066 $59,387,384 8,442,898 $112,059,784 Shares issued in connection with reinvestment of distributions 243,324 2,593,831 196,285 2,600,773 ............................................................................................................................... 5,827,390 61,981,215 8,639,183 114,660,557 Shares repurchased (4,322,285) (46,014,714) (6,551,196) (89,236,419) ............................................................................................................................... Net increase 1,505,105 $15,966,501 2,087,987 $25,424,138 ............................................................................................................................... Putnam VT International New Opportunities Fund Shares sold 48,856,494 $552,306,692 28,402,730 $522,619,647 Shares issued in connection with reinvestment of distributions -- -- 183,174 4,286,262 ............................................................................................................................... 48,856,494 552,306,692 28,585,904 526,905,909 Shares repurchased (46,041,228) (521,722,239) (16,514,969) (296,293,473) ............................................................................................................................... Net increase 2,815,266 $30,584,453 12,070,935 $230,612,436 ............................................................................................................................... Putnam VT Investors Fund Shares sold 7,273,563 $76,215,949 16,474,578 $235,907,402 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 7,273,563 76,215,949 16,474,578 235,907,402 Shares repurchased (1,802,009) (17,583,425) (497,757) (7,087,061) ............................................................................................................................... Net increase 5,471,554 $58,632,524 15,976,821 $228,820,341 ............................................................................................................................... Putnam VT Money Market Fund* Shares sold -- $1,117,962,552 -- $1,072,905,937 Shares issued in connection with reinvestment of distributions -- 4,731,044 -- 3,534,066 ............................................................................................................................... -- 1,122,693,596 -- 1,076,440,003 Shares repurchased -- (1,070,337,071) -- (1,016,136,363) ............................................................................................................................... Net increase -- $52,356,525 -- $60,303,640 ............................................................................................................................... Putnam VT New Opportunities Fund Shares sold 3,444,034 $73,639,553 6,444,707 $264,299,536 Shares issued in connection with reinvestment of distributions 2,183,148 37,593,823 198,959 9,040,681 ............................................................................................................................... 5,627,182 111,233,376 6,643,666 273,340,217 Shares repurchased (1,323,312) (25,789,903) (307,392) (12,113,145) ............................................................................................................................... Net increase 4,303,870 $85,443,473 6,336,274 $261,227,072 ............................................................................................................................... Putnam VT New Value Fund Shares sold 4,872,659 $65,159,898 2,115,499 $25,147,984 Shares issued in connection with reinvestment of distributions 117,310 1,533,244 80,999 882,886 ............................................................................................................................... 4,989,969 66,693,142 2,196,498 26,030,870 Shares repurchased (677,761) (9,035,476) (717,909) (8,489,332) ............................................................................................................................... Net increase 4,312,208 $57,657,666 1,478,589 $17,541,538 ............................................................................................................................... Putnam VT OTC & Emerging Growth Fund Shares sold 6,412,943 $48,317,542 7,013,652 $129,630,671 Shares issued in connection with reinvestment of distributions -- -- 19,950 492,354 ............................................................................................................................... 6,412,943 48,317,542 7,033,602 130,123,025 Shares repurchased (3,941,864) (28,427,592) (1,365,917) (23,938,046) ............................................................................................................................... Net increase 2,471,079 $19,889,950 5,667,685 $106,184,979 ............................................................................................................................... Putnam VT Research Fund Shares sold 5,101,844 $61,403,080 4,926,455 $72,796,586 Shares issued in connection with reinvestment of distributions 437,753 4,902,842 18,440 276,233 ............................................................................................................................... 5,539,597 66,305,922 4,944,895 73,072,819 Shares repurchased (798,094) (9,895,966) (511,572) (7,575,012) ............................................................................................................................... Net increase 4,741,503 $56,409,956 4,433,323 $65,497,807 ............................................................................................................................... Putnam VT Small Cap Value Fund Shares sold 7,819,762 $109,291,962 1,874,885 $20,990,311 Shares issued in connection with reinvestment of distributions 17,873 230,378 5,003 58,487 ............................................................................................................................... 7,837,635 109,522,340 1,879,888 21,048,798 Shares repurchased (1,511,613) (20,375,173) (108,157) (1,247,427) ............................................................................................................................... Net increase 6,326,022 $89,147,167 1,771,731 $19,801,371 ............................................................................................................................... Putnam VT Utilities Growth and Income Fund Shares sold 1,992,577 $30,320,638 2,091,583 $35,202,608 Shares issued in connection with reinvestment of distributions 279,834 4,256,277 94,490 1,477,831 ............................................................................................................................... 2,272,411 34,576,915 2,186,073 36,680,439 Shares repurchased (365,913) (5,507,229) (171,869) (2,922,854) ............................................................................................................................... Net increase 1,906,498 $29,069,686 2,014,204 $33,757,585 ............................................................................................................................... Putnam VT Vista Fund Shares sold 9,733,895 $133,898,299 13,571,831 $306,814,021 Shares issued in connection with reinvestment of distributions 2,687,073 31,573,112 42,218 1,004,929 ............................................................................................................................... 12,420,968 165,471,411 13,614,049 307,818,950 Shares repurchased (1,721,644) (21,153,617) (274,994) (6,123,218) ............................................................................................................................... Net increase 10,699,324 $144,317,794 13,339,055 $301,695,732 ............................................................................................................................... Putnam VT Voyager Fund Shares sold 4,542,624 $154,838,723 7,383,144 $433,342,452 Shares issued in connection with reinvestment of distributions 3,496,528 104,371,355 492,175 31,049,328 ............................................................................................................................... 8,039,152 259,210,078 7,875,319 464,391,780 Shares repurchased (1,153,790) (37,281,729) (260,522) (14,467,984) ............................................................................................................................... Net increase 6,885,362 $221,928,349 7,614,797 $449,923,796 ............................................................................................................................... For the period February 1, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IB 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Income Fund Shares sold 7,856,031 $88,016,972 716,979 $7,732,904 Shares issued in connection with reinvestment of distributions 586 6,516 19,528 212,266 ............................................................................................................................... 7,856,617 88,023,488 736,507 7,945,170 Shares repurchased (2,231,934) (24,974,793) (29,332) (312,955) ............................................................................................................................... Net increase 5,624,683 $63,048,695 707,175 $7,632,215 ............................................................................................................................... Putnam VT Growth Opportunities Fund Shares sold 3,873,495 $24,053,308 5,316,784 $53,445,440 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 3,873,495 24,053,308 5,316,784 53,445,440 Shares repurchased (735,797) (3,971,111) (44,089) (391,235) ............................................................................................................................... Net increase 3,137,698 $20,082,197 5,272,695 $53,054,205 ............................................................................................................................... For the period June 14, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IB 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Technology Fund Shares sold 3,837,088 $18,273,329 1,791,824 $17,833,418 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 3,837,088 18,273,329 1,791,824 17,833,418 Shares repurchased (1,981,596) (8,482,982) (3,432) (27,656) ............................................................................................................................... Net increase 1,855,492 $9,790,347 1,788,392 $17,805,762 ............................................................................................................................... For the period September 29, 2000 (commencement of operations) Year ended December 31 to December 31 - ------------------------------------------------------------------------------------------------------------------------------- Class IB 2001 2000 - ------------------------------------------------------------------------------------------------------------------------------- Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------------------------------------- Putnam VT Capital Appreciation Fund Shares sold 1,187,840 $9,519,924 111,146 $1,014,795 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 1,187,840 9,519,924 111,146 1,014,795 Shares repurchased (43,415) (346,089) (2,068) (19,115) ............................................................................................................................... Net increase 1,144,425 $9,173,835 109,078 $995,680 ............................................................................................................................... Putnam VT Voyager Fund II Shares sold 4,046,989 20,964,298 267,862 2,111,298 Shares issued in connection with reinvestment of distributions -- -- -- -- ............................................................................................................................... 4,046,989 $20,964,298 267,862 $2,111,298 Shares repurchased (1,648,407) (8,199,892) (365) (2,680) ............................................................................................................................... Net increase 2,398,582 $12,764,406 267,497 $2,108,618 ............................................................................................................................... * Putnam VT Money Market Fund transactions in capital shares were at a constant net asset value of $1.00 per share.
At December 31, 2001, Putnam Investments, LLC owned: 199,900 class IA shares of Putnam VT Capital Appreciation Fund (14.2% of class IA shares outstanding) valued at $1,563,218; 99,900 class IA shares of Putnam VT Technology Fund (2.7% of class IA shares outstanding) valued at $424,575 and 299,900 class IA shares of Putnam VT Voyager Fund II (19.8% of class IA shares outstanding) valued at $1,493,502. NOTE 5 INITIAL CAPITALIZATION AND OFFERING OF SHARES The following were established as a series of Putnam Variable Trust, a Massachusetts business trust, on January 31, 2000. During the period January 31, 2000 to February 1, 2000, the following funds had no operations other than those related to organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund. Fund name Capital contribution Shares issued - --------------------------------------------------------------------- Class IA Putnam VT American Government Income Fund $999,000 99,900 Putnam VT Growth Opportunities Fund 999,000 99,900 Class IB Putnam VT American Government Income Fund $1,000 100 Putnam VT Growth Opportunities Fund 1,000 100 The following was established as a series of Putnam Variable Trust, a Massachusetts business trust on June 13, 2000. During the period June 13, 2000 to June 14, 2000, the following fund had no operations other than those related to organizational matters including as noted below the initial capital contributions and the issuance of shares for the fund. Fund name Capital contribution Shares issued - --------------------------------------------------------------------- Class IA Putnam VT Technology Fund $999,000 99,900 Class IB Putnam VT Technology Fund $1,000 100 The following were established as a series of Putnam Variable Trust, a Massachusetts business trust on September 28, 2000. During the period September 28, 2000 to September 29, 2000, the following funds had no operations other than those related to organizational matters including as noted below the initial capital contributions and the issuance of shares for each fund. Fund name Capital contribution Shares issued - --------------------------------------------------------------------- Class IA Putnam VT Capital Appreciation Fund $1,999,000 199,900 Putnam VT Voyager Fund II 2,999,000 299,900 Class IB Putnam VT Capital Appreciation Fund $1,000 100 Putnam VT Voyager Fund II 1,000 100 NOTE 6 NEW ACCOUNTING PRONOUNCEMENT As required, effective January 1, 2001, the funds adopted the provisions of the revised AICPA Audit and Accounting Guide, Audits of Investment Companies. This Guide requires that the funds amortize premium and accrete discount on all fixed-income securities, and classify as interest income gains and losses realized on paydowns on mortgage-backed securities. Prior to January 1, 2001, the funds did not amortize premium and accrete discounts for certain fixed income securities and characterized as realized gains and losses paydowns on mortgage-backed securities. Adopting these accounting principles did not affect the funds' net asset values, but did change the classification of certain amounts between interest income and realized and unrealized gain/loss in the Statement of operations. The adoption of this principle was not material to the financial statements of Putnam Variable Trust.
PUTNAM VARIABLE TRUST Federal tax information (Unaudited) Pursuant to Section 852 of the Internal Revenue Code, as amended, each fund hereby designates the following amounts as capital gain, for its taxable year ended December 31, 2001: Putnam VT American Government Fund $-- Putnam VT Asia Pacific Growth Fund -- Putnam VT Capital Appreciation Fund -- Putnam VT Diversified Income Fund -- Putnam VT George Putnam Fund of Boston -- Putnam VT Global Asset Allocation Fund -- Putnam VT Global Growth Fund -- Putnam VT Growth and Income Fund 40,136,027 Putnam VT Growth Opportunities Fund -- Putnam VT Health Sciences Fund -- Putnam VT High Yield Fund -- Putnam VT Income Fund -- Putnam VT International Growth Fund -- Putnam VT International Growth and Income Fund -- Putnam VT International New Opportunities Fund -- Putnam VT Investors Fund -- Putnam VT Money Market Fund -- Putnam VT New Opportunities Fund -- Putnam VT New Value Fund 13,421,109 Putnam VT OTC & Emerging Growth Fund -- Putnam VT Research Fund -- Putnam VT Small Cap Value Fund 3,952,109 Putnam VT Technology Fund -- Putnam VT Utilities Growth and Income Fund -- Putnam VT Vista Fund -- Putnam VT Voyager Fund -- Putnam VT Voyager Fund II -- For the period, interest and dividends from foreign countries and per share taxes paid to foreign countries and per share were the following: Interest and Fund Name Dividends Per Share Taxes Paid Per Share - ---------------------------------------------------------------------------------------------------------------------- Putnam VT American Government Fund $-- $-- $-- $-- Putnam VT Asia Pacific Growth Fund 1,229,440 0.10 112,448 0.01 Putnam VT Capital Appreciation Fund -- -- -- -- Putnam VT Diversified Income Fund -- -- -- -- Putnam VT George Putnam Fund of Boston -- -- -- -- Putnam VT Global Asset Allocation Fund -- -- -- -- Putnam VT Global Growth Fund -- -- -- -- Putnam VT Growth and Income Fund -- -- -- -- Putnam VT Growth Opportunities Fund -- -- -- -- Putnam VT Health Sciences Fund -- -- -- -- Putnam VT High Yield Fund -- -- -- -- Putnam VT Income Fund -- -- -- -- Putnam VT International Growth Fund 14,887,714 0.24 1,854,938 0.03 Putnam VT International Growth and Income Fund 8,076,753 0.25 959,085 0.03 Putnam VT International New Opportunities Fund 4,924,566 0.16 612,425 0.02 Putnam VT Investors Fund -- -- -- -- Putnam VT Money Market Fund -- -- -- -- Putnam VT New Opportunities Fund -- -- -- -- Putnam VT New Value Fund -- -- -- -- Putnam VT OTC & Emerging Growth Fund -- -- -- -- Putnam VT Research Fund -- -- -- -- Putnam VT Small Cap Value Fund -- -- -- -- Putnam VT Technology Fund -- -- -- -- Putnam VT Utilities Growth and Income Fund -- -- -- -- Putnam VT Vista Fund -- -- -- -- Putnam VT Voyager Fund -- -- -- -- Putnam VT Voyager Fund II -- -- -- -- Each fund has designated the following amounts of the distributions from net investment income as qualifying for the dividends received deduction for corporations: Putnam VT American Government Fund --% Putnam VT Asia Pacific Growth Fund -- Putnam VT Capital Appreciation Fund -- Putnam VT Diversified Income Fund -- Putnam VT George Putnam Fund of Boston 36.80 Putnam VT Global Asset Allocation Fund 37.12 Putnam VT Global Growth Fund 100.00 Putnam VT Growth and Income Fund 100.00 Putnam VT Growth Opportunities Fund -- Putnam VT Health Sciences Fund 100.00 Putnam VT High Yield Fund 1.71 Putnam VT Income Fund -- Putnam VT International Growth Fund -- Putnam VT International Growth and Income Fund -- Putnam VT International New Opportunities Fund -- Putnam VT Investors Fund 100.00 Putnam VT Money Market Fund -- Putnam VT New Opportunities Fund -- Putnam VT New Value Fund 94.56 Putnam VT OTC & Emerging Growth Fund -- Putnam VT Research Fund 100.00 Putnam VT Small Cap Value Fund 100.00 Putnam VT Technology Fund -- Putnam VT Utilities Growth and Income Fund 83.87 Putnam VT Vista Fund -- Putnam VT Voyager Fund 97.12 Putnam VT Voyager Fund II --
Trustees and Officers of the Putnam Funds Name, Address,1 Date of Birth, Position(s) Held with Fund and Length of Service Principal Occupation(s) as a Putnam Fund Trustee2 During Past 5 Years Other Directorships Held by Trustee - ------------------------------------------------------------------------------------------------------------------------------ Jameson A. Baxter (9/6/43), President, Baxter Director of ASHTA Chemicals, Inc., Banta Corporation Trustee since 1994 Associates, Inc. (a printing and digital imaging firm), Intermatic Corporation (a management (manufacturer of energy control products), Ryerson Tull, Inc. consulting and private (a steel service corporation), Advocate Health Care, and the investments firm) National Center for Nonprofit Boards. Chairman Emeritus of the Board of Trustees, Mount Holyoke College. Charles B. Curtis (4/27/40), President and Chief Member of the Council on Foreign Relations, the Electric Power Trustee since 2001 Operating Officer, Research Institute Advisory Council, the Board of Directors Nuclear Threat of the Gas Technology Institute, the University of Chicago Board Initiative (a private of Governors for Argonne National Laboratory, the foundation dedicated Board of Directors of the Environment and Natural Resources to reducing the threat Program Steering Committee, John F. Kennedy School of of weapons of mass Government, Harvard University. Until 2001, Mr. Curtis was a destruction) Member of the Defense Policy Board and Director of EG&G Technical Services, Inc. (fossil energy research and development support) and prior to May 1997, Mr. Curtis was Deputy Secretary of Energy. John A. Hill (1/31/42), Vice-Chairman and Director of Devon Energy Corporation (formerly known as Trustee since 1985 and Managing Director, Snyder Oil Corporation), TransMontaigne Oil Company, Chairman since 2000 First Reserve Continuum Health Partners of New York, Sarah Lawrence Corporation College, and various private companies owned (a registered investment by First Reserve Corporation. Trustee of TH Lee, Putnam advisor investing in Investment Trust (a closed-end investment company). companies in the world-wide energy industry on behalf of institutional investors) Ronald J. Jackson Private investor Former Chairman, President, and Chief Executive Officer (12/17/43), of Fisher-Price, Inc. (a toy manufacturer). Trustee since 1996 Paul L. Joskow (6/30/47), Elizabeth and James Director, National Grid Group (a UK-based holding company Trustee since 1997 Killian Professor of with interests in electric power and telecommunications networks), Economics and State Farm Indemnity Company (an automobile insurance Management and company), and the Whitehead Institute for Biomedical Research Director of the Center (a non-profit research institution). President of the Yale for Energy and University Council. Prior to March 2000 and September 1998, Environmental Policy Dr. Joskow was a Director of New England Electric System Research, Massachusetts (a public utility holding company) and a consultant to National Institute of Technology Economic Research Associates, respectively. Elizabeth T. Kennan President Emeritus of Chairman, Cambus-Kenneth Bloodstock (a limited liability (2/25/38), Mount Holyoke College company involved in thoroughbred horse breeding and farming), Trustee since 1992 Director, Northeast Utilities, and Talbots (a distributor of women's apparel). Trustee of Centre College, Trustee of Notre Dame University, and Member of the Oversight Committee of Folger Shakespeare Library. Prior to September 2000, June 2000, and November 1999, Dr. Kennan was a Director of Chastain Real Estate, Bell Atlantic, and Kentucky Home Life Insurance, respectively. John H. Mullin, III Chairman and CEO Director Alex. Brown Realty, Inc., The Liberty Corporation (6/15/41), of Ridgeway Farm (a company engaged in the broadcasting industry), and Trustee since 1997 (a limited liability Progress Energy, Inc. (a utility company, formerly known company engaged in as Carolina Power & Light). Prior to October 1997, January 1998, timber and farming) and May 2001, Mr. Mullin was a Director of Dillon, Read and Co. Inc., The Ryland Group, Inc., and Graphic Packaging International Corp., respectively. Robert E. Patterson Senior Partner of Cabot Chairman of the Joslin Diabetes Center, Trustee of SEA (3/15/45), Properties, LLP and Education Association, and Director of Brandywine Trust Trustee since 1984 Chairman of Cabot Company (a trust company). Prior to February 1998, Properties, Inc. Mr. Patterson was Executive Vice President and Director of Acquisitions of Cabot Partners Limited Partnership. Prior to December 2001, Mr. Patterson was President and Trustee of Cabot Industrial Trust (publicly traded real estate investment trust). W. Thomas Stephens Corporate Director Director of Qwest Communications (communications company), (9/2/42), Xcel Energy Incorporated (public utility company), TransCanada Trustee since 1997 Pipelines, and Norske Canada, Inc. (paper manufacturer). Prior to July 2001 and October 1999, Mr. Stephens was Chairman of Mail Well (printing and envelope company) and MacMillan-Bloedel (forest products company), respectively. W. Nicholas Thorndike Director of various Trustee of Northeastern University and Honorary Trustee of (3/28/33), corporations and Massachusetts General Hospital. Prior to September 2000, Trustee since 1992 charitable April 2000, and December 2001, Mr. Thorndike was a Director organizations, of Bradley Real Estate, Inc., a Trustee of Eastern Utilities including Courier Associates, and a Trustee of Cabot Industrial Trust, respectively. Corporation (a book manufacturer) and Providence Journal Co. (a newspaper publisher) Lawrence J. Lasser* President and Chief Director of Marsh & McLennan Companies, Inc. and the (11/1/42), Executive Officer United Way of Massachusetts Bay. Member of the Board of Trustee since 1992 of Putnam Governors of the Investment Company Institute, Trustee of the Investments, LLC, Museum of Fine Arts, Boston, a Trustee and Member of the and Putnam Investment Finance and Executive Committees of Beth Israel Deaconess Management, LLC Medical Center, Boston, and a Member of the CareGroup Board of Managers Investment Committee, the Council on Foreign Relations, and the Commercial Club of Boston. George Putnam, III* President, New Director of The Boston Family Office, L.L.C. (registered (8/10/51), Generation Research, investment advisor), Trustee of the SEA Education Association, Trustee since 1984 and Inc. (a publisher of Trustee of St. Mark's School, and Trustee of Shore Country President since 2000 financial advisory and Day School. other research services relating to bankrupt and distressed companies) and New Generation Advisers, Inc. (a registered investment adviser) A.J.C. Smith (4/13/34),* Director of Marsh & Director of Trident Corp. (a limited partnership with over 30 Trustee since 1986 McLennan institutional investors). Trustee of the Carnegie Hall Society, Companies, Inc. the Educational Broadcasting Corporation and the National Museums of Scotland. Chairman of the Central Park Conservancy. Member of the Board of Overseers of the Joan and Sanford I. Weill Graduate School of Medical Sciences of Cornell University. Prior to May 2000 and November 1999, Mr. Smith was Chairman and CEO, respectively, of Marsh & McLennan Companies, Inc. 1 The address of each Trustee is One Post Office Square, Boston, MA 02109. As of December 31, 2001, there were 124 Putnam Funds. 2 Each Trustee serves for an indefinite term, until his or her resignation, death, or removal. * Trustees who are or may be deemed to be "interested persons" (as defined in the Investment Company Act of 1940) of the fund, Putnam Management or Putnam Retail Management. Messrs. Putnam, III, Lasser, and Smith are deemed "interested persons" by virtue of their positions as officers or shareholders of the fund, or officers of Putnam Management, Putnam Retail Management, or Marsh & McLennan Companies, Inc., the parent company of Putnam Management and Putnam Retail Management. George Putnam, III, is the President of your Fund and each of the other Putnam Funds. Lawrence J. Lasser has been the President, Chief Executive Officer, and a Director of Putnam Management since 1985, having begun his career there in 1969. Mr. Lasser currently also serves as a Director of Marsh & McClennan Companies, Inc., the parent company of Putnam Management. A.J.C. Smith is a Director of Marsh & McClennan Companies, Inc.
Officers of the Funds Name, Address,1 Date of Birth, Position(s) Held with Fund Length of Service Principal Occupation(s) During Past 5 Years - ---------------------------------------------------------------------------------------------------------------- Charles E. Porter Since 1989 Managing Director, Putnam Investments, LLC and (7/26/38), Executive Putnam Management Vice President, Treasurer & Principal Financial Officer Patricia C. Flaherty Since 1993 Senior Vice President, Putnam Investments, LLC and (12/1/46), Senior Vice President Putnam Management Michael T. Healy Since 2000 Managing Director, Putnam Investments, LLC (1/24/58), Assistant Treasurer and Principal Accounting Officer Gordon H. Silver Since 1990 Senior Managing Director, Putnam Investments, LLC and (7/3/47), Vice President Putnam Management Ian Ferguson Since 1997 Senior Managing Director, Putnam Investments, LLC and (7/3/57), Vice President Putnam Management Richard G. Leibovitch Since 1999 Managing Director of Putnam Investments, LLC and (10/31/63), Vice President Putnam Management. Prior to February 1999, Managing Director at J.P. Morgan. Richard A. Monaghan Since 1998 Managing Director, Putnam Investments, LLC, Putnam (8/25/54), Vice President Management and Putnam Retail Management John R. Verani Since 1988 Senior Vice President, Putnam Investments, LLC and (6/11/39), Vice President Putnam Management Stephen M. Oristaglio Since 1998 Senior Managing Director of Putnam Investments LLC and (8/21/55), Vice President Putnam Management. Prior to July 1998, Managing Director at Swiss Bank Corp. William J. Landes Since 1994 Managing Director of Putnam Investments LLC and (1/16/53), Vice President Putnam Management. 1 The address of each Officer is One Post Office Square, Boston, MA 02109.
[THIS PAGE LEFT BLANK INTENTIONALLY] Putnam Variable Trust FUND INFORMATION Investment Manager Putnam Investment Management, LLC One Post Office Square Boston, MA 02109 Marketing Services Putnam Retail Management One Post Office Square Boston, MA 02109 Investor Servicing Agent Putnam Investor Services Mailing address: P.O. Box 41203 Providence, RI 02940-1203 1-800-225-1581 Custodian Putnam Fiduciary Trust Company Legal counsel Ropes & Gray Independent Accountants Arthur Andersen LLP PricewaterhouseCoopers LLP Trustees John A. Hill, Chairman, Jameson Adkins Baxter, Charles B. Curtis, Ronald J. Jackson, Paul L. Joskow, Elizabeth T. Kennan, Lawrence J. Lasser, John H. Mullin III, Robert E. Patterson, George Putnam, III, A.J.C. Smith, W. Thomas Stephens, W. Nicholas Thorndike AN505 80115 2/02 PUTNAM INVESTMENTS This report has been prepared for the shareholders of Putnam Variable Trust. It is not authorized for other distribution unless preceded or accompanied by an effective prospectus that describes the trust's policies, charges, and other matters of interest for the prospective investor. -----END PRIVACY-ENHANCED MESSAGE-----