UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21682
BB&T Variable Insurance Funds
(Exact name of registrant as specified in charter)
434 Fayetteville Street Mall, 5th Floor
Raleigh, NC 27626-0575
(Address of principal executive offices) (Zip code)
Keith Karlawish, President
BB&T Variable Insurance Funds
434 Fayetteville Street Mall, 5th Floor
Raleigh, NC 27601-0575
(Name and address of agent for service)
registrant’s telephone number, including area code: (800) 228-1872
Date of fiscal year end: December 31
Date of reporting period: June 30, 2007
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
BB&T Variable Insurance Funds
2 | ||
3 | ||
Schedule of Portfolio Investments | ||
4 | ||
5 | ||
6 | ||
7 | ||
8 | ||
12 | ||
18 | ||
24 |
Summary of Portfolio Holdings (Unaudited)
June 30, 2007
The BB&T Variable Insurance Funds portfolio composition was as follows at June 30, 2007:
Percentage of net assets | |||
BB&T Large Cap VIF | |||
Consumer Discretionary | 15.3 | % | |
Consumer Staples | 8.3 | % | |
Energy | 10.8 | % | |
Financials | 18.6 | % | |
Health Care | 18.3 | % | |
Industrials | 6.1 | % | |
Information Technology | 19.9 | % | |
Materials | 1.3 | % | |
Utilities | 0.6 | % | |
Short-Term Investments* | 16.3 | % | |
115.5 | % | ||
BB&T Mid Cap Growth VIF | |||
Consumer Discretionary | 17.6 | % | |
Consumer Staples | 4.6 | % | |
Energy | 10.2 | % | |
Financials | 7.4 | % | |
Health Care | 7.5 | % | |
Industrials | 19.2 | % | |
Information Technology | 20.2 | % | |
Materials | 3.4 | % | |
Telecommunication Services | 5.4 | % | |
Utilities | 1.3 | % | |
Short-Term Investments* | 47.0 | % | |
143.8 | % | ||
BB&T Capital Manager Equity VIF | |||
BB&T Equity Index Fund | 9.5 | % | |
BB&T International Equity Fund | 14.7 | % | |
BB&T Large Cap Fund | 38.3 | % | |
BB&T Mid Cap Growth Fund | 10.6 | % | |
BB&T Mid Cap Value Fund | 15.8 | % | |
BB&T Small Cap Fund | 8.2 | % | |
BB&T U.S. Treasury Money Market Fund | 2.9 | % | |
100.0 | % | ||
BB&T Special Opportunities Equity VIF | |||
Consumer Discretionary | 9.2 | % | |
Consumer Staples | 4.7 | % | |
Energy | 15.9 | % | |
Financials | 5.0 | % | |
Health Care | 19.1 | % | |
Industrials | 7.9 | % | |
Information Technology | 23.8 | % | |
Materials | 10.4 | % | |
Short-Term Investments* | 37.6 | % | |
133.6 | % | ||
BB&T Total Return Bond VIF | |||
Asset Backed Securities | 10.5 | % | |
Commercial Mortgage-Backed Securities | 7.5 | % | |
Corporate Bonds | 15.7 | % | |
Federal Home Loan Mortgage Corp. — Collateralized Mortgage Obligations | 0.9 | % | |
Federal National Mortgage Association — Collateralized Mortgage Obligations | 1.9 | % | |
Federal Home Loan Mortgage Corp. — Mortgage-Backed Securities | 12.8 | % | |
Federal National Mortgage Association — Mortgage-Backed Securities | 20.6 | % | |
Government National Mortgage Association | 0.8 | % | |
Federal Home Loan Bank | 2.8 | % | |
Federal Home Loan Mortgage Corp. — U.S. Government Agencies | 1.9 | % | |
Federal National Mortgage Association — U.S. Government Agencies | 6.5 | % | |
Municipal Bonds | 2.6 | % | |
U.S. Treasury Notes | 21.1 | % | |
Short-Term Investments* | 36.1 | % | |
141.7 | % | ||
* | Short-Term Investments represents the Repurchase Agreement and the invested cash collateral received in connection with securities lending (see Note 2). |
2
Expense Example (Unaudited)
June 30, 2007
As a shareholder of the BB&T Variable Insurance Funds, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees; and other Fund expenses.
These examples are intended to help you understand your ongoing costs (in dollars) of investing in the BB&T Variable Insurance Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2007 through June 30, 2007.
Actual Example
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/07 | Ending Account Value 6/30/07 | Expenses Paid During Period* 1/1/07 – 6/30/07 | Expense Ratio During Period 1/1/07 – 06/30/07 | |||||||||
BB&T Large Cap VIF | $ | 1,000.00 | $ | 1,054.40 | $ | 3.92 | 0.77 | % | ||||
BB&T Mid Cap Growth VIF | 1,000.00 | 1,160.30 | 4.07 | 0.76 | % | |||||||
BB&T Capital Manager Equity VIF | 1,000.00 | 1,071.50 | 0.92 | 0.18 | % | |||||||
BB&T Special Opportunities Equity VIF | 1,000.00 | 1,141.30 | 5.68 | 1.07 | % | |||||||
BB&T Total Return Bond VIF | 1,000.00 | 1,003.80 | 3.92 | 0.79 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each BB&T Variable Insurance Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 1/1/07 | Ending Account Value 6/30/07 | Expenses Paid During Period* 1/1/07 – 6/30/07 | Expense Ratio During Period 1/1/07 – 6/30/07 | |||||||||
BB&T Large Cap VIF | $ | 1,000.00 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||
BB&T Mid Cap Growth VIF | 1,000.00 | 1,021.03 | 3.81 | 0.76 | % | |||||||
BB&T Capital Manager Equity VIF | 1,000.00 | 1,023.90 | 0.90 | 0.18 | % | |||||||
BB&T Special Opportunities Equity VIF | 1,000.00 | 1,019.49 | 5.36 | 1.07 | % | |||||||
BB&T Total Return Bond VIF | 1,000.00 | 1,020.88 | 3.96 | 0.79 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. |
3
Schedule of Portfolio Investments
June 30, 2007 (Unaudited)
Shares | Fair Value | |||||
COMMON STOCKS (99.2%) | ||||||
Consumer Discretionary (15.3%) | ||||||
1 | Citadel Broadcasting Corp. | $ | 2 | |||
79,177 | Home Depot, Inc. (The) | 3,115,615 | ||||
49,859 | Target Corp. | 3,171,033 | ||||
100,589 | Tiffany & Co.(b) | 5,337,252 | ||||
76,764 | Time Warner, Inc.(b) | 1,615,115 | ||||
88,459 | Walt Disney Co. (The)(b) | 3,019,990 | ||||
16,259,007 | ||||||
Consumer Staples (8.3%) | ||||||
18,864 | Altria Group, Inc. | 1,323,121 | ||||
105,484 | Kraft Foods, Inc., Class A | 3,718,311 | ||||
61,174 | Procter & Gamble Co. | 3,743,237 | ||||
8,784,669 | ||||||
Energy (10.8%) | ||||||
29,805 | Anadarko Petroleum Corp. | 1,549,562 | ||||
44,832 | Chevron Corp. | 3,776,648 | ||||
36,121 | ConocoPhillips | 2,835,498 | ||||
39,471 | Exxon Mobil Corp. | 3,310,828 | ||||
11,472,536 | ||||||
Financials (18.6%) | ||||||
45,113 | American International Group, Inc. | 3,159,263 | ||||
34,027 | Bank of New York Mellon Corp. (The)(a) | 1,410,079 | ||||
61,788 | Citigroup, Inc. | 3,169,107 | ||||
69,109 | JPMorgan Chase & Co. | 3,348,331 | ||||
25,850 | Merrill Lynch & Co., Inc. | 2,160,543 | ||||
135,801 | Progressive Corp. (The) | 3,249,718 | ||||
40,628 | Travelers Cos., Inc. (The) | 2,173,598 | ||||
29,620 | Wells Fargo & Co. | 1,041,735 | ||||
19,712,374 | ||||||
Health Care (18.3%) | ||||||
49,330 | Amgen, Inc.(a) | 2,727,456 | ||||
49,322 | Eli Lilly & Co. | 2,756,113 | ||||
76,167 | Johnson & Johnson | 4,693,411 | ||||
61,938 | Medtronic, Inc. | 3,212,105 | ||||
69,109 | Merck & Co., Inc. | 3,441,628 | ||||
98,595 | Pfizer, Inc. | 2,521,074 | ||||
19,351,787 | ||||||
Industrials (6.1%) | ||||||
85,956 | General Electric Co. | 3,290,396 | ||||
64,990 | USG Corp.(a)(b) | 3,187,109 | ||||
6,477,505 | ||||||
Information Technology (19.9%) | ||||||
142,422 | Cisco Systems, Inc.(a) | 3,966,453 | ||||
114,896 | Dell, Inc.(a) | 3,280,281 | ||||
78,458 | eBay, Inc.(a) | 2,524,778 | ||||
191,577 | Intel Corp. | 4,551,870 | ||||
33,071 | Microsoft Corp. | 974,602 | ||||
62,205 | QUALCOMM, Inc. | 2,699,075 | ||||
112,371 | Yahoo!, Inc.(a)(b) | 3,048,625 | ||||
21,045,684 | ||||||
Materials (1.3%) | ||||||
34,294 | Alcoa, Inc. | 1,389,936 | ||||
Utilities (0.6%) | ||||||
32,954 | Duke Energy Corp. | 603,058 | ||||
Total Common Stocks | 105,096,556 | |||||
Principal | ||||||
REPURCHASE AGREEMENT (0.8%) | ||||||
$ 831,706 | U.S. Bank N.A., 5.05%, dated 6/29/07, maturing 7/2/07, with a maturity value of $832,056 (Collateralized fully by U.S. Government Agencies) | 831,706 | ||||
Total Repurchase Agreement | 831,706 | |||||
Shares | ||||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (15.5%) | ||||||
16,446,319 | Mount Vernon Securities Lending Prime Portfolio | 16,446,319 | ||||
Total Securities Held as Collateral for Securities on Loan | 16,446,319 | |||||
Total Investments — 115.5% | 122,374,581 | |||||
Net Other Assets (Liabilities) — (15.5)% | (16,430,684 | ) | ||||
NET ASSETS — 100.0% | $ | 105,943,897 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
4
Schedule of Portfolio Investments
June 30, 2007 (Unaudited)
Shares | Fair Value | |||||
COMMON STOCKS (96.8%) | ||||||
Consumer Discretionary (17.6%) | ||||||
5,525 | Chipotle Mexican Grill, Inc., Class A(a)(b) | $ | 471,172 | |||
8,100 | Coach, Inc.(a) | 383,859 | ||||
18,750 | Crocs, Inc.(a)(b) | 806,813 | ||||
13,150 | Focus Media Holding, Ltd., ADR(a)(b) | 664,075 | ||||
17,250 | GameStop Corp., Class A(a) | 674,475 | ||||
13,350 | Guess?, Inc.(b) | 641,334 | ||||
14,875 | Hilton Hotels Corp. | 497,866 | ||||
8,025 | J. Crew Group, Inc.(a) | 434,072 | ||||
7,900 | Phillips-Van Heusen Corp.(b) | 478,503 | ||||
5,052,169 | ||||||
Consumer Staples (4.6%) | ||||||
10,500 | Bare Escentuals, Inc.(a) | 358,575 | ||||
10,850 | Fomento Economico Mexicano S.A.B de C.V., ADR | 426,622 | ||||
12,275 | Hansen Natural Corp.(a) | 527,579 | ||||
1,312,776 | ||||||
Energy (10.2%) | ||||||
8,950 | Cameron International Corp.(a)(b) | 639,656 | ||||
6,275 | Core Laboratories N.V.(a) | 638,105 | ||||
5,075 | Diamond Offshore Drilling, Inc. | 515,417 | ||||
4,550 | National Oilwell Varco, Inc.(a) | 474,292 | ||||
6,425 | Transocean, Inc.(a)(b) | 680,922 | ||||
2,948,392 | ||||||
Financials (7.4%) | ||||||
3,950 | Affiliated Managers Group, Inc.(a)(b) | 508,602 | ||||
6,000 | AllianceBernstein Holding L.P. | 522,540 | ||||
790 | Chicago Mercantile Exchange Holdings, Inc., Class A(b) | 422,145 | ||||
2,525 | IntercontinentalExchange, Inc.(a)(b) | 373,321 | ||||
11,800 | Invecso PLC, ADR | 305,030 | ||||
2,131,638 | ||||||
Health Care (7.5%) | ||||||
7,750 | Celgene Corp.(a)(b) | 444,308 | ||||
8,450 | Cerner Corp.(a)(b) | 468,721 | ||||
11,800 | Hologic, Inc.(a)(b) | 652,658 | ||||
11,325 | Thermo Fisher Scientific, Inc.(a)(b) | 585,729 | ||||
2,151,416 | ||||||
Industrials (19.2%) | ||||||
19,950 | ABB, Ltd., ADR(b) | 450,870 | ||||
22,550 | BE Aerospace, Inc.(a)(b) | 931,315 | ||||
16,775 | Chicago Bridge & Iron Co. N.V. | 633,088 | ||||
8,625 | Corrections Corp. of America(a) | 544,324 | ||||
9,550 | Joy Global, Inc.(b) | 557,052 | ||||
7,350 | Manitowoc Co., Inc. (The) | 590,793 | ||||
9,200 | Monster Worldwide, Inc.(a) | 378,120 | ||||
5,725 | Precision Castparts Corp.(b) | 694,786 | ||||
11,700 | SunPower Corp., Class A(a)(b) | 737,685 | ||||
5,518,033 | ||||||
Information Technology (20.2%) | ||||||
22,875 | Activision, Inc.(a)(b) | 427,076 | ||||
9,850 | Akamai Technologies, Inc.(a)(b) | 479,104 | ||||
14,100 | Amphenol Corp., Class A(b) | 502,665 | ||||
4,000 | Apple, Inc.(a) | 488,160 | ||||
18,272 | Ciena Corp.(a)(b) | 660,167 | ||||
4,975 | Cognizant Technology Solutions Corp., Class A(a) | 373,573 | ||||
1,040 | Google, Inc., Class A(a) | 544,315 | ||||
7,375 | MEMC Electronic Materials, Inc.(a) | 450,760 | ||||
9,200 | MICROS Systems, Inc.(a)(b) | 500,480 | ||||
14,250 | Polycom, Inc.(a) | 478,800 | ||||
14,062 | Varian Semiconductor Equipment Associates, Inc.(a) | 563,324 | ||||
10,000 | Verifone Holdings, Inc.(a)(b) | 352,500 | ||||
5,820,924 | ||||||
Materials (3.4%) | ||||||
10,650 | Companhia Vale do Rio Doce, ADR(b) | 474,457 | ||||
16,200 | Titanium Metals Corp.(a)(b) | 516,780 | ||||
991,237 | ||||||
Telecommunication Services (5.4%) | ||||||
10,800 | American Tower Corp., Class A(a) | 453,600 | ||||
7,900 | NII Holdings, Inc.(a) | 637,846 | ||||
22,900 | Time Warner Telecom, Inc., Class A(a)(b) | 460,290 | ||||
1,551,736 | ||||||
Utilities (1.3%) | ||||||
7,550 | Allegheny Energy, Inc.(a) | 390,637 | ||||
Total Common Stocks | 27,868,958 | |||||
Principal | ||||||
REPURCHASE AGREEMENT (3.3%) | ||||||
$ 936,893 | U.S. Bank N.A., 5.05%, dated 6/29/07, maturing 7/2/07, with a maturity value of $937,287 (Collateralized fully by U.S. Government Agencies) | 936,893 | ||||
Total Repurchase Agreement | 936,893 | |||||
Shares | ||||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (43.7%) | ||||||
12,580,207 | Mount Vernon Securities Lending Prime Portfolio | 12,580,207 | ||||
Total Securities Held as Collateral for Securities on Loan | 12,580,207 | |||||
Total Investments — 143.8% | 41,386,058 | |||||
Net Other Assets (Liabilities) — (43.8)% | (12,606,373 | ) | ||||
NET ASSETS — 100.0% | $ | 28,779,685 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
5
BB&T Capital Manager Equity VIF
Schedule of Portfolio Investments
June 30, 2007 (Unaudited)
Shares | Fair Value | |||||
AFFILIATED INVESTMENT COMPANIES (100.0%) | ||||||
187,791 | BB&T Equity Index Fund, Institutional Class | $ | 1,887,297 | |||
220,191 | BB&T International Equity Fund, Institutional Class | 2,919,730 | ||||
393,134 | BB&T Large Cap Fund, Institutional Class | 7,634,666 | ||||
148,941 | BB&T Mid Cap Growth Fund, Institutional Class | 2,109,011 | ||||
204,261 | BB&T Mid Cap Value Fund, Institutional Class | 3,155,836 | ||||
99,551 | BB&T Small Cap Fund, Institutional Class | 1,639,612 | ||||
577,363 | BB&T U.S. Treasury Money Market Fund, Institutional Class | 577,363 | ||||
Total Affiliated Investment Companies | 19,923,515 | |||||
Total Investments — 100.0% | 19,923,515 | |||||
Net Other Assets (Liabilities) — 0.0% | (7,711 | ) | ||||
NET ASSETS — 100.0% | $ | 19,915,804 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
6
BB&T Special Opportunities Equity VIF
Schedule of Portfolio Investments
June 30, 2007 (Unaudited)
Shares | Fair Value | ||||
COMMON STOCKS (96.0%) | |||||
Consumer Discretionary (9.2%) | |||||
29,900 | Comcast Corp., Class A(a)(b) | $ | 840,788 | ||
32,800 | News Corp., Class A | 695,688 | |||
53,000 | XM Satellite Radio Holdings, Inc., Class A(a)(b) | 623,810 | |||
19,800 | Yum! Brands, Inc. | 647,856 | |||
2,808,142 | |||||
Consumer Staples (4.7%) | |||||
8,000 | Costco Wholesale Corp.(b) | 468,160 | |||
30,990 | Smithfield Foods, Inc.(a) | 954,182 | |||
1,422,342 | |||||
Energy (15.9%) | |||||
10,600 | Apache Corp. | 864,854 | |||
24,000 | CONSOL Energy, Inc. | 1,106,640 | |||
22,000 | Nabors Industries, Ltd.(a)(b) | 734,360 | |||
10,600 | Noble Corp. | 1,033,712 | |||
20,600 | Weatherford International, Ltd.(a) | 1,137,944 | |||
4,877,510 | |||||
Financials (5.0%) | |||||
18,500 | E*Trade Financial Corp.(a) | 408,665 | |||
1,100 | Markel Corp.(a) | 533,016 | |||
16,800 | Wells Fargo & Co. | 590,856 | |||
1,532,537 | |||||
Health Care (19.1%) | |||||
19,000 | Amgen, Inc.(a) | 1,050,510 | |||
8,600 | Coventry Health Care, Inc.(a) | 495,790 | |||
17,500 | McKesson Corp. | 1,043,700 | |||
8,638 | MedCath Corp.(a) | 274,688 | |||
27,000 | Teva Pharmaceutical Industries, Ltd., ADR(b) | 1,113,750 | |||
13,500 | UnitedHealth Group, Inc. | 690,390 | |||
28,000 | Varian Medical Systems, Inc.(a)(b) | 1,190,280 | |||
5,859,108 | |||||
Industrials (7.9%) | |||||
25,000 | J.B. Hunt Transport Services, Inc.(b) | 733,000 | |||
8,000 | L-3 Communications Holdings, Inc. | 779,120 | |||
61,500 | Southwest Airlines Co.(b) | 916,965 | |||
2,429,085 | |||||
Information Technology (23.8%) | |||||
21,600 | Activision, Inc.(a) | 403,272 | |||
6,000 | Akamai Technologies, Inc.(a) | 291,840 | |||
90,000 | ARM Holdings PLC, ADR(b) | 787,500 | |||
26,500 | CheckFree Corp.(a)(b) | 1,065,300 | |||
39,000 | Corning, Inc.(a)(b) | 996,450 | |||
17,000 | Digital River, Inc.(a)(b) | 769,250 | |||
13,200 | Fair Isaac Corp. | 529,584 | |||
13,000 | Harris Corp. | 709,150 | |||
37,450 | Symantec Corp.(a)(b) | 756,490 | |||
35,700 | Yahoo!, Inc.(a)(b) | 968,541 | |||
7,277,377 | |||||
Materials (10.4%) | |||||
22,000 | Aracruz Celulose SA, ADR | 1,457,280 | |||
17,400 | Dow Chemical Co. (The) | 769,428 | |||
35,000 | Nalco Holding Co.(b) | 960,750 | |||
3,187,458 | |||||
Total Common Stocks | 29,393,559 | ||||
Principal | |||||
REPURCHASE AGREEMENT (4.2%) | |||||
$ 1,268,271 | U.S. Bank N.A., 5.05%, dated 6/29/07, maturing 7/2/07, with a maturity value of $1,268,805 (Collateralized fully by U.S. Government Agencies) | 1,268,271 | |||
Total Repurchase Agreement | 1,268,271 | ||||
Shares | |||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (33.4%) | |||||
10,219,310 | Mount Vernon Securities Lending Prime Portfolio | 10,219,310 | |||
Total Securities Held as Collateral for Securities on Loan | 10,219,310 | ||||
Total Investments — 133.6% | 40,881,140 | ||||
Net Other Assets (Liabilities) — (33.6)% | (10,274,286) | ||||
NET ASSETS — 100.0% | $ | 30,606,854 | |||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
7
Schedule of Portfolio Investments
June 30, 2007 (Unaudited)
Principal | Fair Value | ||||
ASSET BACKED SECURITIES (10.5%) | |||||
$105,000 | American Express Credit Account Master Trust, Series 2003-2, Class A, 5.430%, 10/15/10*(c) | $ | 105,104 | ||
28,000 | American Express Credit Account Master Trust, Series 2005-6, Class A, 5.320%, 3/15/11*(c) | 27,955 | |||
260,000 | Capital One Master Trust, Series 2001-1, Class A, 5.520%, 12/15/10* | 260,457 | |||
52,000 | Centex Home Equity, Series 2005-C, Class AF6 STEP, 4.638%, 6/25/35(c) | 48,971 | |||
34,000 | Chase Credit Card Master Trust, Series 2003-3, Class A, 5.430%, 10/15/10*(c) | 34,042 | |||
160,000 | Chase Credit Card Master Trust, Series 2003-6, Class A, 5.430%, 2/15/11*(c) | 160,243 | |||
98,000 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4, Class 1A5 STEP, 5.416%, 5/25/33(c) | 93,241 | |||
58,000 | Citibank Credit Card Issuance Trust, Series 2003-A1, Class A1, 5.456%, 1/15/10*(c) | 58,040 | |||
161,000 | Discover Card Master Trust I, Series 2003-4, Class A1, 5.430%, 5/15/11* | 161,261 | |||
161,000 | MBNA Credit Card Master Note Trust, Series 2003-A9, Class A9, 5.450%, 2/15/11*(c) | 161,287 | |||
Total Asset Backed Securities | 1,110,601 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (2.8%) | |||||
Federal Home Loan Mortgage Corp. (0.9%) | |||||
50,269 | 5.000%, 8/15/31, Series 3025, Class AB | 49,037 | |||
51,382 | 5.500%, 7/15/16, Series 3061, Class VU | 51,257 | |||
100,294 | |||||
Federal National Mortgage Association (1.9%) | |||||
40,573 | 4.000%, 1/25/18, Series 2003-35, Class NA | 38,624 | |||
114,884 | 5.000%, 5/25/22, Series 2003-79, Class NX | 112,331 | |||
45,589 | 5.500%, 10/25/24, Series 2006-18, Class CA | 45,220 | |||
196,175 | |||||
Total Collateralized Mortgage Obligations | 296,469 | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (7.5%) | |||||
25,000 | Banc of America Commercial Mortgage, Inc., Series 2004-6, Class A5, 4.811%, 12/10/42 | 23,603 | |||
37,000 | Banc of America Commercial Mortgage, Inc., Series 2006-5, Class A3, 5.390%, 9/10/47 | 36,266 | |||
125,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class A3, 5.607%, 10/15/48(c) | 123,965 | |||
70,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A3, 5.293%, 12/11/49 | 68,124 | |||
40,000 | CS First Boston Mortgage Securities Corp., Series 2005-C5, Class AAB, 5.100%, 8/15/38* | 38,788 | |||
90,000 | GE Capital Commercial Mortgage Corp., Series 2005-C4, Class A4, 5.512%, 11/10/45* | 87,538 | |||
244,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class A3B, 5.579%, 5/12/45(c) | 241,139 | |||
84,000 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A2, 5.134%, 5/15/47(c) | 80,425 | |||
28,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A3, 5.389%, 7/12/46* | 27,474 | |||
70,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A2, 5.167%, 12/15/43(c) | 68,555 | |||
Total Commercial Mortgage-Backed Securities | 795,877 | ||||
CORPORATE BONDS (15.7%) | |||||
Consumer Discretionary (0.9%) | |||||
48,000 | Historic TW, Inc., 9.125%, 1/15/13 | 55,137 | |||
44,000 | Time Warner, Inc., 5.875%, 11/15/16 | 42,795 | |||
97,932 | |||||
Financials (6.8%) | |||||
100,000 | Bank of America Corp., 5.370%, 2/12/10* | 100,028 | |||
34,000 | Bank of America Corp., 5.625%, 10/14/16 | 33,470 | |||
32,000 | Capital One Financial Corp., 5.500%, 6/1/15 | 30,888 | |||
28,000 | ERP Operating LP, 5.125%, 3/15/16 | 26,437 | |||
55,000 | GATX Financial Corp., 5.125%, 4/15/10 | 54,302 | |||
100,000 | General Electric Capital Corp., MTN, Series A, 6.000%, 6/15/12 | 101,784 | |||
31,000 | General Electric Capital Corp., MTN, Series A, 5.000%, 1/8/16 | 29,366 | |||
52,000 | Goldman Sachs Group, Inc. (The), 5.125%, 1/15/15 | 49,412 | |||
40,000 | Lehman Brothers Holdings, Inc., MTN, Series G, 4.800%, 3/13/14 | 37,750 | |||
22,000 | Merrill Lynch & Co., MTN, Series C, 5.450%, 7/15/14 | 21,517 | |||
98,000 | Prudential Financial, Inc., MTN, Series B, 5.100%, 9/20/14 | 93,895 | |||
35,000 | Ventas Realty LP/Ventas Capital Corp. REIT, 6.750%, 4/1/17 | 34,563 | |||
100,000 | Wachovia Bank N.A., 5.360%, 2/23/09* | 100,015 | |||
713,427 | |||||
Health Care (0.7%) | |||||
78,000 | Cardinal Health, Inc., 4.000%, 6/15/15 | 67,725 | |||
Industrials (0.8%) | |||||
29,000 | Corrections Corp. of America, 6.250%, 3/15/13 | 27,840 | |||
60,000 | Goodrich (BF) Corp., 6.290%, 7/1/16 | 61,278 | |||
89,118 | |||||
Information Technology (5.0%) | |||||
128,000 | Cisco Systems, Inc., 5.500%, 2/22/16 | 124,903 | |||
55,000 | Electronic Data Systems Corp., Series B, 6.500%, 8/1/13 | 54,359 | |||
110,000 | Hewlett-Packard Co., 5.400%, 3/1/17 | 106,378 | |||
94,000 | New Cingular Wireless Services, Inc., 8.125%, 5/1/12(c) | 103,357 | |||
107,000 | Oracle Corp. and Ozark Holding, Inc., 5.000%, 1/15/11 | 105,459 |
Continued
8
BB&T Total Return Bond VIF
Schedule of Portfolio Investments — (continued)
June 30, 2007 (Unaudited)
Principal | Fair Value | ||||
CORPORATE BONDS — (continued) | |||||
Information Technology — (continued) | |||||
$ 35,000 | Oracle Corp. and Ozark Holding, Inc., 5.250%, 1/15/16 | $ | 33,560 | ||
528,016 | |||||
Utilities (1.5%) | |||||
88,000 | FirstEnergy Corp., Series B, 6.450%, 11/15/11 | 90,237 | |||
24,000 | Ohio Power Co., Series K, 6.000%, 6/1/16 | 24,023 | |||
45,000 | TECO Energy, Inc., 7.500%, 6/15/10 | 46,813 | |||
161,073 | |||||
Total Corporate Bonds | 1,657,291 | ||||
MORTGAGE-BACKED SECURITIES (34.2%) | |||||
Federal Home Loan Mortgage Corp. (12.8%) | |||||
134,040 | 6.000%, 10/1/19, Pool #G11679 | 135,215 | |||
22,349 | 5.500%, 11/1/20, Pool #J02711 | 22,029 | |||
56,719 | 5.500%, 10/1/21, Pool #G12425(b) | 55,877 | |||
63,824 | 5.500%, 11/1/21, Pool #G12454 | 62,877 | |||
68,593 | 5.000%, 1/1/22, Pool #J04202 | 66,290 | |||
119,575 | 5.000%, 5/1/22, Pool #J04788 | 115,560 | |||
42,802 | 4.500%, 6/1/35, Pool #G01842 | 38,955 | |||
39,017 | 5.500%, 7/1/35, Pool #A36540 | 37,719 | |||
23,067 | 6.000%, 7/1/35, Pool #A36304 | 22,895 | |||
22,289 | 5.500%, 12/1/35, Pool #A40359 | 21,547 | |||
70,911 | 5.500%, 2/1/36, Pool #G08111 | 68,427 | |||
52,502 | 5.500%, 4/1/36, Pool #A44445(b) | 50,663 | |||
122,762 | 5.936%, 12/1/36, Pool #1J1390* | 122,570 | |||
82,302 | 5.975%, 1/1/37, Pool #1Q0192* | 82,582 | |||
109,613 | 5.500%, 4/1/37, Pool #G08192 | 105,721 | |||
69,796 | 6.000%, 4/1/37, Pool #A58853 | 69,158 | |||
52,000 | 5.000%, 7/1/37(d) | 48,734 | |||
230,000 | 6.000%, 7/1/37(d) | 227,844 | |||
1,354,663 | |||||
Federal National Mortgage Association (20.6%) | |||||
27,950 | 4.500%, 10/1/18, Pool #752030 | 26,632 | |||
18,248 | 5.500%, 11/1/20, Pool #843972 | 17,991 | |||
22,151 | 5.500%, 12/1/20, Pool #831138 | 21,839 | |||
52,035 | 5.500%, 5/1/21, Pool #895628 | 51,303 | |||
70,907 | 5.500%, 6/1/21, Pool #831526 | 69,872 | |||
190,000 | 6.000%, 7/1/22(d) | 190,831 | |||
60,188 | 5.000%, 10/1/25, Pool #255894 | 57,325 | |||
68,510 | 5.500%, 2/1/27, Pool #256600(b) | 66,727 | |||
278,099 | 5.500%, 1/1/34, Pool #757571 | 269,448 | |||
64,429 | 6.000%, 9/1/34, Pool #790912 | 63,957 | |||
69,963 | 6.500%, 9/1/34, Pool #796569 | 70,975 | |||
39,402 | 7.000%, 6/1/35, Pool #255820 | 40,463 | |||
118,740 | 5.000%, 11/1/35, Pool #842402 | 111,561 | |||
29,929 | 5.500%, 2/1/36, Pool #256101 | 28,940 | |||
43,056 | 5.622%, 5/1/36, Pool #871259* | 42,548 | |||
46,998 | 5.448%, 6/1/36, Pool #905183* | 46,657 | |||
73,815 | 5.500%, 12/1/36, Pool #922224 | 71,229 | |||
69,741 | 6.000%, 12/1/36, Pool #902054 | 69,034 | |||
138,972 | 5.000%, 1/1/37, Pool #920727 | 130,328 | |||
66,446 | 6.000%, 1/1/37, Pool #906095 | 65,772 | |||
109,766 | 5.000%, 3/1/37, Pool 911395 | 102,850 | |||
98,000 | 6.000%, 6/1/37, Pool #256800 | 96,951 | |||
340,000 | 5.500%, 7/1/37(d) | 327,888 | |||
136,000 | 6.000%, 7/1/37(d) | 134,512 | |||
2,175,633 | |||||
Government National Mortgage Association (0.8%) | |||||
97,000 | 5.000%, 7/1/37(d) | 91,726 | |||
Total Mortgage-Backed Securities | 3,622,022 | ||||
MUNICIPAL BONDS (2.6%) | |||||
California (0.5%) | |||||
65,000 | Fresno, CA, County Pension Obligation Revenue Bonds, Series A (FGIC), 4.198%, 8/15/13 | 61,118 | |||
Florida (0.7%) | |||||
10,000 | Gainesville, FL, Post Employment Benefits Obligation Revenue Bonds, Retiree Health Care Plan (MBIA), 4.680%, 10/1/13 | 9,615 | |||
36,000 | Gainesville, FL, Post Employment Benefits Obligation Revenue Bonds, Retiree Health Care Plan (MBIA), 4.710%, 10/1/14 | 34,315 | |||
13,000 | Palm Beach County, FL, Refunding Land Acquisition G.O., 5.735%, 6/1/12 | 13,167 | |||
13,000 | Palm Beach County, FL, Refunding Land Acquisition G.O., 5.784%, 6/1/13 | 13,212 | |||
70,309 | |||||
Illinois (0.3%) | |||||
30,000 | Chicago, IL, G.O., Series B, OID (XLCA), 5.250%, 1/1/12 | 29,763 | |||
Michigan (0.7%) | |||||
75,000 | Michigan Municipal Bond Authority, MI, Refunding School Loan Revenue Bonds (FGIC), 5.222%, 6/1/14 | 73,653 | |||
Texas (0.4%) | |||||
44,000 | Brownsville, TX, Utilities System Refunding Revenue Bonds, Series B (AMBAC), 4.924%, 9/1/14 | 42,519 | |||
Total Municipal Bonds | 277,362 | ||||
U.S. GOVERNMENT AGENCIES (11.2%) | |||||
Federal Home Loan Bank (2.8%) | |||||
235,000 | 5.250%, 6/11/10(b) | 235,372 | |||
65,000 | 5.250%, 9/13/13 | 64,608 | |||
299,980 | |||||
Federal Home Loan Mortgage Corp. (1.9%) | |||||
200,000 | 4.875%, 11/15/13(b) | 194,811 | |||
194,811 | |||||
Federal National Mortgage Association (6.5%) | |||||
490,000 | 6.125%, 3/15/12(b) | 506,737 | |||
187,000 | 4.625%, 10/15/14(b) | 178,471 | |||
685,208 | |||||
Total U.S. Government Agencies | 1,179,999 | ||||
U.S. TREASURY NOTES (21.1%) | |||||
500,000 | 4.750%, 5/31/12(b) | 496,094 | |||
285,000 | 4.875%, 6/30/12 | 284,221 | |||
480,000 | 4.000%, 2/15/14(b) | 454,388 |
Continued
9
BB&T Total Return Bond VIF
Schedule of Portfolio Investments — (continued)
June 30, 2007 (Unaudited)
Principal | Fair Value | |||||
U.S. TREASURY NOTES — (continued) | ||||||
$1,041,000 | 4.250%, 8/15/14(b) | $ | 995,781 | |||
Total U.S. Treasury Notes | 2,230,484 | |||||
REPURCHASE AGREEMENT (5.7%) | ||||||
604,847 | U.S. Bank N.A., 5.05%, dated 6/29/07, maturing 7/2/07, with a maturity value of $605,102 (Collateralized fully by U.S. Government Agencies) | 604,847 | ||||
Total Repurchase Agreement | 604,847 | |||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (30.4%) | ||||||
3,221,760 | Mount Vernon Securities Lending Prime Portfolio | 3,221,760 | ||||
Total Securities Held as Collateral for Securities on Loan | 3,221,760 | |||||
Total Investments — 141.7% | 14,996,712 | |||||
Net Other Assets (Liabilities) — (41.7)% | (4,409,774 | ) | ||||
NET ASSETS — 100.0% | $ | 10,586,938 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
10
Schedule of Portfolio Investments
Notes to Schedules of Portfolio Investments
June 30, 2007 (Unaudited)
(a) | Represents non-income producing security. |
(b) | Represents that all or a portion of the security was on loan as of June 30, 2007. |
(c) | Represents that all or a portion of the security was pledged as collateral for securities purchased on a when-issued basis. |
(d) | Represents a security purchased on a when-issued basis. At June 30, 2007, total cost of investments purchased on a when-issued basis for the BB&T Total Return Bond VIF was $1,020,884. |
* | The interest rate for this variable rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of June 30, 2007. For bond funds, the maturity date reflected is the final maturity date. |
ADR — American Depository Receipt.
AMBAC — Insured by AMBAC Indemnity Corp.
FGIC — Insured by the Financial Guaranty Insurance Corp.
G.O. — General Obligation.
MBIA — Insured by the Municipal Bond Insurance Association.
MTN — Medium Term Note.
REIT — Real Estate Investment Trust.
SCSDE — South Carolina School District Enhancement.
XLCA — Insured by XL Capital Assurance.
See accompanying notes to the financial statements.
11
Statements of Assets and Liabilities
June 30, 2007 (Unaudited)
BB&T Large Cap | BB&T Mid Cap | BB&T Capital | BB&T Special Equity VIF | BB&T Total Return | ||||||||||||||
Assets: | ||||||||||||||||||
Investments: | ||||||||||||||||||
Unaffiliated investments, at cost | $ | 102,872,618 | $ | 33,493,809 | $ | — | $ | 34,480,408 | $ | 15,136,188 | ||||||||
Investment in affiliates, at cost | — | — | 16,989,339 | — | — | |||||||||||||
Total investments, at cost* | 102,872,618 | 33,493,809 | 16,989,339 | 34,480,408 | 15,136,188 | |||||||||||||
Unrealized appreciation (depreciation) | 19,501,963 | 7,892,249 | 2,934,176 | 6,400,732 | (139,476 | ) | ||||||||||||
Investments, at value | 122,374,581 | 41,386,058 | 19,923,515 | 40,881,140 | 14,996,712 | |||||||||||||
Interest and dividends receivable | 104,331 | 7,432 | 21,036 | 18,213 | 91,277 | |||||||||||||
Receivable for investments sold | 1,839,229 | 272,003 | — | — | 546,388 | |||||||||||||
Receivable for capital shares issued | — | 6 | 273 | — | 45,990 | |||||||||||||
Receivable from Advisor | — | — | 2,458 | — | — | |||||||||||||
Prepaid and other expenses | — | — | — | — | 44 | |||||||||||||
Total Assets | 124,318,141 | 41,665,499 | 19,947,282 | 40,899,353 | 15,680,411 | |||||||||||||
Liabilities: | ||||||||||||||||||
Call options written (premiums received $ —, | — | — | — | 36,260 | — | |||||||||||||
Cash overdraft | — | — | — | — | 8,441 | |||||||||||||
Payable for investments purchased | 1,764,569 | 264,124 | — | — | 1,855,427 | |||||||||||||
Payable for capital shares redeemed | 82,451 | 21,947 | 26,803 | 10,827 | — | |||||||||||||
Payable for collateral received on loaned securities | 16,446,319 | 12,580,207 | — | 10,219,310 | 3,221,760 | |||||||||||||
Accrued expenses and other payables: | ||||||||||||||||||
Investment advisory fees | 38,485 | 11,870 | — | 18,449 | 3,250 | |||||||||||||
Administration fees | 4,890 | 1,288 | — | 1,397 | 503 | |||||||||||||
Compliance service fees | 147 | 13 | — | 14 | 7 | |||||||||||||
Transfer agency fees | 9,191 | 2,221 | 1,607 | 2,307 | 699 | |||||||||||||
Other fees | 28,192 | 4,144 | 3,068 | 3,935 | 3,386 | |||||||||||||
Total Liabilities | 18,374,244 | 12,885,814 | 31,478 | 10,292,499 | 5,093,473 | |||||||||||||
Net Assets: | ||||||||||||||||||
Capital | 68,898,292 | 17,218,882 | 14,698,820 | 21,475,777 | 10,823,187 | |||||||||||||
Accumulated undistributed net investment income (loss) | 13,017 | (2,593 | ) | 18,376 | (7,601 | ) | 166,075 | |||||||||||
Accumulated realized gains (losses) from investments and written options | 17,530,625 | 3,671,147 | 2,264,432 | 2,695,468 | (262,848 | ) | ||||||||||||
Net unrealized appreciation/(depreciation) on investments and written options | 19,501,963 | 7,892,249 | 2,934,176 | 6,443,210 | (139,476 | ) | ||||||||||||
Net Assets | $ | 105,943,897 | $ | 28,779,685 | $ | 19,915,804 | $ | 30,606,854 | $ | 10,586,938 | ||||||||
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value) | 6,056,155 | 1,636,522 | 1,607,910 | 1,779,195 | 1,097,079 | |||||||||||||
Net Asset Value — offering and redemption price per share | $ | 17.49 | $ | 17.59 | $ | 12.39 | $ | 17.20 | $ | 9.65 | ||||||||
* | The BB&T Large Cap VIF, BB&T Mid Cap Growth VIF, BB&T Special Opportunities Equity VIF and BB&T Total Return Bond VIF include securities on loan of $16,045,971, $12,263,819, $9,840,705 and $3,163,546, respectively. |
See accompanying notes to the financial statements.
12
BB&T Variable Insurance Funds
Statements of Operations
For the Six Months Ended June 30, 2007 (Unaudited)
BB&T Large Cap VIF | BB&T Mid Cap Growth VIF | BB&T Capital Manager Equity VIF | BB&T Special Opportunities Equity VIF | BB&T Total Return Bond VIF | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest income | $ | 18,852 | $ | 14,943 | $ | — | $ | 28,127 | $ | 215,302 | ||||||||||
Dividend income | 1,034,074 | 45,378 | — | 99,791 | — | |||||||||||||||
Dividend income from affiliates | — | — | 81,754 | — | — | |||||||||||||||
Foreign tax withholding | — | (779 | ) | — | (1,778 | ) | — | |||||||||||||
Income from securities lending | 10,743 | 39,782 | — | 2,938 | 1,250 | |||||||||||||||
Total investment income | 1,063,669 | 99,324 | 81,754 | 129,078 | 216,552 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory fees (See Note 4) | 378,476 | 98,659 | 23,722 | 102,522 | 24,452 | |||||||||||||||
Administration fees (See Note 4) | 54,102 | 14,117 | 6,555 | 13,501 | 4,275 | |||||||||||||||
Compliance service fees (See Note 4) | 6,962 | 1,726 | 1,226 | 1,604 | 497 | |||||||||||||||
Trustee fees | 11,949 | 3,046 | 2,146 | 2,692 | 911 | |||||||||||||||
Audit fees | 21,774 | 5,341 | 3,781 | 4,873 | 1,524 | |||||||||||||||
Custodian fees | 4,010 | 674 | 477 | 642 | 201 | |||||||||||||||
Fund accounting fees (See Note 4) | 5,107 | 1,333 | 949 | 1,282 | 408 | |||||||||||||||
Insurance fees | 9,589 | 2,438 | 1,731 | 2,225 | 663 | |||||||||||||||
Legal fees | 61,504 | 7,260 | 5,177 | 6,676 | 2,004 | |||||||||||||||
Printing fees | 32,106 | 2,496 | 1,766 | 2,277 | 679 | |||||||||||||||
Transfer agent fees (See Note 4) | 12,187 | 3,097 | 2,300 | 3,020 | 1,057 | |||||||||||||||
Other fees | — | 2,148 | 861 | 1,744 | 4,361 | |||||||||||||||
Total expenses before waivers | 597,766 | 142,335 | 50,691 | 143,058 | 41,032 | |||||||||||||||
Less expenses reimbursed or waived by the Investment Advisor | (206,851 | ) | (40,795 | ) | (26,895 | ) | (6,379 | ) | (8,859 | ) | ||||||||||
Less expenses waived by the Administrator | — | — | (6,555 | ) | — | — | ||||||||||||||
Net expenses | 390,915 | 101,540 | 17,241 | 136,679 | 32,173 | |||||||||||||||
Net investment income (loss) | 672,754 | (2,216 | ) | 64,513 | (7,601 | ) | 184,379 | |||||||||||||
Realized/Unrealized Gains (Losses) on Investments and Written Options: | ||||||||||||||||||||
Net realized gains (losses) from: | ||||||||||||||||||||
Investments | 6,413,778 | 509,000 | — | 581,243 | (46,650 | ) | ||||||||||||||
Written Options | — | — | — | 104,565 | — | |||||||||||||||
Affiliated investment transactions | — | — | 250,444 | — | — | |||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||
Investments | (1,479,373 | ) | 3,482,112 | 1,001,299 | 2,714,153 | (138,117 | ) | |||||||||||||
Written Options | — | — | — | 4,231 | — | |||||||||||||||
Net realized/unrealized gains (losses) on investments and written options | 4,934,405 | 3,991,112 | 1,251,743 | 3,404,192 | (184,767 | ) | ||||||||||||||
Change in net assets from operations | $ | 5,607,159 | $ | 3,988,896 | $ | 1,316,256 | $ | 3,396,591 | $ | (388 | ) | |||||||||
See accompanying notes to the financial statements.
13
BB&T Variable Insurance Funds
Statements of Changes in Net Assets
BB&T Large Cap VIF | BB&T Mid Cap Growth VIF | |||||||||||||||
For the Six Months Ended June 30, 2007 (Unaudited) | For the Year Ended December 31, 2006 | For the Six Months Ended June 30, 2007 (Unaudited) | For the Year Ended December 31, 2006 | |||||||||||||
From Investment Activities: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 672,754 | $ | 1,935,959 | $ | (2,216 | ) | $ | 97,117 | |||||||
Net realized gains (losses) on investments, distributions from underlying funds and written options | 6,413,778 | 18,508,713 | 509,000 | 6,928,124 | ||||||||||||
Change in unrealized appreciation/depreciation of investments and written options | (1,479,373 | ) | 1,298,734 | 3,482,112 | (6,370,282 | ) | ||||||||||
Change in net assets from operations | 5,607,159 | 21,743,406 | 3,988,896 | 654,959 | ||||||||||||
Distributions to Shareholders: | ||||||||||||||||
Net investment income | (1,022,919 | ) | (1,597,154 | ) | (377 | ) | (169,918 | ) | ||||||||
Net realized gains from investment transactions | — | — | — | (2,384,160 | ) | |||||||||||
Change in net assets from shareholder distributions | (1,022,919 | ) | (1,597,154 | ) | (377 | ) | (2,554,078 | ) | ||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares issued | 13,959,043 | 3,613,319 | 1,368,407 | 5,338,345 | ||||||||||||
Proceeds from shares issued in conversion (Note 5) | 13,750,356 | — | — | — | ||||||||||||
Distributions reinvested | 1,022,916 | 1,597,154 | 377 | 2,554,078 | ||||||||||||
Value of shares redeemed | (20,515,322 | ) | (12,806,788 | ) | (2,037,819 | ) | (3,965,432 | ) | ||||||||
Redemption In-Kind | — | (33,055,269 | ) | — | (15,658,169 | ) | ||||||||||
Change in net assets from capital transactions | 8,216,993 | (40,651,584 | ) | (669,035 | ) | (11,731,178 | ) | |||||||||
Change in net assets | 12,801,233 | (20,505,332 | ) | 3,319,484 | (13,630,297 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 93,142,664 | 113,647,996 | 25,460,201 | 39,090,498 | ||||||||||||
End of period | $ | 105,943,897 | $ | 93,142,664 | $ | 28,779,685 | $ | 25,460,201 | ||||||||
Accumulated undistributed net investment income (loss) | $ | 13,017 | $ | 363,182 | $ | (2,593 | ) | $ | — | |||||||
Share Transactions: | ||||||||||||||||
Issued | 832,159 | 236,412 | 83,578 | 336,699 | ||||||||||||
Issued in conversion (Note 5) | 810,901 | — | — | — | ||||||||||||
Reinvested | 59,653 | 106,704 | 21 | 175,022 | ||||||||||||
Redeemed | (1,206,074 | ) | (850,964 | ) | (126,609 | ) | (259,014 | ) | ||||||||
Redemption In-Kind | — | (2,053,122 | ) | — | (1,067,360 | ) | ||||||||||
Change in Shares | 496,639 | (2,560,970 | ) | (43,010 | ) | (814,653 | ) | |||||||||
See accompanying notes to the financial statements.
14
BB&T Capital Manager Equity VIF | BB&T Special Opportunities Equity VIF | BB&T Total Return Bond VIF | ||||||||||||||||||||
For the Six Months Ended June 30, 2007 (Unaudited) | For the Year Ended December 31, 2006 | For the Six Months Ended June 30, 2007 (Unaudited) | For the Year Ended December 31, 2006 | For the Six Months Ended June 30, 2007 (Unaudited) | For the Year Ended December 31, 2006 | |||||||||||||||||
$ | 64,513 | $ | 303,744 | $ | (7,601 | ) | $ | (16,818 | ) | $ | 184,379 | $ | 838,101 | |||||||||
250,444 | 2,638,203 | 685,808 | 6,508,365 | (46,650 | ) | (30,159 | ) | |||||||||||||||
1,001,299 | 327,925 | 2,718,384 | 767,928 | (138,117 | ) | 124,775 | ||||||||||||||||
1,316,256 | 3,269,872 | 3,396,591 | 7,259,475 | (388 | ) | 932,717 | ||||||||||||||||
(141,365 | ) | (252,133 | ) | — | (20,982 | ) | (183,287 | ) | (831,872 | ) | ||||||||||||
— | (1,067,700 | ) | — | (1,809,941 | ) | — | — | |||||||||||||||
(141,365 | ) | (1,319,833 | ) | — | (1,830,923 | ) | (183,287 | ) | (831,872 | ) | ||||||||||||
1,618,559 | 4,965,546 | 6,710,538 | 6,523,307 | 4,201,155 | 4,002,998 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
141,364 | 1,319,833 | — | 1,830,923 | 209,099 | 831,872 | |||||||||||||||||
(1,241,457 | ) | (1,316,172 | ) | (794,020 | ) | (1,373,589 | ) | (406,767 | ) | (583,849 | ) | |||||||||||
— | (17,418,807 | ) | — | (22,883,690 | ) | — | (16,361,455 | ) | ||||||||||||||
518,466 | (12,449,600 | ) | 5,916,518 | (15,903,049 | ) | 4,003,487 | (12,110,434 | ) | ||||||||||||||
1,693,357 | (10,499,561 | ) | 9,313,109 | (10,474,497 | ) | 3,819,812 | (12,009,589 | ) | ||||||||||||||
18,222,447 | 28,722,008 | 21,293,745 | 31,768,242 | 6,767,126 | 18,776,715 | |||||||||||||||||
$ | 19,915,804 | $ | 18,222,447 | $ | 30,606,854 | $ | 21,293,745 | $ | 10,586,938 | $ | 6,767,126 | |||||||||||
$ | 18,376 | $ | 95,228 | $ | (7,601 | ) | $ | — | $ | 166,075 | $ | 164,983 | ||||||||||
135,814 | 452,112 | 414,356 | 472,777 | 429,054 | 408,945 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
11,959 | 124,570 | — | 137,514 | 21,354 | 84,905 | |||||||||||||||||
(103,391 | ) | (119,628 | ) | (48,253 | ) | (99,525 | ) | (41,450 | ) | (59,822 | ) | |||||||||||
— | (1,626,406 | ) | — | (1,599,140 | ) | — | (1,637,783 | ) | ||||||||||||||
44,382 | (1,169,352 | ) | 366,103 | (1,088,374 | ) | 408,958 | (1,203,755 | ) | ||||||||||||||
15
BB&T Variable Insurance Funds
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout the periods indicated.
Investment Activities | ||||||||||||
Net Asset Value, Beginning of Period | Net investment income (loss) | Net realized/ unrealized gains (losses) on investments | Total from Investment Activities | |||||||||
BB&T Large Cap VIF | ||||||||||||
For the Six Months ended June 30, 2007 (Unaudited) | $ | 16.75 | 0.11 | 0.80 | 0.91 | |||||||
Year Ended December 31, 2006 | $ | 14.00 | 0.27 | 2.68 | 2.95 | |||||||
Year Ended December 31, 2005 | $ | 13.35 | 0.26 | 0.65 | 0.91 | |||||||
Year Ended December 31, 2004 | $ | 12.00 | 0.22 | 1.35 | 1.57 | |||||||
Year Ended December 31, 2003 | $ | 9.88 | 0.19 | 2.12 | 2.31 | |||||||
Year Ended December 31, 2002 | $ | 12.50 | 0.17 | (2.62 | ) | (2.45 | ) | |||||
BB&T Mid Cap Growth VIF | ||||||||||||
For the Six Months ended June 30, 2007 (Unaudited) | $ | 15.16 | (0.00 | )(b) | 2.43 | 2.43 | ||||||
Year Ended December 31, 2006 | $ | 15.67 | 0.03 | 0.44 | 0.47 | |||||||
Year Ended December 31, 2005 | $ | 13.70 | (0.04 | ) | 2.01 | 1.97 | ||||||
Year Ended December 31, 2004 | $ | 11.69 | (0.05 | ) | 2.06 | 2.01 | ||||||
Year Ended December 31, 2003 | $ | 8.56 | (0.06 | ) | 3.19 | 3.13 | ||||||
Year Ended December 31, 2002 | $ | 10.70 | (0.09 | ) | (2.05 | ) | (2.14 | ) | ||||
BB&T Capital Manager Equity VIF*** | ||||||||||||
For the Six Months ended June 30, 2007 (Unaudited) | $ | 11.65 | 0.04 | 0.79 | 0.83 | |||||||
Year Ended December 31, 2006 | $ | 10.51 | 0.16 | 1.45 | 1.61 | |||||||
Year Ended December 31, 2005 | $ | 9.99 | 0.17 | 0.50 | 0.67 | |||||||
Year Ended December 31, 2004 | $ | 8.99 | 0.07 | 1.00 | 1.07 | |||||||
Year Ended December 31, 2003 | $ | 7.19 | 0.03 | 1.80 | 1.83 | |||||||
Year Ended December 31, 2002 | $ | 9.28 | 0.01 | (1.98 | ) | (1.97 | ) | |||||
BB&T Special Opportunities Equity VIF | ||||||||||||
For the Six Months ended June 30, 2007 (Unaudited) | $ | 15.07 | (0.00 | )(b) | 2.13 | 2.13 | ||||||
Year Ended December 31, 2006 | $ | 12.70 | (0.02 | ) | 3.07 | 3.05 | ||||||
Year Ended December 31, 2005 | $ | 12.12 | (0.03 | ) | 0.79 | 0.76 | ||||||
July 22, 2004 to December 31, 2004(a) | $ | 10.00 | (0.04 | ) | 2.16 | 2.12 | ||||||
BB&T Total Return Bond VIF | ||||||||||||
For the Six Months ended June 30, 2007 (Unaudited) | $ | 9.83 | 0.13 | (0.09 | ) | 0.04 | ||||||
Year Ended December 31, 2006 | $ | 9.92 | 0.50 | (0.17 | ) | 0.33 | ||||||
Year Ended December 31, 2005 | $ | 10.08 | 0.33 | (0.10 | ) | 0.23 | ||||||
July 22, 2004 to December 31, 2004(a) | $ | 10.00 | 0.10 | 0.08 | 0.18 |
* | During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. |
** | Total return ratios assume reinvestment of distributions at net asset value. |
Total return ratios do not reflect charges pursuant to the terms of the insurance contracts funded by separate accounts that invest in the Fund’s shares.
*** | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
(a) | Period from commencement of operations. |
(b) | Amount is less than $0.005. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
See accompanying notes to the financial statements.
16
Distributions | Ratios/Supplemental Data | ||||||||||||||||||||||||||||||
Net investment income | Return of capital | Net realized gains on investments | Total Distributions | Net Asset Value, End of Period | Total Return**(c) | Net Assets, End of Period (000) | Ratio of net expenses to average net assets(d) | Ratio of net investment income (loss) to average net assets(d) | Ratio of expenses to average net assets*(d) | Portfolio turnover rate(c) | |||||||||||||||||||||
(0.17 | ) | — | — | (0.17 | ) | $ | 17.49 | 5.44 | % | $ | 105,944 | 0.77 | % | 1.32 | % | 1.17 | % | 31.95 | % | ||||||||||||
(0.20 | ) | — | — | (0.20 | ) | $ | 16.75 | 21.28 | % | $ | 93,143 | 0.77 | % | 1.72 | % | 1.01 | % | 45.76 | % | ||||||||||||
(0.26 | ) | — | — | (0.26 | ) | $ | 14.00 | 6.90 | % | $ | 113,648 | 0.79 | % | 1.95 | % | 1.05 | % | 21.76 | % | ||||||||||||
(0.22 | ) | — | — | (0.22 | ) | $ | 13.35 | 13.18 | % | $ | 111,612 | 0.81 | % | 1.77 | % | 1.10 | % | 12.91 | % | ||||||||||||
(0.19 | ) | (0.00 | )(b) | — | (0.19 | ) | $ | 12.00 | 23.62 | % | $ | 94,683 | 0.88 | % | 1.82 | % | 1.17 | % | 13.96 | % | |||||||||||
(0.17 | ) | — | — | (0.17 | ) | $ | 9.88 | (19.64 | )% | $ | 63,667 | 0.84 | % | 1.57 | % | 1.13 | % | 15.24 | % | ||||||||||||
(0.00 | )(b) | — | — | (0.00 | )(b) | $ | 17.59 | 16.03 | % | $ | 28,780 | 0.76 | % | (0.01 | )% | 1.07 | % | 49.34 | % | ||||||||||||
(0.07 | ) | — | (0.91 | ) | (0.98 | ) | $ | 15.16 | 3.26 | % | $ | 25,460 | 0.78 | % | 0.25 | % | 1.02 | % | 160.04 | % | |||||||||||
— | — | — | — | $ | 15.67 | 14.38 | % | $ | 39,090 | 0.78 | % | (0.28 | )% | 1.10 | % | 113.04 | % | ||||||||||||||
— | — | — | — | $ | 13.70 | 17.19 | % | $ | 32,407 | 0.83 | % | (0.44 | )% | 1.22 | % | 135.55 | % | ||||||||||||||
— | — | — | — | $ | 11.69 | 36.57 | % | $ | 23,903 | 0.98 | % | (0.78 | )% | 1.37 | % | 113.75 | % | ||||||||||||||
— | — | — | — | $ | 8.56 | (20.00 | )% | $ | 10,864 | 1.23 | % | (1.05 | )% | 1.62 | % | 96.89 | % | ||||||||||||||
(0.09 | ) | — | — | (0.09 | ) | $ | 12.39 | 7.15 | % | $ | 19,916 | 0.18 | % | 0.68 | % | 0.53 | % | 25.59 | % | ||||||||||||
(0.12 | ) | — | (0.35 | ) | (0.47 | ) | $ | 11.65 | 15.82 | % | $ | 18,222 | 0.17 | % | 1.15 | % | 0.54 | % | 20.55 | % | |||||||||||
(0.15 | ) | — | — | (0.15 | ) | $ | 10.51 | 6.77 | % | $ | 28,722 | 0.26 | % | 1.68 | % | 0.55 | % | 3.24 | % | ||||||||||||
(0.07 | ) | — | — | (0.07 | ) | $ | 9.99 | 11.91 | % | $ | 25,611 | 0.34 | % | 0.75 | % | 0.54 | % | 1.09 | % | ||||||||||||
(0.03 | ) | — | — | (0.03 | ) | $ | 8.99 | 25.47 | % | $ | 20,606 | 0.56 | % | 0.40 | % | 0.66 | % | 10.06 | % | ||||||||||||
(0.01 | ) | — | (0.11 | ) | (0.12 | ) | $ | 7.19 | (21.25 | )% | $ | 14,804 | 0.64 | % | 0.15 | % | 0.74 | % | 3.47 | % | |||||||||||
— | — | — | — | $ | 17.20 | 14.13 | % | $ | 30,607 | 1.07 | % | (0.06 | )% | 1.12 | % | 10.35 | % | ||||||||||||||
(0.01 | ) | — | (0.67 | ) | (0.68 | ) | $ | 15.07 | 24.71 | % | $ | 21,294 | 1.06 | % | (0.05 | )% | 1.06 | % | 59.93 | % | |||||||||||
— | — | (0.18 | ) | (0.18 | ) | $ | 12.70 | 6.29 | % | $ | 31,768 | 1.23 | % | (0.28 | )% | 1.23 | % | 42.15 | % | ||||||||||||
— | — | — | — | $ | 12.12 | 21.20 | % | $ | 21,044 | 1.45 | % | (0.76 | )% | 1.45 | % | 13.81 | % | ||||||||||||||
(0.22 | ) | — | — | (0.22 | ) | $ | 9.65 | 0.38 | % | $ | 10,587 | 0.79 | % | 4.52 | % | 1.01 | % | 113.81 | % | ||||||||||||
(0.42 | ) | — | — | (0.42 | ) | $ | 9.83 | 3.47 | % | $ | 6,767 | 0.77 | % | 4.34 | % | 0.88 | % | 188.24 | % | ||||||||||||
(0.36 | ) | — | (0.03 | ) | (0.39 | ) | $ | 9.92 | 2.29 | % | $ | 18,777 | 1.00 | % | 3.38 | % | 1.12 | % | 196.66 | % | |||||||||||
(0.10 | ) | — | — | (0.10 | ) | $ | 10.08 | 1.76 | % | $ | 15,653 | 1.29 | % | 2.34 | % | 1.29 | % | 36.74 | % |
17
Notes to Financial Statements
June 30, 2007 (Unaudited)
1. | Organization: |
The BB&T Variable Insurance Funds (the “Trust”) was organized on November 8, 2004, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end investment company established as a Massachusetts business trust. The Trust commenced operations on May 1, 2005 and presently offers shares of the BB&T Large Cap VIF (formerly known as the BB&T Large Cap Value VIF), the BB&T Mid Cap Growth VIF, the BB&T Capital Manager Equity VIF, the BB&T Special Opportunities Equity VIF, and the BB&T Total Return Bond VIF (referred to individually as a “Fund” and collectively as the “Funds”). The Trust is authorized to issue an unlimited number of shares of beneficial interest without par value. Shares of the Funds are offered through variable annuity contracts offered through the separate accounts of participating insurance companies. The BB&T Capital Manager Equity VIF (the “Fund of Funds”) invests in underlying mutual funds as opposed to individual securities.
Under the Funds’ organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for general indemnifications. The Funds’maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.
2. | Significant Accounting Policies: |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Fund of Funds seeks its investment objective of capital appreciation by investing solely in a diversified portfolio of mutual funds (the “Underlying Mutual Funds”). The Fund of Funds purchases shares of the Underlying Mutual Funds at net asset value and without sales charge.
Recent Accounting Standards — In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards No. 157, Fair Value Measurements (“SFAS No. 157”). This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this SFAS No. 157 relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of June 30, 2007, the Funds do not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the year of determination. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management has substantially completed their analysis and has determined that the adoption of FIN 48 will not have an impact on the financial statements.
Securities Valuation — Investments in common stocks, commercial paper, corporate bonds, municipal securities, U.S. Government securities, and U.S. Government agency securities, the principal market for which is a securities exchange or an over-the-counter market, are valued at their latest available sale price (except for those securities that are traded on NASDAQ, which will be valued at the NASDAQ official closing price) or in the absence of such a price, by reference to the latest available bid quotations in the principal market in which such securities are normally traded. The Funds may also use an independent pricing service approved by the Board of Trustees (the “Board”) to value certain securities. Such prices reflect fair values which may be established through the use of electronic and matrix techniques. Short-term obligations that mature in
18
BB&T Variable Insurance Funds
Notes to Financial Statements — (continued)
June 30, 2007 (Unaudited)
60 days or less are valued at either amortized cost or original cost plus interest, which approximates fair value. Investments in open-end investment companies, including the Fund of Funds, are valued at their respective net asset values as reported by such companies. Investments in closed-end investment companies are valued at their fair values based upon the latest available bid prices in the principal market in which such securities are normally traded. The differences between cost and fair values of investments are reflected as either unrealized appreciation or depreciation. Securities for which market quotations are not readily available will be valued at fair value using methods determined in good faith by the Pricing Committee under the supervision of the Board. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price. At June 30, 2007 there were no fair valued prices in the Funds.
Securities Transactions and Related Income — Securities transactions are accounted for no later than one business day after trade date. For financial reporting purposes, security transactions are accounted for on trade date of the last business day of the reporting period. Interest income is recognized on the accrual basis and includes, where applicable, the pro rata amortization/accretion of premium or discount done by using the effective interest method. Dividend income is recorded on the ex-dividend date. Gains or losses realized from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Under the applicable foreign tax law, a withholding tax may be imposed on interest, dividends and capital gains earned on foreign investments at various rates. Where available, the Funds will file for claims on foreign taxes withheld.
When-Issued — The Funds, may purchase securities on a “when-issued” basis. The Funds record when-issued securities on the trade date and pledge assets with a value equal to the purchase commitment for payment of the securities purchased. The value of the securities underlying when-issued securities and any subsequent fluctuation in their value is taken into account when determining the net asset value of the Funds, commencing with the date the Funds agree to purchase the securities. The Funds do not accrue interest or dividends on “when-issued” securities until the underlying securities are received.
Repurchase Agreements — The Funds may acquire repurchase agreements from member banks of the Federal Deposit Insurance Corporation and from registered broker/dealers that BB&T Asset Management, Inc. (“BB&T AM”) or a sub-advisor deems creditworthy under guidelines approved by the Board, subject to the seller’s agreement to repurchase such securities at a mutually agreed-upon date and price. The repurchase price generally equals the price paid by the Funds plus interest negotiated on the basis of current short-term rates, which may be more or less than the rate on the underlying collateral. The seller under a repurchase agreement is required to maintain the value of collateral held pursuant to the agreement at not less than the repurchase price, including accrued interest. Securities subject to repurchase agreements are held by the Funds’ custodian or another qualified custodian or in the Federal Reserve/Treasury book-entry system. In the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There is a potential for loss to the Fund in the event the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of possible decline in fair value of the underlying securities during the period while the Fund seeks to assert its rights.
Option Contracts — The Funds may purchase or write option contracts. These transactions are to hedge against changes in interest rates, security prices, currency fluctuations, and other market developments, or for the purposes of earning additional income (i.e. speculation).
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of the premium and change in fair value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by premiums paid.
In writing an option, the Funds contract with a specified counterparty to purchase (put option written) or sell (call option written) a specified quantity (notional amount) of an underlying asset at a specified price during a specified period upon demand of the counterparty. The risk associated with writing an option is that the Funds bear the market risk of an unfavorable change in the price of an underlying asset, and may be required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current fair value.
19
BB&T Variable Insurance Funds
Notes to Financial Statements — (continued)
June 30, 2007 (Unaudited)
The BB&T Special Opportunities Equity VIF had the following transactions in written covered call options during the period ended June 30, 2007.
BB&T Special Opportunities Equity VIF | |||||||
Covered Call Options | Shares Subject to Contract | Premiums | |||||
Balance at beginning of period | 155 | $ | 39,022 | ||||
Options written | 2,028 | 175,630 | |||||
Options closed | (206 | ) | (23,484 | ) | |||
Options expired | (1,109 | ) | (102,417 | ) | |||
Options exercised | (206 | ) | (10,013 | ) | |||
Balance at end of period | 662 | $ | 78,738 | ||||
The following is a summary of options outstanding as of June 30, 2007: | |||||||
Security | Shares Subject to Contract | Fair Value | |||||
BB&T Special Opportunities Equity VIF | |||||||
Activision, Inc., $22.50, 8/18/07 | 216 | $ | 1,080 | ||||
Consol Energy, Inc., $60.00, 10/20/07 | 240 | 8,400 | |||||
Weatherford International, Inc., $60.00, 8/18/07 | 206 | 26,780 | |||||
$ | 36,260 | ||||||
Security Loans — To generate additional income, the Funds may lend up to 33 1/3% of their respective total assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. Government or U.S. Government agency securities, equal at all times to at least 100% of the fair value.
The cash collateral received by the Funds at June 30, 2007 was invested in the Mount Vernon Securities Lending Prime Portfolio managed by U.S. Bank National Association. The Funds receive payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of collateral. Collateral is marked to market daily to provide a level of collateral at least equal to the fair value of securities lent. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Funds to be of good standing and creditworthy under guidelines established by the Board and when, in the judgment of the Funds, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Funds or the borrower at any time and are, therefore, not considered to be illiquid investments. As of June 30, 2007, the following Funds had loans outstanding:
Value of Loaned Securities | Value of Collateral | Average Value on Loan for the period ended June 30, 2007 | |||||||
BB&T Large Cap VIF | $ | 16,045,971 | $ | 16,446,319 | $ | 16,414,552 | |||
BB&T Mid Cap Growth VIF | 12,263,819 | 12,580,207 | 10,375,417 | ||||||
BB&T Special Opportunities Equity VIF | 9,840,705 | 10,219,310 | 7,465,958 | ||||||
BB&T Total Return Bond VIF | 3,163,546 | 3,221,760 | 2,001,596 |
Dividends and Distributions — Dividends from net investment income are declared and paid quarterly for the Funds, with the exception of the BB&T Total Return Bond VIF, in which case dividends from net investment income are declared daily and paid monthly. Distributable net realized gains, if any, are declared and distributed at least annually.
20
BB&T Variable Insurance Funds
Notes to Financial Statements — (continued)
June 30, 2007 (Unaudited)
The character of income and gains distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature (i.e. reclass of market discounts, gain/loss, paydowns and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales) do not require reclassification. Distributions to shareholders which exceed net investment income and net realized gains for tax purposes are reported as distributions of capital or return of capital.
Federal Income Taxes — It is the policy of each Fund to continue to qualify as a regulated investment companies by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income tax is required.
Other — Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionately among all Funds daily in relation to the net assets of each Fund or on another reasonable basis. Expenses which are attributable to more than one Trust are allocated across BB&T Variable Insurance Funds and BB&T Funds, based upon relative net assets or on another reasonable basis.
3. | Purchases and Sales of Securities: |
Purchases and sales of securities (excluding U.S. Government Securities and securities maturing less than one year from acquisition) for the period ended June 30, 2007 are as follows:
Purchases | Sales | |||||
BB&T Large Cap VIF | $ | 27,893,621 | $ | 31,579,594 | ||
BB&T Mid Cap Growth VIF | 13,473,352 | 12,722,822 | ||||
BB&T Capital Manager Equity VIF | 5,388,440 | 4,734,034 | ||||
BB&T Special Opportunities Equity VIF | 8,634,383 | 2,567,108 | ||||
BB&T Total Return Bond VIF | 758,526 | 336,894 |
Purchases and sales U.S. Government Securities (excluding securities maturing less than one year from acquisition) for the period ended June 30, 2007 for the BB&T Total Return Bond VIF were $13,428,005 and $9,131,448, respectively.
4. | Related Party Transactions: |
Investment advisory services are provided to the Funds by BB&T AM. Under the terms of the Investment Advisory Agreement, BB&T AM is entitled to receive fees based on a percentage of the average daily net assets of the Funds. These fees are accrued daily and payable on a monthly basis and are reflected on the Statements of Operations as “Investment advisory fees”. BB&T AM voluntarily waived investment advisory fees, which are included on the Statements of Operations as “Less expenses waived by the Investment Advisor”.
Information regarding these transactions is as follows for the period ended June 30, 2007:
Contractual Fee Rate | Fee Rate after Voluntary Waiver* | |||||
BB&T Large Cap VIF | 0.74 | % | 0.44 | % | ||
BB&T Mid Cap Growth VIF | 0.74 | % | 0.43 | % | ||
BB&T Capital Manager Equity VIF | 0.25 | % | 0.03 | % | ||
BB&T Special Opportunities Equity VIF | 0.80 | % | 0.75 | % | ||
BB&T Total Return Bond VIF | 0.60 | % | 0.38 | % |
* | For all or a portion of the six-month period ended June 30, 2007, BB&T AM voluntarily waived additional investment advisory fees for the BB&T Large Cap VIF, BB&T Mid Cap Growth VIF, BB&T Capital Manager VIF and BB&T Total Return VIF. All voluntary investment advisory fee waivers are not subject to recoupment in subsequent fiscal periods and may be discontinued at any time. |
Pursuant to a Sub-Advisory agreement with BB&T AM, Scott & Stringfellow, Inc., a wholly owned subsidiary of BB&T Corporation, serves as the Sub-Advisor to the BB&T Special Opportunities Equity VIF, subject to the general supervision of the Board and BB&T AM. Pursuant to a Sub-Advisory agreement with BB&T AM, Sterling Capital Management LLC, a wholly owned subsidiary of BB&T Corporation, serves as the Sub-Advisor to the BB&T Total Return Bond VIF, subject to the general supervision of the Board and BB&T AM. For their services, the Sub-Advisors are entitled to a fee payable by BB&T AM.
21
BB&T Variable Insurance Funds
Notes to Financial Statements — (continued)
June 30, 2007 (Unaudited)
BB&T AM serves as the administrator to the Trust pursuant to the Administration Agreement. The Funds pay their portion of a fee to BB&T AM for providing administration services based on the aggregate assets of the Trust and the BB&T Funds at a rate of 0.11% on the first $3.5 billion of average daily net assets; 0.075% on the next $1.5 billion of average daily net assets; 0.06% on the next $1 billion of average daily net assets; and 0.04% of average daily net assets over $6 billion. This fee is accrued daily and payable on a monthly basis. Expenses incurred are reflected on the Statements of Operations as “Administration fees.” During the six months ended June 30, 2007, BB&T AM voluntarily waived administration fees of $6,555 for the BB&T Capital Manager Equity VIF, and this waiver is not subject to recoupment in subsequent fiscal periods. Effective April 23, 2007, pursuant to a sub-administration agreement with BB&T AM, PFPC Inc. (“PFPC”) serves as Sub-Administrator to the Trust subject to the general supervision of the Board and BB&T AM. For these services, PFPC is entitled to a fee, payable by BB&T AM. Prior to April 23, 2007, BISYS Fund Services Ohio, Inc. (“BISYS”) served as Sub-Administrator to the Trust.
Effective April 23, 2007, PFPC Inc. serves as the Funds’ fund accountant and transfer agent and receives compensation by the Funds for these services. Expenses incurred are reflected on the Statements of Operations as “Fund accounting fees” and “Transfer agent fees”. Prior to April 23, 2007, BISYS served as the Funds’ fund accountant and transfer agent.
On April 23, 2007, BB&T AM’s Chief Compliance Officer (“CCO”) also began to serve as the Funds’ CCO. Since April 23, 2007, the CCO’s compensation is reviewed and approved by the Funds’ Board and paid by BB&T AM. However, the Funds reimburse BB&T AM for their allocable portion of the CCO’s salary. As a result, the CCO fee paid by the Funds is only part of the total compensation received by the CCO. Prior to April 23, 2007, under a Compliance Services Agreement between the Funds and BISYS (the “CCO Agreement”), BISYS made an employee available to serve as the Funds’ CCO. Under the CCO Agreement, BISYS also provided infrastructure and support in implementing the written policies and procedures comprising the Funds’ compliance program, including support services to the CCO. For the services provided under the CCO Agreement, the Funds paid BISYS Ohio $11,667 for the six-months ended June 30, 2007 plus certain out of pocket expenses. Expenses incurred are reflected on the Statements of Operations as “Compliance service fees”.
For the six months ended June 30, 2007, the Funds paid $12,792 in brokerage fees to Scott & Stringfellow, Inc., a wholly owned subsidiary of BB&T Corporation, on the execution of purchases and sales of the Funds’ portfolio investments.
The Trust has adopted a Variable Contract Owner Servicing Plan (the “Service Plan”) under which the Funds may pay a fee computed daily and paid monthly, at an annual rate of up to 0.25% of the average daily net assets of the Fund. A servicing agent may periodically waive all or a portion of its servicing fees. For the period ended June 30, 2007 the Funds did not participate in any service plans.
Certain Officers and Trustees of the Funds are affiliated with the adviser, the administrator or the sub-administrator. Such Officers and Trustees receive no compensation from the Funds for serving in their respective roles. Each of the five non-interested Trustees who serve on both the Board and the Audit Committee are compensated $1,250 per quarter and $500 for each regularly scheduled meeting, plus reimbursement for certain expenses. During the period ended June 30, 2007, actual Trustee compensation and reimbursement for certain expenses was $23,468 in total.
5. | Conversion of the BB&T Large Cap VIF and the BB&T Large Cap Growth VIF: |
On February 12, 2007, the BB&T Large Cap VIF acquired all of the assets and assumed all of the liabilities of the BB&T Large Cap Growth VIF in exchange for shares of the BB&T Large Cap VIF, pursuant to an Agreement and Plan of Reorganization approved by the BB&T Large Cap Growth VIF’s shareholders on February 7, 2007 and the Board on August 29, 2006. All fees and expenses incurred by the BB&T Large Cap Growth VIF, BB&T Large Cap VIF and BB&T AM in connection with the consummation of the transaction were borne by BB&T AM. The following is a summary of shares issued, net assets converted, net asset value per share issued and unrealized appreciation/depreciation of assets acquired as of the conversion date:
Shares Issued | Net Assets Converted | Net Asset Value Per Share Issued | Unrealized Appreciation | ||||||||
BB&T Large Cap VIF | 810,901 | $ | 13,750,356 | $ | 16.96 | $ | 175,611 |
22
BB&T Variable Insurance Funds
Notes to Financial Statements — (continued)
June 30, 2007 (Unaudited)
6. | Federal Income Tax Information: |
At June 30, 2007, the following Funds have net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by the Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.
Amount | Expires | ||||
BB&T Total Return VIF | $ | 96,285 | 2013 | ||
BB&T Total Return Bond VIF | 62,902 | 2014 |
The tax character of dividends paid to shareholders during the fiscal year ended December 31, 2006 were as follows:
Distributions paid from | |||||||||||||||
Ordinary Income | Net Long-Term Gains | Total Taxable Distributions | Tax Exempt Distributions | Total Distributions Paid* | |||||||||||
BB&T Large Cap VIF | $ | 1,597,154 | $ | — | $ | 1,597,194 | $ | — | $ | 1,597,154 | |||||
BB&T Mid Cap Growth VIF | 169,918 | 2,384,160 | 2,554,078 | — | 2,554,078 | ||||||||||
BB&T Capital Manager Equity VIF | 351,849 | 967,984 | 1,319,833 | — | 1,319,833 | ||||||||||
BB&T Special Opportunities Equity VIF | 304,495 | 1,526,428 | 1,830,923 | — | 1,830,923 | ||||||||||
BB&T Total Return Bond VIF | 806,098 | — | 806,098 | — | 806,098 |
* | Total Distributions paid may differ from the Statement of Changes in Net Assets because distributions are recognized when actually paid for tax purposes. |
Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The BB&T Total Return Bond VIF had deferred post-October capital losses of $38,190, which will be treated as arising on the first business day of the fiscal year ending December 31, 2007.
At June 30, 2007, the book cost, which approximates federal income tax cost, gross unrealized appreciation and gross unrealized depreciation on securities were as follows:
Book Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||
BB&T Large Cap VIF | $ | 102,872,618 | $ | 20,392,299 | $ | (890,336 | ) | $ | 19,501,963 | |||||
BB&T Mid Cap Growth VIF | 33,493,809 | 8,083,655 | (191,406 | ) | 7,892,249 | |||||||||
BB&T Capital Manager Equity VIF | 16,989,339 | 2,941,878 | (7,702 | ) | 2,934,176 | |||||||||
BB&T Special Opportunities Equity VIF | 34,480,408 | 6,646,515 | (245,783 | ) | 6,400,732 | |||||||||
BB&T Total Return Bond VIF | 15,136,188 | 10,642 | (150,118 | ) | (139,476 | ) |
7. | Special Meeting of Shareholders: |
At a special meeting of the shareholders of the BB&T Large Cap Growth VIF and the BB&T Large Cap VIF held on January 24, 2007 and reconvened on February 7, 2007, shareholders voted to approve an Agreement Plan of Reorganization adopted by BB&T Variable Insurance Funds providing for the transfer of all of the assets of the BB&T Large Cap Growth VIF to the BB&T Large Cap VIF in exchange for Shares of the BB&T Large Cap VIF and the assumption by the BB&T Large Cap VIF of all of the liabilities of the BB&T Large Cap Growth VIF, followed by the dissolution and liquidation of the BB&T Large Cap Growth VIF and the distribution of Shares of the BB&T Large Cap VIF to the shareholders of the BB&T Large Cap Growth VIF. A description of the number of shares voted is as follows:
Affirmative | Against | Abstain | ||
1,100,442 | 49,835 | 134,558 |
23
Other Information (Unaudited)
June 30, 2007
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-228-1872; and (ii) on the Securities and Exchange Commission’s (“the Commission”) website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 1-800-228-1872 and (ii) on the Commission’s website at http://www.sec.gov.
The BB&T Variable Insurance Funds file complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room, may be obtained by calling 1-800-SEC-0330.
24
Item 2. Code of Ethics.
Not applicable – only for annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable – only for annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable – only for annual reports.
Item 5. Audit Committee of Listed registrants.
Not applicable.
Item 6. Schedule of Investments.
Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable – only for annual reports. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | BB&T Variable Insurance Funds | |
By (Signature and Title)* | /s/ Keith F. Karlawish | |
Keith F. Karlawish, President | ||
(principal executive officer) |
Date August 27, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Keith F. Karlawish | |
Keith F. Karlawish, President | ||
(principal executive officer) |
Date August 27, 2007
By (Signature and Title)* | /s/ Andrew J. McNally | |
Andrew J. McNally, Treasurer | ||
(principal financial officer) |
Date August 27, 2007
* | Print the name and title of each signing officer under his or her signature. |