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 27601-0575
(Address of principal executive offices) (Zip code)
Keith F. 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, 2008
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.
Table of Contents
2 | ||
3 | ||
4 | ||
5 | ||
6 | ||
7 | ||
8 | ||
12 | ||
18 | ||
25 |
Summary of Portfolio Holdings (Unaudited)
June 30, 2008
The BB&T Variable Insurance Funds portfolio composition was as follows at June 30, 2008:
Percentage of net assets | |||
BB&T Large Cap VIF | |||
Consumer Discretionary | 16.5 | % | |
Consumer Staples | 12.8 | % | |
Energy | 11.4 | % | |
Exchange Traded Funds | 4.8 | % | |
Financials | 16.1 | % | |
Health Care | 15.1 | % | |
Industrials | 4.3 | % | |
Information Technology | 17.2 | % | |
Investment Company | 0.4 | % | |
Materials | 1.4 | % | |
Short-Term Investments* | 3.5 | % | |
103.5 | % | ||
BB&T Mid Cap Growth VIF | |||
Consumer Discretionary | 13.7 | % | |
Energy | 23.4 | % | |
Financials | 7.6 | % | |
Health Care | 8.0 | % | |
Industrials | 20.6 | % | |
Information Technology | 17.9 | % | |
Investment Company | 0.3 | % | |
Materials | 6.2 | % | |
Utilities | 1.4 | % | |
99.1 | % | ||
BB&T Capital Manager Equity VIF | |||
BB&T Equity Income Fund | 5.6 | % | |
BB&T Equity Index Fund | 1.5 | % | |
BB&T International Equity Fund | 25.3 | % | |
BB&T Large Cap Fund | 16.6 | % | |
BB&T Mid Cap Growth Fund | 9.0 | % | |
BB&T Mid Cap Value Fund | 13.0 | % | |
BB&T Special Opportunities Equity Fund | 4.6 | % | |
BB&T U.S. Treasury Money Market Fund | 1.6 | % | |
Exchange Traded Funds | 22.7 | % | |
99.9 | % | ||
BB&T Special Opportunities Equity VIF | |||
Consumer Discretionary | 9.0 | % | |
Consumer Staples | 1.8 | % | |
Energy | 15.9 | % | |
Financials | 4.4 | % | |
Health Care | 20.1 | % | |
Industrials | 8.9 | % | |
Information Technology | 29.9 | % | |
Investment Company | 1.9 | % | |
Materials | 9.1 | % | |
Short-Term Investments* | 7.4 | % | |
108.4 | % | ||
BB&T Total Return Bond VIF | |||
Asset Backed Securities | 3.7 | % | |
Commercial Mortgage-Backed Securities | 4.1 | % | |
Corporate Bonds | 22.3 | % | |
Fannie Mae | 28.8 | % | |
Federal Home Loan Bank | 1.2 | % | |
Freddie Mac | 21.3 | % | |
Ginnie Mae | 1.3 | % | |
Investment Company | 6.3 | % | |
Municipal Bonds | 7.9 | % | |
U.S. Treasury Notes | 4.6 | % | |
Short-Term Investments* | 1.3 | % | |
102.8 | % | ||
* | Short-Term Investments represent the invested cash collateral received in connection with securities lending (see Note 2). |
2
Expense Example (Unaudited)
June 30, 2008
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, 2008 through June 30, 2008.
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 1/1/08 | Ending Account Value 6/30/08 | Expenses Paid During Period 1/1/08 - 6/30/08*, ** | Expense Ratio During Period 1/1/08 - 6/30/08 | |||||||||
BB&T Large Cap VIF | $ | 1,000.00 | $ | 826.80 | $ | 3.82 | 0.84 | % | ||||
BB&T Mid Cap Growth VIF | 1,000.00 | 886.30 | 4.08 | 0.87 | % | |||||||
BB&T Capital Manager Equity VIF | 1,000.00 | 881.50 | 1.17 | 0.25 | % | |||||||
BB&T Special Opportunities Equity VIF | 1,000.00 | 968.80 | 5.29 | 1.08 | % | |||||||
BB&T Total Return Bond VIF | 1,000.00 | 1,006.90 | 3.89 | 0.78 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multipled by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. |
** | Expenses shown do not include annuity contract fees. |
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 1/1/08 | Ending Account Value 1/1/08 | Expenses Paid During Period 1/1/08 - 6/30/08*, ** | Expense Ratio During Period 1/1/08 - 6/30/08 | |||||||||
BB&T Large Cap VIF | $ | 1,000.00 | $ | 1,020.69 | $ | 4.22 | 0.84 | % | ||||
BB&T Mid Cap Growth VIF | 1,000.00 | 1,020.54 | 4.37 | 0.87 | % | |||||||
BB&T Capital Manager Equity VIF | 1,000.00 | 1,023.62 | 1.26 | 0.25 | % | |||||||
BB&T Special Opportunities Equity VIF | 1,000.00 | 1,019.49 | 5.42 | 1.08 | % | |||||||
BB&T Total Return Bond VIF | 1,000.00 | 1,020.98 | 3.92 | 0.78 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multipled by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. |
** | Expenses shown do not include annuity contract fees. |
3
Schedule of Portfolio Investments
June 30, 2008 (Unaudited)
Shares | Fair Value | |||||
COMMON STOCKS (94.8%) |
| |||||
Consumer Discretionary (16.5%) | ||||||
101,010 | Comcast Corp., Class A | $ | 1,916,160 | |||
70,949 | Home Depot, Inc. (The) | 1,661,626 | ||||
170,809 | KB Home | 2,891,796 | ||||
24,597 | Target Corp. | 1,143,515 | ||||
16,918 | Tiffany & Co. | 689,408 | ||||
50,625 | Walt Disney Co. (The) | 1,579,500 | ||||
9,882,005 | ||||||
Consumer Staples (12.8%) | ||||||
28,606 | Clorox Co. (The) | 1,493,233 | ||||
86,133 | Kraft Foods, Inc., Class A | 2,450,484 | ||||
42,981 | Procter & Gamble Co. | 2,613,675 | ||||
20,048 | Wal-Mart Stores, Inc. | 1,126,697 | ||||
7,684,089 | ||||||
Energy (11.4%) | ||||||
23,132 | Anadarko Petroleum Corp. | 1,731,199 | ||||
25,732 | ConocoPhillips | 2,428,843 | ||||
30,599 | Exxon Mobil Corp. | 2,696,691 | ||||
6,856,733 | ||||||
Financials (16.1%) | ||||||
54,498 | American International Group, Inc. | 1,442,017 | ||||
35,061 | Bank of America Corp. | 836,906 | ||||
54,197 | Citigroup, Inc. | 908,342 | ||||
50,473 | Freddie Mac | 827,757 | ||||
31,849 | JPMorgan Chase & Co. | 1,092,739 | ||||
28,126 | Merrill Lynch & Co., Inc. | 891,875 | ||||
126,205 | MGIC Investment Corp.(e) | 771,113 | ||||
99,248 | Progressive Corp. (The) | 1,857,923 | ||||
43,016 | Wells Fargo & Co. | 1,021,630 | ||||
9,650,302 | ||||||
Health Care (15.1%) | ||||||
12,782 | Eli Lilly & Co. | 590,017 | ||||
52,600 | Johnson & Johnson | 3,384,284 | ||||
42,821 | Medtronic, Inc. | 2,215,987 | ||||
61,514 | Merck & Co., Inc. | 2,318,463 | ||||
31,064 | Pfizer, Inc. | 542,688 | ||||
9,051,439 | ||||||
Industrials (4.3%) | ||||||
56,777 | General Electric Co. | 1,515,378 | ||||
36,967 | USG Corp.(a) | 1,093,114 | ||||
2,608,492 | ||||||
Information Technology (17.2%) | ||||||
45,174 | Cisco Systems, Inc.(a) | 1,050,747 | ||||
77,158 | Dell, Inc.(a) | 1,688,217 | ||||
63,427 | eBay, Inc.(a) | 1,733,460 | ||||
74,487 | Intel Corp. | 1,599,981 | ||||
48,083 | Microsoft Corp. | 1,322,763 | ||||
50,231 | QUALCOMM, Inc. | 2,228,750 | ||||
34,602 | Yahoo!, Inc.(a) | 714,877 | ||||
10,338,795 | ||||||
Materials (1.4%) | ||||||
22,995 | Alcoa, Inc. | 819,082 | ||||
Total Common Stocks | 56,890,937 | |||||
EXCHANGE TRADED FUNDS (4.8%) |
| |||||
23,732 | Energy Select Sector SPDR Fund(e) | 2,099,807 | ||||
10,558 | SPDR S&P Oil & Gas Exploration & Production ETF | 742,016 | ||||
Total Exchange Traded Funds | 2,841,823 | |||||
INVESTMENT COMPANY (0.4%) |
| |||||
253,923 | Federated Treasury Obligations Fund, Institutional Shares | 253,923 | ||||
Total Investment Company | 253,923 | |||||
Principal Amount | ||||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (3.5%) |
| |||||
$ 2,118,692 | Pool of Various Securities for Security Loans | 2,118,692 | ||||
Total Securities Held as Collateral for Securities on Loan | 2,118,692 | |||||
Total Investments — 103.5% | 62,105,375 | |||||
Net Other Assets (Liabilities) — (3.5)% | (2,108,067 | ) | ||||
NET ASSETS — 100.0% | $ | 59,997,308 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
4
Schedule of Portfolio Investments
June 30, 2008 (Unaudited)
Shares | Fair Value | ||||
COMMON STOCKS (98.8%) | |||||
Consumer Discretionary (13.7%) | |||||
19,450 | Burger King Holdings, Inc. | $ | 521,066 | ||
7,750 | DeVry, Inc. | 415,555 | |||
15,650 | Gafisa SA, ADR | 537,890 | |||
8,250 | GameStop Corp., Class A(a) | 333,300 | |||
10,750 | Guess?, Inc. | 402,587 | |||
3,450 | Priceline.com, Inc.(a) | 398,337 | |||
14,025 | Urban Outfitters, Inc.(a) | 437,440 | |||
13,125 | Warnaco Group, Inc. (The)(a) | 578,419 | |||
3,624,594 | |||||
Energy (23.4%) | |||||
7,725 | Alliance Resource Partners LP | 430,128 | |||
10,475 | Cameron International Corp.(a) | 579,791 | |||
8,300 | Carrizo Oil & Gas, Inc.(a) | 565,147 | |||
4,025 | Core Laboratories N.V.(a) | 572,959 | |||
3,275 | Diamond Offshore Drilling, Inc. | 455,684 | |||
8,225 | Helmerich & Payne, Inc. | 592,365 | |||
4,550 | National Oilwell Varco, Inc.(a) | 403,676 | |||
6,950 | Petrohawk Energy Corp.(a) | 321,854 | |||
8,225 | Pioneer Natural Resources Co. | 643,853 | |||
10,375 | Plains Exploration & Production Co.(a) | 757,064 | |||
11,100 | Southwestern Energy Co.(a) | 528,471 | |||
2,350 | Transocean, Inc.(a) | 358,116 | |||
6,209,108 | |||||
Financials (7.6%) | |||||
6,825 | AllianceBernstein Holding LP | 373,191 | |||
24,375 | Hudson City Bancorp, Inc. | 406,575 | |||
15,925 | Interactive Brokers Group, Inc., Class A(a) | 511,670 | |||
20,650 | Waddell & Reed Financial, Inc., Class A | 722,957 | |||
2,014,393 | |||||
Health Care (8.0%) | |||||
5,125 | Covance, Inc.(a) | 440,852 | |||
6,600 | Express Scripts, Inc.(a) | 413,952 | |||
5,200 | Illumina, Inc.(a) | 452,972 | |||
1,440 | Intuitive Surgical, Inc.(a) | 387,936 | |||
7,400 | Thermo Fisher Scientific, Inc.(a) | 412,402 | |||
2,108,114 | |||||
Industrials (20.6%) | |||||
17,375 | ABB, Ltd., ADR(a) | 492,060 | |||
8,400 | Bucyrus International, Inc. | 613,368 | |||
17,400 | Corrections Corp. of America(a) | 477,978 | |||
7,125 | CSX Corp. | 447,521 | |||
17,675 | EnerSys(a) | 605,015 | |||
1,670 | First Solar, Inc.(a) | 455,609 | |||
2,260 | Fluor Corp. | 420,541 | |||
7,425 | Foster Wheeler, Ltd.(a) | 543,139 | |||
7,325 | Joy Global, Inc. | 555,455 | |||
11,800 | Kansas City Southern(a) | 519,082 | |||
6,475 | Stericycle, Inc.(a) | 334,758 | |||
5,464,526 | |||||
Information Technology (17.9%) | |||||
1,140 | Baidu.com, Inc., ADR(a) | 356,774 | |||
13,225 | BMC Software, Inc.(a) | 476,100 | |||
8,050 | Equinix, Inc.(a) | 718,221 | |||
625 | Google, Inc., Class A(a) | 329,012 | |||
36,825 | Marvell Technology Group, Ltd.(a) | 650,330 | |||
2,175 | Mastercard, Inc., Class A | 577,506 | |||
13,325 | Micros Systems, Inc.(a) | 406,279 | |||
22,925 | Microsemi Corp.(a) | 577,252 | |||
2,250 | Research In Motion, Ltd.(a) | 263,025 | |||
9,225 | Sina Corp.(a) | 392,524 | |||
4,747,023 | |||||
Materials (6.2%) | |||||
2,925 | CF Industries Holdings, Inc. | 446,940 | |||
6,450 | Cleveland-Cliffs, Inc. | 768,776 | |||
2,975 | Mosaic Co. (The)(a) | 430,482 | |||
1,646,198 | |||||
Utilities (1.4%) | |||||
7,400 | Allegheny Energy, Inc. | 370,814 | |||
Total Common Stocks | 26,184,770 | ||||
INVESTMENT COMPANY (0.3%) | |||||
71,219 | Federated Treasury Obligations Fund, Institutional Shares | 71,219 | |||
Total Investment Company | 71,219 | ||||
Total Investments — 99.1% (Cost $22,850,200) | 26,255,989 | ||||
Net Other Assets (Liabilities) — 0.9% | 250,240 | ||||
NET ASSETS — 100.0% | $ | 26,506,229 | |||
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, 2008 (Unaudited)
Shares | Fair Value | ||||
AFFILIATED INVESTMENT COMPANIES (77.2%) | |||||
61,280 | BB&T Equity Income Fund, Institutional Class | $ | 822,987 | ||
26,272 | BB&T Equity Index Fund, Institutional Class | 224,362 | |||
528,895 | BB&T International Equity Fund, Institutional Class | 3,749,868 | |||
206,705 | BB&T Large Cap Fund, Institutional Class | 2,463,920 | |||
97,686 | BB&T Mid Cap Growth Fund, Institutional Class | 1,338,292 | |||
182,346 | BB&T Mid Cap Value Fund, Institutional Class | 1,920,107 | |||
39,805 | BB&T Special Opportunities Equity Fund, Institutional Class | 683,842 | |||
238,913 | BB&T U.S. Treasury Money Market Fund, Institutional Class | 238,913 | |||
Total Affiliated Investment Companies | 11,442,291 | ||||
EXCHANGE TRADED FUNDS (22.7%) | |||||
14,747 | iShares Russell 2000 Index Fund | 1,017,985 | |||
18,393 | iShares S&P 500 Index Fund | 2,352,649 | |||
Total Exchange Traded Funds | 3,370,634 | ||||
Total Investments — 99.9% (Cost $16,637,961) | 14,812,925 | ||||
Net Other Assets (Liabilities) — 0.1% | 21,357 | ||||
NET ASSETS — 100.0% | $ | 14,834,282 | |||
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, 2008 (Unaudited)
Shares | Fair Value | |||||
COMMON STOCKS (99.1%) |
| |||||
Consumer Discretionary (9.0%) | ||||||
74,000 | Comcast Corp., Class A | $ | 1,403,780 | |||
58,000 | News Corp., Class A | 872,320 | ||||
56,000 | XM Satellite Radio Holdings, Inc., Class A(a) | 439,040 | ||||
21,300 | Yum! Brands, Inc.(d) | 747,417 | ||||
3,462,557 | ||||||
Consumer Staples (1.8%) | ||||||
34,300 | Smithfield Foods, Inc.(a)(d) | 681,884 | ||||
Energy (15.9%) | ||||||
11,100 | Apache Corp.(d) | 1,542,900 | ||||
23,000 | Nabors Industries, Ltd.(a)(e) | 1,132,290 | ||||
22,200 | Noble Corp. | 1,442,112 | ||||
40,000 | Weatherford International, Ltd.(a)(d) | 1,983,600 | ||||
6,100,902 | ||||||
Financials (4.4%) | ||||||
2,000 | Markel Corp.(a) | 734,000 | ||||
40,000 | Wells Fargo & Co. | 950,000 | ||||
1,684,000 | ||||||
Health Care (20.1%) | ||||||
26,000 | Allscripts Healthcare Solutions, Inc.(a) | 322,660 | ||||
29,000 | Amgen, Inc.(a) | 1,367,640 | ||||
10,100 | Coventry Health Care, Inc.(a) | 307,242 | ||||
19,000 | McKesson Corp. | 1,062,290 | ||||
35,862 | MedCath Corp.(a) | 644,799 | ||||
27,000 | Teva Pharmaceutical Industries, Ltd., ADR | 1,236,600 | ||||
50,000 | UnitedHealth Group, Inc. | 1,312,500 | ||||
28,000 | Varian Medical Systems, Inc.(a) | 1,451,800 | ||||
7,705,531 | ||||||
Industrials (8.9%) | ||||||
9,000 | L-3 Communications Holdings, Inc. | 817,830 | ||||
70,000 | Southwest Airlines Co.(d) | 912,800 | ||||
42,000 | Spirit Aerosystems Holdings, Inc., Class A(a) | 805,560 | ||||
25,000 | Trinity Industries, Inc.(e) | 867,250 | ||||
3,403,440 | ||||||
Information Technology (29.9%) | ||||||
69,000 | ACI Worldwide, Inc.(a) | 1,213,710 | ||||
34,000 | Akamai Technologies, Inc.(a) | 1,182,860 | ||||
258,000 | ARM Holdings PLC, ADR(e) | 1,313,220 | ||||
54,000 | Cisco Systems, Inc.(a) | 1,256,040 | ||||
57,000 | Corning, Inc. | 1,313,850 | ||||
33,000 | Digital River, Inc.(a) | 1,273,140 | ||||
47,000 | eBay, Inc.(a)(d) | 1,284,510 | ||||
20,000 | Harris Corp. | 1,009,800 | ||||
44,950 | Symantec Corp.(a) | 869,782 | ||||
35,000 | Yahoo!, Inc.(a)(d) | 723,100 | ||||
11,440,012 | ||||||
Materials (9.1%) | ||||||
16,000 | Aracruz Celulose SA, ADR(d) | 1,174,240 | ||||
21,000 | Dow Chemical Co. (The) | 733,110 | ||||
45,200 | Nalco Holding Co. | 955,980 | ||||
32,065 | Sealed Air Corp.(d) | 609,556 | ||||
3,472,886 | ||||||
Total Common Stocks | 37,951,212 | |||||
INVESTMENT COMPANY (1.9%) |
| |||||
706,789 | Federated Treasury Obligations Fund, Institutional Shares | 706,789 | ||||
Total Investment Company | 706,789 | |||||
Principal Amount | ||||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (7.4%) |
| |||||
$ 2,832,036 | Pool of Various Securities for Security Loans | 2,832,036 | ||||
Total Securities Held as Collateral for Securities on Loan | 2,832,036 | |||||
Total Investments — 108.4% | 41,490,037 | |||||
Net Other Assets (Liabilities) — (8.4)% | (3,202,026 | ) | ||||
NET ASSETS — 100.0% | $ | 38,288,011 | ||||
See notes to Schedules of Portfolio Investments.
See accompanying notes to the financial statements.
7
Schedule of Portfolio Investments
June 30, 2008 (Unaudited)
Principal | Fair Value | ||||
ASSET BACKED SECURITIES (3.7%) | |||||
$ 80,000 | American Express Credit Account Master Trust, Series 2004-5, Class A, 2.561%, 4/16/12*(b) | $ | 79,659 | ||
98,000 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-4, Class 1A5, STEP, 5.416%, 5/25/33(f) | 88,424 | |||
270,000 | Chase Issuance Trust, Series 2006-A5, Class A, 2.491%, 11/15/13*(b) | 263,419 | |||
58,000 | MBNA Credit Card Master Note Trust, Series 2001-A5, Class A5, 2.681%, 3/15/11*(b) | 57,984 | |||
115,000 | MBNA Credit Card Master Note Trust, Series 2003-A8, Class A8, 2.661%, 12/17/12*(b) | 113,955 | |||
115,000 | MBNA Credit Card Master Note Trust, Series 2002-A8, Class A8, 2.863%, 12/15/11*(b) | 114,696 | |||
Total Asset Backed Securities | 718,137 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS (1.8%) | |||||
Freddie Mac (1.8%) | |||||
91,400 | 4.000%, 4/15/18, Series 2841, Class BD | 90,589 | |||
255,967 | 5.500%, 4/15/31, Series 3061, Class DA | 260,179 | |||
Total Collateralized Mortgage Obligations | 350,768 | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (4.1%) | |||||
125,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class A3, 5.607%, 10/15/48 | 119,810 | |||
210,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/40* | 197,925 | |||
28,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A3, 5.389%, 7/12/46* | 27,167 | |||
300,000 | Morgan Stanley Capital I, Series 2007-IQ13, Class A3, 5.331%, 3/15/44 | 278,128 | |||
187,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A3, 6.100%, 2/15/51* | 179,497 | |||
Total Commercial Mortgage-Backed Securities | 802,527 | ||||
CORPORATE BONDS (22.3%) | |||||
Consumer Discretionary (0.5%) | |||||
48,000 | Historic TW, Inc., 9.125%, 1/15/13 | 52,708 | |||
44,000 | Time Warner, Inc., 5.875%, 11/15/16 | 41,490 | |||
94,198 | |||||
Consumer Staples (1.2%) | |||||
120,000 | Coca-Cola Co. (The), 5.350%, 11/15/17 | 120,959 | |||
112,000 | CVS Caremark Corp., 4.875%, 9/15/14 | 108,712 | |||
229,671 | |||||
Energy (1.1%) | |||||
68,000 | Peabody Energy Corp., Series B, 6.875%, 3/15/13 | 68,170 | |||
152,000 | Transocean, Inc., 6.000%, 3/15/18 | 152,227 | |||
220,397 | |||||
Financials (11.2%) | |||||
240,000 | American International Group, Inc., MTN, Series G, 5.850%, 1/16/18 | 224,845 | |||
250,000 | Bank of America Corp., 5.125%, 11/15/14 | 241,827 | |||
36,000 | Bank of America Corp., 5.750%, 12/1/17 | 33,808 | |||
160,000 | Bear Stearns Cos., Inc. (The), 7.250%, 2/1/18 | 166,970 | |||
28,000 | ERP Operating LP, 5.125%, 3/15/16 | 25,249 | |||
55,000 | GATX Financial Corp., 5.125%, 4/15/10 | 54,915 | |||
300,000 | General Electric Capital Corp., 5.625%, 5/1/18 | 290,117 | |||
85,000 | Goldman Sachs Group, Inc. (The), 6.125%, 2/15/33 | 76,138 | |||
40,000 | Lehman Brothers Holdings, Inc., MTN, Series G, 4.800%, 3/13/14 | 35,914 | |||
125,000 | Lehman Brothers Holdings, Inc., MTN, Series H, 3.010%, 1/23/09* | 122,319 | |||
180,000 | Lehman Brothers Holdings, Inc., MTN, Series I, 2.838%, 9/26/08* | 178,331 | |||
130,000 | Lehman Brothers Holdings, Inc., MTN, Series I, 6.200%, 9/26/14 | 124,081 | |||
218,000 | Morgan Stanley, MTN, Series F, 6.625%, 4/1/18 | 206,561 | |||
178,000 | Prudential Financial, Inc., MTN, Series B, 5.100%, 9/20/14 | 173,435 | |||
45,000 | Prudential Financial, Inc., MTN, Series D, 6.625%, 12/1/37 | 42,478 | |||
188,000 | Wells Fargo & Co., 5.625%, 12/11/17 | 181,898 | |||
2,178,886 | |||||
Health Care (0.8%) | |||||
78,000 | Cardinal Health, Inc., 4.000%, 6/15/15 | 70,508 | |||
90,000 | Laboratory Corp. of America Holdings, 5.625%, 12/15/15 | 85,009 | |||
155,517 | |||||
Industrials (1.9%) | |||||
140,000 | Allied Waste North America, Inc., 6.875%, 6/1/17 | 136,850 | |||
180,000 | Corrections Corp. of America, 6.250%, 3/15/13 | 173,250 | |||
60,000 | Goodrich (BF) Corp., 6.290%, 7/1/16 | 60,978 | |||
371,078 | |||||
Information Technology (4.5%) | |||||
131,000 | Cisco Systems, Inc., 5.500%, 2/22/16 | 132,167 | |||
130,000 | Hewlett-Packard Co., 6.500%, 7/1/12 | 138,432 | |||
110,000 | Hewlett-Packard Co., 5.400%, 3/1/17 | 107,907 | |||
215,000 | International Business Machines Corp., 5.700%, 9/14/17 | 218,207 | |||
192,000 | Oracle Corp., 5.250%, 1/15/16 | 188,922 | |||
50,000 | Oracle Corp., 5.750%, 4/15/18 | 49,957 | |||
45,000 | Xerox Corp., 6.350%, 5/15/18 | 44,419 | |||
880,011 | |||||
Telecommunication Services (0.7%) | |||||
150,000 | AT&T Inc., 6.400%, 5/15/38 | 143,592 | |||
Utilities (0.4%) | |||||
60,000 | Duke Energy Corp., 6.250%, 6/15/18 | 60,227 | |||
24,000 | Ohio Power Co., Series K, 6.000%, 6/1/16 | 23,808 | |||
84,035 | |||||
Total Corporate Bonds | 4,357,385 | ||||
Continued
8
BB&T Total Return Bond VIF
Schedule of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
Principal | Fair Value | ||||
MORTGAGE-BACKED SECURITIES (40.4%) | |||||
Fannie Mae (23.4%) | |||||
$ 24,541 | 4.500%, 10/1/18, Pool #752030 | $ | 23,999 | ||
16,140 | 5.500%, 11/1/20, Pool #843972 | 16,327 | |||
17,461 | 5.500%, 12/1/20, Pool #831138 | 17,663 | |||
42,767 | 5.500%, 5/1/21, Pool #895628 | 43,262 | |||
57,050 | 5.500%, 6/1/21, Pool #831526 | 57,530 | |||
280,930 | 5.500%, 4/1/22, Pool #914937 | 283,150 | |||
52,581 | 5.000%, 10/1/25, Pool #255894 | 51,206 | |||
59,192 | 5.500%, 2/1/27, Pool #256600 | 58,989 | |||
245,166 | 5.500%, 1/1/34, Pool #757571 | 243,093 | |||
52,603 | 6.000%, 9/1/34, Pool #790912 | 53,276 | |||
59,458 | 6.500%, 9/1/34, Pool #796569 | 61,445 | |||
26,956 | 7.000%, 6/1/35, Pool #255820 | 28,348 | |||
108,104 | 5.000%, 11/1/35, Pool #842402 | 103,984 | |||
26,174 | 5.500%, 2/1/36, Pool #256101 | 25,879 | |||
40,174 | 5.614%, 5/1/36, Pool #871259* | 40,432 | |||
349,722 | 6.000%, 6/1/36, Pool #886959 | 353,322 | |||
66,791 | 5.500%, 12/1/36, Pool #922224 | 65,955 | |||
333,909 | 5.500%, 12/1/36, Pool #928043 | 329,728 | |||
66,026 | 6.000%, 12/1/36, Pool #902054 | 66,705 | |||
130,034 | 5.000%, 1/1/37, Pool #920727 | 124,916 | |||
273,110 | 5.500%, 1/1/37, Pool #256552 | 269,691 | |||
55,191 | 6.000%, 1/1/37, Pool #906095 | 55,759 | |||
107,395 | 5.000%, 3/1/37, Pool 911395 | 103,045 | |||
55,488 | 6.000%, 4/1/37, Pool #914725 | 56,047 | |||
272,397 | 6.000%, 7/1/37, Pool #936855 | 275,143 | |||
87,989 | 6.000%, 7/1/37, Pool #256800 | 88,876 | |||
369,587 | 5.500%, 9/1/37, Pool #888638 | 364,766 | |||
461,458 | 6.000%, 9/1/37, Pool #952420 | 466,110 | |||
17,241 | 6.000%, 9/1/37, Pool #955005 | 17,415 | |||
205,877 | 5.922%, 12/1/37, Pool #966223* | 208,509 | |||
148,924 | 5.500%, 3/1/38, Pool #969064 | 146,966 | |||
267,367 | 5.000%, 5/1/38, Pool #981481 | 256,510 | |||
238,103 | 5.000%, 5/1/38, Pool #933811 | 228,435 | |||
4,586,481 | |||||
Freddie Mac (15.7%) | |||||
89,472 | 6.000%, 10/1/19, Pool #G11679 | 91,673 | |||
43,521 | 5.500%, 10/1/21, Pool #G12425 | 43,841 | |||
60,301 | 5.000%, 1/1/22, Pool #J04202 | 59,638 | |||
110,035 | 5.000%, 5/1/22, Pool #J04788 | 108,827 | |||
293,252 | 5.000%, 8/1/22, Pool #J05384 | 290,031 | |||
39,880 | 4.500%, 6/1/35, Pool #G01842 | 37,027 | |||
33,765 | 5.500%, 7/1/35, Pool #A36540 | 33,359 | |||
20,232 | 6.000%, 7/1/35, Pool #A36304 | 20,485 | |||
19,857 | 5.500%, 12/1/35, Pool #A40359 | 19,618 | |||
62,270 | 5.500%, 2/1/36, Pool #G08111 | 61,443 | |||
44,644 | 5.500%, 4/1/36, Pool #A44445 | 44,051 | |||
177,430 | 6.000%, 9/1/36, Pool #A52325 | 179,478 | |||
235,866 | 5.500%, 12/1/36, Pool #A80368 | 232,734 | |||
110,081 | 5.877%, 12/1/36, Pool #1J1390* | 111,720 | |||
67,908 | 5.943%, 1/1/37, Pool #1Q0192* | 68,835 | |||
95,428 | 5.500%, 4/1/37, Pool #G08192 | 94,101 | |||
58,188 | 6.000%, 4/1/37, Pool #A58853 | 58,842 | |||
49,876 | 5.000%, 6/1/37, Pool #G03094 | 47,835 | |||
193,466 | 6.000%, 8/1/37, Pool #A64067 | 195,639 | |||
78,057 | 5.500%, 9/1/37, Pool #G03202 | 76,971 | |||
161,591 | 5.733%, 9/1/37, Pool #1Q0319* | 163,005 | |||
203,571 | 6.500%, 12/1/37, Pool #A69955 | 210,056 | |||
39,359 | 5.500%, 1/1/38, Pool #A71523 | 38,811 | |||
154,522 | 6.000%, 2/1/38, Pool #G04051 | 156,257 | |||
145,318 | 6.000%, 3/1/38, Pool #G04123 | 146,950 | |||
109,637 | 5.211%, 4/1/38, Pool #783255* | 110,225 | |||
370,000 | 6.000%, 7/15/38(c) | 373,700 | |||
3,075,152 | |||||
Ginnie Mae (1.3%) | |||||
262,000 | 5.000%, 7/15/38(c) | 253,812 | |||
Total Mortgage-Backed Securities | 7,915,445 | ||||
MUNICIPAL BONDS (7.9%) | |||||
Georgia (1.4%) | |||||
265,000 | Georgia State, School Improvements G.O., Series B, 5.000%, 4/1/12 | 281,584 | |||
Iowa (1.1%) | |||||
250,000 | Iowa Student Loan Liquidity Corporation, Student Loan Revenue Bonds, Series E, Taxable (AMBAC, GTD STD LNS), 17.000%, 12/1/31*(f) | 212,500 | |||
Maryland (0.8%) | |||||
135,000 | Maryland State, Capital Improvements G.O., Series A, 5.250%, 2/15/13 | 146,050 | |||
Michigan (0.4%) | |||||
75,000 | Michigan Municipal Bond Authority, Refunding School Loan Revenue Bonds (FSA-CR, FGIC), 5.222%, 6/1/14 | 75,038 | |||
New Jersey (1.4%) | |||||
300,000 | Higher Education Student Assistance Authority, NJ, Student Loan Revenue, Series A (MBIA, GTD STD LNS), 14.000%, 6/1/36*(f) | 270,000 | |||
New York (1.5%) | |||||
85,000 | New York City Transitional Finance Authority, NY, Public Improvements Revenue Bonds, Series D, Taxable, OID, 4.800%, 2/1/13 | 85,846 | |||
210,000 | New York, NY, Cash Flow Management G.O., Sub Series C-4, Taxable, 5.250%, 8/15/14 | 214,595 | |||
300,441 | |||||
North Carolina (1.3%) | |||||
60,000 | North Carolina State, Refunding G.O., Series E, 5.000%, 2/1/13 | 64,272 | |||
180,000 | Wake County, NC, Refunding G.O., 5.000%, 3/1/12 | 191,151 | |||
255,423 | |||||
Total Municipal Bonds | 1,541,036 | ||||
U.S. GOVERNMENT AGENCIES (10.4%) | |||||
Fannie Mae (5.4%) | |||||
515,000 | 4.875%, 5/18/12 | 532,458 | |||
505,000 | 4.625%, 10/15/14 | 513,466 | |||
1,045,924 | |||||
Federal Home Loan Bank (1.2%) | |||||
170,000 | 3.625%, 12/17/10(e) | 170,863 | |||
65,000 | 5.250%, 9/13/13 | 68,121 | |||
238,984 | |||||
Continued
9
BB&T Total Return Bond VIF
Schedule of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
Principal Amount | Fair Value | |||||
U.S. GOVERNMENT AGENCIES — (continued) | ||||||
Freddie Mac (3.8%) | ||||||
$ 740,000 | 4.500%, 7/15/13 | $ | 751,425 | |||
Total U.S. Government Agencies | 2,036,333 | |||||
U.S. TREASURY NOTES (4.6%) | ||||||
516,000 | 4.250%, 8/15/14(b) | 539,099 | ||||
50,000 | 4.125%, 5/15/15(b)(g) | 51,668 | ||||
60,000 | 4.250%, 11/15/17 | 61,289 | ||||
21,000 | 5.500%, 8/15/28 | 23,437 | ||||
240,000 | 4.375%, 2/15/38(e) | 233,925 | ||||
Total U.S. Treasury Notes | 909,418 | |||||
Shares | ||||||
INVESTMENT COMPANY (6.3%) | ||||||
1,225,577 | Federated Treasury Obligations Fund, Institutional Shares | 1,225,577 | ||||
Total Investment Company | 1,225,577 | |||||
Principal Amount | ||||||
SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (1.3%) | ||||||
$ 252,649 | Pool of Various Securities for Security Loans | 252,649 | ||||
Total Securities Held as Collateral for Securities on Loan | 252,649 | |||||
Total Investments — 102.8% | 20,109,275 | |||||
Net Other Assets (Liabilities) — (2.8)% | (541,483 | ) | ||||
NET ASSETS — 100.0% | $ | 19,567,792 | ||||
Futures | Contracts | Unrealized Appreciation (Depreciation) | ||||
Long | ||||||
U.S. Treasury Two Year Note, September 2008 | 5 | $ | 4,197 | |||
U.S. Treasury Twenty Year Bond, September 2008 | 4 | (719 | ) | |||
Total Long Contracts | $ | 3,478 | ||||
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, 2008 (Unaudited)
(a) | Represents non-income producing security. |
(b) | Represents that all or a portion of the security was pledged as collateral for securities purchased on a when-issued basis. |
(c) | Represents a security purchased on a when-issued basis. At June 30, 2008, total cost of investments purchased on a when-issued basis for the BB&T Total Return Bond VIF was $625,673. |
(d) | Security held as collateral for written call option. |
(e) | Represents that all or a portion of the security was on loan as of June 30, 2008. |
(f) | Illiquid security. |
(g) | Represents that all or a portion of the security was pledged as collateral with a value of $51,668 on 9 long U.S. Treasury futures contracts. |
* | 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, 2008. For bond funds, the maturity date reflected is the final maturity date. |
ADR — American Depository Receipt
AMBAC — Insured by AMBAC Indemnity Corp.
CR — Custodial Receipts
FGIC — Insured by the Financial Guaranty Insurance Corp.
FSA — Insured by Financial Security Assurance
G.O. — General Obligation
GTD STD LNS — Guaranteed Student Loans
MBIA — Insured by MBIA
MTN — Medium Term Note
OID — Original Issue Discount
STEP — Step Coupon Bond
See accompanying notes to the financial statements.
11
Statements of Assets and Liabilities
June 30, 2008 (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 | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments: | ||||||||||||||||||||
Unaffiliated investments, at cost | $ | 67,222,007 | $ | 22,850,200 | $ | 3,662,091 | $ | 38,650,916 | $ | 20,333,169 | ||||||||||
Investments in affiliates, at cost | — | — | 12,975,870 | — | — | |||||||||||||||
Total investments, at cost* | 67,222,007 | 22,850,200 | 16,637,961 | 38,650,916 | 20,333,169 | |||||||||||||||
Unrealized appreciation (depreciation) | (5,116,632 | ) | 3,405,789 | (1,825,036 | ) | 2,839,121 | (223,894 | ) | ||||||||||||
Investments, at value | 62,105,375 | 26,255,989 | 14,812,925 | 41,490,037 | 20,109,275 | |||||||||||||||
Interest and dividends receivable | 76,325 | 2,569 | 12,442 | 22,837 | 170,510 | |||||||||||||||
Maturities receivable | — | — | — | — | 2,284 | |||||||||||||||
Receivable for investments sold | — | 323,476 | — | — | — | |||||||||||||||
Receivable for capital shares issued | 112,429 | — | 15,253 | 193,197 | 169,344 | |||||||||||||||
Receivable from Advisor | — | — | 395 | — | — | |||||||||||||||
Receivable for daily variation margin on futures contracts | — | — | — | — | 297 | |||||||||||||||
Prepaid and other assets | 19,797 | 10,054 | 4,580 | 13,591 | 7,169 | |||||||||||||||
Total Assets | 62,313,926 | 26,592,088 | 14,845,595 | 41,719,662 | 20,458,879 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Call options written (premiums received $ — , $ — , $ — , $337,211 and $ — , respectively) | — | — | — | 272,408 | — | |||||||||||||||
Payable for investments purchased | — | — | — | 292,423 | 627,202 | |||||||||||||||
Payable for capital shares redeemed | 149,573 | 66,704 | 7,114 | — | — | |||||||||||||||
Payable for collateral received on loaned securities | 2,118,692 | — | — | 2,832,036 | 252,649 | |||||||||||||||
Accrued expenses: | ||||||||||||||||||||
Investment advisory fees | 23,898 | 10,911 | — | 24,723 | 6,567 | |||||||||||||||
Administration fees | 5,078 | 2,103 | — | 3,114 | 1,412 | |||||||||||||||
Audit fees | 10,727 | 3,577 | 2,271 | 4,764 | 2,713 | |||||||||||||||
Compliance service fees | 633 | 158 | 110 | 199 | 86 | |||||||||||||||
Trustee fees | 1,722 | 286 | 270 | 151 | — | |||||||||||||||
Transfer agency fees | 6,295 | 2,120 | 1,548 | 1,833 | 458 | |||||||||||||||
Total Liabilities | 2,316,618 | 85,859 | 11,313 | 3,431,651 | 891,087 | |||||||||||||||
Net Assets: | $ | 59,997,308 | $ | 26,506,229 | $ | 14,834,282 | $ | 38,288,011 | $ | 19,567,792 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Capital | $ | 60,140,889 | $ | 17,208,050 | $ | 15,148,921 | $ | 32,659,507 | $ | 19,640,235 | ||||||||||
Accumulated undistributed net investment income (loss) | (8,301 | ) | (68,288 | ) | (127 | ) | (25,214 | ) | 169,705 | |||||||||||
Accumulated realized gains (losses) from investments, futures contracts and written options | 4,981,352 | 5,960,678 | 1,510,524 | 2,749,794 | (21,732 | ) | ||||||||||||||
Net unrealized appreciation/(depreciation) on investments, futures contracts and written options | (5,116,632 | ) | 3,405,789 | (1,825,036 | ) | 2,903,924 | (220,416 | ) | ||||||||||||
Net Assets | $ | 59,997,308 | $ | 26,506,229 | $ | 14,834,282 | $ | 38,288,011 | $ | 19,567,792 | ||||||||||
Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value) | 5,332,267 | 1,634,533 | 1,637,607 | 2,465,493 | 1,980,301 | |||||||||||||||
Net Asset Value — offering and redemption price per share | $ | 11.25 | $ | 16.22 | $ | 9.06 | $ | 15.53 | $ | 9.88 | ||||||||||
* | The BB&T Large Cap VIF, BB&T Special Opportunities Equity VIF, and BB&T Total Return Bond VIF include securities on loan of $2,076,335, $2,667,056, and $247,684, respectively. |
See accompanying notes to the financial statements.
12
BB&T Variable Insurance Funds
Statements of Operations
For the Six Months Ended June 30, 2008 (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 | $ | — | $ | — | $ | — | $ | — | $ | 439,334 | ||||||||||
Dividend income from unaffiliates | 799,993 | 52,451 | 11,633 | 177,821 | 9,090 | |||||||||||||||
Dividend income from affiliates | — | — | 67,549 | — | — | |||||||||||||||
Foreign tax withholding | — | (1 | ) | — | (5,772 | ) | — | |||||||||||||
Income from securities lending | 354 | — | — | 199 | 7 | |||||||||||||||
Total investment income | 800,347 | 52,450 | 79,182 | 172,248 | 448,431 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory fees (See Note 4) | 271,085 | 102,291 | 20,217 | 146,557 | 53,400 | |||||||||||||||
Administration fees (See Note 4) | 33,844 | 12,770 | — | 16,920 | 8,219 | |||||||||||||||
Audit fees | 29,430 | 10,592 | 6,195 | 12,190 | 5,662 | |||||||||||||||
Compliance service fees (See Note 4) | 802 | 254 | 157 | 218 | 62 | |||||||||||||||
Custodian fees | 2,102 | 825 | 444 | 875 | 367 | |||||||||||||||
Fund accounting fees (See Note 4) | 3,664 | 1,382 | 809 | 1,832 | 890 | |||||||||||||||
Insurance fees | 18,848 | 6,750 | 3,890 | 7,117 | 2,905 | |||||||||||||||
Interest expense (See Note 6) | 8 | — | — | — | — | |||||||||||||||
Legal fees | 17,635 | 5,712 | 3,695 | 6,254 | 2,609 | |||||||||||||||
Printing fees | 15,636 | 4,745 | 4,016 | 4,711 | 2,375 | |||||||||||||||
Transfer agent fees (See Note 4) | 13,504 | 4,884 | 2,763 | 5,403 | 2,357 | |||||||||||||||
Trustee fees | 6,956 | 2,233 | 1,371 | 2,316 | 995 | |||||||||||||||
Other fees | 4,270 | 1,927 | 973 | 2,229 | 7,772 | |||||||||||||||
Total expenses before waivers | 417,784 | 154,365 | 44,530 | 206,622 | 87,613 | |||||||||||||||
Less expenses reimbursed or waived by the Investment Advisor | (109,919 | ) | (33,627 | ) | (24,010 | ) | (9,160 | ) | (17,946 | ) | ||||||||||
Net expenses | 307,865 | 120,738 | 20,520 | 197,462 | 69,667 | |||||||||||||||
Net investment income (loss) | 492,482 | (68,288 | ) | 58,662 | (25,214 | ) | 378,764 | |||||||||||||
Realized/Unrealized Gains (Losses) on Investments, Futures Contracts and Written Options: | ||||||||||||||||||||
Net realized gains (losses) from: | ||||||||||||||||||||
Unaffiliated investment transactions | (7,614,768 | ) | 1,418,971 | 900 | 1,388,973 | 130,754 | ||||||||||||||
Futures contracts | (18,806 | ) | ||||||||||||||||||
Written Options | — | — | — | 136,240 | — | |||||||||||||||
Affiliated investment transactions | — | — | (1,461,279 | ) | — | — | ||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||
Investments | (6,628,985 | ) | (5,167,821 | ) | (739,208 | ) | (3,004,374 | ) | (427,453 | ) | ||||||||||
Futures contracts | — | — | — | — | 3,478 | |||||||||||||||
Written Options | — | — | — | 234,337 | — | |||||||||||||||
Net realized/unrealized losses on investments, futures contracts and written options | (14,243,753 | ) | (3,748,850 | ) | (2,199,587 | ) | (1,244,824 | ) | (312,027 | ) | ||||||||||
Change in net assets from operations | $ | (13,751,271 | ) | $ | (3,817,138 | ) | $ | (2,140,925 | ) | $ | (1,270,038 | ) | $ | 66,737 | ||||||
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, 2008 (Unaudited) | For the Year Ended December 31, 2007 | For the Six Months Ended June 30, 2008 (Unaudited) | For the Year Ended December 31, 2007 | |||||||||||||
From Investment Activities: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 492,482 | $ | 1,512,977 | $ | (68,288 | ) | $ | (64,286) | |||||||
Net realized gains (losses) on investments, futures contracts, written options and distributions from underlying funds | (7,614,768 | ) | 12,657,230 | 1,418,971 | 4,623,497 | |||||||||||
Change in unrealized appreciation/depreciation of investments, futures contracts and written options | (6,628,985 | ) | (19,468,983 | ) | (5,167,821 | ) | 4,163,473 | |||||||||
Change in net assets from operations | (13,751,271 | ) | (5,298,776 | ) | (3,817,138 | ) | 8,722,684 | |||||||||
Distributions to Shareholders: | ||||||||||||||||
Net investment income | (500,783 | ) | (1,937,234 | ) | — | (377 | ) | |||||||||
Net realized gains | — | (11,116,882 | ) | — | (3,179,274 | ) | ||||||||||
Change in net assets from distributions to shareholders | (500,783 | ) | (13,054,116 | ) | — | (3,179,651 | ) | |||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares issued | 461,679 | 15,112,419 | 957,159 | 3,804,286 | ||||||||||||
Proceeds from shares issued in conversion (Note 5) | — | 13,750,356 | — | — | ||||||||||||
Distributions reinvested | 500,784 | 13,054,115 | — | 3,179,651 | ||||||||||||
Value of shares redeemed | (13,884,485 | ) | (29,535,278 | ) | (4,020,140 | ) | (4,600,823 | ) | ||||||||
Change in net assets from capital transactions | (12,922,022 | ) | 12,381,612 | (3,062,981 | ) | 2,383,114 | ||||||||||
Change in net assets | (27,174,076 | ) | (5,971,280 | ) | (6,880,119 | ) | 7,926,147 | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 87,171,384 | 93,142,664 | 33,386,348 | 25,460,201 | ||||||||||||
End of period | $ | 59,997,308 | $ | 87,171,384 | $ | 26,506,229 | $ | 33,386,348 | ||||||||
Accumulated undistributed net investment income (loss) | $ | (8,301 | ) | $ | — | $ | (68,288 | ) | $ | — | ||||||
Share Transactions: | ||||||||||||||||
Issued | 36,803 | 907,626 | 60,237 | 219,708 | ||||||||||||
Issued in conversion (Note 5) | — | 810,901 | — | — | ||||||||||||
Reinvested | 42,431 | 869,273 | — | 196,637 | ||||||||||||
Redeemed | (1,112,785 | ) | (1,781,498 | ) | (251,480 | ) | (270,101 | ) | ||||||||
Change in Shares | (1,033,551 | ) | 806,302 | (191,243 | ) | 146,244 | ||||||||||
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, 2008 (Unaudited) | For the Year Ended December 31, 2007 | For the Six Months Ended June 30, 2008 (Unaudited) | For the Year Ended December 31, 2007 | For the Six Months Ended June 30, 2008 (Unaudited) | For the Year Ended December 31, 2007 | |||||||||||||||||
$ | 58,662 | $ | 437,010 | $ | (25,214 | ) | $ | (46,760 | ) | $ | 378,764 | $ | 465,618 | |||||||||
(1,460,379 | ) | 2,970,928 | 1,525,213 | 1,278,517 | 111,948 | 75,270 | ||||||||||||||||
(739,208 | ) | (3,018,705 | ) | (2,770,037 | ) | 1,949,135 | (423,975 | ) | 204,918 | |||||||||||||
(2,140,925 | ) | 389,233 | (1,270,038 | ) | 3,180,892 | 66,737 | 745,806 | |||||||||||||||
(78,246) | (512,781 | ) | — | — | (376,185 | ) | (456,227 | ) | ||||||||||||||
— | (2,014,013 | ) | — | (2,016,836 | ) | — | — | |||||||||||||||
(78,246 | ) | (2,526,794 | ) | — | (2,016,836 | ) | (376,185 | ) | (456,227 | ) | ||||||||||||
353,201 | 2,591,141 | 5,538,606 | 12,942,110 | 6,151,475 | 8,183,083 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
78,246 | 2,526,794 | — | 2,016,836 | 376,184 | 482,039 | |||||||||||||||||
(1,872,701 | ) | (2,708,114 | ) | (1,600,204 | ) | (1,797,100 | ) | (714,059 | ) | (1,658,187 | ) | |||||||||||
(1,441,254 | ) | 2,409,821 | �� | 3,938,402 | 13,161,846 | 5,813,600 | 7,006,935 | |||||||||||||||
(3,660,425 | ) | 272,260 | 2,668,364 | 14,325,902 | 5,504,152 | 7,296,514 | ||||||||||||||||
18,494,707 | 18,222,447 | 35,619,647 | 21,293,745 | 14,063,640 | 6,767,126 | |||||||||||||||||
$ | 14,834,282 | $ | 18,494,707 | $ | 38,288,011 | $ | 35,619,647 | $ | 19,567,792 | $ | 14,063,640 | |||||||||||
$ | (127 | ) | $ | 19,457 | $ | (25,214 | ) | $ | — | $ | 169,705 | $ | 167,126 | |||||||||
37,019 | 222,208 | 347,102 | 789,817 | 609,765 | 834,990 | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||
8,499 | 236,281 | — | 127,810 | 37,411 | 48,984 | |||||||||||||||||
(197,515 | ) | (232,413 | ) | (103,177 | ) | (109,151 | ) | (70,601 | ) | (168,369 | ) | |||||||||||
(151,997 | ) | 226,076 | 243,925 | 808,476 | 576,575 | 715,605 | ||||||||||||||||
15
BB&T Variable Insurance Funds
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout the periods indicated.
Net Asset Value, Beginning of Period | Investment Activities | |||||||||||
Net investment income (loss) | Net realized/ unrealized gains (losses) on investments | Total from Investment Activities | ||||||||||
BB&T Large Cap VIF | ||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 13.69 | 0.08 | (c) | (2.43 | ) | (2.35 | ) | ||||
Year Ended December 31, 2007 | $ | 16.75 | 0.23 | (1.08 | ) | (0.85 | ) | |||||
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 | |||||||
BB&T Mid Cap Growth VIF | ||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 18.29 | (0.04 | )(c) | (2.03 | ) | (2.07 | ) | ||||
Year Ended December 31, 2007 | $ | 15.16 | (0.03 | ) | 5.09 | 5.06 | ||||||
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 | ||||||
BB&T Capital Manager Equity VIF*** | ||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 10.33 | 0.03 | (c) | (1.25 | ) | (1.22 | ) | ||||
Year Ended December 31, 2007 | $ | 11.65 | 0.25 | — | (d) | 0.25 | ||||||
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 | |||||||
BB&T Special Opportunities Equity VIF | ||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 16.03 | (0.01 | )(c) | (0.49 | ) | (0.50 | ) | ||||
Year Ended December 31, 2007 | $ | 15.07 | (0.02 | ) | 2.02 | 2.00 | ||||||
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(e) | $ | 10.00 | (0.04 | ) | 2.16 | 2.12 | ||||||
BB&T Total Return Bond VIF | ||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 10.02 | 0.21 | (c) | (0.14 | ) | 0.07 | |||||
Year Ended December 31, 2007 | $ | 9.83 | 0.31 | 0.31 | 0.62 | |||||||
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(e) | $ | 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) | Not annualized for periods less than one year. |
(b) | Annualized for periods less than one year. |
(c) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(d) | Amount is less than $0.005. |
(e) | Period from commencement of operations. |
See accompanying notes to the financial statements.
16
Distributions | Net Asset Value, End of Period | Total Return**(a) | Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net investment income | Return of capital | Net realized gains on investments | Total Distributions | Net Assets, End of Period (000) | Ratio of net expenses to average net assets(b) | Ratio of net investment income (loss) to average net assets(b) | Ratio of expenses to average net assets*(b) | Portfolio turnover rate(a) | |||||||||||||||||||||||
(0.09 | ) | — | — | (0.09 | ) | $ | 11.25 | (17.32 | )% | $ | 59,997 | 0.84 | % | 1.34 | % | 1.14 | % | 22.37 | % | ||||||||||||
(0.31 | ) | — | (1.90 | ) | (2.21 | ) | $ | 13.69 | (5.87 | )% | $ | 87,171 | 0.77 | % | 1.50 | % | 1.08 | % | 52.81 | % | |||||||||||
(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 | ) | — | (d) | — | (0.19 | ) | $ | 12.00 | 23.62 | % | $ | 94,683 | 0.88 | % | 1.82 | % | 1.17 | % | 13.96 | % | |||||||||||
— | — | — | — | $ | 16.22 | (11.37 | )% | $ | 26,506 | 0.87 | % | (0.49 | )% | 1.12 | % | 88.82 | % | ||||||||||||||
— | (d) | — | (1.93 | ) | (1.93 | ) | $ | 18.29 | 35.02 | % | $ | 33,386 | 0.80 | % | (0.22 | )% | 1.05 | % | 127.76 | % | |||||||||||
(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 | % | ||||||||||||||
(0.05 | ) | — | — | (0.05 | ) | $ | 9.06 | (11.85 | )% | $ | 14,834 | 0.25 | % | 0.73 | % | 0.55 | % | 37.62 | % | ||||||||||||
(0.30 | ) | — | (1.27 | ) | (1.57 | ) | $ | 10.33 | 1.98 | % | $ | 18,495 | 0.18 | % | 2.27 | % | 0.51 | % | 40.70 | % | |||||||||||
(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 | % | ||||||||||||
— | — | — | — | $ | 15.53 | (3.12 | )% | $ | 38,288 | 1.08 | % | (0.14 | )% | 1.13 | % | 8.84 | % | ||||||||||||||
— | — | (1.04 | ) | (1.04 | ) | $ | 16.03 | 13.41 | % | $ | 35,620 | 1.06 | % | (0.16 | )% | 1.11 | % | 23.86 | % | ||||||||||||
(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 | % | ||||||||||||||
(0.21 | ) | — | — | (0.21 | ) | $ | 9.88 | 0.69 | % | $ | 19,568 | 0.78 | % | 4.26 | % | 0.98 | % | 93.92 | % | ||||||||||||
(0.43 | ) | — | — | (0.43 | ) | $ | 10.02 | 6.47 | % | $ | 14,064 | 0.77 | % | 4.42 | % | 1.01 | % | 252.64 | % | ||||||||||||
(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 Schedules of Portfolio Investments
June 30, 2008 (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, 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 Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. 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 their financial statements. The policies are in conformity with United States 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 reporting period. Actual results could differ from those estimates.
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 price 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, including through the use of electronic and matrix techniques. Short-term obligations that mature in 60 days or less are valued at either amortized cost or original cost plus interest, which approximates current fair value. Investments in open-end investment companies, including the underlying funds invested in by 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 market prices based upon the latest available sale price or, absent such a price, by reference to 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 or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event that materially effects the furnished price) will be valued at fair value using methods determined in good faith by the Pricing Committee under the supervision of the Board.
Recent Accounting Standard — In March 2008, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”) and is effective for fiscal years beginning after November 15, 2008. SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management is currently evaluating the implications of SFAS 161. The impact on the Funds’ financial statement disclosures, if any, is currently being assessed.
Adoption of Statement of Financial Accounting Standards No. 157 “Fair Value Measurement” (“FAS 157”) — In September 2006, the FASB issued FAS 157 effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. The Funds have adopted FAS 157 as of January 1, 2008. The three levels of the fair value hierarchy under FAS 157 are described below:
• | Level 1 – quoted prices in active markets for identical securities |
18
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The summary of inputs used to value the Fund’s net assets as of June 30, 2008 is as follows:
Valuation Inputs | 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 | ||||||||||
Level 1 – Quoted Prices | $ | 61,851,452 | $ | 26,184,770 | $ | 14,574,011 | $ | 41,055,656 | $ | — | |||||
Level 2 – Other Significant Observable Inputs | 253,923 | 71,219 | 238,914 | 434,381 | 19,626,775 | ||||||||||
Level 3 – Significant Unobservable Inputs | — | — | — | — | 482,500 | ||||||||||
Total Market Value of Investments | $ | 62,105,375 | $ | 26,255,989 | $ | 14,812,925 | $ | 41,490,037 | $ | 20,109,275 | |||||
Valuation Inputs | BB&T Special Opportunities Equity VIF | BB&T Total Return Bond VIF | |||||||||||||
Level 1 – Quoted Prices | $ | — | $ | 3,478 | |||||||||||
Level 2 – Other Significant Observable Inputs | 272,408 | — | |||||||||||||
Level 3 – Significant Unobservable Inputs | — | — | |||||||||||||
Total Market Value of Other Financial Instruments* | $ | 272,408 | $ | 3,478 | |||||||||||
* | Other financial instruments are derivative investments not reflected in the Schedules of Portfolio Investments, such as futures and written options. |
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
BB&T Total Return Bond VIF | |||
Balance as of 12/31/07 (market value) | $ | — | |
Transfers in and/or out of Level 3 | 482,500 | ||
Balance as of 6/30/08 (market value) | $ | 482,500 | |
Securities Transactions and Related Income — During the period, securities transactions are accounted for no later than one business day after trade date. For financial reporting purposes, however, 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 amortization/accretion of premium or discount. 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.
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 at least 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 enter into agreements with member banks of the Federal Deposit Insurance Corporation and with registered broker/dealers that BB&T Asset Management, Inc. (“BB&T AM”) or a sub-advisor deemed 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
19
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
negotiated on the basis of current short-term rates, which may be more or less than the rate on the underlying Fund securities. 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 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.
Futures Contracts — The Funds may invest in financial futures contracts for the purpose of hedging their existing securities or securities that the respective Funds intend to purchase against fluctuations in fair value caused by changes in prevailing markets. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin,” are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the underlying security. The Fund recognizes a gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts and the underlying hedged assets.
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 the 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.
The BB&T Special Opportunities Equity VIF had the following transactions in written covered call options during the period ended June 30, 2008:
BB&T Special Opportunities Equity VIF | |||||||
Covered Call Options | Number of Contracts | Premiums Received | |||||
Balance at beginning of period | 2,278 | $ | 206,096 | ||||
Options purchased | 5,112 | 535,942 | |||||
Options closed | (2,455 | ) | (223,513 | ) | |||
Options expired | (2,065 | ) | (163,987 | ) | |||
Options exercised | (250 | ) | (17,327 | ) | |||
Balance at end of period | 2,620 | $ | 337,211 | ||||
20
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
The following is a summary of written options outstanding as of June 30, 2008:
BB&T Special Opportunities Equity VIF | |||||
Security | Number of Contracts | Fair Value | |||
Apache Corp., $155.00, 10/18/08 | 100 | $ | 72,000 | ||
Apache Corp., $160.00, 10/18/08 | 11 | 6,600 | |||
Aracruz Celulose SA ADR, $85.00, 7/19/08 | 160 | 1,600 | |||
eBay Inc., $40.00, 7/19/08 | 313 | 313 | |||
Seal Air Corp., $30.00, 7/19/08 | 320 | 3,200 | |||
Smithfield Foods Inc., $40.00, 10/18/08 | 53 | 265 | |||
Southwest Airlines Co., $15.00, 7/19/08 | 700 | 5,250 | |||
Weatherford International Ltd., $52.50, 11/22/08 | 400 | 180,000 | |||
Yahoo Inc., $32.50, 7/19/08 | 350 | 1,050 | |||
Yum! Brands, Inc., $40.00, 7/19/08 | 213 | 2,130 | |||
2,620 | $ | 272,408 | |||
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, 2008 was pooled and invested in bank notes, certificates of deposit, commercial paper, and time deposits, (with interest rates ranging from 2.14% to 6.25% and maturity dates ranging from July 2008 through May 2009) managed by Bank of New York Mellon. 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 judgement 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, 2008, the following Funds had loans outstanding:
Value of Loaned Securities | Value of Collateral | Average Value on Loan for the period ended June 30, 2008 | |||||||
BB&T Large Cap VIF | $ | 2,076,335 | $ | 2,118,692 | $ | 875,504 | |||
BB&T Special Opportunities Equity VIF | 2,667,056 | 2,832,036 | 426,326 | ||||||
BB&T Total Return Bond VIF | 247,684 | 252,649 | 33,212 |
Credit Enhancements — Certain obligations held in the Funds have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements; and third party insurance (i.e., AMBAC, FGIC and MBIA).
Federal Income Taxes — It is the policy of the Funds to continue to qualify as 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 both the Funds and the BB&T Funds are allocated across Funds and BB&T Funds, based upon relative net assets or on another reasonable basis.
21
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
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, 2008 are as follows:
Purchases | Sales | |||||
BB&T Large Cap VIF | $ | 16,053,877 | $ | 27,456,825 | ||
BB&T Mid Cap Growth VIF | 24,280,461 | 26,973,639 | ||||
BB&T Capital Manager Equity VIF | 6,004,959 | 7,093,960 | ||||
BB&T Special Opportunities Equity VIF | 7,664,848 | 3,245,079 | ||||
BB&T Total Return Bond VIF | 5,858,171 | 3,943,555 |
Purchases and sales of U.S. Government Securities (excluding securities maturing less than one year from acquisition) for the period ended June 30, 2008 for the BB&T Total Return Bond VIF were $15,906,692 and $12,726,432, 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 waived investment advisory fees and certain expenses of the Funds referenced below which are not subject to recoupment in subsequent fiscal periods and are included on the Statements of Operations as “Less expenses reimbursed or waived by the Investment Advisor”.
Information regarding these transactions is as follows for the period ended June 30, 2008:
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 | % | 0.50 | % | ||
BB&T Capital Manager Equity VIF | 0.25 | % | 0.00 | % | ||
BB&T Special Opportunities Equity VIF | 0.80 | % | 0.75 | % | ||
BB&T Total Return Bond VIF | 0.60 | % | 0.40 | % |
* | For all or a portion of the six months ended June 30, 2008, 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 Equity VIF and BB&T Total Return Bond 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.
BB&T AM serves as the administrator to the Funds pursuant to the administration agreement effective as of April 23, 2007. The Funds pay their portion of a fee to BB&T AM for providing administration services based on the aggregate assets of the Funds and the BB&T Funds at a rate of 0.11% on the first $3.5 billion of average net assets; 0.075% on the next $1 billion of average net assets; 0.06% on the next $1.5 billion of average net assets; and 0.04% of average 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”. Pursuant to a sub-administration agreement with BB&T AM, PNC Global Investment Servicing (U.S.) Inc. (“PNC”), formerly known as PFPC Inc., serves as the sub-administrator to the Funds subject to the general supervision of the Board of Trustees and BB&T AM. For these services, PNC is entitled to a fee payable by BB&T AM.
PNC serves as the Funds’ accountant and transfer agent and receives compensation by the Funds for these services. Expenses incurred are reflected on the Statement of Operations as “Fund accounting fees” and “Transfer agent fees”.
22
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
BB&T AM’s Chief Compliance Officer (“CCO”) serves as the Funds’ CCO. The CCO’s compensation is reviewed and approved by the Funds’ Board of Trustees and paid by BB&T AM. However, the Funds reimburse BB&T AM for their allocable portion of the CCO’s salary. Expenses incurred for the Funds are reflected on the Statements of Operations as “Compliance service fees”.
For the six months ended June 30, 2008, the Funds paid $20,467 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, 2008 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 Trustees who are not interested persons (as defined in the 1940 Act) of the Trust who serve on the Board are compensated at the annual rate of $30,000 plus $5,000 for each regularly scheduled quarterly meeting attended, $4,000 for each special meeting attended in person and $3,000 for each special meeting attended by telephone. Each Trustee serving on a Committee of the Board of Trustees receives a fee of $4,000 for each Committee meeting attended in person and $3,000 for each Committee meeting attended by telephone, plus reimbursement for certain expenses. Additionally, the Chairman of the Board and Audit Committee Chairman each receive an annual retainer of $10,000, and the Chairman of the Nominations Committee receives $1,000 for each meeting attended. The fees are allocated across the Funds and the BB&T Funds based upon relative net assets.
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 |
6. | Line of Credit: |
U.S. Bank, N.A. has made available a credit facility to the Funds, pursuant to a Credit Agreement (the “Agreement”). The primary purpose of the Agreement is to allow the Funds to avoid security liquidations that BB&T AM believes are unfavorable to shareholders. Outstanding principal amounts under the Agreement bear interest at an interest rate equal to the Prime Rate minus 2.00%. There were no open lines of credit at June 30, 2008. During the period ended June 30, 2008 the following Fund utilized a line of credit:
Average Interest Rate | Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred | Maximum Amount Borrowed During the Period | ||||||||||
BB&T Large Cap VIF | 3.00 | % | $ | 95,000 | 1 | $ | 8 | $ | 95,000 |
7. | Federal Tax Information: |
The Funds adopted the provisions of FASB Interpretation No. 48 (“FIN48”), Accounting for Uncertainty in Income Taxes, on June 29, 2007 and FIN48 was applied to all open tax years. The implementation of FIN48 resulted in no material liability for unrecognized tax benefits and no material change to the beginning net asset value of the Funds. As of and during the period ended June 30, 2008, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the period, the Funds did not incur any interest or penalties.
23
BB&T Variable Insurance Funds
Notes to Schedules of Portfolio Investments — (continued)
June 30, 2008 (Unaudited)
For federal income tax purposes, the Funds indicated below have capital loss carryforwards, which expire in the year indicated, as of December 31, 2007, which are available to offset future capital gains:
Amount | Expires | ||||
BB&T Total Return Bond VIF | $ | 60,272 | 2013 | ||
BB&T Total Return Bond VIF | 62,902 | 2014 |
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2007 were as follows:
Ordinary Income | Net Long-Term Gains | Distributions paid from | Total Distributions Paid* | ||||||||||||
Total Taxable Distributions | Tax Exempt Distributions | ||||||||||||||
BB&T Large Cap VIF | $ | 1,937,234 | $ | 11,116,882 | $ | 13,054,116 | $ | — | $ | 13,054,116 | |||||
BB&T Mid Cap Growth VIF | 61,600 | 3,118,051 | 3,179,651 | — | 3,179,651 | ||||||||||
BB&T Capital Manager Equity VIF | 760,193 | 1,766,601 | 2,526,794 | — | 2,526,794 | ||||||||||
BB&T Special Opportunities Equity VIF | 843,431 | 1,173,405 | 2,016,836 | — | 2,016,836 | ||||||||||
BB&T Total Return Bond VIF | 456,227 | — | 456,227 | — | 456,227 |
* | 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 $3,066, which will be treated as arising on the first business day of the fiscal year ending December 31, 2008.
At June 30, 2008, 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 | $ | 67,222,007 | $ | 7,712,309 | $ | (12,828,941 | ) | $ | (5,116,632 | ) | ||||
BB&T Mid Cap Growth VIF | 22,850,200 | 3,958,268 | (552,479 | ) | 3,405,789 | |||||||||
BB&T Capital Manager Equity VIF | 16,637,961 | 212,512 | (2,037,548 | ) | (1,825,036 | ) | ||||||||
BB&T Special Opportunities Equity VIF | 38,650,916 | 6,202,653 | (3,363,532 | ) | 2,839,121 | |||||||||
BB&T Total Return Bond VIF | 20,333,169 | 81,913 | (305,807 | ) | (223,894 | ) |
24
June 30, 2008
Other Information (Unaudited)
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 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.
25
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed registrants.
Not applicable.
Item 6. Investments.
(a) | 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. |
(b) | Not applicable. |
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 effectiveness of the design and operation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are effective to provide reasonable assurance 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. |
(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 8/25/08
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 8/25/08
By (Signature and Title)* | /s/ Andrew J. McNally | |
Andrew J. McNally, Treasurer | ||
(principal financial officer) |
Date 8/25/08
* Print the name and title of each signing officer under his or her signature.