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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 811-3563
MONEY MARKET VARIABLE ACCOUNT
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2009
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ITEM 1. | REPORTS TO STOCKHOLDERS. |
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PROFESSIONALLY MANAGED COMBINATION
FIXED/VARIABLE ANNUITIES
FOR PERSONAL INVESTMENTS AND
QUALIFIED RETIREMENT PLANS
SEMIANNUAL REPORT Ÿ June 30, 2009
Capital Appreciation Variable Account
Global Governments Variable Account
Government Securities Variable Account
High Yield Variable Account
Money Market Variable Account
Total Return Variable Account
Issued by
Sun Life Assurance Company of Canada (U.S.),
A Wholly Owned Subsidiary of
Sun Life of Canada (U.S.) Holdings, Inc.
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2 | ||
8 | ||
29 | ||
31 | ||
32 | ||
34 | ||
46 |
Back Cover | ||
Back Cover | ||
Back Cover | ||
Back Cover |
This report is prepared for the general information of contract owners. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE |
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Dear Contract Owners:
In the fall of 2008, the markets took investors on what was perhaps the most tumultuous ride of their lives. Many are now debating when the market will stage a sustainable recovery, but not even the most experienced investor can provide a definitive answer to that question.
Even so, the basic rules of investing have not changed, and the turbulence reinforced the benefits of investing through the waves. Investors who jumped ship early on may have regretted their decisions when the markets gained some traction in the early half of this year. While anyone with a short-term horizon may have needed to take some action, most with longer-term goals probably found the best option was to stick with their long-term strategy.
At MFS® we believe investors are always best served by developing a plan with their investment professionals that addresses specific long-term needs. Most advisors agree that yearly reviews are important to monitor a plan’s progress. Most would also caution their clients against reacting too quickly to the daily news. When markets do recover, they often gain ground in quick, sudden bursts. If you are out of the market, you can easily miss the benefits of these rallies.
Few of us would again like to live through the kind of market turmoil we saw over the past year. But as turbulent as markets were, in our view, they proved that the fundamental principles of long-term investing still apply.
Respectfully,
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management®
August 17, 2009
The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
MFS Fund Distributors, Inc., 500 Boylston Street, Boston, MA 02116
1
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Portfolio Composition — Capital Appreciation Variable Account
Portfolio structure
Top ten holdings | ||
Cisco Systems, Inc. | 4.1% | |
Accenture Ltd., “A” | 3.9% | |
Oracle Corp. | 3.8% | |
CVS Caremark Corp. | 3.5% | |
PepsiCo, Inc. | 3.5% | |
United Technologies Corp. | 2.9% | |
Google, Inc., “A” | 2.9% | |
Medtronic, Inc. | 2.9% | |
MasterCard, Inc., “A” | 2.8% | |
Danaher Corp. | 2.6% |
Equity sectors | ||
Technology | 21.2% | |
Health Care | 18.7% | |
Special Products & Services | 12.6% | |
Consumer Staples | 10.6% | |
Industrial Goods & Services | 8.8% | |
Retailing | 8.3% | |
Energy | 6.8% | |
Financial Services | 4.5% | |
Leisure | 3.4% | |
Basic Materials | 2.7% | |
Utilities & Communications | 0.7% | |
Transportation | 0.3% |
Percentages are based on net assets as of 6/30/09.
The portfolio is actively managed and current holdings may be different.
2
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Portfolio Composition — Global Governments Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Non-U.S. Government Bonds | 67.5% | |
U.S. Treasury Securities | 12.3% | |
Commercial Mortgage-Backed Securities | 4.4% | |
Mortgage-Backed Securities | 4.0% | |
U.S. Government Agencies | 2.4% | |
High Grade Corporates | 0.6% | |
Credit quality of bonds (r) | ||
AAA | 55.0% | |
AA | 41.9% | |
A | 3.1% |
Portfolio facts | ||
Average Duration (d)(i) | 6.1 | |
Average Effective Maturity (i)(m) | 7.8 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | AA+ | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 | |
Country weightings (i) | ||
United States | 32.3% | |
Japan | 20.0% | |
Italy | 13.9% | |
Spain | 5.3% | |
United Kingdom | 4.9% | |
Germany | 4.6% | |
France | 4.0% | |
Belgium | 3.5% | |
Netherlands | 2.8% | |
Other Countries | 8.7% |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/09. |
Percentages are based on net assets as of 6/30/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
3
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Portfolio Composition — Government Securities Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 65.9% | |
U.S. Treasury Securities | 15.4% | |
U.S. Government Agencies | 13.5% | |
Municipal Bonds | 3.3% | |
Commercial Mortgage-Backed Securities | 2.1% |
Credit quality of bonds (r) | ||
AAA | 97.6% | |
AA | 2.1% | |
Not Rated | 0.3% | |
Portfolio facts | ||
Average Duration (d)(i) | 3.9 | |
Average Effective Maturity (i)(m) | 5.4 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | AAA | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/09. |
From time to time “Cash & Other Net Assets” may be negative due to the timing of cash receipts and/or the equivalent exposure of derivatives.
Percentages are based on net assets as of 6/30/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
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Portfolio Composition — High Yield Variable Account
Portfolio structure (i)
Top five industries (i) | ||
Energy-Independent | 7.4% | |
Medical & Health Technology & Services | 7.2% | |
Utilities-Electric Power | 6.7% | |
Cable TV | 5.8% | |
Gaming & Lodging | 5.7% |
Credit quality of bonds (r) | ||
AAA | 3.4% | |
AA | 0.2% | |
A | 0.9% | |
BBB | 1.7% | |
BB | 23.5% | |
B | 44.4% | |
CCC | 19.0% | |
CC | 3.3% | |
C | 0.1% | |
D | 1.1% | |
Not Rated | 2.4% | |
Portfolio facts | ||
Average Duration (d)(i) | 3.6 | |
Average Effective Maturity (i)(m) | 5.3 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | B+ | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/09. |
Percentages are based on net assets as of 6/30/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
5
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Portfolio Composition — Money Market Variable Account
Portfolio structure (u)
Short term credit quality (q) | ||
Average Credit Quality Short-Term Bonds (a) | A-1 | |
All holdings are rated “A-1” | ||
Maturity breakdown (u) | ||
0 - 29 days | 63.2% | |
30 - 59 days | 20.0% | |
60 - 89 days | 8.6% | |
90 - 366 days | 8.3% | |
Other Assets Less Liabilities | (0.1)% |
(a) | The average credit quality is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(q) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. If not rated by any of the three agencies, the security is considered Not Rated. U.S. Treasuries and U.S. Agency securities are included in the “A-1”-rating category. Percentages are based on the total market value of investments as of 6/30/09. |
(u) | For purposes of this presentation, accrued interest, where applicable, is included. |
From time to time “Other Assets Less Liabilities” may be negative due to timing of cash receipts.
Percentages are based on net assets as of 6/30/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
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Portfolio Composition — Total Return Variable Account
Portfolio structure (i)
Top ten holdings (i) | ||
Fannie Mae, 5.5%, 30 years | 3.4% | |
Lockheed Martin Corp. | 2.0% | |
Exxon Mobil Corp. | 1.9% | |
JPMorgan Chase & Co. | 1.9% | |
Fannie Mae, 6.0%, 30 years | 1.8% | |
AT&T, Inc. | 1.8% | |
Philip Morris International, Inc. | 1.8% | |
Bank of New York Mellon Corp. | 1.4% | |
Goldman Sachs Group, Inc. | 1.4% | |
TOTAL S.A., ADR | 1.4% |
Equity sectors | ||
Financial Services | 11.3% | |
Energy | 7.8% | |
Consumer Staples | 7.0% | |
Health Care | 6.8% | |
Utilities & Communications | 6.7% | |
Industrial Goods & Services | 5.5% | |
Technology | 3.6% | |
Retailing | 3.6% | |
Basic Materials | 2.0% | |
Leisure | 1.6% | |
Special Products & Services | 1.5% | |
Autos & Housing | 0.6% | |
Transportation | 0.2% | |
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 15.5% | |
High Grade Corporates | 11.2% | |
U.S. Treasury Securities | 7.7% | |
Commercial Mortgage-Backed Securities | 2.6% | |
Non-U.S. Government Bonds | 1.1% | |
U.S. Government Agencies | 0.8% | |
Emerging Markets Bonds | 0.4% | |
Asset-Backed Securities | 0.4% | |
High Yield Corporates | 0.2% | |
Municipal Bonds | 0.1% | |
Residential Mortgage-Backed Securities (o) | 0.0% |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(o) | Less than 0.1%. |
Percentages are based on net assets as of 6/30/09, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
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Portfolio of Investments (unaudited) — June 30, 2009
Capital Appreciation Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 98.6% | |||||
Aerospace - 3.3% | |||||
Precision Castparts Corp. | 6,750 | $ | 492,949 | ||
United Technologies Corp. | 63,100 | 3,278,676 | |||
$ | 3,771,625 | ||||
Alcoholic Beverages - 0.9% | |||||
Diageo PLC | 71,130 | $ | 1,019,856 | ||
Apparel Manufacturers - 3.2% | |||||
LVMH Moet Hennessy Louis Vuitton S.A. | 19,780 | $ | 1,509,511 | ||
NIKE, Inc., “B” | 40,990 | 2,122,462 | |||
$ | 3,631,973 | ||||
Biotechnology - 2.3% | |||||
Genzyme Corp. (a) | 46,270 | $ | 2,575,851 | ||
Broadcasting - 2.7% | |||||
Grupo Televisa S.A., ADR | 34,740 | $ | 590,580 | ||
Omnicom Group, Inc. | 76,840 | 2,426,607 | |||
$ | 3,017,187 | ||||
Brokerage & Asset Managers - 1.7% | |||||
Charles Schwab Corp. | 63,790 | $ | 1,118,877 | ||
CME Group, Inc. | 2,550 | 793,331 | |||
$ | 1,912,208 | ||||
Business Services - 12.6% | |||||
Accenture Ltd., “A” | 133,510 | $ | 4,467,245 | ||
Amdocs Ltd. (a) | 49,750 | 1,067,138 | |||
Automatic Data Processing, Inc. | 18,790 | 665,918 | |||
Dun & Bradstreet Corp. | 23,070 | 1,873,515 | |||
Fidelity National Information Services, Inc. | 30,650 | 611,774 | |||
MasterCard, Inc., “A” | 19,300 | 3,229,083 | |||
Visa, Inc., “A” | 7,780 | 484,383 | |||
Western Union Co. | 119,210 | 1,955,044 | |||
$ | 14,354,100 | ||||
Cable TV - 0.7% | |||||
DIRECTV Group, Inc. (a) | 30,520 | $ | 754,149 | ||
Chemicals - 1.6% | |||||
3M Co. | 30,850 | $ | 1,854,085 | ||
Computer Software - 4.1% | |||||
Oracle Corp. | 200,580 | $ | 4,296,424 | ||
VeriSign, Inc. (a) | 21,930 | 405,266 | |||
$ | 4,701,690 | ||||
Computer Software - Systems - 5.2% | |||||
Apple, Inc. (a) | 12,310 | $ | 1,753,313 | ||
EMC Corp. (a) | 68,350 | 895,385 | |||
Hewlett-Packard Co. | 41,410 | 1,600,497 | |||
International Business Machines Corp. | 15,610 | 1,629,996 | |||
$ | 5,879,191 | ||||
Consumer Goods & Services - 4.6% | |||||
Colgate-Palmolive Co. | 35,910 | $ | 2,540,273 | ||
Procter & Gamble Co. | 52,850 | 2,700,635 | |||
$ | 5,240,908 | ||||
Electrical Equipment - 5.5% | |||||
Danaher Corp. | 46,950 | $ | 2,898,693 | ||
Rockwell Automation, Inc. | 69,970 | 2,247,436 | |||
W.W. Grainger, Inc. | 13,160 | 1,077,541 | |||
$ | 6,223,670 | ||||
Electronics - 3.3% | |||||
KLA-Tencor Corp. | 15,690 | $ | 396,173 | ||
National Semiconductor Corp. | 102,940 | 1,291,897 | |||
Samsung Electronics Co. Ltd., GDR | 3,941 | 919,238 |
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Electronics - continued | |||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 116,822 | $ | 1,099,295 | ||
$ | 3,706,603 | ||||
Energy - Integrated - 4.3% | |||||
Chevron Corp. | 27,300 | $ | 1,808,625 | ||
Exxon Mobil Corp. | 7,330 | 512,440 | |||
Hess Corp. | 16,450 | 884,188 | |||
Marathon Oil Corp. | 56,520 | 1,702,948 | |||
$ | 4,908,201 | ||||
Food & Beverages - 5.1% | |||||
Groupe Danone | 17,970 | $ | 886,860 | ||
Nestle S.A. | 26,307 | 990,734 | |||
PepsiCo, Inc. | 71,830 | 3,947,777 | |||
$ | 5,825,371 | ||||
Food & Drug Stores - 3.5% | |||||
CVS Caremark Corp. | 124,909 | $ | 3,980,850 | ||
General Merchandise - 0.6% | |||||
Target Corp. | 16,930 | $ | 668,227 | ||
Internet - 3.6% | |||||
eBay, Inc. (a) | 46,550 | $ | 797,402 | ||
Google, Inc., “A” (a) | 7,730 | 3,258,891 | |||
$ | 4,056,293 | ||||
Major Banks - 2.8% | |||||
Bank of New York Mellon Corp. | 44,784 | $ | 1,312,619 | ||
State Street Corp. | 39,970 | 1,886,584 | |||
$ | 3,199,203 | ||||
Medical & Health Technology & Services - 2.1% | |||||
Medco Health Solutions, Inc. (a) | 14,760 | $ | 673,204 | ||
Patterson Cos., Inc. (a) | 50,150 | 1,088,255 | |||
VCA Antech, Inc. (a) | 22,520 | 601,284 | |||
$ | 2,362,743 | ||||
Medical Equipment - 9.3% | |||||
DENTSPLY International, Inc. | 74,340 | $ | 2,268,857 | ||
Medtronic, Inc. | 93,000 | 3,244,770 | |||
Thermo Fisher Scientific, Inc. (a) | 45,040 | 1,836,281 | |||
Waters Corp. (a) | 44,400 | 2,285,268 | |||
Zimmer Holdings, Inc. (a) | 20,490 | 872,874 | |||
$ | 10,508,050 | ||||
Metals & Mining - 0.7% | |||||
BHP Billiton Ltd., ADR | 14,160 | $ | 774,977 | ||
Network & Telecom - 4.4% | |||||
Cisco Systems, Inc. (a) | 246,850 | $ | 4,601,284 | ||
Research in Motion Ltd. (a) | 5,980 | 424,879 | |||
$ | 5,026,163 | ||||
Oil Services - 2.5% | |||||
Halliburton Co. | 82,720 | $ | 1,712,304 | ||
Noble Corp. | 37,540 | 1,135,585 | |||
$ | 2,847,889 | ||||
Personal Computers & Peripherals - 0.6% | |||||
NetApp, Inc. (a) | 35,950 | $ | 708,934 | ||
Pharmaceuticals - 5.0% | |||||
Abbott Laboratories | 37,750 | $ | 1,775,760 | ||
Allergan, Inc. | 26,180 | 1,245,644 | |||
Johnson & Johnson | 24,720 | 1,404,096 | |||
Merck KGaA | 9,180 | 933,666 | |||
Roche Holding AG | 2,750 | 373,821 | |||
$ | 5,732,987 | ||||
8-CAVA
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Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Specialty Chemicals - 0.4% | |||||
Praxair, Inc. | 7,210 | $ | 512,415 | ||
Specialty Stores - 1.0% | |||||
Staples, Inc. | 53,920 | $ | 1,087,566 | ||
Telecommunications - Wireless - 0.7% | |||||
America Movil S.A.B. de C.V., “L”, ADR | 19,860 | $ | 768,979 | ||
Trucking - 0.3% | |||||
United Parcel Service, Inc., “B” | 7,060 | $ | 352,929 | ||
Total Common Stocks | $ | 111,964,873 | |||
MONEY MARKET FUNDS (v) - 1.3% | |||||
MFS Institutional Money Market Portfolio, 0.21%, at Cost and Net Asset Value | 1,527,235 | $ | 1,527,235 | ||
Total Investments | $ | 113,492,108 | |||
OTHER ASSETS, | 73,115 | ||||
NET ASSETS - 100.0% | $ | 113,565,223 | |||
See portfolio footnotes and notes to financial statements.
9-CAVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2009
Global Governments Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 89.8% | |||||||
Foreign Bonds - 66.5% | |||||||
Austria - 0.7% | |||||||
Republic of Austria, 4.65%, 2018 | EUR | 40,000 | $ | 58,828 | |||
Belgium - 3.4% | |||||||
Kingdom of Belgium, 5.5%, 2017 | EUR | 167,000 | $ | 263,033 | |||
Canada - 2.2% | |||||||
Bayview Commercial Asset Trust, FRN, 0.893%, 2023 (z) | CAD | 30,000 | $ | 16,649 | |||
Canada Housing Trust, 4.6%, 2011 (n) | CAD | 57,000 | 52,187 | ||||
Government of Canada, 4.5%, 2015 | CAD | 42,000 | 39,611 | ||||
Government of Canada, 4.25%, 2018 | CAD | 49,000 | 45,448 | ||||
Government of Canada, 5.75%, 2033 | CAD | 18,000 | 19,677 | ||||
$ | 173,572 | ||||||
France - 3.9% | |||||||
Republic of France, 6%, 2025 | EUR | 141,000 | $ | 239,340 | |||
Republic of France, 4.75%, 2035 | EUR | 40,000 | 59,243 | ||||
$ | 298,583 | ||||||
Germany - 4.5% | |||||||
Federal Republic of Germany, 5%, 2011 | EUR | 45,000 | $ | 67,508 | |||
Federal Republic of Germany, 3.75%, 2013 | EUR | 51,000 | 75,403 | ||||
Federal Republic of Germany, 6.25%, 2030 | EUR | 116,000 | 203,758 | ||||
$ | 346,669 | ||||||
Greece - 1.7% | |||||||
Republic of Greece, 3.6%, 2016 | EUR | 97,000 | $ | 131,780 | |||
Ireland - 1.8% | |||||||
Republic of Ireland, 4.6%, 2016 | EUR | 99,000 | $ | 137,488 | |||
Italy - 13.6% | |||||||
Republic of Italy, 4.75%, 2013 | EUR | 389,000 | $ | 582,118 | |||
Republic of Italy, 5.25%, 2017 | EUR | 305,000 | 467,764 | ||||
$ | 1,049,882 | ||||||
Japan - 19.9% | |||||||
Government of Japan, 1.3%, 2014 | JPY | 11,000,000 | $ | 117,169 | |||
Government of Japan, 1.7%, 2017 | JPY | 81,000,000 | 879,916 | ||||
Government of Japan, 2.1%, 2024 | JPY | 25,000,000 | 269,610 | ||||
Government of Japan, 2.2%, 2027 | JPY | 20,000,000 | 214,348 | ||||
Government of Japan, 2.4%, 2037 | JPY | 5,000,000 | 54,260 | ||||
$ | 1,535,303 | ||||||
Netherlands - 2.7% | |||||||
Kingdom of Netherlands, 3.75%, 2014 | EUR | 142,000 | $ | 207,585 | |||
Portugal - 1.1% | |||||||
Republic of Portugal, 4.45%, 2018 | EUR | 59,000 | $ | 84,187 | |||
Spain - 5.1% | |||||||
Kingdom of Spain, 5%, 2012 | EUR | 195,000 | $ | 296,162 | |||
Kingdom of Spain, 4.6%, 2019 | EUR | 67,000 | 97,582 | ||||
$ | 393,744 | ||||||
Sweden - 1.0% | |||||||
Kingdom of Sweden, 4.5%, 2015 | SEK | 540,000 | $ | 75,794 | |||
United Kingdom - 4.9% | |||||||
United Kingdom Treasury, 8%, 2015 | GBP | 81,000 | $ | 172,379 | |||
United Kingdom Treasury, 8%, 2021 | GBP | 57,000 | 131,535 | ||||
United Kingdom Treasury, 4.25%, 2036 | GBP | 46,000 | 73,693 | ||||
$ | 377,607 | ||||||
Total Foreign Bonds | $ | 5,134,055 | |||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
U.S. Bonds - 23.3% | |||||||
Asset Backed & Securitized - 4.2% | |||||||
Banc of America Commercial Mortgage, Inc., FRN, “A4”, 5.414%, 2047 | $ | 35,000 | $ | 27,907 | |||
Commercial Mortgage Asset Trust, FRN, 1.093%, 2032 (i)(z) | 962,861 | 18,927 | |||||
Commercial Mortgage Pass-Through Certificates, FRN, 0.509%, 2017 (n) | 59,000 | 51,404 | |||||
Commercial Mortgage Pass-Through Certificates, FRN, 0.519%, 2017 (n) | 80,445 | 69,906 | |||||
First Union National Bank Commercial Mortgage Trust, FRN, 1.143%, 2043 (i)(n) | 1,432,158 | 17,231 | |||||
Greenwich Capital Commercial Funding Corp., FRN, 5.917%, 2038 | 55,000 | 45,116 | |||||
GS Mortgage Securities Corp., 5.56%, 2039 | 40,000 | 32,624 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.429%, 2043 | 35,000 | 28,295 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.882%, 2051 | 41,000 | 30,704 | |||||
$ | 322,114 | ||||||
Local Authorities - 0.6% | |||||||
Metropolitan Transportation Authority, NY, (Build America Bonds), 7.336%, 2039 | $ | 20,000 | $ | 23,572 | |||
Utah Transit Authority Sales Tax Rev. (Build America Bonds), “B”, 5.937%, 2039 | 25,000 | 25,359 | |||||
$ | 48,931 | ||||||
Mortgage Backed - 4.0% | |||||||
Fannie Mae, 4.781%, 2012 | $ | 39,503 | $ | 41,409 | |||
Fannie Mae, 5.37%, 2013 | 23,949 | 25,545 | |||||
Fannie Mae, 4.78%, 2015 | 23,568 | 24,539 | |||||
Fannie Mae, 5.5%, 2015 | 9,000 | 9,666 | |||||
Fannie Mae, 5.09%, 2016 | 25,000 | 26,258 | |||||
Fannie Mae, 5.423%, 2016 | 23,942 | 25,689 | |||||
Fannie Mae, 5.16%, 2018 | 24,408 | 25,855 | |||||
Fannie Mae, 5.1%, 2019 | 10,980 | 11,409 | |||||
Fannie Mae, 5.18%, 2019 | 10,980 | 11,496 | |||||
Fannie Mae, 6.16%, 2019 | 10,515 | 11,544 | |||||
Freddie Mac, 5.085%, 2019 | 10,000 | 10,383 | |||||
Freddie Mac, 5%, 2025-2028 | 77,769 | 80,144 | |||||
$ | 303,937 | ||||||
U.S. Government Agencies and Equivalents - 2.4% | |||||||
Aid-Egypt, 4.45%, 2015 | $ | 49,000 | $ | 51,056 | |||
Small Business Administration, 4.57%, 2025 | 35,092 | 36,043 | |||||
Small Business Administration, 5.21%, 2026 | 93,609 | 97,709 | |||||
$ | 184,808 | ||||||
U.S. Treasury Obligations - 12.1% | |||||||
U.S. Treasury Bonds, 4.75%, 2017 | $ | 196,000 | $ | 214,866 | |||
U.S. Treasury Bonds, 8%, 2021 | 29,000 | 40,011 | |||||
U.S. Treasury Bonds, 6.875%, 2025 | 79,000 | 103,502 | |||||
U.S. Treasury Notes, 4.75%, 2012 | 248,000 | 269,390 | |||||
U.S. Treasury Notes, 4.125%, 2015 | 70,000 | 74,659 | |||||
U.S. Treasury Notes, TIPS, 2%, 2016 | 227,769 | 231,185 | |||||
$ | 933,613 | ||||||
Total U.S. Bonds | $ | 1,793,403 | |||||
Total Bonds | $ | 6,927,458 | |||||
10-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
MONEY MARKET FUNDS (v) - 8.3% | |||||||
MFS Institutional Money Market Portfolio, 0.21%, at Cost and Net Asset Value | 643,930 | $ | 643,930 | ||||
Total Investments | $ | 7,571,388 | |||||
OTHER ASSETS, | 145,867 | ||||||
NET ASSETS - 100.0% | $ | 7,717,255 | |||||
Derivative Contracts at 6/30/09
Forward Foreign Currency Exchange Contracts at 6/30/09
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Asset Derivatives | ||||||||||||||||||||
BUY | AUD | Credit Suisse Group | 8,500 | 7/01/09 | $ | 6,342 | $ | 6,849 | $ | 507 | ||||||||||
BUY | AUD | UBS AG | 128,832 | 7/01/09-7/15/09 | 98,677 | 103,811 | 5,134 | |||||||||||||
SELL | AUD | HSBC Bank | 37,920 | 7/01/09 | 31,000 | 30,556 | 444 | |||||||||||||
SELL | AUD | UBS AG | 39,980 | 7/01/09 | 32,286 | 32,216 | 70 | |||||||||||||
SELL | CAD | HSBC Bank | 9,626 | 8/17/09 | 8,500 | 8,278 | 222 | |||||||||||||
BUY | DKK | UBS AG | 289,472 | 7/01/09 | 51,685 | 54,530 | 2,845 | |||||||||||||
SELL | DKK | UBS AG | 289,472 | 7/01/09 | 54,697 | 54,530 | 167 | |||||||||||||
BUY | EUR | Barclays Bank PLC | 5,500 | 7/20/09 | 7,651 | 7,715 | 64 | |||||||||||||
BUY | EUR | JPMorgan Chase Bank | 58,592 | 7/15/09-7/20/09 | 80,852 | 82,198 | 1,346 | |||||||||||||
BUY | EUR | UBS AG | 5,416 | 7/20/09 | 7,519 | 7,599 | 80 | |||||||||||||
BUY | GBP | Barclays Bank PLC | 76,984 | 7/15/09 | 117,389 | 126,652 | 9,263 | |||||||||||||
BUY | GBP | Citibank N.A. | 17,355 | 7/15/09 | 26,858 | 28,553 | 1,695 | |||||||||||||
BUY | GBP | JPMorgan Chase Bank | 22,394 | 7/15/09 | 36,748 | 36,842 | 94 | |||||||||||||
SELL | GBP | HSBC Bank | 26,532 | 7/15/09 | 44,000 | 43,651 | 349 | |||||||||||||
BUY | JPY | HSBC Bank | 782,480 | 7/15/09 | 8,000 | 8,124 | 124 | |||||||||||||
SELL | JPY | Barclays Bank PLC | 3,614,131 | 7/15/09 | 37,890 | 37,522 | 368 | |||||||||||||
SELL | JPY | Goldman Sachs International | 3,579,949 | 7/15/09 | 37,445 | 37,167 | 278 | |||||||||||||
SELL | JPY | Merrill Lynch International Bank | 1,905,009 | 7/15/09 | 19,950 | 19,777 | 173 | |||||||||||||
BUY | NOK | Citibank N.A. | 341,903 | 8/31/09 | 52,686 | 53,091 | 405 | |||||||||||||
BUY | NZD | Credit Suisse Group | 2,882 | 7/08/09 | 1,857 | 1,858 | 1 | |||||||||||||
BUY | NZD | UBS AG | 61,274 | 7/08/09 | 37,709 | 39,520 | 1,811 | |||||||||||||
$ | 25,440 | |||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||
BUY | AUD | Credit Suisse Group | 7,423 | 7/01/09 | $ | 6,000 | $ | 5,982 | $ | (18 | ) | |||||||||
BUY | AUD | UBS AG | 39,980 | 8/31/09 | 32,139 | 32,075 | (64 | ) | ||||||||||||
SELL | AUD | UBS AG | 64,870 | 7/01/09 | 46,738 | 52,272 | (5,534 | ) | ||||||||||||
BUY | CAD | Citibank N.A. | 12,993 | 8/17/09 | 12,000 | 11,174 | (826 | ) | ||||||||||||
BUY | CAD | UBS AG | 165,892 | 8/17/09 | 145,001 | 142,661 | (2,340 | ) | ||||||||||||
SELL | CAD | UBS AG | �� | 209,630 | 8/17/09 | 179,312 | 180,273 | (961 | ) | |||||||||||
SELL | CHF | Credit Suisse Group | 29,751 | 7/27/09 | 27,375 | 27,390 | (15 | ) | ||||||||||||
BUY | DKK | UBS AG | 289,472 | 8/31/09 | 54,649 | 54,478 | (171 | ) | ||||||||||||
BUY | EUR | UBS AG | 34,368 | 7/20/09 | 48,302 | 48,215 | (87 | ) | ||||||||||||
SELL | EUR | Credit Suisse Group | 76,000 | 7/20/09 | 105,148 | 106,618 | (1,470 | ) | ||||||||||||
SELL | EUR | JPMorgan Chase Bank | 107,079 | 7/20/09 | 147,482 | 150,217 | (2,735 | ) | ||||||||||||
SELL | EUR | UBS AG | 255,351 | 7/20/09 | 346,537 | 358,225 | (11,688 | ) | ||||||||||||
SELL | GBP | Deutsche Bank AG | 43,871 | 7/15/09 | 67,091 | 72,175 | (5,084 | ) | ||||||||||||
BUY | JPY | Barclays Bank PLC | 288,751 | 7/21/09 | 3,000 | 2,998 | (2 | ) | ||||||||||||
BUY | JPY | Citibank N.A. | 911,864 | 7/21/09 | 9,548 | 9,467 | (81 | ) | ||||||||||||
BUY | JPY | Credit Suisse Group | 1,071,980 | 7/21/09 | 11,213 | 11,130 | (83 | ) | ||||||||||||
BUY | JPY | HSBC Bank | 5,142,615 | 7/15/09 | 53,520 | 53,391 | (129 | ) | ||||||||||||
BUY | JPY | JPMorgan Chase Bank | 84,218,803 | 7/15/09-7/21/09 | 880,472 | 874,369 | (6,103 | ) | ||||||||||||
BUY | JPY | UBS AG | 8,615,343 | 7/21/09 | 90,200 | 89,450 | (750 | ) | ||||||||||||
SELL | JPY | Barclays Bank PLC | 2,260,869 | 7/15/09-7/21/09 | 23,000 | 23,473 | (473 | ) | ||||||||||||
SELL | JPY | Credit Suisse Group | 483,610 | 7/15/09 | 5,000 | 5,021 | (21 | ) |
11-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Liability Derivatives (continued) | ||||||||||||||||||||
SELL | JPY | HSBC Bank USA | 1,035,262 | 7/15/09 | $ | 10,540 | $ | 10,748 | $ | (208 | ) | |||||||||
BUY | NZD | UBS AG | 62,395 | 7/08/09 | 40,667 | 40,243 | (424 | ) | ||||||||||||
SELL | NZD | UBS AG | 126,381 | 7/08/09 | 73,103 | 81,513 | (8,410 | ) | ||||||||||||
SELL | SEK | UBS AG | 283,115 | 8/31/09 | 35,841 | 36,693 | (852 | ) | ||||||||||||
$ | (48,529 | ) | ||||||||||||||||||
At June 30, 2009, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
12-WGVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2009
Government Securities Variable Account
Issuer | Shares/Par | Value ($) | ||||
BONDS - 96.9% | ||||||
Agency - Other - 4.6% | ||||||
Financing Corp., 9.4%, 2018 | $ | 1,020,000 | $ | 1,414,878 | ||
Financing Corp., 10.35%, 2018 | 500,000 | 703,075 | ||||
Financing Corp., STRIPS, 0%, 2017 | 1,220,000 | 827,596 | ||||
$ | 2,945,549 | |||||
Asset Backed & Securitized - 2.1% | ||||||
Banc of America Commercial Mortgage, Inc., FRN, 5.837%, 2049 | $ | 276,364 | $ | 195,569 | ||
Banc of America Commercial Mortgage, Inc., FRN, “A4”, 5.414%, 2047 | 316,832 | 252,626 | ||||
Commercial Mortgage Pass-Through Certificates, 5.306%, 2046 | 424,864 | 309,752 | ||||
Greenwich Capital Commercial Funding Corp., FRN, 5.914%, 2038 | 67,787 | 55,605 | ||||
GS Mortgage Securities Corp., 5.56%, 2039 | 179,763 | 146,616 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.006%, 2049 | 249,825 | 190,775 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.188%, 2051 | 242,098 | 188,876 | ||||
$ | 1,339,819 | |||||
Mortgage Backed - 65.6% | ||||||
Fannie Mae, 5.503%, 2011 | $ | 79,000 | $ | 83,578 | ||
Fannie Mae, 6.088%, 2011 | 124,000 | 131,870 | ||||
Fannie Mae, 4.73%, 2012 | 89,964 | 94,188 | ||||
Fannie Mae, 4.79%, 2012-2015 | 1,031,444 | 1,076,942 | ||||
Fannie Mae, 4.845%, 2013 | 248,449 | 261,047 | ||||
Fannie Mae, 5%, 2013-2035 | 2,941,945 | 3,050,599 | ||||
Fannie Mae, 5.06%, 2013 | 100,020 | 104,563 | ||||
Fannie Mae, 5.098%, 2013 | 126,965 | 134,453 | ||||
Fannie Mae, 4.589%, 2014 | 97,438 | 101,253 | ||||
Fannie Mae, 4.6%, 2014 | 119,894 | 124,535 | ||||
Fannie Mae, 4.609%, 2014 | 363,560 | 378,277 | ||||
Fannie Mae, 4.77%, 2014 | 101,253 | 105,791 | ||||
Fannie Mae, 4.84%, 2014 | 724,305 | 760,698 | ||||
Fannie Mae, 4.872%, 2014 | 459,943 | 481,650 | ||||
Fannie Mae, 5.1%, 2014-2015 | 195,357 | 206,178 | ||||
Fannie Mae, 4.5%, 2015-2028 | 2,123,342 | 2,197,443 | ||||
Fannie Mae, 4.56%, 2015 | 154,758 | 159,766 | ||||
Fannie Mae, 4.62%, 2015 | 172,431 | 178,620 | ||||
Fannie Mae, 4.665%, 2015 | 104,497 | 108,400 | ||||
Fannie Mae, 4.7%, 2015 | 120,100 | 124,767 | ||||
Fannie Mae, 4.74%, 2015 | 96,759 | 100,606 | ||||
Fannie Mae, 4.81%, 2015 | 122,761 | 128,290 | ||||
Fannie Mae, 4.815%, 2015 | 117,000 | 121,995 | ||||
Fannie Mae, 4.82%, 2015 | 241,022 | 251,572 | ||||
Fannie Mae, 4.89%, 2015 | 84,642 | 88,651 | ||||
Fannie Mae, 4.921%, 2015 | 299,226 | 313,868 | ||||
Fannie Mae, 5.466%, 2015 | 113,226 | 121,629 | ||||
Fannie Mae, 6.5%, 2016-2037 | 1,306,371 | 1,398,518 | ||||
Fannie Mae, 5.5%, 2017-2037 | 9,448,553 | 9,817,090 | ||||
Fannie Mae, 6%, 2017-2037 | 2,885,778 | 3,032,030 | ||||
Fannie Mae, 4.88%, 2020 | 79,169 | 81,643 | ||||
Fannie Mae, 7.5%, 2022-2031 | 126,148 | 137,624 | ||||
Freddie Mac, 4.375%, 2015 | 282,899 | 290,385 | ||||
Freddie Mac, 4.5%, 2015-2026 | 424,665 | 432,911 | ||||
Freddie Mac, 5%, 2016-2032 | 2,797,870 | 2,886,318 | ||||
Freddie Mac, 5.085%, 2019 | 312,000 | 323,937 | ||||
Freddie Mac, 6%, 2019-2038 | 3,207,246 | 3,365,350 | ||||
Freddie Mac, 5.5%, 2022-2036 | 5,297,225 | 5,479,857 | ||||
Freddie Mac, 6.5%, 2032-2037 | 491,153 | 526,089 | ||||
Ginnie Mae, 5.5%, 2033-2038 | 2,126,709 | 2,204,580 | ||||
Ginnie Mae, 5.612%, 2058 | 581,391 | 601,376 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Mortgage Backed - continued | ||||||
Ginnie Mae, 6.36%, 2058 | $ | 336,926 | $ | 356,642 | ||
$ | 41,925,579 | |||||
Municipals - 3.3% | ||||||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, 5%, 2039 | $ | 670,000 | $ | 699,755 | ||
Harris County, TX, “C”, FSA, 5.25%, 2027 | 125,000 | 137,831 | ||||
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A-1”, 5.25%, 2028 | 350,000 | 380,457 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), 5.5%, 2027 | 250,000 | 284,820 | ||||
Massachusetts Water Pollution Abatement Trust, 5.25%, 2033 | 115,000 | 125,631 | ||||
Massachusetts Water Resources Authority Rev., “B”, FSA, 5.25%, 2035 | 440,000 | 457,222 | ||||
$ | 2,085,716 | |||||
U.S. Government Agencies and Equivalents - 8.6% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 473,000 | $ | 492,847 | ||
Empresa Energetica Cornito Ltd., | 712,000 | 732,748 | ||||
Farmer Mac, 5.5%, 2011 (n) | 690,000 | 736,071 | ||||
PNC Funding Corp., 2.3%, 2012 (m) | 495,000 | 499,031 | ||||
Small Business Administration, | 4,382 | 4,511 | ||||
Small Business Administration, | 320,001 | 343,545 | ||||
Small Business Administration, | 425,646 | 458,879 | ||||
Small Business Administration, | 190,174 | 196,342 | ||||
Small Business Administration, | 418,601 | 433,425 | ||||
Small Business Administration, | 201,965 | 209,834 | ||||
Small Business Administration, | 255,197 | 265,645 | ||||
U.S. Department of Housing & Urban Development, 6.36%, 2016 | 500,000 | 539,812 | ||||
U.S. Department of Housing & Urban Development, 6.59%, 2016 | 611,000 | 613,088 | ||||
$ | 5,525,778 | |||||
U.S. Treasury Obligations - 12.7% | ||||||
U.S. Treasury Bonds, 9.25%, 2016 | $ | 19,000 | $ | 26,012 | ||
U.S. Treasury Bonds, 7.5%, 2016 | 218,000 | 278,069 | ||||
U.S. Treasury Bonds, 4.75%, 2017 | 507,000 | 555,799 | ||||
U.S. Treasury Bonds, 7.875%, 2021 | 63,000 | 85,532 | ||||
U.S. Treasury Bonds, 6.25%, 2023 | 16,000 | 19,490 | ||||
U.S. Treasury Bonds, 6.75%, 2026 (f) | 1,224,000 | 1,592,921 | ||||
U.S. Treasury Bonds, 5.25%, 2029 | 1,120,000 | 1,259,651 | ||||
U.S. Treasury Bonds, 4.375%, 2038 | 41,000 | 41,404 | ||||
U.S. Treasury Notes, 4.75%, 2010 | 450,000 | 462,129 | ||||
U.S. Treasury Notes, 1.125%, 2012 | 1,170,000 | 1,162,505 | ||||
U.S. Treasury Notes, 4.125%, 2012 | 53,000 | 56,925 | ||||
U.S. Treasury Notes, 4%, 2014 | 211,000 | 225,786 | ||||
U.S. Treasury Notes, 2.625%, 2016 | 201,000 | 194,342 | ||||
U.S. Treasury Notes, 3.75%, 2018 | 1,752,000 | 1,782,257 | ||||
U.S. Treasury Notes, 6.375%, 2027 | 326,000 | 411,473 | ||||
$ | 8,154,295 | |||||
Total Bonds | $ | 61,976,736 | ||||
13-GSVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
MONEY MARKET FUNDS (v) - 2.4% | |||||
MFS Institutional Money Market Portfolio, 0.21%, at Cost and Net Asset Value | 1,541,106 | $ | 1,541,106 | ||
Total Investments | $ | 63,517,842 | |||
OTHER ASSETS, | 424,104 | ||||
NET ASSETS - 100.0% | $ | 63,941,946 | |||
Derivatives Contracts at 6/30/09
Futures contracts outstanding at 6/30/09
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||
Liability Derivatives | |||||||||||||
Interest Rate Futures | |||||||||||||
U.S. Treasury Note 5 yr (Long) | USD | 18 | $ | 2,064,938 | Sep-09 | $ | (5,126 | ) | |||||
U.S. Treasury Note 10 yr (Long) | USD | 3 | 348,797 | Sep-09 | (2,800 | ) | |||||||
U.S. Treasury Bond 30 yr (Short) | USD | 7 | 828,516 | Sep-09 | (7,681 | ) | |||||||
$ | (15,607 | ) | |||||||||||
At June 30, 2009, the variable account had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
14-GSVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2009
High Yield Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 86.7% | |||||||
Aerospace - 1.3% | |||||||
Bombardier, Inc., 6.3%, 2014 (n) | $ | 100,000 | $ | 87,500 | |||
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015 | 193,000 | 99,395 | |||||
TransDigm Group, Inc., 7.75%, 2014 | 75,000 | 71,250 | |||||
Vought Aircraft Industries, Inc., 8%, 2011 | 315,000 | 196,875 | |||||
$ | 455,020 | ||||||
Airlines - 1.6% | |||||||
American Airlines, Inc., 10.375%, 2019 | $ | 80,000 | $ | 80,600 | |||
AMR Corp., 7.858%, 2013 | 170,000 | 159,375 | |||||
Continental Airlines, Inc., 7.339%, 2014 | 281,000 | 199,510 | |||||
Continental Airlines, Inc., 6.9%, 2018 | 42,467 | 32,275 | |||||
Continental Airlines, Inc., 6.748%, 2018 | 30,483 | 22,253 | |||||
Delta Air Lines, Inc., 7.111%, 2013 | 70,000 | 65,100 | |||||
$ | 559,113 | ||||||
Asset Backed & Securitized - 3.8% | |||||||
ARCap REIT, Inc., CDO, “H”, 6.086%, 2045 (z) | $ | 165,567 | $ | 9,934 | |||
Banc of America Commercial Mortgage, Inc., 5.39%, 2045 | 75,059 | 42,100 | |||||
Banc of America Commercial Mortgage, Inc., 5.772%, 2051 | 315,434 | 146,198 | |||||
Banc of America Commercial Mortgage, Inc., FRN, 5.837%, 2049 | 160,000 | 113,224 | |||||
Banc of America Commercial Mortgage, Inc., FRN, 6.002%, 2051 | 71,823 | 35,847 | |||||
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049 | 148,212 | 26,554 | |||||
Credit Suisse Mortgage Capital Certificate, 5.343%, 2039 | 70,665 | 33,693 | |||||
Crest Ltd., CDO, 7%, 2040 | 154,000 | 11,550 | |||||
CWCapital LLC, 5.223%, 2048 | 45,000 | 32,377 | |||||
First Union National Bank Commercial Mortgage Trust, 6.75%, 2032 | 165,000 | 95,889 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.44%, 2045 | 224,410 | 127,952 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.466%, 2047 | 145,361 | 70,737 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.42%, 2049 | 255,000 | 187,703 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.26%, 2051 | 110,000 | 23,207 | |||||
Merrill Lynch Mortgage Trust, FRN, 6.022%, 2050 | 110,000 | 27,162 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.204%, 2049 | 242,759 | 109,089 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050 | 160,000 | 114,415 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.902%, 2050 | 62,000 | 29,294 | |||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.943%, 2047 | 87,180 | 12,533 | |||||
Wachovia Bank Commercial Mortgage Trust, FRN, 6.099%, 2051 | 240,129 | 109,660 | |||||
Wachovia Credit, CDO, FRN, 1.957%, 2026 (z) | 250,000 | 10,000 | |||||
$ | 1,369,118 | ||||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Automotive - 3.7% | |||||||
Accuride Corp., 8.5%, 2015 | $ | 140,000 | $ | 28,000 | |||
Allison Transmission, Inc., 11%, 2015 (n) | 290,000 | 229,100 | |||||
FCE Bank PLC, 7.125%, 2012 | EUR | 300,000 | 355,622 | ||||
Ford Motor Credit Co. LLC, 9.75%, 2010 | $ | 140,000 | 134,105 | ||||
Ford Motor Credit Co. LLC, 12%, 2015 | 359,000 | 335,721 | |||||
Goodyear Tire & Rubber Co., 9%, 2015 | 230,000 | 227,700 | |||||
Goodyear Tire & Rubber Co., 10.5%, 2016 | 30,000 | 30,300 | |||||
$ | 1,340,548 | ||||||
Broadcasting - 3.0% | |||||||
Allbritton Communications Co., 7.75%, 2012 | $ | 328,000 | $ | 253,380 | |||
Bonten Media Acquisition Co., 9.75%, 2015 (p)(z) | 141,581 | 26,974 | |||||
CanWest MediaWorks LP, 9.25%, 2015 (a)(n) | 160,000 | 16,000 | |||||
Clear Channel Communications, Inc., 10.75%, 2016 | 75,000 | 23,250 | |||||
Lamar Media Corp., 6.625%, 2015 | 120,000 | 105,000 | |||||
Lamar Media Corp., “C”, 6.625%, 2015 | 145,000 | 122,525 | |||||
LBI Media, Inc., 8.5%, 2017 (z) | 100,000 | 52,625 | |||||
LIN TV Corp., 6.5%, 2013 | 215,000 | 154,800 | |||||
Local TV Finance LLC, 10%, 2015 (p)(z) | 252,000 | 41,370 | |||||
Newport Television LLC, 13%, 2017 (n)(p) | 280,000 | 18,929 | |||||
Nexstar Broadcasting Group, Inc., 7%, 2014 | 67,000 | 24,623 | |||||
Nexstar Broadcasting Group, Inc., 0.5% to 2011, 7% to 2014 (n)(p) | 201,191 | 57,071 | |||||
Univision Communications, Inc., 12%, 2014 (z) | 20,000 | 19,650 | |||||
Univision Communications, Inc., 9.75%, 2015 (n)(p) | 305,000 | 167,788 | |||||
Young Broadcasting, Inc., 8.75%, 2014 (d) | 80,000 | 200 | |||||
$ | 1,084,185 | ||||||
Brokerage & Asset Managers - 0.9% | |||||||
Janus Capital Group, Inc., 6.95%, 2017 | $ | 220,000 | $ | 192,122 | |||
Nuveen Investments, Inc., 10.5%, 2015 (n) | 175,000 | 120,750 | |||||
$ | 312,872 | ||||||
Building - 1.7% | |||||||
Associated Materials, Inc., 9.75%, 2012 | $ | 95,000 | $ | 83,125 | |||
Associated Materials, Inc., | 120,000 | 52,800 | |||||
Building Materials Corp. of America, 7.75%, 2014 | 140,000 | 124,600 | |||||
Nortek, Inc., 10%, 2013 | 170,000 | 136,425 | |||||
Nortek, Inc., 8.5%, 2014 | 95,000 | 27,075 | |||||
Owens Corning, 9%, 2019 | 95,000 | 92,148 | |||||
Ply Gem Industries, Inc., 11.75%, 2013 | 125,000 | 80,625 | |||||
$ | 596,798 | ||||||
15-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Business Services - 2.1% | |||||||
First Data Corp., 9.875%, 2015 | $ | 350,000 | $ | 248,500 | |||
Iron Mountain, Inc., 6.625%, 2016 | 145,000 | 129,775 | |||||
SunGard Data Systems, Inc., 9.125%, 2013 | 120,000 | 113,400 | |||||
SunGard Data Systems, Inc., 10.25%, 2015 | 261,000 | 241,099 | |||||
Terremark Worldwide, Inc., 12%, 2017 (z) | 25,000 | 24,000 | |||||
$ | 756,774 | ||||||
Cable TV - 4.9% | |||||||
CCO Holdings LLC, 8.75%, 2013 | $ | 335,000 | $ | 318,250 | |||
Charter Communications, Inc., 10.375%, 2014 (n) | 115,000 | 110,113 | |||||
Charter Communications, Inc., 10.875%, 2014 (n) | 135,000 | 139,725 | |||||
CSC Holdings, Inc., 6.75%, 2012 | 285,000 | 275,025 | |||||
CSC Holdings, Inc., 8.5%, 2014 (n) | 50,000 | 49,563 | |||||
DirectTV Holdings LLC, 7.625%, 2016 | 435,000 | 423,038 | |||||
Mediacom LLC, 9.5%, 2013 | 85,000 | 80,963 | |||||
Videotron LTEE, 6.875%, 2014 | 50,000 | 46,250 | |||||
Virgin Media Finance PLC, 9.5%, 2016 | 100,000 | 98,500 | |||||
Virgin Media, Inc., 9.125%, 2016 | 228,000 | 219,450 | |||||
$ | 1,760,877 | ||||||
Chemicals - 2.3% | |||||||
Dow Chemical Co., 8.55%, 2019 | $ | 140,000 | $ | 140,249 | |||
Innophos Holdings, Inc., 8.875%, 2014 | 205,000 | 187,575 | |||||
KI Holdings, Inc., 0% to 2009, 9.875% to 2014 | 278,000 | 249,505 | |||||
Momentive Performance Materials, Inc., 12.5%, 2014 (z) | 108,000 | 85,860 | |||||
Momentive Performance Materials, Inc., 10.875%, 2014 (p) | 127,428 | 47,075 | |||||
Momentive Performance Materials, Inc., 11.5%, 2016 | 65,000 | 18,200 | |||||
Nalco Co., 8.875%, 2013 | 105,000 | 107,100 | |||||
$ | 835,564 | ||||||
Construction - 0.2% | |||||||
Lennar Corp., 12.25%, 2017 (n) | $ | 65,000 | $ | 68,250 | |||
Consumer Goods & Services - 3.4% | |||||||
Corrections Corp. of America, 6.25%, 2013 | $ | 120,000 | $ | 113,700 | |||
GEO Group, Inc., 8.25%, 2013 | 170,000 | 165,750 | |||||
Jarden Corp., 7.5%, 2017 | 70,000 | 61,250 | |||||
KAR Holdings, Inc., 10%, 2015 | 185,000 | 151,700 | |||||
KAR Holdings, Inc., FRN, 5.027%, 2014 | 85,000 | 63,963 | |||||
Service Corp. International, 7.375%, 2014 | 110,000 | 103,950 | |||||
Service Corp. International, 7%, 2017 | 400,000 | 362,000 | |||||
Ticketmaster, 10.75%, 2016 (n) | 190,000 | 169,100 | |||||
Visant Holding Corp., 8.75%, 2013 | 40,000 | 39,300 | |||||
$ | 1,230,713 | ||||||
Containers - 1.7% | |||||||
Crown Americas LLC, 7.625%, 2013 | $ | 150,000 | $ | 146,250 | |||
Graham Packaging Holdings Co., 9.875%, 2014 | 220,000 | 204,600 | |||||
Greif, Inc., 6.75%, 2017 | 165,000 | 151,388 | |||||
Owens-Brockway Glass Container, Inc., 8.25%, 2013 | 95,000 | 95,475 | |||||
$ | 597,713 | ||||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Defense Electronics - 0.9% | |||||||
L-3 Communications Corp., 6.125%, 2014 | $ | 235,000 | $ | 218,550 | |||
L-3 Communications Corp., 5.875%, 2015 | 105,000 | 93,188 | |||||
$ | 311,738 | ||||||
Electronics - 0.8% | |||||||
Avago Technologies Ltd., 11.875%, 2015 | $ | 115,000 | $ | 114,713 | |||
Flextronics International Ltd., 6.25%, 2014 | 49,000 | 45,815 | |||||
Freescale Semiconductor, Inc., 8.875%, 2014 | 160,000 | 80,800 | |||||
Spansion, Inc., 11.25%, 2016 (d)(n) | 165,000 | 41,456 | |||||
$ | 282,784 | ||||||
Emerging Market Sovereign - 0.2% | |||||||
Republic of Argentina, 1.683%, 2009 | $ | 19,729 | $ | 19,255 | |||
Republic of Argentina, FRN, 1.683%, 2012 | 57,263 | 36,419 | |||||
$ | 55,674 | ||||||
Energy - Independent - 7.3% | |||||||
Chaparral Energy, Inc., 8.875%, 2017 | $ | 225,000 | $ | 139,500 | |||
Chesapeake Energy Corp., 7%, 2014 | 87,000 | 80,475 | |||||
Chesapeake Energy Corp., 9.5%, 2015 | 90,000 | 90,675 | |||||
Chesapeake Energy Corp., 6.375%, 2015 | 315,000 | 280,350 | |||||
Forest Oil Corp., 8.5%, 2014 (n) | 30,000 | 29,475 | |||||
Forest Oil Corp., 7.25%, 2019 | 230,000 | 205,850 | |||||
Hilcorp Energy I LP, 9%, 2016 (n) | 225,000 | 195,750 | |||||
Mariner Energy, Inc., 8%, 2017 | 250,000 | 207,500 | |||||
McMoRan Exploration Co., 11.875%, 2014 | 105,000 | 88,856 | |||||
Newfield Exploration Co., 6.625%, 2014 | 125,000 | 115,156 | |||||
OPTI Canada, Inc., 8.25%, 2014 | 255,000 | 168,300 | |||||
Penn Virginia Corp., 10.375%, 2016 | 95,000 | 96,663 | |||||
Petrohawk Energy Corp., 10.5%, 2014 (n) | 95,000 | 97,138 | |||||
Plains Exploration & Production Co., 7%, 2017 | 290,000 | 253,750 | |||||
Quicksilver Resources, Inc., 8.25%, 2015 | 60,000 | 53,400 | |||||
Quicksilver Resources, Inc., 7.125%, 2016 | 295,000 | 230,100 | |||||
Range Resources Corp., 8%, 2019 | 70,000 | 68,863 | |||||
SandRidge Energy, Inc., 9.875%, 2016 (n) | 45,000 | 43,425 | |||||
SandRidge Energy, Inc., 8%, 2018 (n) | 195,000 | 166,725 | |||||
$ | 2,611,951 | ||||||
Entertainment - 0.8% | |||||||
AMC Entertainment, Inc., 11%, 2016 | $ | 150,000 | $ | 145,125 | |||
AMC Entertainment, Inc., 8.75%, 2019 (n) | 120,000 | 112,800 | |||||
Cinemark USA, Inc., 8.625%, 2019 (z) | 45,000 | 44,438 | |||||
$ | 302,363 | ||||||
Financial Institutions - 2.0% | |||||||
GMAC LLC, 6.875%, 2011 (n) | $ | 381,000 | $ | 333,375 | |||
GMAC LLC, 7%, 2012 (n) | 90,000 | 76,320 | |||||
GMAC LLC, 6.75%, 2014 (n) | 210,000 | 164,850 |
16-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Financial Institutions - continued | |||||||
GMAC LLC, 8%, 2031 (n) | $ | 150,000 | $ | 105,000 | |||
International Lease Finance Corp., 5.625%, 2013 | 65,000 | 49,105 | |||||
$ | 728,650 | ||||||
Food & Beverages - 2.1% | |||||||
ARAMARK Corp., 8.5%, 2015 | $ | 115,000 | $ | 111,550 | |||
B&G Foods, Inc., 8%, 2011 | 175,000 | 173,688 | |||||
Dean Foods Co., 7%, 2016 | 155,000 | 141,438 | |||||
Del Monte Corp., 6.75%, 2015 | 185,000 | 175,288 | |||||
Michael Foods, Inc., 8%, 2013 | 175,000 | 170,625 | |||||
$ | 772,589 | ||||||
Forest & Paper Products - 2.1% | |||||||
Buckeye Technologies, Inc., 8%, 2010 | $ | 14,000 | $ | 13,720 | |||
Buckeye Technologies, Inc., 8.5%, 2013 | 335,000 | 311,550 | |||||
Georgia-Pacific Corp., 7.125%, 2017 (n) | 65,000 | 60,450 | |||||
Georgia-Pacific Corp., 8%, 2024 | 75,000 | 63,750 | |||||
Graphic Packaging International Corp., 9.5%, 2013 | 120,000 | 114,600 | |||||
Jefferson Smurfit Corp., 8.25%, 2012 (d) | 95,000 | 35,625 | |||||
JSG Funding PLC, 7.75%, 2015 | 25,000 | 19,313 | |||||
Millar Western Forest Products Ltd., 7.75%, 2013 | 245,000 | 112,700 | |||||
Smurfit-Stone Container Corp., 8%, 2017 (d) | 54,000 | 19,980 | |||||
$ | 751,688 | ||||||
Gaming & Lodging - 5.3% | |||||||
Ameristar Casinos, Inc., 9.25%, 2014 (n) | $ | 65,000 | $ | 66,300 | |||
Boyd Gaming Corp., 6.75%, 2014 | 235,000 | 190,350 | |||||
Firekeepers Development Authority, 13.875%, 2015 (n) | 75,000 | 69,188 | |||||
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n) | 180,000 | 6,750 | |||||
Harrah’s Operating Co., Inc., 11.25%, 2017 (n) | 100,000 | 94,500 | |||||
Harrah’s Operating Co., Inc., 10%, 2018 (n) | 55,000 | 31,625 | |||||
Harrah’s Operating Co., Inc., 10%, 2018 (n) | 273,000 | 156,975 | |||||
Host Hotels & Resorts, Inc., 7.125%, 2013 | 70,000 | 65,800 | |||||
Host Hotels & Resorts, Inc., 6.75%, 2016 | 110,000 | 95,425 | |||||
Host Hotels & Resorts, Inc., 9%, 2017 (n) | 30,000 | 28,575 | |||||
MGM Mirage, 6.75%, 2013 | 5,000 | 3,338 | |||||
MGM Mirage, 5.875%, 2014 | 125,000 | 80,313 | |||||
MGM Mirage, 10.375%, 2014 (n) | 20,000 | 20,750 | |||||
MGM Mirage, 7.5%, 2016 | 140,000 | 90,825 | |||||
MGM Mirage, 11.125%, 2017 (n) | 60,000 | 63,600 | |||||
Pinnacle Entertainment, Inc., 7.5%, 2015 | 390,000 | 333,450 | |||||
Royal Caribbean Cruises Ltd., 7%, 2013 | 105,000 | 91,744 | |||||
Royal Caribbean Cruises Ltd., 11.875%, 2015 (z) | 60,000 | 58,439 | |||||
Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 2012 | 50,000 | 46,000 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Gaming & Lodging - continued | |||||||
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018 | $ | 65,000 | $ | 55,738 | |||
Station Casinos, Inc., 6%, 2012 (d) | 200,000 | 69,000 | |||||
Station Casinos, Inc., 6.5%, 2014 (d) | 330,000 | 6,600 | |||||
Station Casinos, Inc., 6.875%, 2016 (d) | 380,000 | 9,500 | |||||
Station Casinos, Inc., 7.75%, 2016 (d) | 70,000 | 24,150 | |||||
Trump Entertainment Resorts Holdings, Inc., 8.5%, 2015 (d) | 299,000 | 37,001 | |||||
Wyndham Worldwide Corp., 6%, 2016 | 160,000 | 125,136 | |||||
$ | 1,921,072 | ||||||
Industrial - 1.0% | |||||||
Baldor Electric Co., 8.625%, 2017 | $ | 120,000 | $ | 111,000 | |||
JohnsonDiversey, Inc., 9.625%, 2012 | EUR | 70,000 | 88,871 | ||||
JohnsonDiversey, Inc., “B”, 9.625%, 2012 | $ | 150,000 | 148,875 | ||||
$ | 348,746 | ||||||
Insurance - Property & Casualty - 0.3% | |||||||
USI Holdings Corp., 9.75%, 2015 (z) | $ | 160,000 | $ | 107,200 | |||
Machinery & Tools - 0.3% | |||||||
Case New Holland, Inc., 7.125%, 2014 | $ | 130,000 | $ | 118,625 | |||
Major Banks - 1.5% | |||||||
Bank of America Corp., FRN, 8% to 2018, FRN to 2049 | $ | 290,000 | $ | 242,196 | |||
JPMorgan Chase & Co., 7.9% to 2018, FRN to 2049 | 325,000 | 284,408 | |||||
$ | 526,604 | ||||||
Medical & Health Technology & Services - 7.0% | |||||||
Biomet, Inc., 10%, 2017 | $ | 170,000 | $ | 172,975 | |||
Community Health Systems, Inc., 8.875%, 2015 | 340,000 | 333,200 | |||||
Cooper Cos., Inc., 7.125%, 2015 | 130,000 | 121,225 | |||||
DaVita, Inc., 6.625%, 2013 | 74,000 | 69,745 | |||||
DaVita, Inc., 7.25%, 2015 | 230,000 | 216,200 | |||||
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n) | 125,000 | 130,313 | |||||
HCA, Inc., 6.375%, 2015 | 275,000 | 223,438 | |||||
HCA, Inc., 9.25%, 2016 | 485,000 | 477,725 | |||||
HCA, Inc., 8.5%, 2019 (n) | 105,000 | 102,900 | |||||
Psychiatric Solutions, Inc., 7.75%, 2015 | 150,000 | 137,250 | |||||
Psychiatric Solutions, Inc., 7.75%, 2015 (n) | 50,000 | 45,750 | |||||
U.S. Oncology, Inc., 10.75%, 2014 | 175,000 | 173,250 | |||||
Universal Hospital Services, Inc., 8.5%, 2015 (p) | 155,000 | 146,088 | |||||
Universal Hospital Services, Inc., FRN, 4.635%, 2015 | 45,000 | 36,225 | |||||
VWR Funding, Inc., 10.25%, 2015 (p) | 150,000 | 118,500 | |||||
$ | 2,504,784 | ||||||
Metals & Mining - 2.8% | |||||||
Arch Western Finance LLC, 6.75%, 2013 | $ | 175,000 | $ | 159,688 | |||
FMG Finance Ltd., 10.625%, 2016 (n) | 210,000 | 201,600 | |||||
Freeport-McMoRan Copper & Gold, Inc., 8.375%, 2017 | 310,000 | 312,325 |
17-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Metals & Mining - continued | |||||||
Freeport-McMoRan Copper & Gold, Inc., FRN, 4.995%, 2015 | $ | 85,000 | $ | 79,564 | |||
Peabody Energy Corp., 5.875%, 2016 | 80,000 | 70,400 | |||||
Peabody Energy Corp., 7.375%, 2016 | 200,000 | 189,000 | |||||
$ | 1,012,577 | ||||||
Natural Gas - Distribution - 1.0% | |||||||
AmeriGas Partners LP, 7.125%, 2016 | $ | 180,000 | $ | 164,700 | |||
Inergy LP, 6.875%, 2014 | 235,000 | 213,850 | |||||
$ | 378,550 | ||||||
Natural Gas - Pipeline - 2.3% | |||||||
Atlas Pipeline Partners LP, 8.125%, 2015 | $ | 160,000 | $ | 114,400 | |||
Atlas Pipeline Partners LP, 8.75%, 2018 | 140,000 | 95,900 | |||||
Deutsche Bank (El Paso Performance-Linked Trust, CLN), 7.75%, 2011 (n) | 185,000 | 181,557 | |||||
El Paso Corp., 7.25%, 2018 | 140,000 | 129,260 | |||||
Kinder Morgan, Inc., 6.5%, 2012 | 65,000 | 63,538 | |||||
MarkWest Energy Partners LP, 6.875%, 2014 (n) | 120,000 | 99,000 | |||||
Williams Partners LP, 7.25%, 2017 | 155,000 | 141,438 | |||||
$ | 825,093 | ||||||
Network & Telecom - 3.6% | |||||||
Cincinnati Bell, Inc., 8.375%, 2014 | $ | 265,000 | $ | 245,125 | |||
Citizens Communications Co., 9.25%, 2011 | 160,000 | 166,800 | |||||
Nordic Telephone Co. Holdings, 8.875%, 2016 (n) | 205,000 | 197,825 | |||||
Qwest Communications International, Inc., 7.25%, 2011 | 240,000 | 232,800 | |||||
Qwest Corp., 7.875%, 2011 | 95,000 | 95,000 | |||||
Qwest Corp., 8.875%, 2012 | 170,000 | 171,275 | |||||
Qwest Corp., 8.375%, 2016 (n) | 61,000 | 58,865 | |||||
Windstream Corp., 8.625%, 2016 | 150,000 | 143,625 | |||||
$ | 1,311,315 | ||||||
Precious Metals & Minerals - 0.5% | |||||||
Teck Resources Ltd., 9.75%, 2014 (n) | $ | 60,000 | $ | 62,100 | |||
Teck Resources Ltd., 10.75%, 2019 (n) | 120,000 | 129,000 | |||||
$ | 191,100 | ||||||
Printing & Publishing - 1.1% | |||||||
American Media Operations, Inc., 9%, 2013 (p)(z) | $ | 12,648 | $ | 5,296 | |||
American Media Operations, Inc., 14%, 2013 (p)(z) | 132,057 | 43,542 | |||||
Dex Media West LLC, 9.875%, 2013 (d) | 160,000 | 24,400 | |||||
Idearc, Inc., 8%, 2016 (d) | 193,000 | 5,066 | |||||
Nielsen Finance LLC, 10%, 2014 | 185,000 | 175,056 | |||||
Nielsen Finance LLC, 11.5%, 2016 (n) | 100,000 | 97,250 | |||||
Nielsen Finance LLC, 0% to 2011, 12.5% to 2016 | 28,000 | 17,990 | |||||
Quebecor World, Inc., 6.125%, 2013 (d) | 105,000 | 8,925 | |||||
Tribune Co., 5.25%, 2015 (d) | 130,000 | 6,500 | |||||
$ | 384,025 | ||||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Railroad & Shipping - 0.2% | |||||||
Kansas City Southern Railway, 8%, 2015 | $ | 65,000 | $ | 60,450 | |||
Real Estate - 0.1% | |||||||
CB Richard Ellis Group, Inc., 11.625%, 2017 (z) | $ | 45,000 | $ | 43,875 | |||
Retailers - 2.1% | |||||||
Couche-Tard, Inc., 7.5%, 2013 | $ | 55,000 | $ | 53,625 | |||
Dollar General Corp., 11.875%, 2017 (p) | 30,000 | 32,400 | |||||
Limited Brands, Inc., 5.25%, 2014 | 120,000 | 102,018 | |||||
Macy’s Retail Holdings, Inc., 5.35%, 2012 | 55,000 | 50,062 | |||||
Macy’s Retail Holdings, Inc., 5.75%, 2014 | 175,000 | 148,793 | |||||
Neiman Marcus Group, Inc., 10.375%, 2015 | 115,000 | 67,275 | |||||
Rite Aid Corp., 9.75%, 2016 (n) | 95,000 | 95,000 | |||||
Rite Aid Corp., 7.5%, 2017 | 90,000 | 70,425 | |||||
Sally Beauty Holdings, Inc., 10.5%, 2016 | 145,000 | 143,550 | |||||
$ | 763,148 | ||||||
Specialty Chemicals - 0.5% | |||||||
Ashland, Inc., 9.125%, 2017 (n) | $ | 175,000 | $ | 182,000 | |||
Specialty Stores - 0.5% | |||||||
Michaels Stores, Inc., 10%, 2014 | $ | 25,000 | $ | 21,000 | |||
Payless ShoeSource, Inc., 8.25%, 2013 | 160,000 | 148,000 | |||||
$ | 169,000 | ||||||
Supermarkets - 0.2% | |||||||
SUPERVALU, Inc., 8%, 2016 | $ | 85,000 | $ | 82,450 | |||
Telecommunications - Wireless - 3.3% | |||||||
Cricket Communications, Inc., 7.75%, 2016 (z) | $ | 95,000 | $ | 91,438 | |||
Crown Castle International Corp., 9%, 2015 | 115,000 | 117,013 | |||||
Crown Castle International Corp., 7.75%, 2017 (n) | 60,000 | 58,500 | |||||
Intelsat Jackson Holdings Ltd., 9.5%, 2016 (n) | 165,000 | 165,825 | |||||
MetroPCS Wireless, Inc., 9.25%, 2014 | 145,000 | 144,094 | |||||
Nextel Communications, Inc., 6.875%, 2013 | 130,000 | 107,575 | |||||
Sprint Nextel Corp., 8.375%, 2012 | 200,000 | 197,000 | |||||
Sprint Nextel Corp., 8.75%, 2032 | 70,000 | 56,350 | |||||
Wind Acquisition Finance S.A., 10.75%, 2015 (z) | 250,000 | 250,000 | |||||
$ | 1,187,795 | ||||||
Telephone Services - 0.3% | |||||||
Frontier Communications Corp., 8.25%, 2014 | $ | 115,000 | $ | 108,675 | |||
Tobacco - 0.6% | |||||||
Alliance One International, Inc., 10%, 2016 (z) | $ | 85,000 | $ | 80,538 | |||
Altria Group, Inc., 9.7%, 2018 | 105,000 | 120,377 | |||||
$ | 200,915 | ||||||
Transportation - Services - 0.2% | |||||||
Hertz Corp., 8.875%, 2014 | $ | 95,000 | $ | 87,400 | |||
18-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Utilities - Electric Power - 5.2% | |||||||
AES Corp., 8%, 2017 | $ | 240,000 | $ | 223,200 | |||
Calpine Corp., 8%, 2016 (n) | 130,000 | 124,475 | |||||
Dynegy Holdings, Inc., 7.5%, 2015 | 155,000 | 129,231 | |||||
Dynegy Holdings, Inc., 7.75%, 2019 | 165,000 | 128,494 | |||||
Edison Mission Energy, 7%, 2017 | 260,000 | 199,550 | |||||
Mirant North America LLC, 7.375%, 2013 | 105,000 | 100,800 | |||||
NRG Energy, Inc., 7.375%, 2016 | 615,000 | 581,944 | |||||
RRI Energy, Inc., 7.875%, 2017 | 115,000 | 102,925 | |||||
Texas Competitive Electric Holdings LLC, 10.25%, 2015 | 435,000 | 270,788 | |||||
$ | 1,861,407 | ||||||
Total Bonds | $ | 31,161,788 | |||||
FLOATING RATE LOANS (g)(r) - 6.3% | |||||||
Aerospace - 0.7% | |||||||
Hawker Beechcraft Acquisition Co. LLC, Letter of Credit, 2.6%, 2014 | $ | 15,516 | $ | 10,502 | |||
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 2.41%, 2014 | 340,434 | 230,432 | |||||
$ | 240,934 | ||||||
Automotive - 1.2% | |||||||
Accuride Corp., Term Loan, 3%, 2012 | $ | 23,379 | $ | 18,072 | |||
Federal-Mogul Corp., Term Loan B, 2.26%, 2014 | 186,004 | 123,693 | |||||
Ford Motor Co., Term Loan, 3.59%, 2013 | 387,788 | 279,595 | |||||
Mark IV Industries, Inc., Second Lien Term Loan, 9.86%, 2011 (d) | 167,460 | 1,361 | |||||
$ | 422,721 | ||||||
Broadcasting - 0.5% | |||||||
Gray Television, Inc., Term Loan, 3.82%, 2014 | $ | 88,532 | $ | 54,281 | |||
Young Broadcasting, Inc., Incremental Term Loan, 4.75%, 2012 (d) | 66,825 | 31,671 | |||||
Young Broadcasting, Inc., Term Loan, 4.75%, 2012 (d) | 181,154 | 85,854 | |||||
$ | 171,806 | ||||||
Building - 0.1% | |||||||
Building Materials Holding Corp., Term Loan, 3.06%, 2014 | $ | 25,983 | $ | 22,553 | |||
Business Services - 0.5% | |||||||
First Data Corp., Term Loan B-1, 3.06%, 2014 | $ | 239,398 | $ | 178,950 | |||
Cable TV - 0.3% | |||||||
Charter Communications Operating LLC, Term Loan, 6.25%, 2014 | $ | 116,680 | $ | 105,085 | |||
Electronics - 0.1% | |||||||
Freescale Semiconductor, Inc., Term Loan B, 2.07%, 2013 | $ | 74,202 | $ | 53,945 | |||
Gaming & Lodging - 0.2% | |||||||
Green Valley Ranch Gaming LLC, Second Lien Term Loan, 3.88%, 2014 | $ | 248,868 | $ | 31,109 | |||
MGM Mirage, Term Loan, 2011 (o) | 57,149 | 44,183 | |||||
$ | 75,292 | ||||||
Printing & Publishing - 0.2% | |||||||
Tribune Co., Incremental Term Loan B, 5.25%, 2014 (d) | $ | 285,110 | $ | 85,177 | |||
Issuer | Shares/Par | Value ($) | |||||
FLOATING RATE LOANS (g)(r) - continued | |||||||
Retailers - 0.3% | |||||||
Toys “R” Us, Inc., Term Loan, 2013 (o) | $ | 58,463 | $ | 57,513 | |||
Toys “R” Us, Inc., Term Loan B, 2012 (o) | 58,478 | 53,416 | |||||
$ | 110,929 | ||||||
Specialty Chemicals - 0.3% | |||||||
LyondellBasell, DIP Term Loan, 9.17%, 2009 (q) | $ | 29,252 | $ | 30,104 | |||
LyondellBasell, DIP Term Loan B-3, 5.82%, 2014 | 29,224 | 24,201 | |||||
LyondellBasell, Dutch Tranche Revolving Credit Loan, 3.82%, 2014 (o) | 2,525 | 1,093 | |||||
LyondellBasell, Dutch Tranche Term Loan, 3.82%, 2014 (o) | 5,936 | 2,570 | |||||
LyondellBasell, German Tranche Term Loan B-1, 4.07%, 2014 (o) | 7,248 | 3,137 | |||||
LyondellBasell, German Tranche Term Loan B-2, 4.07%, 2014 (o) | 7,248 | 3,137 | |||||
LyondellBasell, German Tranche Term Loan B-3, 4.07%, 2014 (o) | 7,248 | 3,137 | |||||
LyondellBasell, U.S. Tranche Revolving Credit Loan, 3.82%, 2014 (o) | 9,467 | 4,098 | |||||
LyondellBasell, U.S. Tranche Term Loan, 3.82%, 2014 (o) | 18,038 | 7,808 | |||||
LyondellBasell, U.S. Tranche Term Loan B-1, 7%, 2014 (o) | 31,451 | 13,614 | |||||
LyondellBasell, U.S. Tranche Term Loan B-2, 7%, 2014 (o) | 31,451 | 13,614 | |||||
LyondellBasell, U.S. Tranche Term Loan B-3, 7%, 2014 (o) | 31,451 | 13,614 | |||||
$ | 120,127 | ||||||
Specialty Stores - 0.5% | |||||||
Michaels Stores, Inc., Term Loan B, 2.68%, 2013 | $ | 216,450 | $ | 171,296 | |||
Utilities - Electric Power - 1.4% | |||||||
Calpine Corp., Term Loan, 3.47%, 2014 | $ | 158,133 | $ | 139,641 | |||
NRG Energy, Inc., Synthetic Letter of Credit, 2.35%, 2013 | 29,967 | 28,135 | |||||
NRG Energy, Inc., Term Loan, 2.02%, 2013 | 56,117 | 52,687 | |||||
Texas Competitive Electric Holdings Co. LLC, Term Loan B-3, 3.82%, 2014 (o) | 403,407 | 287,462 | |||||
$ | 507,925 | ||||||
Total Floating Rate Loans | $ | 2,266,740 | |||||
COMMON STOCKS - 0.9% | |||||||
Automotive - 0.0% | |||||||
Oxford Automotive, Inc. (a) | 53 | $ | 0 | ||||
Cable TV - 0.5% | |||||||
Cablevision Systems Corp., “A” | 2,100 | $ | 40,761 | ||||
Comcast Corp., “A” | 7,600 | 110,124 | |||||
Time Warner Cable, Inc. | 933 | 29,548 | |||||
$ | 180,433 | ||||||
Energy - Integrated - 0.1% | |||||||
Chevron Corp. | 500 | $ | 33,125 | ||||
Gaming & Lodging - 0.1% | |||||||
Pinnacle Entertainment, Inc. (a) | 5,400 | $ | 50,166 | ||||
19-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
COMMON STOCKS - continued | |||||||
Printing & Publishing - 0.0% | |||||||
American Media, Inc. (a) | 2,421 | $ | 3,244 | ||||
Golden Books Family Entertainment, Inc. (a) | 21,250 | 0 | |||||
$ | 3,244 | ||||||
Telephone Services - 0.2% | |||||||
Windstream Corp. | 7,600 | $ | 63,536 | ||||
Total Common Stocks | $ | 330,504 | |||||
PREFERRED STOCKS - 0.6% | |||||||
Financial Institutions - 0.1% | |||||||
Preferred Blocker, Inc., 7% (z) | 95 | $ | 40,856 | ||||
Major Banks - 0.5% | |||||||
Bank of America Corp., 8.625% | 7,625 | $ | 154,635 | ||||
Total Preferred Stocks | $ | 195,491 | |||||
Issuer | Shares/Par | Value ($) | |||||
MONEY MARKET FUNDS (v) - 2.6% | |||||||
MFS Institutional Money Market Portfolio, 0.21%, at Cost and Net Asset Value | 936,712 | $ | 936,712 | ||||
Total Investments | $ | 34,891,235 | |||||
OTHER ASSETS, | 1,046,303 | ||||||
NET ASSETS - 100.0% | $ | 35,937,538 | |||||
Derivative Contracts at 6/30/09
Forward Foreign Currency Exchange Contracts at 6/30/09
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Liability Derivatives | ||||||||||||||||||||
SELL | EUR | UBS AG | 226,091 | 7/20/09 | $ | 306,828 | $ | 317,177 | $ | (10,349 | ) |
At June 30, 2009, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
20-HYVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2009
Money Market Variable Account
Issuer | Shares/Par | Value ($) | ||||
CERTIFICATES OF DEPOSIT - 6.3% | ||||||
Major Banks - 6.3% | ||||||
Bank of Montreal, Chicago | $ | 560,000 | $ | 560,000 | ||
Credit Agricole S.A., 0.45%, due 8/07/09 | 1,100,000 | 1,100,000 | ||||
Royal Bank Of Canada NY, | 700,000 | 700,000 | ||||
Total Certificates of Deposit, | $ | 2,360,000 | ||||
COMMERCIAL PAPER (y) - 58.2% | ||||||
Automotive - 3.0% | ||||||
Toyota Motor Credit Corp., 0.35%, due 8/24/09 | $ | 1,147,000 | $ | 1,146,397 | ||
Financial Institutions - 2.5% | ||||||
General Electric Capital Corp., 0.23%, due 7/24/09 | $ | 940,000 | $ | 939,862 | ||
Food & Beverages - 3.0% | ||||||
Coca-Cola Co., 0.15%, due 7/09/09 (t) | $ | 123,000 | $ | 122,996 | ||
Coca-Cola Co., 0.24%, due 9/17/09 (t) | 1,000,000 | 999,480 | ||||
$ | 1,122,476 | |||||
Major Banks - 28.7% | ||||||
Abbey National North America LLC, | $ | 1,128,000 | $ | 1,127,953 | ||
Australia & New Zealand Banking Group, | 1,130,000 | 1,120,534 | ||||
BNP Paribas Finance, Inc., | 1,123,000 | 1,122,351 | ||||
CBA (Delaware) Finance, Inc., | 1,140,000 | 1,139,554 | ||||
Goldman Sachs Group, Inc., | 1,100,000 | 1,100,000 | ||||
JP Morgan Chase Funding, | 1,150,000 | 1,149,475 | ||||
Societe Generale North America, Inc., | 640,000 | 640,000 | ||||
Toronto Dominion HDG USA, | 391,000 | 390,969 | ||||
Toronto Dominion HDG USA, | 724,000 | 723,925 | ||||
Wells Fargo & Co., 0.063%, due 7/01/09 | 1,127,000 | 1,127,000 | ||||
Westpac Banking Corp., | 1,128,000 | 1,127,526 | ||||
$ | 10,769,287 | |||||
Other Banks & Diversified Financials - 15.0% | ||||||
Bank of Nova Scotia, | $ | 1,129,000 | $ | 1,129,000 | ||
Citigroup Funding, Inc., | 7,000 | 7,000 | ||||
Citigroup Funding, Inc., | 1,120,000 | 1,119,757 | ||||
HSBC USA, Inc., 0.26%, due 7/10/09 | 1,118,000 | 1,117,927 | ||||
Nordea North America, Inc., | 1,126,000 | 1,125,864 | ||||
UBS Finance Delaware LLC, | 1,147,000 | 1,146,565 | ||||
$ | 5,646,113 | |||||
Pharmaceuticals - 6.0% | ||||||
Johnson & Johnson, 0.2%, due 8/13/09 (t) | $ | 1,140,000 | $ | 1,139,728 | ||
Pfizer, Inc., 0.25%, due 9/09/09 (t) | 1,118,000 | 1,117,457 | ||||
$ | 2,257,185 | |||||
Total Commercial Paper, | $ | 21,881,320 | ||||
Issuer | Shares/Par | Value ($) | |||||
U.S. GOVERNMENT AGENCIES AND EQUIVALENTS (y) -15.6% |
| ||||||
Fannie Mae, 0.58%, due 10/13/09 | $ | 2,000,000 | $ | 1,996,649 | |||
Federal Home Loan Bank, | 1,441,000 | 1,441,000 | |||||
Federal Home Loan Bank, | 2,412,000 | 2,411,638 | |||||
Total U.S. Government Agencies and Equivalents, | $ | 5,849,287 | |||||
REPURCHASE AGREEMENTS - 20.0% |
| ||||||
Bank of America Corp., 0.06%, dated 6/30/09, due 7/01/09, total to be received $3,758,006 (secured by U.S. Treasury and Federal Agency obligations and Mortgage Backed securities valued at $3,833,169 in a jointly traded account) | $ | 3,758,000 | $ | 3,758,000 | |||
Goldman Sachs, 0.04%, dated 6/30/09, due 7/01/09, total to be received $3,758,004 (secured by U.S. Treasury and Federal Agency obligations and Mortgage Backed securities valued at $3,833,160 in a jointly traded account) | 3,758,000 | 3,758,000 | |||||
Total Repurchase Agreements, | $ | 7,516,000 | |||||
Total Investments, | $ | 37,606,607 | |||||
OTHER ASSETS, | (29,411 | ) | |||||
NET ASSETS - 100.0% | $ | 37,577,196 | |||||
See portfolio footnotes and notes to financial statements.
21-MMVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2009
Total Return Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 58.2% | |||||
Aerospace - 4.0% | |||||
Goodrich Corp. | 1,250 | $ | 62,448 | ||
Lockheed Martin Corp. | 24,920 | 2,009,798 | |||
Northrop Grumman Corp. | 19,460 | 888,933 | |||
United Technologies Corp. | 19,640 | 1,020,494 | |||
$ | 3,981,673 | ||||
Alcoholic Beverages - 0.9% | |||||
Diageo PLC | 42,896 | $ | 615,039 | ||
Heineken N.V. | 4,000 | 148,365 | |||
Molson Coors Brewing Co. | 2,730 | 115,561 | |||
$ | 878,965 | ||||
Apparel Manufacturers - 0.7% | |||||
NIKE, Inc., “B” | 13,600 | $ | 704,208 | ||
Automotive - 0.3% | |||||
Johnson Controls, Inc. | 12,010 | $ | 260,857 | ||
Biotechnology - 0.2% | |||||
Genzyme Corp. (a) | 4,100 | $ | 228,247 | ||
Broadcasting - 1.4% | |||||
Omnicom Group, Inc. | 19,970 | $ | 630,653 | ||
Walt Disney Co. | 26,300 | 613,579 | |||
WPP Group PLC | 22,422 | 148,754 | |||
$ | 1,392,986 | ||||
Brokerage & Asset Managers - 0.5% | |||||
Charles Schwab Corp. | 6,970 | $ | 122,254 | ||
Deutsche Boerse AG | 1,100 | 85,304 | |||
Franklin Resources, Inc. | 1,880 | 135,379 | |||
Invesco Ltd. | 9,100 | 162,162 | |||
$ | 505,099 | ||||
Business Services - 1.3% | |||||
Accenture Ltd., “A” | 18,480 | $ | 618,341 | ||
Automatic Data Processing, Inc. | 2,250 | 79,740 | |||
Dun & Bradstreet Corp. | 1,450 | 117,755 | |||
Visa, Inc., “A” | 2,140 | 133,236 | |||
Western Union Co. | 18,900 | 309,960 | |||
$ | 1,259,032 | ||||
Chemicals - 1.4% | |||||
3M Co. | 10,490 | $ | 630,449 | ||
PPG Industries, Inc. | 17,530 | 769,567 | |||
$ | 1,400,016 | ||||
Computer Software - 0.8% | |||||
Oracle Corp. | 36,960 | $ | 791,683 | ||
Computer Software - Systems - 1.4% | |||||
Hewlett-Packard Co. | 15,800 | $ | 610,670 | ||
International Business Machines Corp. | 7,620 | 795,680 | |||
$ | 1,406,350 | ||||
Construction - 0.3% | |||||
Pulte Homes, Inc. | 12,960 | $ | 114,437 | ||
Sherwin-Williams Co. | 4,270 | 229,513 | |||
$ | 343,950 | ||||
Consumer Goods & Services - 1.3% | |||||
Apollo Group, Inc., “A” (a) | 3,050 | $ | 216,916 | ||
Clorox Co. | 3,460 | 193,172 | |||
Procter & Gamble Co. | 17,203 | 879,073 | |||
$ | 1,289,161 | ||||
Electrical Equipment - 1.0% | |||||
Danaher Corp. | 6,300 | $ | 388,962 | ||
Rockwell Automation, Inc. | 2,770 | 88,972 | |||
Tyco Electronics Ltd. | 9,490 | 176,419 | |||
W.W. Grainger, Inc. | 4,660 | 381,561 | |||
$ | 1,035,914 | ||||
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Electronics - 1.0% | |||||
Agilent Technologies, Inc. (a) | 9,210 | $ | 187,055 | ||
First Solar, Inc. (a) | 400 | 64,848 | |||
Intel Corp. | 46,220 | 764,941 | |||
$ | 1,016,844 | ||||
Energy - Independent - 2.3% | |||||
Anadarko Petroleum Corp. | 7,170 | $ | 325,446 | ||
Apache Corp. | 13,430 | 968,975 | |||
Devon Energy Corp. | 6,970 | 379,865 | |||
EOG Resources, Inc. | 3,780 | 256,738 | |||
Noble Energy, Inc. | 2,380 | 140,349 | |||
Occidental Petroleum Corp. | 4,080 | 268,505 | |||
$ | 2,339,878 | ||||
Energy - Integrated - 5.1% | |||||
Chevron Corp. | 14,205 | $ | 941,081 | ||
ConocoPhillips | 3,170 | 133,330 | |||
Exxon Mobil Corp. | 26,862 | 1,877,922 | |||
Hess Corp. | 8,320 | 447,200 | |||
Marathon Oil Corp. | 9,810 | 295,575 | |||
TOTAL S.A., ADR | 25,610 | 1,388,830 | |||
$ | 5,083,938 | ||||
Food & Beverages - 2.8% | |||||
General Mills, Inc. | 3,570 | $ | 199,991 | ||
Groupe Danone | 2,903 | 143,270 | |||
J.M. Smucker Co. | 5,152 | 250,696 | |||
Kellogg Co. | 8,740 | 407,022 | |||
Nestle S.A. | 25,603 | 964,221 | |||
PepsiCo, Inc. | 14,620 | 803,515 | |||
$ | 2,768,715 | ||||
Food & Drug Stores - 1.7% | |||||
CVS Caremark Corp. | 27,694 | $ | 882,608 | ||
Kroger Co. | 20,705 | 456,545 | |||
Walgreen Co. | 11,300 | 332,220 | |||
$ | 1,671,373 | ||||
General Merchandise - 0.7% | |||||
Macy’s, Inc. | 21,560 | $ | 253,546 | ||
Target Corp. | 6,790 | 268,001 | |||
Wal-Mart Stores, Inc. | 3,230 | 156,461 | |||
$ | 678,008 | ||||
Health Maintenance Organizations - 0.5% | |||||
UnitedHealth Group, Inc. | 4,810 | $ | 120,154 | ||
WellPoint, Inc. (a) | 6,510 | 331,294 | |||
$ | 451,448 | ||||
Insurance - 3.4% | |||||
Allstate Corp. | 32,040 | $ | 781,776 | ||
Aon Corp. | 5,340 | 202,226 | |||
Chubb Corp. | 4,510 | 179,859 | |||
MetLife, Inc. | 45,040 | 1,351,650 | |||
Prudential Financial, Inc. | 7,530 | 280,267 | |||
Travelers Cos., Inc. | 13,530 | 555,271 | |||
$ | 3,351,049 | ||||
Internet - 0.1% | |||||
Google, Inc., “A” (a) | 290 | $ | 122,261 | ||
Leisure & Toys - 0.2% | |||||
Hasbro, Inc. | 7,440 | $ | 180,346 | ||
Machinery & Tools - 0.5% | |||||
Deere & Co. | 2,950 | $ | 117,853 | ||
Eaton Corp. | 7,820 | 348,850 | |||
$ | 466,703 | ||||
22-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Major Banks - 7.4% | |||||
Bank of America Corp. | 19,940 | $ | 263,208 | ||
Bank of New York Mellon Corp. | 48,724 | 1,428,100 | |||
Goldman Sachs Group, Inc. | 9,560 | 1,409,526 | |||
JPMorgan Chase & Co. | 54,542 | 1,860,428 | |||
PNC Financial Services Group, Inc. | 10,810 | 419,536 | |||
Regions Financial Corp. | 21,550 | 87,062 | |||
State Street Corp. | 21,000 | 991,200 | |||
Wells Fargo & Co. | 36,550 | 886,703 | |||
$ | 7,345,763 | ||||
Medical Equipment - 1.3% | |||||
Becton, Dickinson & Co. | 900 | $ | 64,179 | ||
DENTSPLY International, Inc. | 4,130 | 126,048 | |||
Medtronic, Inc. | 19,290 | 673,028 | |||
Thermo Fisher Scientific, Inc. (a) | 2,840 | 115,787 | |||
Waters Corp. (a) | 5,770 | 296,982 | |||
$ | 1,276,024 | ||||
Metals & Mining - 0.1% | |||||
Alcoa, Inc. | 5,300 | $ | 54,749 | ||
Natural Gas - Distribution - 0.3% | |||||
Sempra Energy | 5,720 | $ | 283,884 | ||
Natural Gas - Pipeline - 0.1% | |||||
Williams Cos., Inc. | 9,170 | $ | 143,144 | ||
Network & Telecom - 0.3% | |||||
Cisco Systems, Inc. (a) | 7,420 | $ | 138,309 | ||
Nokia Corp., ADR | 11,760 | 171,461 | |||
$ | 309,770 | ||||
Oil Services - 0.4% | |||||
Halliburton Co. | 4,120 | $ | 85,284 | ||
National Oilwell Varco, Inc. (a) | 6,390 | 208,697 | |||
Noble Corp. | 3,400 | 102,850 | |||
$ | 396,831 | ||||
Pharmaceuticals - 4.8% | |||||
Abbott Laboratories | 13,460 | $ | 633,158 | ||
GlaxoSmithKline PLC | 8,130 | 142,917 | |||
Johnson & Johnson | 18,940 | 1,075,792 | |||
Merck & Co., Inc. | 37,030 | 1,035,359 | |||
Merck KGaA | 1,890 | 192,225 | |||
Pfizer, Inc. | 27,250 | 408,750 | |||
Roche Holding AG | 830 | 112,826 | |||
Wyeth | 26,760 | 1,214,636 | |||
$ | 4,815,663 | ||||
Railroad & Shipping - 0.0% | |||||
Burlington Northern Santa Fe Corp. | 590 | $ | 43,389 | ||
Specialty Chemicals - 0.5% | |||||
Air Products & Chemicals, Inc. | 8,360 | $ | 539,972 | ||
Specialty Stores - 0.5% | |||||
Home Depot, Inc. | 5,110 | $ | 120,749 | ||
Staples, Inc. | 16,410 | 330,990 | |||
$ | 451,739 | ||||
Telecommunications - Wireless - 0.7% | |||||
Vodafone Group PLC | 361,220 | $ | 696,495 | ||
Telephone Services - 2.1% | |||||
AT&T, Inc. | 72,344 | $ | 1,797,025 | ||
Embarq Corp. | 3,668 | 154,276 | |||
Royal KPN N.V. | 11,700 | 160,834 | |||
$ | 2,112,135 | ||||
Issuer | Shares/Par | Value ($) | ||||
COMMON STOCKS - continued | ||||||
Tobacco - 2.2% | ||||||
Altria Group, Inc. | 6,680 | $ | 109,485 | |||
Lorillard, Inc. | 4,280 | 290,056 | ||||
Philip Morris International, Inc. | 41,100 | 1,792,782 | ||||
$ | 2,192,323 | |||||
Trucking - 0.2% | ||||||
United Parcel Service, Inc., “B” | 3,460 | $ | 172,965 | |||
Utilities - Electric Power - 3.5% | ||||||
Allegheny Energy, Inc. | 4,500 | $ | 115,425 | |||
American Electric Power Co., Inc. | 6,510 | 188,074 | ||||
CMS Energy Corp. | 5,890 | 71,151 | ||||
Dominion Resources, Inc. | 12,354 | 412,871 | ||||
Entergy Corp. | 2,660 | 206,203 | ||||
FPL Group, Inc. | 12,150 | 690,849 | ||||
Northeast Utilities | 2,330 | 51,982 | ||||
NRG Energy, Inc. (a) | 10,440 | 271,022 | ||||
PG&E Corp. | 7,810 | 300,216 | ||||
PPL Corp. | 13,430 | 442,653 | ||||
Progress Energy, Inc. | 3,630 | 137,323 | ||||
Public Service Enterprise Group, Inc. | 17,080 | 557,320 | ||||
$ | 3,445,089 | |||||
Total Common Stocks | $ | 57,888,639 | ||||
BONDS - 39.6% | ||||||
Agency - Other - 0.1% | ||||||
Financing Corp., 9.65%, 2018 | $ | 45,000 | $ | 62,084 | ||
Asset Backed & Securitized - 3.0% | ||||||
Banc of America Commercial Mortgage, Inc., 5.935%, 2051 | $ | 210,000 | $ | 169,401 | ||
Banc of America Commercial Mortgage, Inc., “A4”, 5.634%, 2046 | 31,000 | 24,462 | ||||
Banc of America Commercial Mortgage, Inc., FRN, “A4”, 5.414%, 2047 | 165,000 | 131,563 | ||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.116%, 2040 (z) | 250,000 | 92,175 | ||||
BlackRock Capital Finance LP, 7.75%, 2026 (n) | 31,618 | 4,031 | ||||
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049 | 320,000 | 253,017 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049 | 130,000 | 95,923 | ||||
Countrywide Asset-Backed Certificates, FRN, 4.823%, 2035 | 7,622 | 7,449 | ||||
Countrywide Asset-Backed Certificates, FRN, 5.689%, 2046 | 90,000 | 38,925 | ||||
Credit Suisse Commercial Mortgage Trust, 5.509%, 2039 | 128,277 | 62,810 | ||||
Credit Suisse Mortgage Capital Certificate, 5.695%, 2040 | 152,515 | 104,726 | ||||
GE Commercial Mortgage Corp., FRN, 5.515%, 2044 | 130,000 | 66,620 | ||||
GMAC Mortgage Corp. Loan Trust, FRN, 5.805%, 2036 | 115,000 | 37,932 | ||||
Greenwich Capital Commercial Funding Corp., 4.305%, 2042 | 100,754 | 98,366 | ||||
Greenwich Capital Commercial Funding Corp., FRN, 5.317%, 2036 | 60,728 | 56,108 | ||||
GS Mortgage Securities Corp., | 54,847 | 44,734 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., 4.78%, 2042 | 152,000 | 103,269 |
23-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Asset Backed & Securitized - continued | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.429%, 2043 | $ | 65,000 | $ | 52,548 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 | 97,000 | 77,951 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.42%, 2049 | 65,576 | 48,270 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.401%, 2041 | 39,903 | 35,277 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 | 110,000 | 87,739 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.065%, 2045 | 110,000 | 93,364 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.006%, 2049 | 200,000 | 152,727 | ||||
Merrill Lynch Mortgage Trust, FRN, 6.022%, 2050 | 84,000 | 15,871 | ||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050 | 152,515 | 109,063 | ||||
Morgan Stanley Capital I, Inc., FRN, 1.035%, 2030 (i)(n) | 1,351,843 | 28,314 | ||||
Nomura Asset Securities Corp., FRN, 9.936%, 2027 (z) | 186,489 | 197,799 | ||||
Residential Asset Mortgage Products, Inc., FRN, 4.97%, 2034 | 92,000 | 64,475 | ||||
Residential Funding Mortgage Securities, Inc., 5.32%, 2035 | 129,000 | 38,704 | ||||
Spirit Master Funding LLC, 5.05%, 2023 (z) | 163,224 | 117,781 | ||||
Structured Asset Securities Corp., FRN, 4.67%, 2035 | 105,504 | 87,561 | ||||
Wachovia Bank Commercial Mortgage Trust, 6.099%, 2051 | 245,000 | 180,369 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 4.847%, 2041 | 39,998 | 35,161 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 6.158%, 2045 | 140,000 | 73,686 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.795%, 2045 | 67,218 | 34,617 | ||||
$ | 2,922,788 | |||||
Broadcasting - 0.1% | ||||||
News America, Inc., 8.5%, 2025 | $ | 99,000 | $ | 100,518 | ||
Building - 0.2% | ||||||
CRH America, Inc., 6.95%, 2012 | $ | 208,000 | $ | 209,007 | ||
Cable TV - 0.2% | ||||||
Cox Communications, Inc., 4.625%, 2013 | $ | 115,000 | $ | 113,145 | ||
Time Warner Entertainment Co. LP, 8.375%, 2033 | 110,000 | 123,126 | ||||
$ | 236,271 | |||||
Conglomerates - 0.2% | ||||||
Kennametal, Inc., 7.2%, 2012 | $ | 211,000 | $ | 208,571 | ||
Consumer Goods & Services - 0.3% | ||||||
Fortune Brands, Inc., 5.125%, 2011 | $ | 154,000 | $ | 154,579 | ||
Western Union Co., 5.4%, 2011 | 165,000 | 172,448 | ||||
$ | 327,027 | |||||
Defense Electronics - 0.1% | ||||||
BAE Systems Holdings, Inc., 5.2%, 2015 (n) | $ | 103,000 | $ | 102,370 | ||
Electronics - 0.1% | ||||||
Tyco Electronics Group S.A., 6.55%, 2017 | $ | 128,000 | $ | 116,215 | ||
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Emerging Market Quasi-Sovereign - 0.2% | ||||||
Petroleos Mexicanos, 8%, 2019 (n) | $ | 66,000 | $ | 71,610 | ||
Qtel International Finance Ltd., 7.875%, 2019 (z) | 100,000 | 101,738 | ||||
$ | 173,348 | |||||
Energy - Independent - 0.3% | ||||||
Anadarko Petroleum Corp., 6.45%, 2036 | $ | 120,000 | $ | 107,870 | ||
Nexen, Inc., 5.875%, 2035 | 30,000 | 25,705 | ||||
Ocean Energy, Inc., 7.25%, 2011 | 165,000 | 180,549 | ||||
$ | 314,124 | |||||
Energy - Integrated - 0.4% | ||||||
ConocoPhillips, 6%, 2020 | $ | 70,000 | $ | 74,949 | ||
Hess Corp., 8.125%, 2019 | 20,000 | 22,769 | ||||
Husky Energy, Inc., 5.9%, 2014 | 69,000 | 72,184 | ||||
Husky Energy, Inc., 7.25%, 2019 | 71,000 | 77,573 | ||||
Petro-Canada, 6.05%, 2018 | 148,000 | 147,276 | ||||
$ | 394,751 | |||||
Financial Institutions - 0.3% | ||||||
HSBC Finance Corp., 5.25%, 2011 | $ | 145,000 | $ | 145,979 | ||
ORIX Corp., 5.48%, 2011 | 150,000 | 138,212 | ||||
$ | 284,191 | |||||
Food & Beverages - 0.5% | ||||||
Anheuser-Busch Co., Inc., 8%, 2039 (z) | $ | 110,000 | $ | 119,909 | ||
Diageo Finance B.V., 5.5%, 2013 | 106,000 | 111,442 | ||||
Dr. Pepper Snapple Group, Inc., 6.12%, 2013 | 40,000 | 41,410 | ||||
Dr. Pepper Snapple Group, Inc., 6.82%, 2018 | 48,000 | 50,761 | ||||
General Mills, Inc., 5.65%, 2019 | 20,000 | 20,903 | ||||
Miller Brewing Co., 5.5%, 2013 (n) | 126,000 | 124,582 | ||||
$ | 469,007 | |||||
Food & Drug Stores - 0.1% | ||||||
CVS Caremark Corp., 6.125%, 2016 | $ | 110,000 | $ | 113,948 | ||
Gaming & Lodging - 0.1% | ||||||
Wyndham Worldwide Corp., 6%, 2016 | $ | 100,000 | $ | 78,210 | ||
Insurance - 0.3% | ||||||
American International Group, Inc., 8.25%, 2018 (z) | $ | 100,000 | $ | 58,851 | ||
ING Groep N.V., | 133,000 | 77,805 | ||||
Metropolitan Life Global Funding, 5.125%, 2013 (n) | 100,000 | 101,708 | ||||
Metropolitan Life Global Funding, 5.125%, 2014 (n) | 40,000 | 39,689 | ||||
$ | 278,053 | |||||
Insurance - Property & Casualty - 0.3% | ||||||
Allstate Corp., 6.125%, 2032 | $ | 185,000 | $ | 166,987 | ||
Chubb Corp., | 200,000 | 160,000 | ||||
$ | 326,987 | |||||
International Market Quasi-Sovereign - 0.5% | ||||||
ING Bank N.V., 3.9%, 2014 (n) | $ | 110,000 | $ | 111,984 | ||
KFW International Finance, Inc., 4.875%, 2019 | 100,000 | 103,620 | ||||
Royal Bank of Scotland Group PLC, 2.625%, 2012 (z) | 200,000 | 201,437 | ||||
Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 107,000 | 107,267 | ||||
$ | 524,308 | |||||
24-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Local Authorities - 0.8% | ||||||
California, (Build America Bonds), | $ | 30,000 | $ | 27,431 | ||
California, (Build America Bonds), | 85,000 | 77,383 | ||||
Hydro-Quebec, 6.3%, 2011 | 262,000 | 283,963 | ||||
Metropolitan Transportation Authority, NY, (Build America Bonds), 7.336%, 2039 | 95,000 | 111,968 | ||||
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 2040 | 90,000 | 104,765 | ||||
Province of Ontario, 5%, 2011 | 200,000 | 214,151 | ||||
$ | 819,661 | |||||
Machinery & Tools - 0.1% | ||||||
Atlas Copco AB, 5.6%, 2017 (n) | $ | 90,000 | $ | 86,554 | ||
Major Banks - 1.7% | ||||||
Bank of America Corp., 7.375%, 2014 | $ | 40,000 | $ | 41,321 | ||
Bank of America Corp., 7.625%, 2019 | 60,000 | 60,268 | ||||
Credit Suisse New York, 5.5%, 2014 | 120,000 | 124,673 | ||||
DBS Group Holdings Ltd., | 115,000 | 110,838 | ||||
Goldman Sachs Group, Inc., 6%, 2014 | 70,000 | 73,056 | ||||
Goldman Sachs Group, Inc., | 101,000 | 95,992 | ||||
Goldman Sachs Group, Inc., 7.5%, 2019 | 91,000 | 97,440 | ||||
JPMorgan Chase & Co., 6.3%, 2019 | 100,000 | 100,582 | ||||
Merrill Lynch & Co., Inc., 6.15%, 2013 | 100,000 | 100,141 | ||||
Merrill Lynch & Co., Inc., 6.11%, 2037 | 130,000 | 100,406 | ||||
Morgan Stanley, 5.75%, 2016 | 100,000 | 95,870 | ||||
Morgan Stanley, 6.625%, 2018 | 140,000 | 139,567 | ||||
MUFG Capital Finance 1 Ltd., | 100,000 | 87,541 | ||||
Natixis S.A., | 151,000 | 90,582 | ||||
PNC Funding Corp., 5.625%, 2017 | 90,000 | 83,410 | ||||
UniCredito Italiano Capital Trust II, | 208,000 | 133,951 | ||||
UniCredito Luxembourg Finance S.A., | 100,000 | 89,568 | ||||
Wachovia Corp., 5.25%, 2014 | 81,000 | 79,264 | ||||
$ | 1,704,470 | |||||
Medical & Health Technology & Services - 0.2% | ||||||
Cardinal Health, Inc., 5.8%, 2016 | $ | 75,000 | $ | 72,596 | ||
HCA, Inc., 8.75%, 2010 | 15,000 | 15,038 | ||||
Hospira, Inc., 5.55%, 2012 | 50,000 | 52,091 | ||||
Hospira, Inc., 6.05%, 2017 | 93,000 | 90,823 | ||||
$ | 230,548 | |||||
Metals & Mining - 0.1% | ||||||
ArcelorMittal, 6.125%, 2018 | $ | 155,000 | $ | 135,625 | ||
Mortgage Backed - 15.5% | ||||||
Fannie Mae, 4.01%, 2013 | $ | 18,136 | $ | 18,525 | ||
Fannie Mae, 4.589%, 2014 | 105,422 | 109,550 | ||||
Fannie Mae, 4.63%, 2014 | 45,007 | 46,806 | ||||
Fannie Mae, 4.84%, 2014 | 57,976 | 60,890 | ||||
Fannie Mae, 4.56%, 2015 | 37,505 | 38,719 | ||||
Fannie Mae, 4.78%, 2015 | 37,709 | 39,263 | ||||
Fannie Mae, 4.921%, 2015 | 92,855 | 97,399 | ||||
Fannie Mae, 5.09%, 2016 | 40,000 | 42,012 | ||||
Fannie Mae, 5.5%, 2016-2035 | 3,632,297 | 3,776,519 | ||||
Fannie Mae, 4.989%, 2017 | 82,106 | 86,399 | ||||
Fannie Mae, 5.05%, 2017 | 39,000 | 40,864 | ||||
Fannie Mae, 6%, 2017-2037 | 2,032,402 | 2,141,761 | ||||
Fannie Mae, 4.5%, 2018-2035 | 463,405 | 472,452 | ||||
Fannie Mae, 5%, 2018-2035 | 1,674,633 | 1,723,966 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Mortgage Backed - continued | ||||||
Fannie Mae, 6.5%, 2031-2037 | $ | 692,264 | $ | 744,091 | ||
Fannie Mae, 7.5%, 2031 | 18,244 | 19,916 | ||||
Freddie Mac, 6%, 2016-2037 | 1,018,838 | 1,071,236 | ||||
Freddie Mac, 4.5%, 2018-2039 | 848,128 | 859,442 | ||||
Freddie Mac, 5%, 2018-2035 | 1,243,626 | 1,274,391 | ||||
Freddie Mac, 5.085%, 2019 | 106,000 | 110,055 | ||||
Freddie Mac, 5.5%, 2021-2037 | 818,349 | 849,266 | ||||
Freddie Mac, 6.5%, 2034-2037 | 305,187 | 325,276 | ||||
Ginnie Mae, 4.5%, 2033-2034 | 104,186 | 104,635 | ||||
Ginnie Mae, 5%, 2033-2034 | 420,170 | 429,405 | ||||
Ginnie Mae, 5.5%, 2033-2035 | 444,983 | 462,250 | ||||
Ginnie Mae, 6%, 2033-2038 | 389,836 | 408,265 | ||||
$ | 15,353,353 | |||||
Municipals - 0.1% | ||||||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, 5%, 2039 | $ | 55,000 | $ | 57,443 | ||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), | 65,000 | 72,799 | ||||
$ | 130,242 | |||||
Natural Gas - Pipeline - 0.5% | ||||||
CenterPoint Energy, Inc., 7.875%, 2013 | $ | 112,000 | $ | 119,467 | ||
Enterprise Products Operating LLC, | 76,000 | 77,239 | ||||
Kinder Morgan Energy Partners LP, | 165,000 | 172,933 | ||||
Kinder Morgan Energy Partners LP, | 71,000 | 75,076 | ||||
Spectra Energy Capital LLC, 8%, 2019 | 53,000 | 55,945 | ||||
$ | 500,660 | |||||
Network & Telecom - 0.4% | ||||||
AT&T, Inc., 6.55%, 2039 | $ | 110,000 | $ | 109,804 | ||
Telecom Italia Capital, 5.25%, 2013 | 60,000 | 58,835 | ||||
Telefonica Europe B.V., 7.75%, 2010 | 38,000 | 40,085 | ||||
Verizon New York, Inc., 6.875%, 2012 | 196,000 | 207,726 | ||||
$ | 416,450 | |||||
Oils - 0.1% | ||||||
Valero Energy Corp., 6.875%, 2012 | $ | 111,000 | $ | 118,039 | ||
Other Banks & Diversified Financials - 0.9% | ||||||
American Express Co., 5.5%, 2016 | $ | 184,000 | $ | 167,223 | ||
Capital One Financial Corp., 6.15%, 2016 | 130,000 | 115,054 | ||||
Nordea Bank AB, | 100,000 | 62,000 | ||||
Svenska Handelsbanken AB, | 120,000 | 118,791 | ||||
UBS Preferred Funding Trust V, | 190,000 | 112,100 | ||||
UFJ Finance Aruba AEC, 6.75%, 2013 | 145,000 | 150,139 | ||||
Woori Bank, | 220,000 | 202,413 | ||||
$ | 927,720 | |||||
Pharmaceuticals - 0.5% | ||||||
Allergan, Inc., 5.75%, 2016 | $ | 160,000 | $ | 157,739 | ||
GlaxoSmithKline Capital, Inc., | 50,000 | 52,302 | ||||
Pfizer, Inc., 6.2%, 2019 | 77,000 | 84,209 | ||||
Pfizer, Inc., 7.2%, 2039 | 50,000 | 59,371 | ||||
Roche Holdings, Inc., 6%, 2019 (n) | 160,000 | 170,605 | ||||
$ | 524,226 | |||||
Pollution Control - 0.2% | ||||||
Waste Management, Inc., 7.375%, 2010 | $ | 134,000 | $ | 139,636 | ||
25-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Railroad & Shipping - 0.1% | ||||||
CSX Corp., 6.75%, 2011 | $ | 6,000 | $ | 6,299 | ||
CSX Corp., 7.9%, 2017 | 120,000 | 132,691 | ||||
$ | 138,990 | |||||
Real Estate - 0.3% | ||||||
Boston Properties, Inc., REIT, 5%, 2015 | $ | 42,000 | $ | 37,785 | ||
HRPT Properties Trust, REIT, | 180,000 | 145,585 | ||||
ProLogis, REIT, 5.75%, 2016 | 179,000 | 141,088 | ||||
$ | 324,458 | |||||
Retailers - 0.3% | ||||||
Home Depot, Inc., 5.875%, 2036 | $ | 48,000 | $ | 42,349 | ||
Limited Brands, Inc., 5.25%, 2014 | 99,000 | 84,165 | ||||
Wal-Mart Stores, Inc., 5.25%, 2035 | 194,000 | 184,976 | ||||
$ | 311,490 | |||||
Supranational - 0.1% | ||||||
Asian Development Bank, 2.75%, 2014 | $ | 80,000 | $ | 78,535 | ||
Telecommunications - Wireless - 0.2% | ||||||
Cingular Wireless LLC, 6.5%, 2011 | $ | 35,000 | $ | 37,759 | ||
Rogers Communications, Inc., | 132,000 | 141,507 | ||||
$ | 179,266 | |||||
Tobacco - 0.2% | ||||||
Altria Group, Inc., 9.7%, 2018 | $ | 64,000 | $ | 73,373 | ||
Philip Morris International, Inc., | 74,000 | 77,655 | ||||
$ | 151,028 | |||||
U.S. Government Agencies and Equivalents - 0.8% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 152,000 | $ | 158,378 | ||
Small Business Administration, | 30,064 | 30,871 | ||||
Small Business Administration, | 73,871 | 76,487 | ||||
Small Business Administration, | 119,332 | 124,628 | ||||
Small Business Administration, | 185,349 | 194,797 | ||||
Small Business Administration, | 103,300 | 107,325 | ||||
Small Business Administration, | 78,348 | 81,684 | ||||
$ | 774,170 | |||||
U.S. Treasury Obligations - 7.6% | ||||||
U.S. Treasury Bonds, 2%, 2013 | $ | 197,000 | $ | 194,106 | ||
U.S. Treasury Bonds, 4.75%, 2017 | 146,000 | 160,053 | ||||
U.S. Treasury Bonds, 8.5%, 2020 | 50,000 | 70,313 | ||||
U.S. Treasury Bonds, 8%, 2021 | 37,000 | 51,048 | ||||
U.S. Treasury Bonds, 6%, 2026 | 125,000 | 150,762 | ||||
U.S. Treasury Bonds, 6.75%, 2026 | 32,000 | 41,645 | ||||
U.S. Treasury Bonds, 5.25%, 2029 | 463,000 | 520,731 | ||||
U.S. Treasury Bonds, 5.375%, 2031 | 460,000 | 527,994 | ||||
U.S. Treasury Bonds, 4.5%, 2036 | 94,000 | 96,835 | ||||
U.S. Treasury Bonds, 5%, 2037 | 68,000 | 75,671 | ||||
U.S. Treasury Notes, 6.5%, 2010 | 128,000 | 132,835 | ||||
U.S. Treasury Notes, 1.5%, 2010 | 321,000 | 324,561 | ||||
U.S. Treasury Notes, 0.875%, 2011 | 776,000 | 775,457 | ||||
U.S. Treasury Notes, 5.125%, 2011 | 941,000 | 1,015,030 | ||||
U.S. Treasury Notes, 4.125%, 2012 | 683,000 | 733,584 | ||||
U.S. Treasury Notes, 3.875%, 2013 | 614,000 | 654,534 | ||||
U.S. Treasury Notes, 3.5%, 2013 | 420,000 | 442,509 | ||||
U.S. Treasury Notes, 3.125%, 2013 | 634,000 | 655,893 | ||||
U.S. Treasury Notes, 1.5%, 2013 | 280,000 | 269,697 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
U.S. Treasury Obligations - continued | |||||||
U.S. Treasury Notes, 4.75%, 2014 | $ | 150,000 | $ | 165,375 | |||
U.S. Treasury Notes, 2.625%, 2016 | 68,000 | 65,987 | |||||
U.S. Treasury Notes, 3.75%, 2018 | 413,000 | 420,133 | |||||
$ | 7,544,753 | ||||||
Utilities - Electric Power - 1.6% | |||||||
Bruce Mansfield Unit, 6.85%, 2034 | $ | 208,271 | $ | 183,391 | |||
Enel Finance International S.A., | 170,000 | 177,493 | |||||
Exelon Generation Co. LLC, 6.95%, 2011 | 232,000 | 245,677 | |||||
MidAmerican Energy Holdings Co., | 61,000 | 64,965 | |||||
MidAmerican Funding LLC, | 154,000 | 172,493 | |||||
Oncor Electric Delivery Co., 7%, 2022 | 152,000 | 160,523 | |||||
PSEG Power LLC, 6.95%, 2012 | 111,000 | 119,500 | |||||
PSEG Power LLC, 5.5%, 2015 | 90,000 | 89,416 | |||||
System Energy Resources, Inc., | 62,938 | 57,925 | |||||
Waterford 3 Funding Corp., 8.09%, 2017 | 293,828 | 282,327 | |||||
$ | 1,553,710 | ||||||
Total Bonds | $ | 39,385,362 | |||||
MONEY MARKET FUNDS (v) - 2.3% |
| ||||||
MFS Institutional Money Market Portfolio, | 2,276,848 | $ | 2,276,848 | ||||
Total Investments | $ | 99,550,849 | |||||
OTHER ASSETS, | (146,110 | ) | |||||
NET ASSETS - 100.0% | $ | 99,404,739 | |||||
See portfolio footnotes and notes to financial statements.
26-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Portfolio Footnotes:
(a) | Non-income producing security. |
(d) | Non-income producing security — in default. |
(f) | All or a portion of the security has been segregated as collateral for open futures contracts. |
(g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
(i) | Interest only security for which the variable account receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(m) | The debt is guaranteed under the Federal Deposit Insurance Corporation’s (FDIC) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was: |
Variable Account | Market Value | % of Net Assets | ||||
Global Governments Variable Account | $ | 190,728 | 2.5 | % | ||
Government Securities Variable Account | 736,071 | 1.2 | ||||
High Yield Variable Account | 5,130,876 | 14.3 | ||||
Total Return Variable Account | 1,934,350 | 1.9 |
(o) | All or a portion of this position has not settled. Upon settlement date, interest rates for unsettled amounts will be determined. The rate shown represents the weighted average coupon rate for settled amounts. |
(p) | Payment-in-kind security. |
(q) | All or a portion of this position represents an unfunded loan commitment. The rate shown represents a weighted average coupon rate on the full position, including the unfunded loan commitment which has no current coupon rate. |
(r) | Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium. |
(t) | Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities Act of 1933. |
(v) | Underlying fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end. |
(y) | The rate shown represents an annualized yield at time of purchase. |
(z) | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The variable account holds the following restricted securities: |
Variable Account | Restricted Securities | Acquisition Date | Cost | Current Market Value | % of Net Assets | |||||||
Global Governments Variable Account | Bayview Commercial Asset Trust, FRN, 0.893%, 2023 | 5/25/06 | $ | 27,125 | $ | 16,649 | ||||||
Commercial Mortgage Asset Trust, FRN, 1.093%, 2032 | 8/25/03 | 32,744 | 18,927 | |||||||||
Total Restricted Securities | $ | 35,576 | 0.5% | |||||||||
High Yield Variable Account | ARCap REIT, Inc., CDO, “H”, 6.086%, 2045 | 9/21/04 | $ | 145,079 | $ | 9,934 | ||||||
Alliance One International, Inc., 10%, 2016 | 6/26/09 | 80,900 | 80,538 | |||||||||
American Media Operations, Inc., 9%, 2013 | 1/29/09 - 4/15/09 | 8,009 | 5,296 | |||||||||
American Media Operations, Inc., 14%, 2013 | 1/29/09 - 4/15/09 | 70,807 | 43,542 | |||||||||
Bonten Media Acquisition Co., 9.75%, 2015 | 5/22/07 - 5/19/09 | 141,956 | 26,974 | |||||||||
CB Richard Ellis Group, Inc., 11.625%, 2017 | 6/15/09 | 43,597 | 43,875 | |||||||||
Cinemark USA, Inc., 8.625%, 2019 | 6/16/09 | 43,902 | 44,438 | |||||||||
Cricket Communications, Inc., 7.75%, 2016 | 5/28/09 - 5/29/09 | 91,539 | 91,438 | |||||||||
LBI Media, Inc., 8.5%, 2017 | 7/18/07 | 98,350 | 52,625 | |||||||||
Local TV Finance LLC, 10%, 2015 | 11/09/07 - 6/01/09 | 242,887 | 41,370 | |||||||||
Momentive Performance Materials, Inc., 12.5%, 2014 | 4/15/08 - 6/16/09 | 105,384 | 85,860 | |||||||||
Preferred Blocker, Inc., 7% (Preferred Stock) | 12/26/08 | 73,150 | 40,856 | |||||||||
Royal Caribbean Cruises Ltd., 11.875%, 2015 | 4/15/09 - 4/28/09 | 58,439 | 58,439 | |||||||||
Terremark Worldwide, Inc., 12%, 2017 | 6/17/09 | 23,785 | 24,000 | |||||||||
USI Holdings Corp., 9.75%, 2015 | 5/07/07 - 11/28/07 | 155,855 | 107,200 | |||||||||
Univision Communications, Inc., 12%, 2014 | 6/25/09 | 18,601 | 19,650 | |||||||||
Wachovia Credit, CDO, FRN, 1.957%, 2026 | 6/08/06 | 250,000 | 10,000 | |||||||||
Wind Acquisition Finance S.A., 10.75%, 2015 | 11/22/05 - 7/17/06 | 262,138 | 250,000 | |||||||||
Total Restricted Securities | $ | 1,036,035 | 2.9% | |||||||||
27
Table of Contents
Portfolio of Investments (unaudited) — continued
Variable Account | Restricted Securities (continued) | Acquisition Date | Cost | Current Market Value | % of Net Assets | |||||||
Total Return Variable Account | American International Group, Inc., 8.25%, 2018 | 8/13/08 | $ | 100,000 | $ | 58,851 | ||||||
Anheuser-Busch Co., Inc., 8%, 2039 | 5/11/09 | 109,106 | 119,909 | |||||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.116%, 2040 | 3/01/06 | 250,000 | 92,175 | |||||||||
Nomura Asset Securities Corp., FRN, 9.936%, 2027 | 7/16/07 | 205,320 | 197,799 | |||||||||
Qtel International Finance Ltd., 7.875%, 2019 | 6/03/09 | 101,700 | 101,738 | |||||||||
Royal Bank of Scotland Group PLC, 2.625%, 2012 | 5/05/09 | 199,982 | 201,437 | |||||||||
Spirit Master Funding LLC, 5.05%, 2023 | 10/04/05 | 161,120 | 117,781 | |||||||||
System Energy Resources, Inc., 5.129%, 2014 | 4/16/04 | 62,938 | 57,925 | |||||||||
Total Restricted Securities | $ | 947,615 | 1.0% | |||||||||
The following abbreviations are used in this report and are defined:
ADR | American Depository Receipt |
CDO | Collateralized Debt Obligation |
CLN | Credit-Linked Note |
DIP | Debtor-in-Possession |
GDR | Global Depository Receipt |
FRN | Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
TIPS | Treasury Inflation Protected Security |
Insurers
FSA | Financial Security Assurance Inc. |
Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:
AUD | Australian Dollar | GBP | British Pound | |||
CAD | Canadian Dollar | JPY | Japanese Yen | |||
CHF | Swiss Franc | NOK | Norwegian Krone | |||
DKK | Danish Krone | NZD | New Zealand Dollar | |||
EUR | Euro | SEK | Swedish Krona |
See notes to financial statements.
28
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2009
(000 Omitted)
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments — | ||||||||||||||||||||||||
Non-affilitated issuers, at identified cost | $ | 117,289 | $ | 6,786 | $ | 60,086 | $ | 40,104 | $ | 30,091 | $ | 102,888 | ||||||||||||
Underlying funds, at cost and net asset value | 1,527 | 644 | 1,541 | 937 | — | 2,277 | ||||||||||||||||||
Repurchase agreements, at cost and value | — | — | — | — | 7,516 | — | ||||||||||||||||||
Total investments, at identified cost | $ | 118,816 | $ | 7,430 | $ | 61,627 | $ | 41,041 | $ | 37,607 | $ | 105,165 | ||||||||||||
Unrealized appreciation (depreciation) | (5,324 | ) | 141 | 1,891 | (6,150 | ) | — | (5,614 | ) | |||||||||||||||
Total investments, at value | $ | 113,492 | $ | 7,571 | $ | 63,518 | $ | 34,891 | $ | 37,607 | $ | 99,551 | ||||||||||||
Cash | — | 0 | * | — | 342 | 1 | — | |||||||||||||||||
Receivables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | — | 25 | — | — | — | — | ||||||||||||||||||
Investments sold | — | 94 | — | 547 | — | 300 | ||||||||||||||||||
Units sold | 0 | * | — | 0 | * | — | 1 | 0 | * | |||||||||||||||
Interest and dividends | 143 | 112 | 479 | 699 | 1 | 500 | ||||||||||||||||||
Receivable from investment adviser | 9 | 6 | — | 4 | 3 | 9 | ||||||||||||||||||
Receivable from sponsor | 0 | * | — | — | 2 | 2 | 6 | |||||||||||||||||
Other assets | 3 | 1 | 2 | 3 | 1 | 3 | ||||||||||||||||||
Total assets | $ | 113,647 | $ | 7,809 | $ | 63,999 | $ | 36,488 | $ | 37,616 | $ | 100,369 | ||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | — | 49 | — | 10 | — | — | ||||||||||||||||||
Daily variation margin on open futures contracts | — | — | 2 | — | — | — | ||||||||||||||||||
Investments purchased | — | — | — | 486 | — | 850 | ||||||||||||||||||
Units surrendered | 21 | 1 | 6 | 5 | 12 | 47 | ||||||||||||||||||
Payable to affiliates — | ||||||||||||||||||||||||
Investment adviser | 5 | 0 | * | 2 | 2 | 1 | 4 | |||||||||||||||||
Administrative fee | 0 | * | 0 | * | 0 | * | 0 | * | 0 | * | 1 | |||||||||||||
Sponsor | — | 0 | * | 1 | — | — | — | |||||||||||||||||
Board of Managers fees | 3 | 0 | * | 2 | 1 | 1 | 3 | |||||||||||||||||
Accrued expenses and other liabilities | 53 | 42 | 44 | 46 | 25 | 59 | ||||||||||||||||||
Total liabilities | $ | 82 | $ | 92 | $ | 57 | $ | 550 | $ | 39 | $ | 964 | ||||||||||||
Net assets | $ | 113,565 | $ | 7,717 | $ | 63,942 | $ | 35,938 | $ | 37,577 | $ | 99,405 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
29
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2009 — continued
(000 Omitted except for unit values)
Unit | Unit Value | Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | ||||||||||||||||
Net assets applicable to contract owners: | |||||||||||||||||||||||
Capital Appreciation Variable Account — | |||||||||||||||||||||||
Compass 2 | 1,632 | $ | 44.584 | $ | 72,738 | ||||||||||||||||||
Compass 3 | 31 | 29.267 | 900 | ||||||||||||||||||||
Compass 3 – Level 2 | 3,110 | 12.264 | 38,148 | ||||||||||||||||||||
Global Governments Variable Account — | |||||||||||||||||||||||
Compass 2 | 88 | $ | 29.349 | $ | 2,578 | ||||||||||||||||||
Compass 3 | 9 | 28.427 | 256 | ||||||||||||||||||||
Compass 3 – Level 2 | 288 | 16.786 | 4,827 | ||||||||||||||||||||
Government Securities Variable Account — | |||||||||||||||||||||||
Compass 2 | 1,079 | $ | 44.320 | $ | 47,836 | ||||||||||||||||||
Compass 3 | 15 | 30.823 | 467 | ||||||||||||||||||||
Compass 3 – Level 2 | 790 | 18.171 | 14,344 | ||||||||||||||||||||
High Yield Variable Account — | |||||||||||||||||||||||
Compass 2 | 794 | $ | 35.207 | $ | 27,950 | ||||||||||||||||||
Compass 3 | 10 | 25.755 | 259 | ||||||||||||||||||||
Compass 3 – Level 2 | 509 | 13.877 | 7,062 | ||||||||||||||||||||
Money Market Variable Account — | |||||||||||||||||||||||
Compass 2 | 782 | $ | 21.664 | $ | 16,924 | ||||||||||||||||||
Compass 3 | 31 | 17.668 | 559 | ||||||||||||||||||||
Compass 3 – Level 2 | 1,485 | 13.332 | 19,794 | ||||||||||||||||||||
Total Return Variable Account — | |||||||||||||||||||||||
Compass 2 | 724 | $ | 41.960 | $ | 30,374 | ||||||||||||||||||
Compass 3 | 59 | 40.644 | 2,389 | ||||||||||||||||||||
Compass 3 – Level 2 | 3,310 | 19.782 | 65,477 | ||||||||||||||||||||
Net assets applicable to owners of deferred contracts | 111,786 | 7,661 | 62,647 | 35,271 | 37,277 | 98,240 | |||||||||||||||||
Reserve for variable annuities — | |||||||||||||||||||||||
Compass 2 Contracts | 1,608 | 14 | 1,253 | 634 | 245 | 844 | |||||||||||||||||
Compass 3 Contracts | — | — | — | — | — | — | |||||||||||||||||
Compass 3 – Level 2 Contracts | 171 | 42 | 42 | 33 | 55 | 321 | |||||||||||||||||
Net assets | $ | 113,565 | $ | 7,717 | $ | 63,942 | $ | 35,938 | $ | 37,577 | $ | 99,405 | |||||||||||
See notes to financial statements.
30
Table of Contents
Statements of Operations (unaudited) — Six Months Ended June 30, 2009
(000 Omitted)
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | |||||||||||||||||||
Net Investment income (loss): | ||||||||||||||||||||||||
Income — | ||||||||||||||||||||||||
Interest | $ | 0 | * | $ | 113 | $ | 1,575 | $ | 1,780 | $ | 85 | $ | 1,032 | |||||||||||
Dividends | 848 | — | — | 30 | — | 910 | ||||||||||||||||||
Dividends from underlying funds | 1 | 1 | 1 | 1 | — | 1 | ||||||||||||||||||
Foreign taxes withheld | (24 | ) | (0 | )* | — | — | — | (16 | ) | |||||||||||||||
Total investment income | $ | 825 | $ | 114 | $ | 1,576 | $ | 1,811 | $ | 85 | $ | 1,927 | ||||||||||||
Expenses — | ||||||||||||||||||||||||
Mortality and expense risk charges | $ | 662 | $ | 48 | $ | 407 | $ | 206 | $ | 245 | $ | 588 | ||||||||||||
Management fee | 396 | 29 | 178 | 122 | 98 | 359 | ||||||||||||||||||
Boards of Managers fees | 10 | 1 | 6 | 3 | 4 | 9 | ||||||||||||||||||
Distribution fee | 1 | 0 | * | 0 | * | 0 | * | 1 | 2 | |||||||||||||||
Administrative fee | 23 | 5 | 14 | 7 | 8 | 21 | ||||||||||||||||||
Custodian fee | 18 | 15 | 13 | 8 | 6 | 31 | ||||||||||||||||||
Printing | 8 | 6 | 7 | 7 | 8 | 7 | ||||||||||||||||||
Auditing fees | 18 | 24 | 21 | 25 | 12 | 25 | ||||||||||||||||||
Legal fees | 3 | 3 | 3 | 4 | 3 | 3 | ||||||||||||||||||
Miscellaneous | 9 | 3 | 6 | 4 | 4 | 8 | ||||||||||||||||||
Total expenses | $ | 1,148 | $ | 134 | $ | 655 | $ | 386 | $ | 389 | $ | 1,053 | ||||||||||||
Fees paid indirectly | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | ||||||||||||
Reduction of expenses by investment adviser | (51 | ) | (37 | ) | — | (33 | ) | (58 | ) | (56 | ) | |||||||||||||
Net expenses | $ | 1,097 | $ | 97 | $ | 655 | $ | 353 | $ | 331 | $ | 997 | ||||||||||||
Net investment income (loss) | $ | (272 | ) | $ | 17 | $ | 921 | $ | 1,458 | $ | (246 | ) | $ | 930 | ||||||||||
Realized and unrealized gain (loss) on investments: | ||||||||||||||||||||||||
Realized gain (loss) (identified cost basis) — | ||||||||||||||||||||||||
Investment transactions | $ | (11,429 | ) | $ | (21 | ) | $ | 450 | $ | (2,201 | ) | $ | — | $ | (6,979 | ) | ||||||||
Futures contracts | — | (1 | ) | 56 | — | — | — | |||||||||||||||||
Swap transactions | — | — | — | (544 | ) | — | — | |||||||||||||||||
Foreign currency transactions | 1 | (45 | ) | — | 14 | — | — | |||||||||||||||||
Net realized gain (loss) on investments and | $ | (11,428 | ) | $ | (67 | ) | $ | 506 | $ | (2,731 | ) | $ | — | $ | (6,979 | ) | ||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||||
Investments | $ | 23,983 | $ | (102 | ) | $ | (651 | ) | $ | 7,263 | $ | — | $ | 9,146 | ||||||||||
Futures contracts | — | — | 141 | — | — | — | ||||||||||||||||||
Swap transactions | — | — | — | 489 | — | — | ||||||||||||||||||
Translation of assets and liabilities in foreign currencies | (1 | ) | (40 | ) | — | (18 | ) | — | — | |||||||||||||||
Net unrealized gain (loss) on investments and | $ | 23,982 | $ | (142 | ) | $ | (510 | ) | $ | 7,734 | $ | — | $ | 9,146 | ||||||||||
Net realized and unrealized gain (loss) on | $ | 12,554 | $ | (209 | ) | $ | (4 | ) | $ | 5,003 | $ | — | $ | 2,167 | ||||||||||
Change in net assets from operations | $ | 12,282 | $ | (192 | ) | $ | 917 | $ | 6,461 | $ | (246 | ) | $ | 3,097 | ||||||||||
* | Amount was less than $500. |
See notes to financial statements.
31
Table of Contents
Statements of Changes in Net Assets
(000 Omitted)
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | ||||||||||||||||||||||
Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (272 | ) | $ | (1,052 | ) | $ | 17 | $ | 66 | $ | 921 | $ | 1,980 | ||||||||||
Net realized gain (loss) on investments and foreign currency transactions | (11,428 | ) | (19,840 | ) | (67 | ) | 452 | 506 | 1,094 | |||||||||||||||
Net unrealized gain (loss) on investments and | 23,982 | (47,925 | ) | (142 | ) | 142 | (510 | ) | 1,582 | |||||||||||||||
Change in net assets from operations | $ | 12,282 | $ | (68,817 | ) | $ | (192 | ) | $ | 660 | $ | 917 | $ | 4,656 | ||||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 516 | $ | 2,727 | $ | 15 | $ | 133 | $ | 257 | $ | 776 | ||||||||||||
Net transfers between variable and fixed | (1,644 | ) | (3,125 | ) | 71 | 291 | 125 | 1,777 | ||||||||||||||||
Withdrawals, surrenders, annuitizations, | (6,808 | ) | (17,536 | ) | (544 | ) | (776 | ) | (4,446 | ) | (8,691 | ) | ||||||||||||
Net accumulation activity | $ | (7,936 | ) | $ | (17,934 | ) | $ | (458 | ) | $ | (352 | ) | $ | (4,064 | ) | $ | (6,138 | ) | ||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | 87 | $ | 39 | $ | (10 | ) | $ | (5 | ) | $ | (25 | ) | $ | (27 | ) | ||||||||
Annuity payments and contract charges | (124 | ) | (353 | ) | (3 | ) | (5 | ) | (113 | ) | (248 | ) | ||||||||||||
Adjustments to annuity reserves | (78 | ) | 70 | 0 | * | 0 | * | 11 | (22 | ) | ||||||||||||||
Net annuitization activity | $ | (115 | ) | $ | (244 | ) | $ | (13 | ) | $ | (10 | ) | $ | (127 | ) | $ | (297 | ) | ||||||
Change in net assets from participations transactions | $ | (8,051 | ) | $ | (18,178 | ) | $ | (471 | ) | $ | (362 | ) | $ | (4,191 | ) | $ | (6,435 | ) | ||||||
Total change in net assets | $ | 4,231 | $ | (86,995 | ) | $ | (663 | ) | $ | 298 | $ | (3,274 | ) | $ | (1,779 | ) | ||||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 109,334 | 196,329 | 8,380 | 8,082 | 67,216 | 68,995 | ||||||||||||||||||
At end of period | $ | 113,565 | $ | 109,334 | $ | 7,717 | $ | 8,380 | $ | 63,942 | $ | 67,216 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
32
Table of Contents
Statements of Changes in Net Assets — continued
(000 Omitted)
High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | ||||||||||||||||||||||
Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | Six Months Ended 6/30/09 (unaudited) | Year Ended 12/31/08 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,458 | $ | 3,096 | $ | (246 | ) | $ | 274 | $ | 930 | $ | 2,007 | |||||||||||
Net realized gain (loss) on investments and | (2,731 | ) | (3,572 | ) | — | (11 | ) | (6,979 | ) | (13,823 | ) | |||||||||||||
Net unrealized gain (loss) on investments and | 7,734 | (12,084 | ) | — | — | 9,146 | (22,563 | ) | ||||||||||||||||
Change in net assets from operations | $ | 6,461 | $ | (12,560 | ) | $ | (246 | ) | $ | 263 | $ | 3,097 | $ | (34,379 | ) | |||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 122 | $ | 572 | $ | 154 | $ | 806 | $ | 470 | $ | 3,022 | ||||||||||||
Net transfers between variable and fixed | (895 | ) | 74 | 1,383 | 1,968 | (2,481 | ) | (5,218 | ) | |||||||||||||||
Withdrawals, surrenders, annuitizations, | (2,007 | ) | (5,063 | ) | (4,541 | ) | (7,812 | ) | (6,464 | ) | (17,850 | ) | ||||||||||||
Net accumulation activity | $ | (2,780 | ) | $ | (4,417 | ) | $ | (3,004 | ) | $ | (5,038 | ) | $ | (8,475 | ) | $ | (20,046 | ) | ||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | — | $ | 3 | $ | 8 | $ | 7 | $ | 22 | $ | (8 | ) | |||||||||||
Annuity payments and contract charges | (52 | ) | (141 | ) | (28 | ) | (75 | ) | (76 | ) | (220 | ) | ||||||||||||
Net transfers among accounts for annuity reserves | — | — | — | — | — | 2 | ||||||||||||||||||
Adjustments to annuity reserves | 5 | 5 | (0 | )* | 1 | (10 | ) | 9 | ||||||||||||||||
Net annuitization activity | $ | (47 | ) | $ | (133 | ) | $ | (20 | ) | $ | (67 | ) | $ | (64 | ) | $ | (217 | ) | ||||||
Change in net assets from participations transactions | $ | (2,827 | ) | $ | (4,550 | ) | $ | (3,024 | ) | $ | (5,105 | ) | $ | (8,539 | ) | $ | (20,263 | ) | ||||||
Total change in net assets | $ | 3,634 | $ | (17,110 | ) | $ | (3,270 | ) | $ | (4,842 | ) | $ | (5,442 | ) | $ | (54,642 | ) | |||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 32,304 | 49,414 | 40,847 | 45,689 | 104,847 | 159,489 | ||||||||||||||||||
At end of period | $ | 35,938 | $ | 32,304 | $ | 37,577 | $ | 40,847 | $ | 99,405 | $ | 104,847 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
33
Table of Contents
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 39.750 | $ | 63.669 | $ | 58.101 | $ | 55.446 | $ | 55.625 | $ | 50.814 | ||||||||||||
Investment income | $ | 0.319 | $ | 0.780 | $ | 0.751 | $ | 0.560 | $ | 0.580 | $ | 0.744 | ||||||||||||
Expenses | (0.426 | ) | (1.154 | ) | (1.319 | ) | (1.198 | ) | (1.179 | ) | (1.109 | ) | ||||||||||||
Net investment loss | $ | (0.107 | ) | $ | (0.374 | ) | $ | (0.568 | ) | $ | (0.638 | ) | $ | (0.599 | ) | $ | (0.365 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 4.941 | (23.545 | ) | 6.136 | 3.293 | 0.420 | 5.176 | |||||||||||||||||
Change in unit value | $ | 4.834 | $ | (23.919 | ) | $ | 5.568 | $ | 2.655 | $ | (0.179 | ) | $ | 4.811 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 44.584 | $ | 39.750 | $ | 63.669 | $ | 58.101 | $ | 55.446 | $ | 55.625 | ||||||||||||
Total Return (%) (k)(r)(s) | 12.16 | (n) | (37.57 | ) | 9.58 | 4.79 | (0.32 | ) | 9.47 | (b) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.22 | (a) | 2.17 | 2.15 | 2.15 | 2.16 | 2.14 | |||||||||||||||||
Expenses after expense reductions (f) | 2.12 | (a) | 2.12 | 2.14 | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.52 | )(a) | (0.68 | ) | (0.91 | ) | (1.11 | ) | (1.08 | ) | (0.70 | ) | ||||||||||||
Portfolio turnover (%) | 20 | 49 | 63 | 61 | 130 | 65 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,632 | 1,761 | 1,980 | 2,419 | 3,018 | 3,544 | ||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 26.107 | $ | 41.858 | $ | 38.235 | $ | 36.524 | $ | 36.678 | $ | 33.539 | ||||||||||||
Investment income | $ | 0.198 | $ | 0.497 | $ | 0.490 | $ | 0.355 | $ | 0.370 | $ | 0.458 | ||||||||||||
Expenses | (0.283 | ) | (0.783 | ) | (0.903 | ) | (0.807 | ) | (0.795 | ) | (0.753 | ) | ||||||||||||
Net investment loss | $ | (0.085 | ) | $ | (0.286 | ) | $ | (0.413 | ) | $ | (0.452 | ) | $ | (0.425 | ) | $ | (0.295 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 3.245 | (15.465 | ) | 4.036 | 2.163 | 0.271 | 3.434 | |||||||||||||||||
Change in unit value | $ | 3.160 | $ | (15.751 | ) | $ | 3.623 | $ | 1.711 | $ | (0.154 | ) | $ | 3.139 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 29.267 | $ | 26.107 | $ | 41.858 | $ | 38.235 | $ | 36.524 | $ | 36.678 | ||||||||||||
Total Return (%) (k)(r)(s) | 12.10 | (n) | (37.63 | ) | 9.48 | 4.69 | (0.42 | ) | 9.36 | (b) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.32 | (a) | 2.27 | 2.25 | 2.25 | 2.26 | 2.24 | |||||||||||||||||
Expenses after expense reductions (f) | 2.22 | (a) | 2.22 | 2.24 | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.66 | )(a) | (0.81 | ) | (1.04 | ) | (1.30 | ) | (1.20 | ) | (0.87 | ) | ||||||||||||
Portfolio turnover (%) | 20 | 49 | 63 | 61 | 130 | 65 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 31 | 46 | 73 | 128 | 237 | 413 |
34
Table of Contents
Financial Highlights — continued
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 10.932 | $ | 17.501 | $ | 15.963 | $ | 15.226 | $ | 15.267 | $ | 13.940 | ||||||||||||
Investment income | $ | 0.087 | $ | 0.211 | $ | 0.203 | $ | 0.152 | $ | 0.158 | $ | 0.205 | ||||||||||||
Expenses | (0.114 | ) | (0.308 | ) | (0.352 | ) | (0.320 | ) | (0.316 | ) | (0.297 | ) | ||||||||||||
Net investment loss | $ | (0.027 | ) | $ | (0.097 | ) | $ | (0.149 | ) | $ | (0.168 | ) | $ | (0.158 | ) | $ | (0.092 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.359 | (6.472 | ) | 1.687 | 0.905 | 0.117 | 1.419 | |||||||||||||||||
Change in unit value | $ | 1.332 | $ | (6.569 | ) | $ | 1.538 | $ | 0.737 | $ | (0.041 | ) | $ | 1.327 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 12.264 | $ | 10.932 | $ | 17.501 | $ | 15.963 | $ | 15.226 | $ | 15.267 | ||||||||||||
Total Return (%) (k)(r)(s) | 12.19 | (n) | (37.54 | ) | 9.64 | 4.84 | (0.27 | ) | 9.52 | (b) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.12 | 2.10 | 2.10 | 2.11 | 2.09 | |||||||||||||||||
Expenses after expense reductions (f) | 2.07 | (a) | 2.07 | 2.09 | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.49 | )(a) | (0.65 | ) | (0.88 | ) | (1.13 | ) | (1.05 | ) | (0.65 | ) | ||||||||||||
Portfolio turnover (%) | 20 | 49 | 63 | 61 | 130 | 65 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 3,110 | 3,335 | 3,671 | 4,378 | 5,248 | 5,798 |
(a) | Annualized. |
(b) | The variable account’s net asset value and total return calculation include a non-recurring accrual recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The non-recurring accrual resulted in an increase in the net asset value of $0.039, $0.026, and $0.010 per unit for Compass 2, Compass 3, and Compass 3 – Level 2, respectively, based on units outstanding on the day the accrual was recorded. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
See notes to financial statements.
35
Table of Contents
Financial Highlights — continued
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 29.979 | $ | 27.622 | $ | 25.732 | $ | 24.865 | $ | 27.240 | $ | 25.169 | ||||||||||||
Investment income | $ | 0.419 | $ | 0.944 | $ | 1.052 | $ | 1.003 | $ | 0.925 | $ | 0.872 | ||||||||||||
Expenses | (0.356 | ) | (0.716 | ) | (0.653 | ) | (0.629 | ) | (0.651 | ) | (0.633 | ) | ||||||||||||
Net investment income | $ | 0.063 | $ | 0.228 | $ | 0.399 | $ | 0.374 | $ | 0.274 | $ | 0.239 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.693 | ) | 2.129 | 1.491 | 0.493 | (2.649 | ) | 1.832 | ||||||||||||||||
Change in unit value | $ | (0.630 | ) | $ | 2.357 | $ | 1.890 | $ | 0.867 | $ | (2.375 | ) | $ | 2.071 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 29.349 | $ | 29.979 | $ | 27.622 | $ | 25.732 | $ | 24.865 | $ | 27.240 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.10 | )(n) | 8.54 | 7.34 | 3.49 | (8.72 | ) | 8.23 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.45 | (a) | 3.50 | 3.35 | 3.39 | 2.95 | 2.67 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.44 | (a) | 0.79 | 1.52 | 1.48 | 1.04 | 0.94 | |||||||||||||||||
Portfolio turnover (%) | 65 | 111 | 141 | 118 | 144 | 128 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 88 | 91 | 85 | 104 | 116 | 128 | ||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 29.059 | $ | 26.814 | $ | 25.017 | $ | 24.209 | $ | 26.561 | $ | 24.578 | ||||||||||||
Investment income | $ | 0.397 | $ | 0.904 | $ | 1.044 | $ | 1.025 | $ | 0.949 | $ | 0.883 | ||||||||||||
Expenses | (0.359 | ) | (0.727 | ) | (0.678 | ) | (0.659 | ) | (0.688 | ) | (0.662 | ) | ||||||||||||
Net investment income | $ | 0.038 | $ | 0.177 | $ | 0.366 | $ | 0.366 | $ | 0.261 | $ | 0.221 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.670 | ) | 2.068 | 1.431 | 0.442 | (2.613 | ) | 1.762 | ||||||||||||||||
Change in unit value | $ | (0.632 | ) | $ | 2.245 | $ | 1.797 | $ | 0.808 | $ | (2.352 | ) | $ | 1.983 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 28.427 | $ | 29.059 | $ | 26.814 | $ | 25.017 | $ | 24.209 | $ | 26.561 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.17 | )(n) | 8.38 | 7.18 | 3.34 | (8.85 | ) | 8.07 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.60 | (a) | 3.65 | 3.50 | 3.54 | 3.10 | 2.82 | |||||||||||||||||
Expenses after expense reductions (f) | 2.65 | (a) | 2.65 | 2.65 | 2.65 | 2.65 | 2.65 | |||||||||||||||||
Net investment income | 0.27 | (a) | 0.65 | 1.44 | 1.41 | 0.97 | 0.85 | |||||||||||||||||
Portfolio turnover (%) | 65 | 111 | 141 | 118 | 144 | 128 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 9 | 11 | 15 | 18 | 26 | 28 |
36
Table of Contents
Financial Highlights — continued
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.147 | $ | 15.798 | $ | 14.718 | $ | 14.221 | $ | 15.580 | $ | 14.396 | ||||||||||||
Investment income | $ | 0.240 | $ | 0.541 | $ | 0.608 | $ | 0.574 | $ | 0.526 | $ | 0.497 | ||||||||||||
Expenses | (0.204 | ) | (0.410 | ) | (0.377 | ) | (0.361 | ) | (0.371 | ) | (0.361 | ) | ||||||||||||
Net investment income | $ | 0.036 | $ | 0.131 | $ | 0.231 | $ | 0.213 | $ | 0.155 | $ | 0.136 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.397 | ) | 1.218 | 0.849 | 0.284 | (1.514 | ) | 1.048 | ||||||||||||||||
Change in unit value | $ | (0.361 | ) | $ | 1.349 | $ | 1.080 | $ | 0.497 | $ | (1.359 | ) | $ | 1.184 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 16.786 | $ | 17.147 | $ | 15.798 | $ | 14.718 | $ | 14.221 | $ | 15.580 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.10 | )(n) | 8.54 | 7.34 | 3.49 | (8.72 | ) | 8.23 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.45 | (a) | 3.50 | 3.35 | 3.39 | 2.95 | 2.67 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.44 | (a) | 0.79 | 1.53 | 1.47 | 1.04 | 0.94 | |||||||||||||||||
Portfolio turnover (%) | 65 | 111 | 141 | 118 | 144 | 128 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 288 | 306 | 332 | 403 | 468 | 500 |
(a) | Annualized. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
See notes to financial statements.
37
Table of Contents
Financial Highlights — continued
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 43.715 | $ | 40.804 | $ | 38.619 | $ | 37.679 | $ | 37.338 | $ | 36.470 | ||||||||||||
Investment income | $ | 1.090 | $ | 2.116 | $ | 2.117 | $ | 2.024 | $ | 1.936 | $ | 1.834 | ||||||||||||
Expenses | (0.454 | ) | (0.860 | ) | (0.802 | ) | (0.757 | ) | (0.752 | ) | (0.726 | ) | ||||||||||||
Net investment income | $ | 0.636 | $ | 1.256 | $ | 1.315 | $ | 1.267 | $ | 1.184 | $ | 1.108 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.031 | ) | 1.655 | 0.870 | (0.327 | ) | (0.843 | ) | (0.240 | ) | ||||||||||||||
Change in unit value | $ | 0.605 | $ | 2.911 | $ | 2.185 | $ | 0.940 | $ | 0.341 | $ | 0.868 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 44.320 | $ | 43.715 | $ | 40.804 | $ | 38.619 | $ | 37.679 | $ | 37.338 | ||||||||||||
Total Return (%) (k)(s) | 1.39 | (n) | 7.14 | 5.66 | 2.50 | 0.91 | 2.38 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.07 | (a) | 2.05 | 2.02 | 2.01 | 2.01 | 1.97 | |||||||||||||||||
Net investment income | 2.83 | (a) | 2.93 | 3.26 | 3.28 | 3.09 | 2.96 | |||||||||||||||||
Portfolio turnover (%) | 19 | 45 | 35 | 17 | 69 | 89 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,079 | 1,151 | 1,269 | 1,538 | 1,852 | 2,125 | ||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 30.417 | $ | 28.419 | $ | 26.924 | $ | 26.295 | $ | 26.082 | $ | 25.501 | ||||||||||||
Investment income | $ | 0.732 | $ | 1.427 | $ | 1.470 | $ | 1.352 | $ | 1.316 | $ | 1.244 | ||||||||||||
Expenses | (0.324 | ) | (0.618 | ) | (0.583 | ) | (0.538 | ) | (0.543 | ) | (0.525 | ) | ||||||||||||
Net investment income | $ | 0.408 | $ | 0.809 | $ | 0.887 | $ | 0.814 | $ | 0.773 | $ | 0.719 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.002 | ) | 1.189 | 0.608 | (0.185 | ) | (0.560 | ) | (0.138 | ) | ||||||||||||||
Change in unit value | $ | 0.406 | $ | 1.998 | $ | 1.495 | $ | 0.629 | $ | 0.213 | $ | 0.581 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 30.823 | $ | 30.417 | $ | 28.419 | $ | 26.924 | $ | 26.295 | $ | 26.082 | ||||||||||||
Total Return (%) (k)(s) | 1.34 | (n) | 7.03 | 5.55 | 2.40 | 0.82 | 2.28 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.15 | 2.12 | 2.11 | 2.11 | 2.07 | |||||||||||||||||
Net investment income | 2.71 | (a) | 2.80 | 3.25 | 3.15 | 2.96 | 2.82 | |||||||||||||||||
Portfolio turnover (%) | 19 | 45 | 35 | 17 | 69 | 89 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 15 | 20 | 28 | 40 | 69 | 100 |
38
Table of Contents
Financial Highlights — continued
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.918 | $ | 16.717 | $ | 15.814 | $ | 15.421 | $ | 15.274 | $ | 14.912 | ||||||||||||
Investment income | $ | 0.437 | $ | 0.848 | $ | 0.848 | $ | 0.813 | $ | 0.781 | $ | 0.742 | ||||||||||||
Expenses | (0.180 | ) | (0.342 | ) | (0.318 | ) | (0.300 | ) | (0.299 | ) | (0.289 | ) | ||||||||||||
Net investment income | $ | 0.257 | $ | 0.506 | $ | 0.530 | $ | 0.513 | $ | 0.482 | $ | 0.453 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.004 | ) | 0.695 | 0.373 | (0.120 | ) | (0.335 | ) | (0.091 | ) | ||||||||||||||
Change in unit value | $ | 0.253 | $ | 1.201 | $ | 0.903 | $ | 0.393 | $ | 0.147 | $ | 0.362 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 18.171 | $ | 17.918 | $ | 16.717 | $ | 15.814 | $ | 15.421 | $ | 15.274 | ||||||||||||
Total Return (%) (k)(s) | 1.41 | (n) | 7.19 | 5.71 | 2.55 | 0.96 | 2.43 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.02 | (a) | 2.00 | �� | 1.97 | 1.96 | 1.96 | 1.92 | ||||||||||||||||
Net investment income | 2.85 | (a) | 2.94 | 3.29 | 3.30 | 3.12 | 2.99 | |||||||||||||||||
Portfolio turnover (%) | 19 | 45 | 35 | 17 | 69 | 89 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 790 | 831 | 889 | 1,054 | 1,280 | 1,377 |
(a) | Annualized. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
See notes to financial statements.
39
Table of Contents
Financial Highlights — continued
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
High Yield Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 29.057 | $ | 40.344 | $ | 40.172 | $ | 36.840 | $ | 36.669 | $ | 34.056 | ||||||||||||
Investment income | $ | 1.759 | $ | 3.568 | $ | 3.391 | $ | 3.121 | $ | 2.959 | $ | 2.857 | ||||||||||||
Expenses | (0.343 | ) | (0.817 | ) | (0.901 | ) | (0.847 | ) | (0.820 | ) | (0.770 | ) | ||||||||||||
Net investment income | $ | 1.416 | $ | 2.751 | $ | 2.490 | $ | 2.274 | $ | 2.139 | $ | 2.087 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 4.734 | (14.038 | ) | (2.318 | ) | 1.058 | (1.968 | ) | 0.526 | |||||||||||||||
Change in unit value | $ | 6.150 | $ | (11.287 | ) | $ | 0.172 | $ | 3.332 | $ | 0.171 | $ | 2.613 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 35.207 | $ | 29.057 | $ | 40.344 | $ | 40.172 | $ | 36.840 | $ | 36.669 | ||||||||||||
Total Return (%) (k)(r)(s) | 21.17 | (n) | (27.98 | ) | 0.43 | 9.04 | 0.47 | 7.67 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.40 | (a) | 2.36 | 2.25 | 2.32 | 2.28 | (o) | 2.21 | ||||||||||||||||
Expenses after expense reductions (f) | 2.20 | (a) | 2.20 | 2.20 | 2.22 | 2.25 | N/A | |||||||||||||||||
Net investment income | 8.92 | (a) | 7.28 | 5.96 | 5.84 | 5.76 | 5.91 | |||||||||||||||||
Portfolio turnover (%) | 31 | 62 | 66 | 88 | 53 | 81 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 794 | 862 | 958 | 1,119 | 1,323 | 1,601 | ||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 21.266 | $ | 29.556 | $ | 29.459 | $ | 27.043 | $ | 26.943 | $ | 25.048 | ||||||||||||
Investment income | $ | 1.245 | $ | 2.515 | $ | 2.445 | $ | 2.212 | $ | 2.118 | $ | 2.021 | ||||||||||||
Expenses | (0.256 | ) | (0.613 | ) | (0.681 | ) | (0.635 | ) | (0.620 | ) | (0.576 | ) | ||||||||||||
Net investment income | $ | 0.989 | $ | 1.902 | $ | 1.764 | $ | 1.577 | $ | 1.498 | $ | 1.445 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 3.500 | (10.192 | ) | (1.667 | ) | 0.839 | (1.398 | ) | 0.450 | |||||||||||||||
Change in unit value | $ | 4.489 | $ | (8.290 | ) | $ | 0.097 | $ | 2.416 | $ | 0.100 | $ | 1.895 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 25.755 | $ | 21.266 | $ | 29.556 | $ | 29.459 | $ | 27.043 | $ | 26.943 | ||||||||||||
Total Return (%) (k)(r)(s) | 21.11 | (n) | (28.05 | ) | 0.33 | 8.94 | 0.37 | 7.57 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.50 | (a) | 2.46 | 2.35 | 2.42 | 2.38 | (o) | 2.31 | ||||||||||||||||
Expenses after expense reductions (f) | 2.30 | (a) | 2.30 | 2.30 | 2.32 | 2.35 | N/A | |||||||||||||||||
Net investment income | 8.82 | (a) | 7.09 | 5.93 | 5.71 | 5.64 | 5.75 | |||||||||||||||||
Portfolio turnover (%) | 31 | 62 | 66 | 88 | 53 | 81 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 10 | 13 | 21 | 34 | 47 | 67 |
40
Table of Contents
Financial Highlights — continued
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 11.450 | $ | 15.890 | $ | 15.814 | $ | 14.495 | $ | 14.421 | $ | 13.386 | ||||||||||||
Investment income | $ | 0.672 | $ | 1.380 | $ | 1.310 | $ | 1.202 | $ | 1.142 | $ | 1.019 | ||||||||||||
Expenses | (0.130 | ) | (0.313 | ) | (0.344 | ) | (0.323 | ) | (0.312 | ) | (0.275 | ) | ||||||||||||
Net investment income | $ | 0.542 | $ | 1.067 | $ | 0.966 | $ | 0.879 | $ | 0.830 | $ | 0.744 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.885 | (5.507 | ) | (0.890 | ) | 0.440 | (0.756 | ) | 0.291 | |||||||||||||||
Change in unit value | $ | 2.427 | $ | (4.440 | ) | $ | 0.076 | $ | 1.319 | $ | 0.074 | $ | 1.035 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.877 | $ | 11.450 | $ | 15.890 | $ | 15.814 | $ | 14.495 | $ | 14.421 | ||||||||||||
Total Return (%) (k)(r)(s) | 21.20 | (n) | (27.94 | ) | 0.48 | 9.10 | 0.52 | 7.73 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.35 | (a) | 2.31 | 2.20 | 2.27 | 2.23 | (o) | 2.16 | ||||||||||||||||
Expenses after expense reductions (f) | 2.15 | (a) | 2.15 | 2.15 | 2.17 | 2.20 | N/A | |||||||||||||||||
Net investment income | 8.89 | (a) | 7.27 | 5.98 | 5.86 | 5.81 | 5.77 | |||||||||||||||||
Portfolio turnover (%) | 31 | 62 | 66 | 88 | 53 | 81 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 509 | 558 | 579 | 774 | 937 | 971 |
(a) | Annualized. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(o) | Due to a revision, the ratios of expenses before expense reductions for the year ended December 31, 2005 not previously reported, were 2.28%, 2.38% and 2.23% for Compass 2, Compass 3, and Compass 3 – Level 2, respectively. There was no impact to net assets or the expenses charged to the contract holder. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
See notes to financial statements.
41
Table of Contents
Financial Highlights — continued
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
Money Market Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 21.803 | $ | 21.676 | $ | 20.979 | $ | 20.331 | $ | 20.073 | $ | 20.188 | ||||||||||||
Investment income | $ | 0.047 | $ | 0.567 | $ | 1.145 | $ | 1.051 | $ | 0.661 | $ | 0.281 | ||||||||||||
Expenses | (0.186 | ) | (0.432 | ) | (0.431 | ) | (0.403 | ) | (0.403 | ) | (0.396 | ) | ||||||||||||
Net investment income (loss) | $ | (0.139 | ) | $ | 0.135 | $ | 0.714 | $ | 0.648 | $ | 0.258 | $ | (0.115 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | (0.008 | ) | (0.017 | )(g) | — | (0.000 | )(w) | — | |||||||||||||||
Change in unit value | $ | (0.139 | ) | $ | 0.127 | $ | 0.697 | $ | 0.648 | $ | 0.258 | $ | (0.115 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 21.664 | $ | 21.803 | $ | 21.676 | $ | 20.979 | $ | 20.331 | $ | 20.073 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.64 | )(n) | 0.58 | 3.32 | 3.19 | 1.29 | (0.57 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.03 | (a) | 1.99 | 2.00 | 1.95 | 1.99 | 1.96 | |||||||||||||||||
Expenses after expense reductions (f) | 1.74 | (a) | 1.97 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.27 | )(a) | 0.61 | 3.29 | 3.15 | 1.38 | (0.56 | ) | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 782 | 793 | 887 | 928 | 1,128 | 1,009 | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six months ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.790 | $ | 17.704 | $ | 17.152 | $ | 16.638 | $ | 16.443 | $ | 16.553 | ||||||||||||
Investment income | $ | 0.039 | $ | 0.468 | $ | 0.902 | $ | 0.852 | $ | 0.539 | $ | 0.229 | ||||||||||||
Expenses | (0.160 | ) | (0.364 | ) | (0.356 | ) | (0.338 | ) | (0.344 | ) | (0.339 | ) | ||||||||||||
Net investment income (loss) | $ | (0.121 | ) | $ | 0.104 | $ | 0.546 | $ | 0.514 | $ | 0.195 | $ | (0.110 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | (0.018 | ) | 0.006 | (g) | — | (0.000 | )(w) | — | |||||||||||||||
Change in unit value | $ | (0.122 | ) | $ | 0.086 | $ | 0.552 | $ | 0.514 | $ | 0.195 | $ | (0.110 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.668 | $ | 17.790 | $ | 17.704 | $ | 17.152 | $ | 16.638 | $ | 16.443 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.69 | )(n) | 0.49 | 3.22 | 3.09 | 1.19 | (0.67 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.13 | (a) | 2.09 | 2.10 | 2.05 | 2.09 | 2.06 | |||||||||||||||||
Expenses after expense reductions (f) | 1.84 | (a) | 2.07 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.39 | )(a) | 0.59 | 3.20 | 3.00 | 1.42 | (0.71 | ) | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 31 | 45 | 64 | 131 | 218 | 97 |
42
Table of Contents
Financial Highlights — continued
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 13.415 | $ | 13.330 | $ | 12.895 | $ | 12.491 | $ | 12.326 | $ | 12.390 | ||||||||||||
Investment income | $ | 0.029 | $ | 0.344 | $ | 0.695 | $ | 0.644 | $ | 0.405 | $ | 0.181 | ||||||||||||
Expenses | (0.112 | ) | (0.257 | ) | (0.257 | ) | (0.240 | ) | (0.240 | ) | (0.245 | ) | ||||||||||||
Net investment income (loss) | $ | (0.083 | ) | $ | 0.087 | $ | 0.438 | $ | 0.404 | $ | 0.165 | $ | (0.064 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | (0.002 | ) | (0.003 | )(g) | — | (0.000 | )(w) | — | |||||||||||||||
Change in unit value | $ | (0.083 | ) | $ | 0.085 | $ | 0.435 | $ | 0.404 | $ | 0.165 | $ | (0.064 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.332 | $ | 13.415 | $ | 13.330 | $ | 12.895 | $ | 12.491 | $ | 12.326 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.61 | )(n) | 0.63 | 3.38 | 3.24 | 1.34 | (0.52 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 1.98 | (a) | 1.94 | 1.95 | 1.90 | 1.94 | 1.91 | |||||||||||||||||
Expenses after expense reductions (f) | 1.69 | (a) | 1.92 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.24 | )(a) | 0.65 | 3.32 | 3.18 | 1.39 | (0.48 | ) | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,485 | 1,673 | 1,871 | 1,969 | 2,384 | 2,259 |
(a) | Annualized. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(g) | The per unit amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of variable account units and the per unit amount of realized and unrealized gains and losses at such time. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
(w) | Per unit amount was less than $0.001. |
See notes to financial statements.
43
Table of Contents
Financial Highlights — continued
The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.
Total Return Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 40.464 | $ | 52.709 | $ | 51.373 | $ | 46.459 | $ | 45.729 | $ | 41.571 | ||||||||||||
Investment income | $ | 0.802 | $ | 1.748 | $ | 1.832 | $ | 1.749 | $ | 1.521 | $ | 1.450 | ||||||||||||
Expenses | (0.411 | ) | (1.008 | ) | (1.126 | ) | (1.033 | ) | (0.970 | ) | (0.905 | ) | ||||||||||||
Net investment income | $ | 0.391 | $ | 0.740 | $ | 0.706 | $ | 0.716 | $ | 0.551 | $ | 0.545 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.105 | (12.985 | ) | 0.630 | 4.198 | 0.179 | 3.613 | |||||||||||||||||
Change in unit value | $ | 1.496 | $ | (12.245 | ) | $ | 1.336 | $ | 4.914 | $ | 0.730 | $ | 4.158 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 41.960 | $ | 40.464 | $ | 52.709 | $ | 51.373 | $ | 46.459 | $ | 45.729 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.70 | (n) | (23.23 | ) | 2.60 | 10.58 | 1.60 | 10.00 | (b) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.22 | (a) | 2.16 | 2.12 | 2.14 | 2.12 | 2.11 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.11 | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.96 | (a) | 1.52 | 1.30 | 1.46 | 1.18 | 1.25 | |||||||||||||||||
Portfolio turnover (%) | 25 | 57 | 54 | 45 | 49 | 64 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 724 | 807 | 948 | 1,156 | 1,349 | 1,511 | ||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 39.224 | $ | 51.169 | $ | 49.947 | $ | 45.236 | $ | 44.592 | $ | 40.597 | ||||||||||||
Investment income | $ | 0.751 | $ | 1.645 | $ | 1.770 | $ | 1.645 | $ | 1.450 | $ | 1.375 | ||||||||||||
Expenses | (0.418 | ) | (1.033 | ) | (1.165 | ) | (1.051 | ) | (1.019 | ) | (0.929 | ) | ||||||||||||
Net investment income | $ | 0.333 | $ | 0.612 | $ | 0.605 | $ | 0.594 | $ | 0.431 | $ | 0.446 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.087 | (12.557 | ) | 0.617 | 4.117 | 0.213 | 3.549 | |||||||||||||||||
Change in unit value | $ | 1.420 | $ | (11.945 | ) | $ | 1.222 | $ | 4.711 | $ | 0.644 | $ | 3.995 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 40.644 | $ | 39.224 | $ | 51.169 | $ | 49.947 | $ | 45.236 | $ | 44.592 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.62 | (n) | (23.34 | ) | 2.45 | 10.42 | 1.45 | 9.84 | (b) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.37 | (a) | 2.31 | 2.27 | 2.29 | 2.27 | 2.26 | |||||||||||||||||
Expenses after expense reductions (f) | 2.25 | (a) | 2.25 | 2.26 | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.78 | (a) | 1.33 | 1.18 | 1.28 | 0.97 | 1.07 | |||||||||||||||||
Portfolio turnover (%) | 25 | 57 | 54 | 45 | 49 | 64 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 59 | 74 | 107 | 142 | 217 | 315 |
44
Table of Contents
Financial Highlights — continued
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/09 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 19.077 | $ | 24.850 | $ | 24.220 | $ | 21.903 | $ | 21.559 | $ | 19.599 | ||||||||||||
Investment income | $ | 0.371 | $ | 0.807 | $ | 0.849 | $ | 0.812 | $ | 0.710 | $ | 0.676 | ||||||||||||
Expenses | (0.192 | ) | (0.471 | ) | (0.527 | ) | (0.484 | ) | (0.457 | ) | (0.425 | ) | ||||||||||||
Net investment income | $ | 0.179 | $ | 0.336 | $ | 0.322 | $ | 0.328 | $ | 0.253 | $ | 0.251 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.526 | (6.109 | ) | 0.308 | 1.989 | 0.091 | 1.709 | |||||||||||||||||
Change in unit value | $ | 0.705 | $ | (5.773 | ) | $ | 0.630 | $ | 2.317 | $ | 0.344 | $ | 1.960 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 19.782 | $ | 19.077 | $ | 24.850 | $ | 24.220 | $ | 21.903 | $ | 21.559 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.70 | (n) | (23.23 | ) | 2.60 | 10.58 | 1.60 | 10.00 | (b) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.22 | (a) | 2.16 | 2.12 | 2.14 | 2.12 | 2.11 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.11 | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.94 | (a) | 1.49 | 1.28 | 1.44 | 1.17 | 1.24 | |||||||||||||||||
Portfolio turnover (%) | 25 | 57 | 54 | 45 | 49 | 64 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 3,310 | 3,572 | 4,116 | 4,695 | 5,462 | 5,646 |
(a) | Annualized. |
(b) | The variable acount’s net asset value and total return calculation include a non-recurring accrual recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The non-recurring accrual did not have a material impact on the net asset value per unit based on the units outstanding on the day the accrual was recorded. |
(d) | Per unit data is based on the average number of units outstanding during each period. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(r) | Certain expenses have been reduced without which performance would have been lower. |
(s) | From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower. |
See notes to financial statements.
45
Table of Contents
Notes to Financial Statements (unaudited)
(1) | Business and Organization |
Capital Appreciation Variable Account, Global Governments Variable Account, Government Securities Variable Account, High Yield Variable Account, Money Market Variable Account, and Total Return Variable Account (the variable account(s)) are separate accounts established by Sun Life Assurance Company of Canada (U.S.), the Sponsor, in connection with the issuance of Compass 2 and Compass 3 combination fixed/variable annuity contracts. The variable accounts operate as open-end management investment companies as those terms are defined in the Investment Company Act of 1940, as amended.
(2) | Significant Accounting Policies |
General – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. In making these estimates and assumptions, management has considered the effects, if any, of events occurring after the date of the variable accounts’ Statement of Assets and Liabilities through August 18, 2009 which is the date that the financial statements were issued. Actual results could differ from those estimates. The High Yield Variable Account can invest up to 100% of its portfolio in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. The Government Securities Variable Account may invest a significant portion of its assets in asset-backed and/or mortgage-backed securities. The value of these securities may depend, in part, on the issuer’s or borrower’s credit quality or ability to pay principal and interest when due and may fall if an issuer or borrower defaults on its obligation to pay principal or interest or if the instrument’s credit rating is downgraded by a credit rating agency. U.S. Government securities not supported as to the payment of principal or interest by the U.S. Treasury, such as those issued by Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, are subject to greater credit risk than are U.S. Government securities supported by the U.S. Treasury, such as those issued by Ginnie Mae. The Capital Appreciation Variable Account, Global Governments Variable Account, High Yield Variable Account, and Total Return Variable Account can invest in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described are heightened when investing in emerging markets countries.
Investment Valuations – Pursuant to procedures approved by the Board of Managers, investments held by the Money Market Variable Account are valued at amortized cost, which approximates market value. Amortized cost involves valuing an instrument at its cost as adjusted for amortization of premium or accretion of discount rather than its current market value. The amortized cost value of an instrument can be different from the market value of an instrument. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. For securities for which there were no sales reported that day, equity securities are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. For securities held short for which there were no sales reported for that day, the position is generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the exchange on which such options are primarily traded. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued using an external pricing model that uses market data from a third-party source. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Swaps are generally valued at valuations provided by a third-party pricing service. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from pricing services can utilize both dealer-supplied valuations and electronic data processing techniques, which take into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.
The Board of Managers has delegated primary responsibility for determining or causing to be determined the value of the variable accounts’ investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Managers. Under the variable accounts’ valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives.
46
Table of Contents
Notes to Financial Statements (unaudited) — continued
These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of each variable account’s net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of each variable account’s net asset value may be deemed to have a material affect on the value of securities traded in foreign markets. Accordingly, the variable accounts’ foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating each variable account’s net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine each variable account’s net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the variable accounts could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which each variable account determines its net asset value per share.
Various inputs are used in determining the value of each variable account’s assets or liabilities carried at market value. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The variable accounts’ assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts, and written options. The following is a summary of the levels used as of June 30, 2009 in valuing each variable account’s assets or liabilities carried at market value:
Capital Appreciation Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities | $ | 111,964,873 | $ | — | $ | — | $ | 111,964,873 | ||||
Mutual Funds | 1,527,235 | — | — | 1,527,235 | ||||||||
Total Investments | $ | 113,492,108 | $ | — | $ | — | $ | 113,492,108 | ||||
Global Governments Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $ | — | $ | 1,118,421 | $ | — | $ | 1,118,421 | ||||||
Non-U.S. Sovereign Debt | — | 5,117,406 | — | 5,117,406 | ||||||||||
Corporate Bonds | — | 48,931 | — | 48,931 | ||||||||||
Residential Mortgage-Backed Securities | — | 303,937 | — | 303,937 | ||||||||||
Commercial Mortgage-Backed Securities | — | 338,763 | — | 338,763 | ||||||||||
Mutual Funds | 643,930 | — | — | 643,930 | ||||||||||
Total Investments | $ | 643,930 | $ | 6,927,458 | $ | — | $ | 7,571,388 | ||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Forward Currency Contracts | $ | — | $ | (23,089 | ) | $ | — | $ | (23,089 | ) |
Government Securities Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $ | — | $ | 16,625,622 | $ | — | $ | 16,625,622 | ||||||
Municipal Bonds | — | 2,085,716 | — | 2,085,716 | ||||||||||
Residential Mortgage-Backed Securities | — | 41,925,579 | — | 41,925,579 | ||||||||||
Commercial Mortgage-Backed Securities | — | 1,339,819 | — | 1,339,819 | ||||||||||
Mutual Funds | 1,541,106 | — | — | 1,541,106 | ||||||||||
Total Investments | $ | 1,541,106 | $ | 61,976,736 | $ | — | $ | 63,517,842 | ||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||
Futures | $ | (15,607 | ) | $ | — | $ | — | $ | (15,607 | ) |
47
Table of Contents
Notes to Financial Statements (unaudited) — continued
High Yield Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities | $ | 481,895 | $ | 40,856 | $ | 3,244 | $ | 525,995 | ||||
Non-U.S. Sovereign Debt | — | 55,674 | — | 55,674 | ||||||||
Corporate Bonds | — | 27,126,668 | — | 27,126,668 | ||||||||
Commercial Mortgage-Backed Securities | — | 1,337,634 | — | 1,337,634 | ||||||||
Bank Loans | — | 2,266,740 | — | 2,266,740 | ||||||||
Asset-Backed Securities (including CDO’s) | — | 31,484 | — | 31,484 | ||||||||
Foreign Bonds | — | 2,428,771 | — | 2,428,771 | ||||||||
Other Fixed Income Securities | — | 181,557 | — | 181,557 | ||||||||
Mutual Funds | 936,712 | — | — | 936,712 | ||||||||
Total Investments | $1,418,607 | $33,469,384 | $3,244 | $34,891,235 | ||||||||
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||
Forward Currency Contracts | $— | $(10,349) | $— | $(10,349) |
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
The table presents the activity of Level 3 securities held at the beginning and the end of the period.
Equity Securities | ||||
Balance as of 12/31/08 | $ | — | ||
Accrued discounts/premiums | — | |||
Realized gain (loss) | — | |||
change in urealized appreciation (depreciation) | (1,937 | ) | ||
Net purchases (sales) | 5,181 | |||
Transfers in and/or out of Level 3 | — | |||
Balance as of 6/30/09 | $ | 3,244 | ||
Money Market Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||
Short Term Securities | $ | — | $ | 37,606,607 | $ | — | $ | 37,606,607 |
Total Return Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||
Equity Securities | $ | 57,888,639 | $ | — | $ | — | $ | 57,888,639 | ||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 8,381,007 | — | 8,381,007 | ||||||||
Non-U.S. Sovereign Debt | — | 776,191 | — | 776,191 | ||||||||
Municipal Bonds | — | 130,242 | — | 130,242 | ||||||||
Corporate Bonds | — | 8,935,246 | — | 8,935,246 | ||||||||
Residential Mortgage-Backed Securities | — | 15,624,981 | — | 15,624,981 | ||||||||
Commercial Mortgage-Backed Securities | — | 2,551,536 | — | 2,551,536 | ||||||||
Asset-Backed Securities (including CDOs) | — | 99,624 | — | 99,624 | ||||||||
Foreign Bonds | — | 2,886,535 | — | 2,886,535 | ||||||||
Mutual Funds | 2,276,848 | — | — | 2,276,848 | ||||||||
Total Investments | $ | 60,165,487 | $ | 39,385,362 | $ | — | $ | 99,550,849 | ||||
For further information regarding security characteristics, see the Portfolio of Investments.
Repurchase Agreements – The variable accounts may enter into repurchase agreements with approved counterparties. Each repurchase agreement is recorded at cost. The variable accounts require that the securities collateral in a repurchase transaction be transferred to a custodian. The variable accounts monitor, on a daily basis, the value of the collateral to ensure that its value, including accrued interest, is greater than amounts owed to the variable accounts under each such repurchase agreement. The variable accounts and other funds managed by MFS may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.
Inflation-Adjusted Debt Securities – Certain variable accounts invest in inflation-adjusted debt securities issued by the U.S. Treasury. The variable accounts may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to
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the inflation-adjusted principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.
Foreign Currency Translation – Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
Derivatives – Certain variable accounts may use derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the variable accounts, or as alternatives to direct investments. Derivatives may be used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the variable accounts use derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.
In this reporting period the variable accounts adopted FASB Statement No. 161, Disclosure about Derivative Instruments and Hedging Activities (“FAS 161”), and FASB Staff Position FAS No. 133-1 and FIN 45-4, Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the Effective Date of FAS 161 (“FSP FAS 133-1”).
FAS 161 amends FASB Statement No. 133, Accounting for Derivatives and Hedging Activities (“FAS 133”). FAS 161 provides enhanced disclosures about the variable accounts’ use of and accounting for derivative instruments and the effect of derivative instruments on the variable accounts’ results of operations and financial position. Under FAS 161, tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required and derivatives accounted for as hedging instruments under FAS 133 must be disclosed separately from derivatives that do not qualify for hedge accounting under FAS 133. Because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings, the variable accounts’ derivatives are not accounted for as hedging instruments under FAS 133. As such, even though the variable accounts may use derivatives in an attempt to achieve an economic hedge, the variable accounts’ derivatives are not considered to be hedging instruments under FAS 133.
FSP FAS 133-1 amends FAS 133 to require sellers of credit derivatives to make disclosures that will enable financial statement users to assess the potential effects of those credit derivatives on an entity’s financial position, financial performance and cash flows. As defined by FSP FAS 133-1, a credit derivative is a derivative instrument (a) in which one or more of the derivative’s underlyings are related to the credit risk of a specified entity (or group of entities) or an index based on the credit risk of a group of entities and (b) that exposes the seller to potential loss from credit-risk-related events specified in the derivative contract. The seller (or writer) is the party that provides the credit protection and assumes the credit risk on a credit derivatives contract, such as a credit default swap. There was no impact from implementing FSP 133-1 as the variable accounts did not hold any of these credit derivatives at period end.
As defined under FAS 133, derivative instruments include written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements.
The following tables present, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account at June 30, 2009:
Global Governments Variable Account
Asset Derivatives | Liability Derivatives | ||||||||||
Location on Statement of Assets and Liabilities | Fair Value | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
Foreign Exchange Contracts not Accounted for as Hedging Instruments Under FAS 133 | Forward Foreign Currency Exchange Contracts | Receivable for forward foreign currency exchange contracts | $25,440 | Payable for forward foreign currency exchange contracts | $(48,529 | ) |
Government Securities Variable Account
Liability Derivatives | |||||||
Location on Statement of Assets and Liabilities | Fair Value | ||||||
Interest Rate Contracts not Accounted for as Hedging Instruments Under FAS 133 | Interest Rate Futures | Payable for daily variation margin on open futures contracts | $(15,607 | )(a) |
(a) | Includes cumulative appreciation/depreciation of futures contracts as reported in the variable account’s Portfolio of Investments. Only the current day’s variation margin for futures contracts of $(1,953) is reported within the variable account’s Statement of Assets and Liabilities. |
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High Yield Variable Account
Liability Derivatives | |||||||
Location on Statement of Assets and Liabilities | Fair Value | ||||||
Foreign Exchange Contracts not Accounted for as Hedging Instruments Under FAS 133 | Forward Foreign Currency Exchange Contracts | Payable for forward foreign currency exchange contracts | $(10,349 | ) |
The following tables present, by major type of derivative contract, the realized gain (loss) on derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account for the six months ended June 30, 2009 as reported in the Statement of Operations:
Global Governments Variable Account
Investment Transactions (i.e., Purchased Options) | Futures Contracts | Foreign Currency Transactions | Total | |||||||||
Interest Rate Contracts | $(707 | ) | $(919 | ) | $— | $(1,626 | ) | |||||
Foreign Exchange Contracts | — | — | (44,046 | ) | (44,046 | ) | ||||||
Total | $(707 | ) | $(919 | ) | $(44,046 | ) | $(45,672 | ) |
Government Securities Variable Account
Investment Transactions (i.e., Purchased Options) | Futures Contracts | Total | |||||
Interest Rate Contracts | $(5,516 | ) | $56,332 | $50,816 |
High Yield Variable Account
Foreign Currency Transactions | Swap Transactions | Total | ||||||
Foreign Exchange Contracts | $16,956 | $— | $16,956 | |||||
Credit Contracts | — | (543,848 | ) | (543,848 | ) | |||
Total | $16,956 | $(543,848 | ) | $(526,892 | ) |
The following tables present by major type of derivative contract, the changes in unrealized appreciation (depreciation) on derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account for the six months ended June 30, 2009 as reported in the Statement of Operations:
Global Governments Variable Account
Translation of Assets and Liabilities in Foreign Currencies | |||
Foreign Exchange Contracts | $(44,830 | ) |
Government Securities Variable Account
Futures Contracts | ||
Interest Rate Contracts | $140,616 |
High Yield Variable Account
Translation of Assets and Liabilities in Foreign Currencies | Swap Transactions | Total | ||||||
Foreign Exchange Contracts | $(20,728 | ) | $— | $(20,728 | ) | |||
Credit Contracts | — | 488,867 | 488,867 | |||||
Total | $(20,728 | ) | $488,867 | $468,139 |
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For the six months ended June 30, 2009 the Capital Appreciation Variable Account, Money Market Variable Account, and Total Return Variable Account did not invest in any derivative instruments.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, certain variable accounts attempt to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the variable accounts the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the variable accounts’ credit risk to such counterparty equal to any amounts payable by the variable accounts under the applicable transactions, if any. However, absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported balance sheet assets and liabilities across transactions between the variable accounts and the applicable counterparty.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged to cover obligations of the variable accounts under derivative contracts will be reported separately on the Statement of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose is noted in the Portfolio of Investments.
Purchased Options – Certain variable accounts may purchase call or put options for a premium. Purchased options entitle the holder to buy or sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may be used to hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or to increase the variable accounts’ exposure to an underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities or currency.
The premium paid is initially recorded as an investment in the Statement of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased options which have expired are treated as realized losses on investments in the Statement of Operations. Upon the exercise or closing of a purchased option, the premium paid is either added to the cost of the security or financial instrument in the case of a call option, or offset against the proceeds on the sale of the underlying security or financial instrument in the case of a put option, in order to determine the realized gain or loss on investments.
The risk in purchasing an option is that the variable accounts pay a premium whether or not the option is exercised. The variable accounts’ maximum risk of loss due to counterparty credit risk is limited to the market value of the option. For over-the-counter options, this risk is mitigated in cases where there is an ISDA Master Agreement between the variable accounts and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the variable accounts to cover the variable accounts’ exposure to the counterparty under such ISDA Master Agreement.
Futures Contracts – Certain variable accounts may use futures contracts to gain or to hedge against broad market, interest rate or currency exposure. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the variable accounts are required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the variable accounts each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the variable accounts until the contract is closed or expires at which point the gain or loss on futures is realized.
The variable accounts bear the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the variable accounts may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures may present less counterparty risk to the variable accounts since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The variable accounts’ maximum risk of loss due to counterparty credit risk is equal to the margin posted by the variable accounts to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts – Certain variable accounts may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date to hedge the variable accounts’ currency risk or for non-hedging purposes. For hedging purposes, the variable accounts may enter into contracts to deliver or receive foreign currency that the variable accounts will receive from or use in its normal investment activities. The variable accounts may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the variable accounts may enter into contracts with the intent of changing the relative exposure of the variable accounts’ portfolio of securities to different currencies to take advantage of anticipated exchange rate changes.
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Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on foreign currency transactions.
Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. The variable accounts’ maximum risk due to counterparty credit risk is the notional amount of the contract. This risk is mitigated in cases where there is an ISDA Master Agreement between the variable accounts and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the variable accounts to cover the variable accounts’ exposure to the counterparty under such ISDA Master Agreement.
Swap Agreements – Certain variable accounts may enter into swap agreements. A swap is generally an exchange of cash payments, at specified intervals or upon the occurrence of specified events, between the variable accounts and a counterparty. The net cash payments exchanged are recorded as a realized gain or loss on swap transactions in the Statement of Operations. The value of the swap, which is adjusted daily and includes any related interest accruals to be paid or received by the variable accounts, is recorded on the Statement of Assets and Liabilities. The daily change in value, including any related interest accruals to be paid or received, is recorded as unrealized appreciation or depreciation on swap transactions in the Statement of Operations. Amounts paid or received at the inception of the swap are reflected as premiums paid or received on the Statement of Assets and Liabilities and are amortized using the effective interest method over the term of the agreement. A liquidation payment received or made upon early termination is recorded as a realized gain or loss on swap transactions in the Statement of Operations.
Risks related to swap agreements include the possible lack of a liquid market, unfavorable market and interest rate movements of the underlying instrument and the failure of the counterparty to perform under the terms of the agreements. To address counterparty risk, swap transactions are limited to only highly-rated counterparties. The risk is further mitigated by having an ISDA Master Agreement between the variable accounts and the counterparty providing for netting as described above and by the posting of collateral by the counterparty to the variable accounts to cover the variable accounts’ exposure to the counterparty under such ISDA Master Agreement.
The variable accounts may enter into credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its credit risk exposure to defaults of corporate and sovereign issuers or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. In a credit default swap, the protection buyer can make an upfront payment and will make a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation (which may be either a single security or a basket of securities issued by corporate or sovereign issuers) and, with respect to the rare cases where physical settlement applies, the delivery by the buyer to the seller of a defined deliverable obligation. Although contract-specific, credit events generally consist of a combination of the following: bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium, each as defined in the 2003 ISDA Credit Derivatives Definitions as amended by the relevant contract. Restructuring is generally not applicable when the reference obligation is issued by a North American corporation and obligation acceleration, obligation default, or repudiation/moratorium are generally only applicable when the reference obligation is issued by a sovereign entity or an entity in an emerging country. Upon determination of the final price for the deliverable obligation (or upon delivery of the deliverable obligation in the case of physical settlement), the difference between the value of the deliverable obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statement of Operations.
Hybrid Instruments – The variable accounts may invest in indexed or hybrid securities on which any combination of interest payments, the principal or stated amount payable at maturity is determined by reference to prices of other securities, currencies, indices, economic factors or other measures, including interest rates, currency exchange rates, or securities indices. The risks of investing in hybrid instruments reflect a combination of the risks of investing in securities, swaps, options, futures and currencies. Hybrid instruments are potentially more volatile and carry greater market risks than traditional debt instruments. Depending on the structure of the particular hybrid instrument, changes in a benchmark, underlying assets or economic indicator may be magnified by the terms of the hybrid instrument and have an even more dramatic and substantial effect upon the value of the hybrid instrument. Also, the prices of the hybrid instrument and the benchmark, underlying asset or economic indicator may not move in the same direction or at the same time.
Loans and Other Direct Debt Instruments – Certain variable accounts may invest in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the variable accounts to supply additional cash to the borrower on demand. At June 30, 2009 the High Yield Variable Account had unfunded loan commitments of $ 9,748, which could be extended at the option of the borrower and which are covered by sufficient cash and/or liquid securities held by the High Yield Variable account. The market value and obligation of the High Yield Variable Account on these unfunded loan commitments is included in Investments, at value and Payable for investments purchased, respectively, on the Statement of Assets and Liabilities. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary.
Indemnifications – Under the variable accounts’ organizational documents, its officers and managers may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the variable accounts. Additionally, in the normal course of business, the variable accounts enter into agreements with service providers that may contain indemnification clauses. The variable accounts’ maximum exposure under these agreements is unknown as this would involve future claims that may be made against the variable accounts that have not yet occurred.
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Investment Transactions and Income – Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Certain variable accounts earn certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted upward or downward to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is recorded as an increase or decrease in interest income, respectively, even though the adjusted principal is not received until maturity. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the variable accounts are informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date.
The variable accounts may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the variable accounts or in unrealized gain/loss if the security is still held by the variable accounts. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Fees Paid Indirectly – The variable accounts’ custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the variable accounts. This amount, for the six months ended June 30, 2009, is shown as a reduction of total expenses on the Statement of Operations.
Federal Income Taxes – The variable accounts are funding vehicles for individual variable annuities. The operations of the variable accounts are part of the operations of Sun Life Assurance Company of Canada (U.S.), the Sponsor, and are not taxed separately; the variable accounts are not taxed as regulated investment companies. The Sponsor qualifies for the federal income tax treatment granted to life insurance companies under Subchapter L of the Internal Revenue Code. Accordingly, no provision for federal income or excise tax is necessary. Foreign taxes have been provided for on interest and dividend income earned on foreign investments in accordance with the applicable country’s tax rates and to the extent unrecoverable are recorded as a reduction of investment income.
(3) | Annuity Reserves |
Annuity reserves for contracts with annuity commencement dates prior to January 1, 1987 have been calculated using the 1971 Individual Annuitant Mortality Table. Annuity reserves for contracts with annuity commencement dates between January 1, 1987 and December 31, 1998 have been calculated using the 1983 Individual Annuitant Mortality Table. Annuity reserves for contracts with annuity commencement dates on or after January 1, 1999 have been calculated using the Annuity Mortality 2000 table. Annuity reserves for contracts in payment period are calculated using an assumed interest rate of 4%. Required adjustments are accomplished by transfers to or from the Sponsor.
(4) | Transactions with Affiliates |
Investment Adviser – Each variable account has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the variable accounts. The management fee is computed daily and paid monthly at the following annual rates based on a percentage of each variable account’s average daily net assets:
Annual Rate of Management Fee Based on Average Daily Net Assets Not Exceeding $300 Million | Annual Rate of Management Fee Based on Average Daily Net Assets In Excess of $300 Million | Effective Management Fees | |||||||
Capital Appreciation Variable Account | 0.75 | % | 0.675 | % | 0.75 | % | |||
Global Governments Variable Account | 0.75 | % | 0.675 | % | 0.75 | % | |||
Government Securities Variable Account | 0.55 | % | 0.495 | % | 0.55 | % | |||
High Yield Variable Account | 0.75 | %(a) | 0.675 | % | 0.70 | % | |||
Money Market Variable Account | 0.50 | %(b) | 0.500 | %(b) | 0.28 | %(c) | |||
Total Return Variable Account | 0.75 | % | 0.675 | % | 0.75 | % |
(a) | The investment adviser had agreed in writing to reduce its management fee to 0.70% for the first $300 million of average daily net assets. This written agreement will continue until April 30, 2010. This management fee reduction amounted to $8,164, which is shown as a reduction of total expenses in the Statement of Operations. |
(b) | The investment adviser has agreed in writing to reduce its management fee to 0.45% of average daily net assets in excess of $500 million. This written agreement will continue until modified or rescinded by the variable account’s contract holders, but such agreement will continue at least until April 30, 2010. For the six months ended June 30, 2009, the variable account’s average daily net assets did not exceed $500 million, and therefore, the management fee was not reduced. |
(c) | During the six months ended June 30, 2009, MFS voluntarily waived receipt of $42,080, of the fund’s management fee in order to avoid a negative yield. For the six months ended June 30, 2009, this voluntary waiver had the effect of reducing the management fee by 0.22% of average daily net assets on an annualized basis. |
The investment adviser has agreed in writing to pay the variable accounts’ total annual operating expenses, exclusive of interest, taxes, brokerage commissions, and to the extent permitted, extraordinary expenses, mortality and expense risk and distribution expense risk charges, and contract maintenance charges, such that total annual operating expenses do not exceed 1.25% annually of the average daily net assets of each variable account. These agreements are contained in the investment advisory agreement between MFS and the variable accounts and may not be rescinded without shareholder approval. For the six months ended June 30, 2009, this reduction amounted to $36,711 for the Global Governments Variable
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Account and is reflected as a reduction of total expenses in the Statement of Operations. Each of the other variable accounts did not exceed the limit and therefore, the investment advisor did not pay any portion of the variable accounts’ expenses under this agreement. In addition, the investment adviser has agreed in writing to pay a portion of total annual operating expenses of the variable accounts listed below, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, mortality and expense risk and distribution expense risk charges, contract maintenance charges, and investment-related expenses, such that the total annual operating expenses of these variable accounts do not exceed the expense limitations indicated below, based on the average daily net assets of such variable accounts. These written agreements will continue until April 30, 2010. For the six months ended June 30, 2009, these reductions under this agreement amounted to the following for each variable account and are reflected as a reduction of total expenses in the Statement of Operations:
Expense Limitation | Expense Reduction | |||||
Capital Appreciation Variable Account | 0.82 | % | $ | 50,845 | ||
High Yield Variable Account | 0.90 | % | 24,659 | |||
Money Market Variable Account | 0.65 | % | 15,667 | |||
Total Return Variable Account | 0.85 | % | 56,310 |
Contract Charges – The Sponsor makes a deduction from the variable accounts at the end of each valuation period, during both the accumulation period and after annuity payments begin, for assuming the mortality and expense risks under the contracts. The rate of the deduction may be changed annually but in no event may it exceed 1.25% of the average net assets of each variable account attributable to Compass 3 contracts, or, with respect to Compass 2 contracts, 1.30% of the assets of Capital Appreciation Variable Account, Government Securities Variable Account, High Yield Variable Account, and Money Market Variable Account, or 1.25% of the assets of Global Governments Variable Account, and Total Return Variable Account attributable to such contracts.
For assuming the distribution expense risk under Compass 3 contracts, the Sponsor makes a deduction from the variable accounts at the end of each valuation period for the first seven contract years at an effective annual rate of 0.15% of the net assets of the variable accounts attributable to such contracts. Contracts are transferred from Compass 3 to Compass 3 – Level 2 in the month following the seventh contract anniversary. No deduction is made after the seventh contract anniversary. No deduction is made with respect to assets attributable to Compass 2 contracts.
Each year, on the contract anniversary, a contract maintenance charge of $25 with respect to Compass 2 contracts and $30 with respect to Compass 3 contracts is deducted from each contract’s accumulation account and paid the Sponsor to cover administrative expenses relating to the contract. After the annuity commencement date, the annual contract maintenance charge is deducted pro rata from each annuity payment made during the year.
The Sponsor does not deduct a sales charge from purchase payments. However, a withdrawal charge (contingent deferred sales charge) may be deducted to cover certain expenses relating to the sale of the contract. In no event shall the aggregate withdrawal charges (including the distribution expense charge described above applicable to Compass 3 contracts) exceed 5% of the purchase payments made under a Compass 2 contract or 9% of the purchase payments made under a Compass 3 contract.
Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the variable accounts. Under an administrative services agreement, each variable account partially reimburses MFS the costs incurred to provide these services. Each variable account is charged an annual fixed amount of $10,000 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended June 30, 2009 was equivalent to the following annual effective rate of each variable account’s average daily net assets:
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | |||||||||||||
Percent of average daily net assets | 0.0441 | % | 0.1275 | % | 0.0434 | % | 0.0425 | % | 0.0421 | % | 0.0520 | % |
Managers’ and Officers’ Compensation – Each variable account pays compensation to managers in the form of a retainer, attendance fees, and additional compensation to the Board chairperson. Each variable account does not pay compensation directly to officers who are affiliated with the Investment Adviser or the Sponsor all of whom receive remuneration for their services to the variable accounts from MFS. Certain officers of the variable accounts are officers or directors of MFS, MFD (MFS Distributors, Inc.), and MFSC (MFS Service Center, Inc.).
Other – These variable accounts and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. MFS has agreed to bear all expenses associated with office space, other
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administrative support, and supplies provided to the ICCO and Assistant ICCO. For the six months ended June 30, 2009 the aggregate fees paid to Tarantino LLC and Griffin Compliance LLC which are included in miscellaneous expense on the Statement of Operations were as follows:
Capital Appreciation Variable Account | $ | 949 | |
Global Governments Variable Account | 73 | ||
Government Securities Variable Account | 604 | ||
High Yield Variable Account | 285 | ||
Money Market Variable Account | 366 | ||
Total Return Variable Account | 882 |
Certain variable accounts may invest in a money market fund managed by MFS which seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying funds on the Statement of Operations. This money market fund does not pay a management fee to MFS.
(5) | Portfolio Securities |
Purchases and sales of investments, other than U.S. Government securities, purchased option transactions, and short-term obligations, were as follows:
Purchases | Sales | |||||
Capital Appreciation Variable Account | $ | 20,755,138 | $ | 28,500,577 | ||
Global Governments Variable Account | 3,721,101 | 4,285,205 | ||||
Government Securities Variable | 2,022,975 | 1,193,892 | ||||
High Yield Variable Account | 9,562,038 | 10,089,927 | ||||
Total Return Variable Account | 16,590,692 | 20,507,366 |
Purchases and sales of investments for the Money Market Variable Account, exclusive of securities subject to repurchase agreements, aggregated $1,374,836,554 and $1,353,279,620, respectively.
Purchases and sales of U.S government securities, other than purchased option transactions and short-term obligations, were as follows:
Purchases | Sales | |||||
Global Governments Variable Account | $ | 1,018,054 | $ | 1,089,606 | ||
Government Securities Variable Account | 9,811,670 | 13,244,839 | ||||
Total Return Variable Account | 7,523,048 | 11,325,221 |
(6) | Participant Transactions |
The changes in net assets from changes in numbers of outstanding units were as follows:
Six Months Ended June 30, 2009 (000 Omitted) | ||||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | |||||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 7 | $ | 299 | (28 | ) | $ | (1,098 | ) | (108 | ) | $ | (4,282 | ) | (129 | ) | $ | (5,081 | ) | $ | (106 | ) | $ | (5,187 | ) | ||||||||||||
Compass 3 Contracts | 2 | 54 | (14 | ) | (355 | ) | (3 | ) | (86 | ) | (15 | ) | (387 | ) | (1 | ) | (388 | ) | ||||||||||||||||||
Compass 3 – Level 2 Contracts | 15 | 163 | (18 | ) | (191 | ) | (222 | ) | (2,440 | ) | (225 | ) | (2,468 | ) | (8 | ) | (2,476 | ) | ||||||||||||||||||
$ | 516 | $ | (1,644 | ) | $ | (6,808 | ) | $ | (7,936 | ) | $ | (115 | ) | $ | (8,051 | ) | ||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | $ | 0 | * | 1 | $ | 17 | (4 | ) | $ | (119 | ) | (3 | ) | $ | (102 | ) | $ | (2 | ) | $ | (104 | ) | ||||||||||||
Compass 3 Contracts | 0 | * | 7 | (1 | ) | (23 | ) | (1 | ) | (40 | ) | (2 | ) | (56 | ) | (2 | ) | (58 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 1 | 8 | 4 | 77 | (23 | ) | (385 | ) | (18 | ) | (300 | ) | (9 | ) | (309 | ) | ||||||||||||||||||||
$ | 15 | $ | 71 | $ | (544 | ) | $ | (458 | ) | $ | (13 | ) | $ | (471 | ) | |||||||||||||||||||||
* | Amount less than $500 |
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Notes to Financial Statements (unaudited) — continued
Six Months Ended June 30, 2009 (000 Omitted) | |||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | ||||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | ||||||||||||||||||||||||||
Government Securities Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 4 | $ | 187 | (3 | ) | $ | (147 | ) | (72 | ) | $ | (3,182 | ) | (71 | ) | $ | (3,142 | ) | $ | (125 | ) | $ | (3,267 | ) | |||||||||||
Compass 3 Contracts | 0 | * | 11 | (1 | ) | (51 | ) | (4 | ) | (121 | ) | (5 | ) | (161 | ) | — | (161 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 3 | 59 | 18 | 323 | (63 | ) | (1,143 | ) | (42 | ) | (761 | ) | (2 | ) | (763 | ) | |||||||||||||||||||
$ | 257 | $ | 125 | $ | (4,446 | ) | $ | (4,064 | ) | $ | (127 | ) | $ | (4,191 | ) | ||||||||||||||||||||
High Yield Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 3 | $ | 99 | (26 | ) | $ | (854 | ) | (45 | ) | $ | (1,388 | ) | (68 | ) | $ | (2,143 | ) | $ | (45 | ) | $ | (2,188 | ) | |||||||||||
Compass 3 Contracts | 0 | * | 8 | (1 | ) | (22 | ) | (2 | ) | (52 | ) | (3 | ) | (66 | ) | (1 | ) | (67 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 2 | 15 | (3 | ) | (19 | ) | (47 | ) | (567 | ) | (48 | ) | (571 | ) | (1 | ) | (572 | ) | |||||||||||||||||
$ | 122 | $ | (895 | ) | $ | (2,007 | ) | $ | (2,780 | ) | $ | (47 | ) | $ | (2,827 | ) | |||||||||||||||||||
Money Market Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 2 | $ | 42 | 66 | $ | 1,428 | �� | (79 | ) | $ | (1,720 | ) | (11 | ) | $ | (250 | ) | $ | (17 | ) | $ | (267 | ) | ||||||||||||
Compass 3 Contracts | 1 | 13 | (10 | ) | (172 | ) | (4 | ) | (77 | ) | (13 | ) | (236 | ) | (1 | ) | (237 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 7 | 99 | (9 | ) | 127 | (205 | ) | (2,744 | ) | (207 | ) | (2,518 | ) | (2 | ) | (2,520 | ) | ||||||||||||||||||
$ | 154 | $ | 1,383 | $ | (4,541 | ) | $ | (3,004 | ) | $ | (20 | ) | $ | (3,024 | ) | ||||||||||||||||||||
Total Return Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 2 | $ | 64 | (30 | ) | $ | (1,123 | ) | (55 | ) | $ | (2,086 | ) | (83 | ) | $ | (3,145 | ) | $ | (44 | ) | $ | (3,189 | ) | |||||||||||
Compass 3 Contracts | 1 | 51 | (10 | ) | (383 | ) | (6 | ) | (247 | ) | (15 | ) | (579 | ) | (1 | ) | (580 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 19 | 355 | (57 | ) | (975 | ) | (224 | ) | (4,131 | ) | (262 | ) | (4,751 | ) | (19 | ) | (4,770 | ) | |||||||||||||||||
$ | 470 | $ | (2,481 | ) | $ | (6,464 | ) | $ | (8,475 | ) | $ | (64 | ) | $ | (8,539 | ) | |||||||||||||||||||
Year Ended December 31, 2008 (000 Omitted) | |||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | ||||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | ||||||||||||||||||||||||||
Capital Appreciation Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 19 | $ | 972 | (37 | ) | $ | (2,055 | ) | (201 | ) | $ | (10,970 | ) | (219 | ) | $ | (12,053 | ) | $ | (215 | ) | $ | (12,268 | ) | |||||||||||
Compass 3 Contracts | 10 | 345 | (31 | ) | (1,157 | ) | (6 | ) | (232 | ) | (27 | ) | $ | (1,044 | ) | (0 | )* | (1,044 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 96 | 1,410 | 2 | 87 | (434 | ) | (6,334 | ) | (336 | ) | (4,837 | ) | (29 | ) | (4,866 | ) | |||||||||||||||||||
$ | 2,727 | $ | (3,125 | ) | $ | (17,536 | ) | $ | (17,934 | ) | $ | (244 | ) | $ | (18,178 | ) | |||||||||||||||||||
Global Governments Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 1 | $ | 22 | 9 | $ | 298 | (4 | ) | $ | (122 | ) | 6 | $ | 198 | $ | (3 | ) | $ | 195 | ||||||||||||||||
Compass 3 Contracts | 1 | 40 | (2 | ) | (66 | ) | (3 | ) | (100 | ) | (4 | ) | (126 | ) | 0 | * | (126 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 4 | 71 | 4 | 59 | (34 | ) | (554 | ) | (26 | ) | (424 | ) | (7 | ) | (431 | ) | |||||||||||||||||||
$ | 133 | $ | 291 | $ | (776 | ) | $ | (352 | ) | $ | (10 | ) | $ | (362 | ) | ||||||||||||||||||||
Government Securities Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 10 | $ | 428 | 34 | $ | 1,431 | (162 | ) | $ | (6,763 | ) | (118 | ) | $ | (4,904 | ) | $ | (293 | ) | $ | (5,197 | ) | |||||||||||||
Compass 3 Contracts | 3 | 82 | (8 | ) | (235 | ) | (3 | ) | (71 | ) | (8 | ) | (224 | ) | — | (224 | ) | ||||||||||||||||||
Compass 3 – Level 2 Contracts | 16 | 266 | 35 | 581 | (109 | ) | (1,857 | ) | (58 | ) | (1,010 | ) | (4 | ) | (1,014 | ) | |||||||||||||||||||
$ | 776 | $ | 1,777 | $ | (8,691 | ) | $ | (6,138 | ) | $ | (297 | ) | $ | (6,435 | ) | ||||||||||||||||||||
High Yield Variable Account | |||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 7 | $ | 276 | (8 | ) | $ | (514 | ) | (96 | ) | $ | (3,512 | ) | (97 | ) | $ | (3,750 | ) | $ | (128 | ) | $ | (3,878 | ) | |||||||||||
Compass 3 Contracts | 4 | 97 | (8 | ) | (207 | ) | (3 | ) | (94 | ) | (7 | ) | (204 | ) | (0 | )* | (204 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 14 | 199 | 65 | 795 | (100 | ) | (1,457 | ) | (21 | ) | (463 | ) | (5 | ) | (468 | ) | |||||||||||||||||||
$ | 572 | $ | 74 | $ | (5,063 | ) | $ | (4,417 | ) | $ | (133 | ) | $ | (4,550 | ) | ||||||||||||||||||||
* | Amount less than $500 |
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Notes to Financial Statements (unaudited) — continued
Year Ended December 31, 2008 (000 Omitted) | ||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | |||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 5 | $ | 118 | 49 | $ | 1,073 | (149 | ) | $ | (3,238 | ) | (94 | ) | $ | (2,047 | ) | $ | (43 | ) | (2,090 | ) | |||||||||||||
Compass 3 Contracts | 8 | 141 | (22 | ) | (404 | ) | (4 | ) | (74 | ) | (19 | ) | (337 | ) | (0 | )* | (337 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 41 | 547 | 97 | 1,299 | (336 | ) | (4,500 | ) | (198 | ) | (2,654 | ) | (24 | ) | (2,678 | ) | ||||||||||||||||||
$ | 806 | $ | 1,968 | $ | (7,812 | ) | $ | (5,038 | ) | $ | (67 | ) | $ | (5,105 | ) | |||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 18 | $ | 868 | (49 | ) | $ | (2,225 | ) | (110 | ) | $ | (5,256 | ) | (141 | ) | $ | (6,613 | ) | $ | (151 | ) | $ | (6,764 | ) | ||||||||||
Compass 3 Contracts | 10 | 461 | (32 | ) | (1,478 | ) | (11 | ) | (531 | ) | (33 | ) | (1,548 | ) | (0 | )* | (1,548 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 76 | 1,693 | (78 | ) | (1,515 | ) | (542 | ) | (12,063 | ) | (544 | ) | (11,885 | ) | (66 | ) | (11,951 | ) | ||||||||||||||||
$ | 3,022 | $ | (5,218 | ) | $ | (17,850 | ) | $ | (20,046 | ) | $ | (217 | ) | $ | (20,263 | ) | ||||||||||||||||||
* | Amount less than $500 |
(7) | Line of Credit |
The variable accounts and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the fund and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the six months ended June 30, 2009, the variable accounts’ commitment fee and interest expense are included in miscellaneous expense on the Statement of Operations and were as follows:
Commitment fee | Interest Expense | |||||
Capital Appreciation Variable Account | $ | 614 | $ | — | ||
Global Governments Variable Account | 48 | — | ||||
Government Securities Variable Account | 398 | — | ||||
High Yield Variable Account | 183 | — | ||||
Money Market Variable Account | 238 | — | ||||
Total Return Variable Account | 570 | — |
(8) | Transactions in Underlying Funds – Affiliated Issuers |
An affiliated issuer may be considered one in which the variable account owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the variable accounts assume the MFS Institutional Money Market Portfolio to be an affiliated issuer. Each of the variable accounts’ transactions in the MFS Institutional Money Market Portfolio for the six months ended June 30, 2009, are as follows:
Underlying Funds – MFS Institutional Money Market Portfolio | |||||||||
Beginning Share/Par Amount | Acquisitions Share/Par Amount | Dispositions Share/Par Amount | Ending Share/Par Amount | ||||||
Capital Appreciation Variable Account | — | 7,922,068 | (6,394,833 | ) | 1,527,235 | ||||
Global Governments Variable Account | — | 2,439,914 | (1,795,984 | ) | 643,930 | ||||
Government Securities Variable Account | — | 11,152,668 | (9,611,562 | ) | 1,541,106 | ||||
High Yield Variable Account | — | 7,104,729 | (6,168,017 | ) | 936,712 | ||||
Total Return Variable Account | — | 13,156,980 | (10,880,132 | ) | 2,276,848 | ||||
Underlying Funds – MFS Institutional Money Market Portfolio | |||||||||
Realized Gain (Loss) | Capital Gain Distributions | Dividend Income | Ending Value | ||||||
Capital Appreciation Variable Account | $— | $— | $1,491 | $1,527,235 | |||||
Global Governments Variable Account | $— | $— | $699 | $643,930 | |||||
Government Securities Variable Account | $— | $— | $1,161 | $1,541,106 | |||||
High Yield Variable Account | $— | $— | $914 | $936,712 | |||||
Total Return Variable Account | $— | $— | $1,095 | $2,276,848 |
57
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Investment Adviser
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
Custodian
State Street Bank and Trust
1 Lincoln Street, Boston, MA 02111-2900
Board Review of Investment Advisory Agreement
A discussion regarding the Board’s most recent review and renewal of each variable account’s Investment Advisory Agreement with MFS will be available on or about November 1, 2009 by clicking on the variable account’s name under “Compass” in the “Products and Performance” section of the MFS Web site (mfs.com).
Proxy Voting Policies and Information
A general description of the variable accounts’ proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s website at http://www.sec.gov.
Information regarding how the accounts voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Disclosure
The accounts will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. The accounts’ Form N-Q may be reviewed and copied at the:
Public Reference Room
Securities and Exchange Commission
Washington, D.C. 20549 0102
Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The accounts’ Form N-Q is available on the EDGAR database on the Commission’s Internet website at http://www.sec.gov, and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfor@sec.gov or by writing the Public Reference Section at the above address.
From time to time, MFS may post important information about a variable account or the MFS funds on the MFS web site (mfs.com). This information is available by visiting the “News & Commentary” section of mfs.com or by clicking on the variable account’s name under “Compass” in the “Products and Performance” section of mfs.com.
cous-sem-8/09
Sun Life Financial Distributors Inc.
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ITEM 2. | CODE OF ETHICS. |
The Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to any element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable for semi-annual reports.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable for semi-annual reports.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the Registrant.
ITEM 6. | INVESTMENTS |
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable to the Registrant.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable to the Registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
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ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report 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 controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a) | File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated. |
(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2): Attached hereto. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto. |
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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) MONEY MARKET VARIABLE ACCOUNT
By (Signature and Title)* | MARIA F. DWYER | |
Maria F. Dwyer, President |
Date: August 18, 2009
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)* | MARIA F. DWYER | |
Maria F. Dwyer, President (Principal Executive Officer) |
Date: August 18, 2009
By (Signature and Title)* | JOHN M. CORCORAN | |
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: August 18, 2009
* | Print name and title of each signing officer under his or her signature. |