Table of Contents
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, 2010
Table of Contents
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Table of Contents
PROFESSIONALLY MANAGED COMBINATION
FIXED/VARIABLE ANNUITIES
FOR PERSONAL INVESTMENTS AND
QUALIFIED RETIREMENT PLANS
SEMIANNUAL REPORT Ÿ June 30, 2010
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.
Table of Contents
1 | ||
2 | ||
9 | ||
10 | ||
31 | ||
33 | ||
34 | ||
36 | ||
48 |
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 |
Table of Contents
Dear Contract Owners:
After having suffered their biggest declines since the Great Depression, most global markets experienced an impressive resurgence during the latter months of 2009 and the first quarter of 2010. The global economy was able to reap the benefits of two major trends. The first of these was the massive efforts of governments and central banks to increase liquidity in the financial system as they sought to prevent the credit crisis from further affecting the banking system. The second was the move by companies around the world to cut costs and operations to prepare for rapidly changing market conditions. We believe that these moves not only shortened the length of the downturn but also set the stage for recovery.
Even with the significant market gains of 2009 and the early part of 2010, the recovery is unrolling at a moderate pace, with rebounds in the manufacturing sector and corporate America leading the way. Central bankers are proceeding with caution and many have held benchmark interest rates unchanged as they debate the best way to withdraw stimulus measures without disrupting the fragile growth process. Complicating that debate late in the period was the emergence of the European debt crisis and worries about whether this crisis could derail the global recovery. As that crisis unrolled with no clear resolution, risk aversion rose along with volatility. Weakening economic data late in the period added uncertainty to the mix and sparked a retrenchment in global equity markets.
While hurdles remain, we believe that the global economy is proceeding on the road to recovery.
As always, we continue to be mindful of the many challenges faced at the individual, national, and international levels. It is at times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with advisors to identify and research investment opportunities. At MFS®, we take particular pride in how well mutual funds can provide a broad range of products that can fit investor needs in any type of market climate.
Respectfully,
Robert J. Manning
Chairman and Chief Executive Officer
MFS Investment Management®
August 16, 2010
The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.
1
Table of Contents
Portfolio Composition — Capital Appreciation Variable Account
Portfolio structure
Top ten holdings | ||
Oracle Corp. | 4.4% | |
Cisco Systems, Inc. | 4.2% | |
Danaher Corp. | 3.6% | |
MasterCard, Inc., “A” | 3.6% | |
Accenture Ltd., “A” | 3.3% | |
Google, Inc., “A” | 3.0% | |
Colgate-Palmolive Co. | 2.9% | |
Johnson & Johnson | 2.7% | |
Schlumberger Ltd. | 2.6% | |
Apple, Inc. | 2.5% |
Equity sectors | ||
Technology | 24.6% | |
Health Care | 16.5% | |
Special Products & Services | 12.9% | |
Consumer Staples | 12.9% | |
Financial Services | 8.3% | |
Industrial Goods & Services | 6.8% | |
Energy | 6.0% | |
Retailing | 4.8% | |
Basic Materials | 3.4% | |
Leisure | 2.7% |
Percentages are based on net assets as of 6/30/10.
The portfolio is actively managed and current holdings may be different.
2
Table of Contents
Portfolio Composition — Global Governments Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Non-U.S. Government Bonds | 69.5% | |
U.S. Treasury Securities | 16.4% | |
Mortgage-Backed Securities | 4.0% | |
U.S. Government Agencies | 2.8% | |
Commercial Mortgage-Backed Securities | 1.6% | |
High Grade Corporates | 1.2% | |
Municipal Bonds | 0.4% | |
Emerging Markets Bonds | 0.2% |
Composition including fixed income credit quality (a)(i) | ||
AAA | 52.1% | |
AA | 37.9% | |
Cash & Other (NR) | 4.0% | |
U.S. Agency (NR) | 6.0% | |
Portfolio facts (i) | ||
Average Duration (d) | 6.6 | |
Average Effective Maturity (m) | 8.6 yrs. | |
Issuer country weightings (i) | ||
United States | 30.0% | |
Japan | 24.5% | |
Germany | 15.1% | |
Italy | 9.5% | |
United Kingdom | 4.7% | |
Netherlands | 4.3% | |
France | 2.7% | |
Austria | 2.3% | |
Finland | 2.3% | |
Other Countries | 4.6% |
(a) | The rating categories (e.g., AAA) include debt securities and fixed income structured products which have long-term public ratings. All other assets are not rated (NR). All rated securities are assigned a rating in accordance with the following ratings hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s (e.g., Aaa) are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. |
The Cash & Other (NR) category includes: cash, other assets less liabilities (including any derivative offsets), short-term securities, and unrated fixed income securities. |
The U.S. Agency (NR) category includes unrated U.S. agency fixed income securities and collateralized mortgage obligations of U.S. agency mortgage-backed securities. |
(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 components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio. |
(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. |
Percentages are based on net assets as of 6/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
3
Table of Contents
Portfolio Composition — Government Securities Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 59.4% | |
U.S. Treasury Securities | 18.1% | |
U.S. Government Agencies | 12.4% | |
Municipal Bonds | 4.0% | |
Commercial Mortgage-Backed Securities | 1.8% | |
High Grade Corporates | 0.5% |
Composition including fixed income credit quality (a)(i) | ||
AAA | 23.8% | |
AA | 3.4% | |
Cash & Other (NR) | 8.5% | |
U.S. Agency (NR) | 64.3% | |
Portfolio facts (i) | ||
Average Duration (d) | 3.8 | |
Average Effective Maturity (m) | 5.8 yrs. |
(a) | The rating categories (e.g., AAA) include debt securities and fixed income structured products which have long-term public ratings. All other assets are not rated (NR). All rated securities are assigned a rating in accordance with the following ratings hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s (e.g., Aaa) are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. |
The Cash & Other (NR) category includes: cash, other assets less liabilities (including any derivative offsets), short-term securities, and unrated fixed income securities. |
The U.S. Agency (NR) category includes unrated U.S. agency fixed income securities and collateralized mortgage obligations of U.S. agency mortgage-backed securities. |
(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 components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio. |
(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. |
Percentages are based on net assets as of 6/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
4
Table of Contents
Portfolio Composition — High Yield Variable Account
Portfolio structure (i)
Top five industries (i) | ||
Medical & Health Technology & Services | 7.8% | |
Broadcasting | 6.4% | |
Energy — Independent | 6.3% | |
Telecommunications — Wireless | 4.9% | |
Utilities — Electric Power | 4.9% |
Composition including fixed income credit quality (a)(i) | ||
A | 0.1% | |
BBB | 3.0% | |
BB | 28.3% | |
B | 43.3% | |
CCC | 19.4% | |
CC (o) | 0.0% | |
C | 0.4% | |
D | 0.4% | |
Cash & Other (NR) | 3.1% | |
Non-Fixed Income (NR) | 2.0% | |
Portfolio facts (i) | ||
Average Duration (d) | 4.4 | |
Average Effective Maturity (m) | 6.8 yrs. |
(a) | The rating categories (e.g., AAA) include debt securities and fixed income structured products which have longterm public ratings. All other assets are not rated (NR). All rated securities are assigned a rating in accordance with the following ratings hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s (e.g., Aaa) are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. |
The Cash & Other (NR) category includes: cash, other assets less liabilities (including any derivative offsets), short-term securities, and unrated fixed income securities. |
The Non-Fixed Income (NR) category includes equity securities (including convertible bonds), commodities, and any associated derivatives. |
(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 components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio. |
(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. |
(o) | Less than 0.1%. |
Percentages are based on net assets as of 6/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
5
Table of Contents
Portfolio Composition — Money Market Variable Account
Portfolio structure (u)
Composition including fixed income credit quality (a)(u) | ||
A-1+ | 3.1% | |
A-1 | 100.4% | |
Non Rated | 0.0% | |
Cash & Other | (3.5)% |
Maturity breakdown (u) | ||
0 - 7 days | 35.1% | |
8 - 29 days | 26.6% | |
30 - 59 days | 18.5% | |
60 - 89 days | 23.3% | |
Other Assets Less Liabilities | (3.5)% |
(a) | The composition table shows the percentage of portfolio assets falling within each rating category. Included in each rating category are short-term debt securities, the ratings of which are based on the short-term credit quality ratings of the securities’ issuers. For repurchase agreements, the credit quality is based on the short-term rating of the counterparty with which MFS trades the repurchase agreement. Each short-term debt security is assigned a rating in accordance with the following ratings hierarchy: If the issuer is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Cash and other portfolio assets that are not securities are not included in the categories mentioned above. Ratings are converted to the S&P scale and are subject to change. |
(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 6/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
6
Table of Contents
Portfolio Composition — Total Return Variable Account
Portfolio structure (i)
Top ten holdings (i) | ||
Fannie Mae, 5.5%, 30 Years | 2.8% | |
U.S. Treasury Notes, 3.75%, 2018 | 2.2% | |
JPMorgan Chase & Co. | 1.8% | |
Freddie Mac, 5.0%, 30 Years | 1.8% | |
Lockheed Martin Corp. | 1.8% | |
AT&T Inc. | 1.6% | |
Fannie Mae, 6.0%, 30 Years | 1.5% | |
Johnson & Johnson | 1.5% | |
Philip Morris International Inc. | 1.4% | |
Exxon Mobil Corp. | 1.4% | |
Composition including fixed income credit quality (a)(i) | ||
AAA | 15.6% | |
AA | 1.6% | |
A | 4.0% | |
BBB | 6.5% | |
BB | 0.3% | |
B (o) | 0.0% | |
CCC | 0.2% | |
Cash & Other (NR) | 0.8% | |
U.S. Agency (NR) | 15.3% | |
Non-Fixed Income (NR) | 55.7% |
Equity sectors | ||
Financial Services | 12.0% | |
Energy | 6.9% | |
Consumer Staples | 6.3% | |
Health Care | 5.9% | |
Utilities & Communications | 5.8% | |
Industrial Goods & Services | 5.4% | |
Technology | 3.2% | |
Retailing | 3.2% | |
Basic Materials | 2.2% | |
Leisure | 2.2% | |
Special Products & Services | 1.4% | |
Autos & Housing | 0.8% | |
Transportation | 0.4% | |
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 15.2% | |
U.S. Treasury Securities | 12.0% | |
High Grade Corporates | 10.1% | |
Commercial Mortgage-Backed Securities | 2.2% | |
Non-U.S. Government Bonds | 0.9% | |
U.S. Government Agencies | 0.8% | |
Emerging Markets Bonds | 0.6% | |
Asset-Backed Securities | 0.6% | |
Municipal Bonds | 0.4% | |
Collateralized Debt Obligations | 0.4% | |
High Yield Corporates | 0.3% | |
Residential Mortgage-Backed Securities (o) | 0.0% |
7
Table of Contents
Portfolio Composition — Total Return Variable Account — continued
(a) | The rating categories (e.g., AAA) include debt securities and fixed income structured products which have long-term public ratings. All other assets are not rated (NR). All rated securities are assigned a rating in accordance with the following ratings hierarchy: If a security is rated by Moody’s, then that rating is used; if not rated by Moody’s, then a Standard & Poor’s rating is used; if not rated by S&P, then a Fitch rating is used. Ratings from Moody’s (e.g., Aaa) are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. |
The Cash & Other (NR) category includes: cash, other assets less liabilities (including any derivative offsets), short-term securities, and unrated fixed income securities. |
The U.S. Agency (NR) category includes unrated U.S. agency fixed income securities and collateralized mortgage obligations of U.S. agency mortgage-backed securities. |
The Non-Fixed Income (NR) category includes equity securities (including convertible bonds), commodities, and any associated derivatives. |
(i) | For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio. |
(o) | Less than 0.1%. |
Percentages are based on net assets as of 6/30/10, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
8
Table of Contents
After having suffered through one of the largest and most concentrated downturns since the 1930s, most asset markets staged a remarkable rebound during 2009 and early 2010. This recovery in global activity has been led importantly by emerging Asian economies, but broadening to include most of the global economy to varying degrees. Primary drivers of the recovery included an unwinding of the inventory destocking that took place earlier, the production of manufacturing and capital goods, as well as massive fiscal and monetary stimulus.
Late in the period, though, heightened risk surrounding the public-debt profiles of several of the peripheral European countries impaired market sentiment. At the same time, the improving trend in global macroeconomic data began to weaken somewhat. These two dynamics caused most asset prices to retrench significantly, as many questioned the durability of the global recovery.
9
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
Capital Appreciation Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 98.9% | |||||
Aerospace - 2.8% | |||||
Precision Castparts Corp. | 3,970 | $ | 408,587 | ||
United Technologies Corp. | 42,870 | 2,782,692 | |||
$ | 3,191,279 | ||||
Alcoholic Beverages - 1.6% | |||||
Companhia de Bebidas das Americas, ADR | 7,510 | $ | 758,585 | ||
Diageo PLC | 64,780 | 1,015,042 | |||
$ | 1,773,627 | ||||
Apparel Manufacturers - 2.7% | |||||
LVMH Moet Hennessy Louis Vuitton S.A. | 9,130 | $ | 994,509 | ||
NIKE, Inc., “B” | 30,990 | 2,093,375 | |||
$ | 3,087,884 | ||||
Broadcasting - 0.3% | |||||
Omnicom Group, Inc. | 11,030 | $ | 378,329 | ||
Brokerage & Asset Managers - 5.1% | |||||
Charles Schwab Corp. | 155,010 | $ | 2,198,042 | ||
CME Group, Inc. | 5,760 | 1,621,728 | |||
Franklin Resources, Inc. | 23,000 | 1,982,370 | |||
$ | 5,802,140 | ||||
Business Services - 12.9% | |||||
Accenture Ltd., “A” | 95,320 | $ | 3,684,118 | ||
Automatic Data Processing, Inc. | 14,200 | 571,692 | |||
Dun & Bradstreet Corp. | 39,180 | 2,629,762 | |||
Fidelity National Information | 23,400 | 627,588 | |||
MasterCard, Inc., “A” | 20,320 | 4,054,450 | |||
Verisk Analytics, Inc., “A” (a) | 43,540 | 1,301,846 | |||
Visa, Inc., “A” | 18,170 | 1,285,528 | |||
Western Union Co. | 32,240 | 480,698 | |||
$ | 14,635,682 | ||||
Cable TV - 0.4% | |||||
DIRECTV, “A” (a) | 13,500 | $ | 457,920 | ||
Chemicals - 1.3% | |||||
Monsanto Co. | 31,940 | $ | 1,476,267 | ||
Computer Software - 4.4% | |||||
Oracle Corp. | 230,740 | $ | 4,951,680 | ||
Computer Software - Systems - 7.8% | |||||
Apple, Inc. (a) | 11,200 | $ | 2,817,136 | ||
EMC Corp. (a) | 74,000 | 1,354,200 | |||
Hewlett-Packard Co. | 52,060 | 2,253,157 | |||
International Business Machines Corp. | 19,850 | 2,451,078 | |||
$ | 8,875,571 | ||||
Consumer Products - 5.9% | |||||
Church & Dwight Co., Inc. | 26,520 | $ | 1,663,069 | ||
Colgate-Palmolive Co. | 41,810 | 3,292,956 | |||
Procter & Gamble Co. | 29,420 | 1,764,612 | |||
$ | 6,720,637 | ||||
Electrical Equipment - 4.0% | |||||
Danaher Corp. | 109,440 | $ | 4,062,413 | ||
W.W. Grainger, Inc. | 4,550 | 452,498 | |||
$ | 4,514,911 | ||||
Electronics - 4.6% | |||||
Microchip Technology, Inc. | 72,800 | $ | 2,019,472 | ||
Samsung Electronics Co. Ltd., GDR | 3,590 | 1,123,118 | |||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 208,756 | 2,037,459 | |||
$ | 5,180,049 | ||||
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Energy - Integrated - 2.1% | |||||
Chevron Corp. | 12,730 | $ | 863,858 | ||
Exxon Mobil Corp. | 16,210 | 925,105 | |||
Hess Corp. | 10,690 | 538,135 | |||
$ | 2,327,098 | ||||
Food & Beverages - 5.4% | |||||
Groupe Danone | 31,598 | $ | 1,687,395 | ||
Mead Johnson Nutrition Co., “A” | 20,630 | 1,033,976 | |||
Nestle S.A. | 11,340 | 547,155 | |||
PepsiCo, Inc. | 46,040 | 2,806,138 | |||
$ | 6,074,664 | ||||
Food & Drug Stores - 0.4% | |||||
CVS Caremark Corp. | 15,879 | $ | 465,572 | ||
Gaming & Lodging - 0.3% | |||||
Starwood Hotels & Resorts Worldwide, Inc. | 8,740 | $ | 362,098 | ||
General Merchandise - 0.7% | |||||
Target Corp. | 16,970 | $ | 834,415 | ||
Internet - 3.6% | |||||
eBay, Inc. (a) | 35,520 | $ | 696,547 | ||
Google, Inc., “A” (a) | 7,660 | 3,408,317 | |||
$ | 4,104,864 | ||||
Major Banks - 3.2% | |||||
Bank of New York Mellon Corp. | 86,814 | $ | 2,143,438 | ||
State Street Corp. | 42,770 | 1,446,481 | |||
$ | 3,589,919 | ||||
Medical & Health Technology & Services - 2.1% | |||||
Medco Health Solutions, Inc. (a) | 8,820 | $ | 485,806 | ||
Patterson Cos., Inc. | 51,390 | 1,466,157 | |||
VCA Antech, Inc. (a) | 17,340 | 429,338 | |||
$ | 2,381,301 | ||||
Medical Equipment - 9.9% | |||||
Becton, Dickinson & Co. | 24,470 | $ | 1,654,661 | ||
DENTSPLY International, Inc. | 82,360 | 2,463,388 | |||
Medtronic, Inc. | 49,540 | 1,796,816 | |||
St. Jude Medical, Inc. (a) | 16,280 | 587,545 | |||
Synthes, Inc. | 9,450 | 1,086,637 | |||
Thermo Fisher Scientific, Inc. (a) | 50,920 | 2,497,626 | |||
Waters Corp. (a) | 16,440 | 1,063,668 | |||
$ | 11,150,341 | ||||
Metals & Mining - 0.7% | |||||
BHP Billiton Ltd., ADR | 12,880 | $ | 798,431 | ||
Network & Telecom - 4.2% | |||||
Cisco Systems, Inc. (a) | 224,780 | $ | 4,790,062 | ||
Oil Services - 3.9% | |||||
National Oilwell Varco, Inc. | 44,500 | $ | 1,471,615 | ||
Schlumberger Ltd. | 52,970 | 2,931,360 | |||
$ | 4,402,975 | ||||
Pharmaceuticals - 4.5% | |||||
Abbott Laboratories | 23,770 | $ | 1,111,961 | ||
Allergan, Inc. | 15,900 | 926,334 | |||
Johnson & Johnson | 51,650 | 3,050,449 | |||
$ | 5,088,744 | ||||
Printing & Publishing - 1.7% | |||||
MSCI, Inc., “A” (a) | 69,040 | $ | 1,891,696 | ||
Specialty Chemicals - 1.4% | |||||
Praxair, Inc. | 20,520 | $ | 1,559,315 | ||
10-CAVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Specialty Stores - 1.0% | |||||
Staples, Inc. | 59,960 | $ | 1,142,238 | ||
Total Common Stocks | $ | 112,009,709 | |||
MONEY MARKET FUNDS (v) - 0.8% | |||||
MFS Institutional Money Market Portfolio, 0.22%, at Cost and Net Asset Value | 916,396 | $ | 916,396 | ||
Total Investments | $ | 112,926,105 | |||
OTHER ASSETS, | 285,420 | ||||
NET ASSETS - 100.0% | $ | 113,211,525 | |||
See portfolio footnotes and notes to financial statements.
11-CAVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
Global Governments Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 94.7% | |||||||
Foreign Bonds - 68.9% | |||||||
Austria - 2.3% | |||||||
Republic of Austria, 4.65%, 2018 | EUR | 109,000 | $ | 149,971 | |||
Belgium - 0.5% | |||||||
Kingdom of Belgium, 5.5%, 2017 | EUR | 21,000 | $ | 29,867 | |||
Canada - 1.4% | |||||||
Bayview Commercial Asset Trust, FRN, 1.004%, 2023 (z) | CAD | 30,000 | $ | 21,764 | |||
Canada Housing Trust, | CAD | 57,000 | 55,691 | ||||
Government of Canada, | CAD | 10,000 | 12,402 | ||||
$ | 89,857 | ||||||
Finland - 2.2% | |||||||
Republic of Finland, 3.875%, 2017 | EUR | 109,000 | $ | 147,054 | |||
France - 2.7% | |||||||
Republic of France, 6%, 2025 | EUR | 67,000 | $ | 106,385 | |||
Republic of France, 4.75%, 2035 | EUR | 48,000 | 68,819 | ||||
$ | 175,204 | ||||||
Germany - 14.7% | |||||||
Federal Republic of Germany, | EUR | 31,000 | $ | 39,615 | |||
Federal Republic of Germany, | EUR | 185,000 | 245,640 | ||||
Federal Republic of Germany, | EUR | 183,000 | 246,896 | ||||
Federal Republic of Germany, | EUR | 177,000 | 246,887 | ||||
Federal Republic of Germany, | EUR | 103,000 | 180,363 | ||||
$ | 959,401 | ||||||
Indonesia - 0.2% | |||||||
Republic of Indonesia, 0%, 2010 | IDR | 120,000,000 | $ | 13,145 | |||
Ireland - 1.4% | |||||||
Republic of Ireland, 4.6%, 2016 | EUR | 75,000 | $ | 91,315 | |||
Italy - 9.3% | |||||||
Republic of Italy, 4.75%, 2013 | EUR | 241,000 | $ | 311,526 | |||
Republic of Italy, 5.25%, 2017 | EUR | 221,000 | 297,234 | ||||
$ | 608,760 | ||||||
Japan - 24.3% | |||||||
Government of Japan, 1.3%, 2014 | JPY | 6,050,000 | $ | 71,370 | |||
Government of Japan, 1.7%, 2017 | JPY | 73,550,000 | 895,059 | ||||
Government of Japan, 2.1%, 2024 | JPY | 24,000,000 | 292,165 | ||||
Government of Japan, 2.2%, 2027 | JPY | 19,000,000 | 230,924 | ||||
Government of Japan, 2.4%, 2037 | JPY | 8,000,000 | 99,476 | ||||
$ | 1,588,994 | ||||||
Netherlands - 4.2% | |||||||
Kingdom of the Netherlands, | EUR | 142,000 | $ | 189,908 | |||
Kingdom of the Netherlands, | EUR | 53,000 | 84,200 | ||||
$ | 274,108 | ||||||
Norway - 0.5% | |||||||
Eksportfinans A.S.A., | $ | 35,000 | $ | 35,287 | |||
Sweden - 0.5% | |||||||
Kingdom of Sweden, 4.5%, 2015 | SEK | 250,000 | $ | 35,631 | |||
United Kingdom - 4.7% | |||||||
United Kingdom Treasury, | GBP | 85,000 | $ | 164,073 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
United Kingdom - continued | |||||||
United Kingdom Treasury, 8%, 2021 | GBP | 19,000 | 40,278 | ||||
United Kingdom Treasury, | GBP | 66,000 | 99,764 | ||||
$ | 304,115 | ||||||
Total Foreign Bonds | $ | 4,502,709 | |||||
U.S. Bonds - 25.8% | |||||||
Asset-Backed & Securitized - 1.3% | |||||||
Commercial Mortgage Asset Trust, FRN, 1.091%, 2032 (i)(z) | $ | 885,600 | $ | 25,678 | |||
Commercial Mortgage Pass-Through Certificates, FRN, 0.539%, 2017 (n) | 59,000 | 53,198 | |||||
First Union National Bank Commercial Mortgage Trust, FRN, | 1,300,249 | 4,612 | |||||
$ | 83,488 | ||||||
Local Authorities - 1.2% | |||||||
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043 | $ | 20,000 | $ | 21,120 | |||
San Francisco, CA, City & County Public Utilities Commission, Water Rev. (Build America Bonds), 6%, 2040 | 40,000 | 40,676 | |||||
University of California Rev. (Build America Bonds), 5.77%, 2043 | 15,000 | 15,336 | |||||
$ | 77,132 | ||||||
Mortgage-Backed - 4.0% | |||||||
Fannie Mae, 4.77%, 2012 | $ | 37,566 | $ | 39,730 | |||
Fannie Mae, 5.371%, 2013 | 23,574 | 25,060 | |||||
Fannie Mae, 4.78%, 2015 | 23,145 | 25,177 | |||||
Fannie Mae, 5.5%, 2015 | 8,964 | 9,922 | |||||
Fannie Mae, 5.09%, 2016 | 25,000 | 27,597 | |||||
Fannie Mae, 5.424%, 2016 | 23,430 | 25,964 | |||||
Fannie Mae, 5.16%, 2018 | 24,081 | 26,636 | |||||
Fannie Mae, 5.1%, 2019 | 10,851 | 11,996 | |||||
Fannie Mae, 5.18%, 2019 | 10,853 | 12,019 | |||||
Fannie Mae, 6.16%, 2019 | 9,738 | 11,090 | |||||
Freddie Mac, 5.085%, 2019 | 10,000 | 10,944 | |||||
Freddie Mac, 5%, 2025-2028 | 35,875 | 36,799 | |||||
$ | 262,934 | ||||||
Municipals - 0.4% | |||||||
California Educational Facilities Authority Rev. (Stanford University), | $ | 20,000 | $ | 24,126 | |||
U.S. Government Agencies and Equivalents - 2.7% | |||||||
Aid-Egypt, 4.45%, 2015 | $ | 49,000 | $ | 54,002 | |||
Small Business Administration, | 31,116 | 32,977 | |||||
Small Business Administration, | 84,749 | 90,997 | |||||
$ | 177,976 | ||||||
U.S. Treasury Obligations - 16.2% | |||||||
U.S. Treasury Bonds, 8%, 2021 | $ | 162,000 | $ | 235,609 | |||
U.S. Treasury Bonds, 6.875%, 2025 | 48,000 | 66,600 | |||||
U.S. Treasury Bonds, 5.25%, 2029 | 21,000 | 25,272 | |||||
U.S. Treasury Notes, 4.75%, 2012 | 318,000 | 339,428 | |||||
U.S. Treasury Notes, 4.125%, 2015 | 165,000 | 183,318 | |||||
U.S. Treasury Notes, 4.75%, 2017 | 180,000 | 208,111 | |||||
$ | 1,058,338 | ||||||
Total U.S. Bonds | $ | 1,683,994 | |||||
Total Bonds | $ | 6,186,703 | |||||
12-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
MONEY MARKET FUNDS (v) - 3.6% | |||||||
MFS Institutional Money Market Portfolio, 0.22%, at Cost and Net Asset Value | 234,500 | $ | 234,500 | ||||
Issuer/Expiration Date/Strike Price | Par Amount of Contracts | ||||||
PUT OPTIONS PURCHASED - 0.0% | |||||||
JPY Currency - December 2010 @ $0.01 (Premiums Paid, $526) | JPY | 6,400,000 | $ | 205 | |||
Total Investments | $ | 6,421,408 | |||||
OTHER ASSETS, | 108,502 | ||||||
NET ASSETS - 100.0% | $ | 6,529,910 | |||||
Derivative Contracts at 6/30/10
Forward Foreign Currency Exchange Contracts at 6/30/10
Type | Currency | Counterparty | Contracts Deliver/ | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | ||||||||
Asset Derivatives | |||||||||||||||
BUY | AUD | Westpac Banking Corporation | 47,965 | 7/12/10 | $40,179 | $40,328 | $149 | ||||||||
SELL | CAD | HSBC Bank | 3,000 | 7/12/10 | 2,956 | 2,818 | 138 | ||||||||
BUY | CHF | Citibank N.A. | 19,000 | 9/14/10 | 16,669 | 17,652 | 983 | ||||||||
SELL | CHF | UBS AG | 19,000 | 7/12/10 | 17,722 | 17,630 | 92 | ||||||||
BUY | EUR | Barclays Bank PLC | 3,000 | 7/12/10 | 3,580 | 3,669 | 89 | ||||||||
SELL | EUR | Barclays Bank PLC | 10,000 | 7/12/10 | 13,334 | 12,229 | 1,105 | ||||||||
SELL | EUR | Citibank N.A. | 19,000 | 7/12/10 | 24,884 | 23,235 | 1,649 | ||||||||
SELL | EUR | HSBC Bank | 27,000 | 7/12/10 | 36,457 | 33,018 | 3,439 | ||||||||
BUY | GBP | Royal Bank of Scotland PLC | 4,000 | 9/14/10 | 5,903 | 5,977 | 74 | ||||||||
SELL | GBP | Barclays Bank PLC | 1,942 | 7/12/10 | 3,000 | 2,902 | 98 | ||||||||
SELL | GBP | HSBC Bank | 5,000 | 7/12/10 | 7,694 | 7,471 | 223 | ||||||||
BUY | IDR | JPMorgan Chase Bank N.A | 292,758,000 | 7/01/10-7/16/10 | 31,830 | 32,259 | 429 | ||||||||
SELL | IDR | Barclays Bank PLC | 259,659,000 | 8/31/10 | 28,456 | 28,371 | 85 | ||||||||
SELL | IDR | JPMorgan Chase Bank N.A | 151,184,000 | 7/01/2010 | 16,705 | 16,677 | 28 | ||||||||
BUY | JPY | HSBC Bank | 5,251,945 | 7/12/10 | 57,798 | 59,410 | 1,612 | ||||||||
BUY | JPY | JPMorgan Chase Bank N.A | 66,368,376 | 7/12/10 | 711,550 | 750,764 | 39,214 | ||||||||
BUY | JPY | UBS AG | 2,570,353 | 7/12/10-9/14/10 | 28,261 | 29,082 | 821 | ||||||||
SELL | MXN | Barclays Bank PLC | 168,000 | 7/06/2010 | 13,025 | 12,985 | 40 | ||||||||
SELL | PLN | Royal Bank of Scotland PLC | 41,000 | 7/06/2010 | 12,566 | 12,082 | 484 | ||||||||
SELL | SEK | Citibank N.A. | 75,000 | 7/12/10 | 9,811 | 9,619 | 192 | ||||||||
BUY | ZAR | HSBC Bank | 124,000 | 8/19/10 | 15,954 | 16,023 | 69 | ||||||||
$51,013 | |||||||||||||||
Liability Derivatives | |||||||||||||||
BUY | CAD | Barclays Bank PLC | 8,048 | 8/09/10 | $7,715 | $7,558 | $(157 | ) | |||||||
BUY | CAD | Citibank N.A. | 1,000 | 7/12/10 | 1,001 | 939 | (62 | ) | |||||||
BUY | CAD | UBS AG | 70,841 | 8/06/10 | 67,745 | 66,532 | (1,213 | ) | |||||||
BUY | CNY | JPMorgan Chase Bank N.A. | 96,000 | 4/18/11 | 14,517 | 14,313 | (204 | ) | |||||||
BUY | DKK | Barclays Bank PLC | 248,472 | 9/14/10 | 41,002 | 40,799 | (203 | ) | |||||||
BUY | EUR | Citibank N.A. | 29,492 | 7/12/10 | 37,825 | 36,066 | (1,759 | ) | |||||||
SELL | EUR | Barclays Bank PLC | 13,000 | 7/12/10 | 15,697 | 15,898 | (201 | ) | |||||||
SELL | EUR | Royal Bank of Scotland PLC | 31,000 | 7/12/10 | 37,000 | 37,910 | (910 | ) | |||||||
SELL | EUR | UBS AG | 622,596 | 9/15/10 | 750,116 | 761,647 | (11,531 | ) | |||||||
BUY | GBP | Barclays Bank PLC | 42,648 | 7/12/10 | 65,141 | 63,719 | (1,422 | ) | |||||||
BUY | GBP | Credit Suisse Group | 2,000 | 7/12/10 | 3,069 | 2,988 | (81 | ) | |||||||
BUY | GBP | Deutsche Bank AG | 35,809 | 7/12/10 | 54,634 | 53,501 | (1,133 | ) | |||||||
SELL | GBP | Barclays Bank PLC | 11,000 | 7/12/10 | 16,024 | 16,435 | (411 | ) | |||||||
BUY | IDR | Barclays Bank PLC | 259,659,000 | 7/01/10 | 28,723 | 28,644 | (79 | ) | |||||||
BUY | IDR | JPMorgan Chase Bank N.A. | 151,184,000 | 8/31/10 | 16,577 | 16,519 | (58 | ) | |||||||
SELL | IDR | Barclays Bank PLC | 259,659,000 | 7/01/10 | 27,727 | 28,645 | (918 | ) | |||||||
SELL | JPY | Barclays Bank PLC | 3,383,000 | 7/12/10 | 36,294 | 38,269 | (1,975 | ) |
13-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Forward Foreign Currency Exchange Contracts at 6/30/10 - continued
Type | Currency | Counterparty | Contracts Deliver/ | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | ||||||||
Liability Derivatives (continued) | |||||||||||||||
SELL | JPY | Citibank N.A. | 2,433,000 | 7/12/10 | $25,741 | $27,523 | $(1,782 | ) | |||||||
SELL | JPY | Credit Suisse Group | 2,273,130 | 7/12/10 | 24,365 | 25,714 | (1,349 | ) | |||||||
SELL | JPY | Goldman Sachs International | 1,330,000 | 7/12/10 | 14,256 | 15,045 | (789 | ) | |||||||
SELL | JPY | HSBC Bank | 5,812,000 | 7/12/10 | 63,512 | 65,746 | (2,234 | ) | |||||||
SELL | JPY | Merrill Lynch International Bank | 12,794,396 | 7/12/10 | 137,214 | 144,731 | (7,517 | ) | |||||||
SELL | JPY | UBS AG | 4,182,436 | 7/12/10-9/14/10 | 45,781 | 47,332 | (1,551 | ) | |||||||
BUY | MXN | Citibank N.A. | 212,000 | 7/06/10 | 16,430 | 16,385 | (45 | ) | |||||||
BUY | MXN | JPMorgan Chase Bank N.A. | 147,000 | 7/06/10 | 11,783 | 11,362 | (421 | ) | |||||||
BUY | MXN | Merrill Lynch International Bank | 137,000 | 8/03/10 | 11,097 | 10,560 | (537 | ) | |||||||
SELL | MXN | JPMorgan Chase Bank N.A. | 116,000 | 8/03/10 | 8,780 | 8,940 | (160 | ) | |||||||
BUY | NZD | Credit Suisse Group | 14,000 | 7/26/10 | 10,055 | 9,587 | (468 | ) | |||||||
BUY | NZD | Royal Bank of Scotland PLC | 14,000 | 7/26/10 | 10,002 | 9,587 | (415 | ) | |||||||
SELL | NZD | Citibank N.A. | 28,000 | 7/26/10 | 18,698 | 19,173 | (475 | ) | |||||||
BUY | PLN | HSBC Bank | 41,000 | 7/06/10 | 13,826 | 12,083 | (1,743 | ) | |||||||
BUY | SEK | Credit Suisse Group | 365,669 | 7/12/10 | 50,622 | 46,896 | (3,726 | ) | |||||||
SELL | SEK | Goldman Sachs International | 67,000 | 7/12/10 | 8,382 | 8,592 | (210 | ) | |||||||
BUY | TRY | HSBC Bank | 26,000 | 8/11/10 | 16,317 | 16,316 | (1 | ) | |||||||
$(45,740 | ) | ||||||||||||||
At June 30, 2010, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
14-WGVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
Government Securities Variable Account
Issuer | Shares/Par | Value ($) | ||||
BONDS - 91.3% | ||||||
Agency - Other - 5.3% | ||||||
Financing Corp., 9.4%, 2018 | $ | 1,020,000 | $ | 1,445,843 | ||
Financing Corp., 10.35%, 2018 | 500,000 | 752,629 | ||||
Financing Corp., STRIPS, 0%, 2017 | 1,220,000 | 960,274 | ||||
$ | 3,158,746 | |||||
Asset-Backed & Securitized - 1.8% | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049 | $ | 151,000 | $ | 146,659 | ||
Commercial Mortgage Pass-Through Certificates, 5.306%, 2046 | 424,864 | 414,449 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.983%, 2049 | 249,825 | 244,421 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.187%, 2051 | 242,098 | 247,589 | ||||
$ | 1,053,118 | |||||
Local Authorities - 0.5% | ||||||
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043 | $ | 180,000 | $ | 190,078 | ||
University of California Rev. (Build America Bonds), 5.77%, 2043 | 125,000 | 127,796 | ||||
$ | 317,874 | |||||
Mortgage-Backed - 59.2% | ||||||
Fannie Mae, 5.503%, 2011 | $ | 79,000 | $ | 82,970 | ||
Fannie Mae, 6.088%, 2011 | 124,000 | 129,170 | ||||
Fannie Mae, 4.73%, 2012 | 88,084 | 93,528 | ||||
Fannie Mae, 4.79%, 2012-2015 | 133,598 | 143,502 | ||||
Fannie Mae, 4.791%, 2012 | 40,164 | 42,463 | ||||
Fannie Mae, 4.542%, 2013 | 52,347 | 55,617 | ||||
Fannie Mae, 4.845%, 2013 | 243,251 | 260,477 | ||||
Fannie Mae, 5%, 2013-2039 | 3,060,309 | 3,250,455 | ||||
Fannie Mae, 5.06%, 2013 | 97,892 | 103,302 | ||||
Fannie Mae, 5.145%, 2013 | 102,245 | 110,595 | ||||
Fannie Mae, 4.589%, 2014 | 81,925 | 87,946 | ||||
Fannie Mae, 4.6%, 2014 | 117,619 | 126,155 | ||||
Fannie Mae, 4.61%, 2014 | 356,631 | 382,831 | ||||
Fannie Mae, 4.77%, 2014 | 99,258 | 107,385 | ||||
Fannie Mae, 4.841%, 2014 | 707,495 | 763,891 | ||||
Fannie Mae, 4.872%, 2014 | 451,336 | 483,196 | ||||
Fannie Mae, 5.1%, 2014-2015 | 193,209 | 210,584 | ||||
Fannie Mae, 4.5%, 2015-2028 | 1,591,749 | 1,694,950 | ||||
Fannie Mae, 4.56%, 2015 | 151,933 | 163,530 | ||||
Fannie Mae, 4.62%, 2015 | 169,274 | 182,621 | ||||
Fannie Mae, 4.665%, 2015 | 102,624 | 110,981 | ||||
Fannie Mae, 4.7%, 2015 | 117,960 | 127,718 | ||||
Fannie Mae, 4.74%, 2015 | 95,139 | 103,199 | ||||
Fannie Mae, 4.81%, 2015 | 120,616 | 132,121 | ||||
Fannie Mae, 4.815%, 2015 | 117,000 | 127,357 | ||||
Fannie Mae, 4.82%, 2015 | 237,102 | 257,542 | ||||
Fannie Mae, 4.89%, 2015 | 83,182 | 90,670 | ||||
Fannie Mae, 4.922%, 2015 | 293,835 | 320,870 | ||||
Fannie Mae, 5.466%, 2015 | 196,945 | 217,701 | ||||
Fannie Mae, 5.724%, 2016 | 93,739 | 103,814 | ||||
Fannie Mae, 6.5%, 2016-2037 | 986,519 | 1,090,834 | ||||
Fannie Mae, 5.5%, 2017-2037 | 7,141,935 | 7,686,706 | ||||
Fannie Mae, 6%, 2017-2037 | 2,133,924 | 2,326,673 | ||||
Fannie Mae, 5.68%, 2018 | 42,004 | 46,302 | ||||
Fannie Mae, 4.874%, 2019 | 240,350 | 263,870 | ||||
Fannie Mae, 5.6%, 2019 | 54,572 | 60,446 | ||||
Fannie Mae, 4.88%, 2020 | 73,550 | 80,451 | ||||
Fannie Mae, 7.5%, 2022-2031 | 112,913 | 128,551 | ||||
Freddie Mac, 4.375%, 2015 | 160,155 | 163,896 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Mortgage-Backed - continued | ||||||
Freddie Mac, 5%, 2016-2039 | $ | 1,566,126 | $ | 1,650,593 | ||
Freddie Mac, 5.085%, 2019 | 312,000 | 341,465 | ||||
Freddie Mac, 6%, 2019-2038 | 2,511,812 | 2,742,454 | ||||
Freddie Mac, 4.224%, 2020 | 152,529 | 158,036 | ||||
Freddie Mac, 4.251%, 2020 | 119,000 | 123,711 | ||||
Freddie Mac, 4.5%, 2022-2026 | 546,184 | 572,348 | ||||
Freddie Mac, 5.5%, 2022-2036 | 3,689,293 | 3,947,127 | ||||
Freddie Mac, 6.5%, 2032-2037 | 358,466 | 398,300 | ||||
Ginnie Mae, 5.5%, 2033-2038 | 1,566,303 | 1,700,406 | ||||
Ginnie Mae, 4.5%, 2039-2040 | 384,215 | 401,109 | ||||
Ginnie Mae, 5.612%, 2058 | 578,999 | 628,298 | ||||
Ginnie Mae, 6.36%, 2058 | 338,530 | 373,652 | ||||
$ | 34,952,369 | |||||
Municipals - 3.9% | ||||||
California Educational Facilities Authority Rev. (Stanford University), | $ | 190,000 | $ | 229,197 | ||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, | 670,000 | 784,965 | ||||
Harris County, TX, “C”, AGM, | 125,000 | 146,778 | ||||
Massachusetts Bay Transportation Authority, Sales Tax Rev., “A-1”, | 350,000 | 411,166 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), 5.5%, 2027 | 250,000 | 296,080 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Massachusetts Institute of Technology), “K”, | 245,000 | 300,044 | ||||
Massachusetts Water Pollution Abatement Trust, 5.25%, 2033 | 115,000 | 135,559 | ||||
$ | 2,303,789 | |||||
U.S. Government Agencies and Equivalents - 6.8% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 335,000 | $ | 369,200 | ||
Empresa Energetica Cornito Ltd., | 245,000 | 246,607 | ||||
Farmer Mac, 5.5%, 2011 (n) | 690,000 | 725,032 | ||||
FDIC Structured Sale Guarantee Note, | 43,000 | 41,468 | ||||
Small Business Administration, | 281,751 | 306,980 | ||||
Small Business Administration, | 337,660 | 368,391 | ||||
Small Business Administration, | 170,394 | 180,483 | ||||
Small Business Administration, | 381,822 | 405,975 | ||||
Small Business Administration, | 183,975 | 196,221 | ||||
Small Business Administration, | 221,075 | 236,465 | ||||
U.S. Department of Housing & Urban Development, 6.36%, 2016 | 500,000 | 528,603 | ||||
U.S. Department of Housing & Urban Development, 6.59%, 2016 | 418,000 | 419,465 | ||||
$ | 4,024,890 | |||||
U.S. Treasury Obligations - 13.8% | ||||||
U.S. Treasury Bonds, 9.25%, 2016 | $ | 19,000 | $ | 26,328 | ||
U.S. Treasury Bonds, 7.5%, 2016 | 218,000 | 285,648 |
15-GSVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
U.S. Treasury Obligations - continued | ||||||
U.S. Treasury Bonds, 7.875%, 2021 | $ | 63,000 | $ | 90,179 | ||
U.S. Treasury Bonds, 6.25%, 2023 | 16,000 | 20,740 | ||||
U.S. Treasury Bonds, 6.75%, 2026 | 396,000 | 549,759 | ||||
U.S. Treasury Bonds, 5.25%, 2029 | 1,469,000 | 1,767,850 | ||||
U.S. Treasury Bonds, 4.375%, 2038 | 41,000 | 44,331 | ||||
U.S. Treasury Bonds, 4.5%, 2039 | 371,900 | 409,613 | ||||
U.S. Treasury Notes, 1.125%, 2012 | 1,170,000 | 1,181,106 | ||||
U.S. Treasury Notes, 1.375%, 2013 | 57,000 | 57,766 | ||||
U.S. Treasury Notes, 4%, 2014 | 211,000 | 231,358 | ||||
U.S. Treasury Notes, 4%, 2015 | 610,000 | 673,240 | ||||
U.S. Treasury Notes, 2.625%, 2016 | 201,000 | 206,528 | ||||
U.S. Treasury Notes, 3.75%, 2018 (f) | 1,993,000 | 2,147,458 | ||||
U.S. Treasury Notes, 6.375%, 2027 | 326,000 | 439,183 | ||||
$ | 8,131,087 | |||||
Total Bonds | $ | 53,941,873 | ||||
MONEY MARKET FUNDS (v) - 8.4% | ||||||
MFS Institutional Money Market Portfolio, 0.22%, at Cost and Net Asset Value | 4,963,174 | $ | 4,963,174 | |||
Total Investments | $ | 58,905,047 | ||||
OTHER ASSETS, | 164,235 | |||||
NET ASSETS - 100.0% | $ | 59,069,282 | ||||
Derivative Contracts at 6/30/10
Futures Contracts Outstanding at 6/30/10
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) | |||||||
Asset Derivatives | ||||||||||||
Interest Rate Futures | ||||||||||||
U.S. Treasury Note 5 yr (Long) | USD | 18 | $ | 2,130,328 | September-2010 | $ | 30,120 | |||||
U.S. Treasury Note 10 yr (Long) | USD | 3 | 367,641 | September-2010 | 6,758 | |||||||
$ | 36,878 | |||||||||||
At June 30, 2010, 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.
16-GSVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
High Yield Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 91.7% | |||||||
Aerospace - 1.5% | |||||||
BE Aerospace, Inc., 8.5%, 2018 | $ | 110,000 | $ | 115,500 | |||
Bombardier, Inc., 7.5%, 2018 (n) | 185,000 | 190,550 | |||||
Hawker Beechcraft Acquisition Co. LLC, | 178,000 | 142,623 | |||||
Oshkosh Corp., 8.25%, 2017 | 15,000 | 15,600 | |||||
Oshkosh Corp., 8.5%, 2020 | 65,000 | 67,600 | |||||
Spirit AeroSystems Holdings, Inc., | 55,000 | 53,900 | |||||
$ | 585,773 | ||||||
Airlines - 1.0% | |||||||
American Airlines Pass-Through Trust, 7.377%, 2019 | $ | 86,332 | $ | 70,761 | |||
Continental Airlines, Inc., | 248,706 | 238,136 | |||||
Continental Airlines, Inc., | 22,636 | 20,632 | |||||
Delta Air Lines, Inc., 7.711%, 2011 | 60,000 | 59,400 | |||||
$ | 388,929 | ||||||
Apparel Manufacturers - 0.5% | |||||||
Hanesbrands, Inc., 8%, 2016 | $ | 110,000 | $ | 111,513 | |||
Phillips-Van Heusen Corp., | 75,000 | 75,656 | |||||
$ | 187,169 | ||||||
Asset-Backed & Securitized - 0.9% | |||||||
ARCap REIT, Inc., CDO, “H”, | $ | 165,567 | $ | 10,348 | |||
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049 | 148,212 | 31,065 | |||||
Crest Ltd., CDO, 7%, 2040 | 154,000 | 7,700 | |||||
First Union National Bank Commercial Mortgage Trust, 6.75%, 2032 | 165,000 | 156,787 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, | 110,000 | 31,776 | |||||
Merrill Lynch Mortgage Trust, FRN, 6.019%, 2050 | 110,000 | 33,724 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, | 62,000 | 46,003 | |||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.943%, 2047 | 87,180 | 15,507 | |||||
Wachovia Credit, CDO, FRN, | 250,000 | 10,000 | |||||
$ | 342,910 | ||||||
Automotive - 2.7% | |||||||
Allison Transmission, Inc., | $ | 160,000 | $ | 167,600 | |||
Ford Motor Credit Co. LLC, | 504,000 | 583,431 | |||||
General Motors Corp., | 225,000 | 66,938 | |||||
Goodyear Tire & Rubber Co., | 195,000 | 200,363 | |||||
Goodyear Tire & Rubber Co., | 30,000 | 32,625 | |||||
$ | 1,050,957 | ||||||
Basic Industry - 0.3% | |||||||
TriMas Corp., 9.75%, 2017 (n) | $ | 115,000 | $ | 116,438 | |||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Broadcasting - 5.4% | |||||||
Allbritton Communications Co., | $ | 65,000 | $ | 64,350 | |||
Bonten Media Acquisition Co., | 129,502 | 74,531 | |||||
Gray Television, Inc., 10.5%, 2015 (n) | 45,000 | 43,650 | |||||
Inmarsat Finance PLC, | 200,000 | 204,500 | |||||
Intelsat Jackson Holdings Ltd., | 380,000 | 399,000 | |||||
Lamar Media Corp., 6.625%, 2015 | 85,000 | 81,388 | |||||
Lamar Media Corp., “C”, 6.625%, 2015 | 115,000 | 108,963 | |||||
LBI Media, Inc., 8.5%, 2017 (z) | 100,000 | 85,750 | |||||
LIN TV Corp., 6.5%, 2013 | 80,000 | 78,000 | |||||
Local TV Finance LLC, 10%, 2015 (p)(z) | 179,130 | 147,633 | |||||
Newport Television LLC, | 189,943 | 149,600 | |||||
Nexstar Broadcasting Group, Inc., | 201,987 | 179,289 | |||||
Nexstar Broadcasting Group, Inc., | 67,000 | 59,630 | |||||
Salem Communications Corp., | 38,000 | 39,140 | |||||
Sinclair Broadcast Group, Inc., | 65,000 | 65,650 | |||||
SIRIUS XM Radio, Inc., 8.75%, 2015 (n) | 120,000 | 118,200 | |||||
Univision Communications, Inc., | 65,000 | 69,713 | |||||
Univision Communications, Inc., | 183,877 | 147,125 | |||||
Young Broadcasting, Inc., | 80,000 | 48 | |||||
$ | 2,116,160 | ||||||
Brokerage & Asset Managers - 1.2% | |||||||
E*TRADE Financial Corp., | $ | 50,000 | $ | 44,750 | |||
E*TRADE Financial Corp., 12.5%, 2017 | 60,000 | 63,750 | |||||
Janus Capital Group, Inc., 6.95%, 2017 | 220,000 | 220,851 | |||||
Nuveen Investments, Inc., 10.5%, 2015 | 135,000 | 117,450 | |||||
$ | 446,801 | ||||||
Building - 2.0% | |||||||
Associated Materials, Inc., | $ | 120,000 | $ | 122,400 | |||
Building Materials Holding Corp., | 55,000 | 54,450 | |||||
CEMEX Finance Europe B.V., | EUR | 75,000 | 85,835 | ||||
Masco Corp., 7.125%, 2020 | $ | 55,000 | 53,404 | ||||
Nortek, Inc., 11%, 2013 | 245,933 | 256,385 | |||||
Owens Corning, 9%, 2019 | 95,000 | 112,326 | |||||
Ply Gem Industries, Inc., 11.75%, 2013 | 85,000 | 88,825 | |||||
$ | 773,625 | ||||||
Business Services - 1.9% | |||||||
First Data Corp., 9.875%, 2015 | $ | 265,000 | $ | 201,400 | |||
Iron Mountain, Inc., 6.625%, 2016 | 145,000 | 142,463 | |||||
Iron Mountain, Inc., 8.375%, 2021 | 70,000 | 71,400 | |||||
SunGard Data Systems, Inc., | 120,000 | 121,950 | |||||
SunGard Data Systems, Inc., | 156,000 | 161,070 | |||||
Terremark Worldwide, Inc., 12%, 2017 | 45,000 | 50,625 | |||||
$ | 748,908 | ||||||
17-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Cable TV - 3.0% | |||||||
Cablevision Systems Corp., | $ | 85,000 | $ | 86,700 | |||
CCH II LLC, 13.5%, 2016 | 35,000 | 40,775 | |||||
Charter Communications Holding Co. LLC, | 30,000 | 30,150 | |||||
Charter Communications Holding Co. LLC, | 85,000 | 86,913 | |||||
Charter Communications, Inc., | 135,000 | 149,850 | |||||
CSC Holdings LLC, 8.5%, 2014 | 190,000 | 198,075 | |||||
EchoStar Corp., 7.125%, 2016 | 105,000 | 105,263 | |||||
Insight Communications Co., Inc., | 75,000 | 75,000 | |||||
Mediacom LLC, 9.125%, 2019 | 115,000 | 110,975 | |||||
Videotron LTEE, 6.875%, 2014 | 45,000 | 45,225 | |||||
Virgin Media Finance PLC, | 228,000 | 235,980 | |||||
$ | 1,164,906 | ||||||
Chemicals - 2.6% | |||||||
Ashland, Inc., 9.125%, 2017 | $ | 210,000 | $ | 229,950 | |||
Hexion Specialty Chemicals, Inc., | 115,000 | 108,675 | |||||
Hexion U.S. Finance Corp., | 135,000 | 121,838 | |||||
Lumena Resources Corp., | 105,000 | 90,300 | |||||
Lyondell Chemical Co., 11%, 2018 | 87,972 | 94,350 | |||||
Momentive Performance Materials, Inc., | 153,000 | 166,770 | |||||
Momentive Performance Materials, Inc., | 85,000 | 75,013 | |||||
Solutia, Inc., 7.875%, 2020 | 120,000 | 119,700 | |||||
$ | 1,006,596 | ||||||
Computer Software - Systems - 0.4% | |||||||
DuPont Fabros Technology, Inc., | $ | 165,000 | $ | 169,125 | |||
Consumer Products - 1.5% | |||||||
ACCO Brands Corp., 10.625%, 2015 | $ | 15,000 | $ | 16,275 | |||
ACCO Brands Corp., 7.625%, 2015 | 60,000 | 55,200 | |||||
Central Garden & Pet Co., 8.25%, 2018 | 85,000 | 84,256 | |||||
Easton-Bell Sports, Inc., | 65,000 | 67,275 | |||||
Jarden Corp., 7.5%, 2017 | 150,000 | 147,000 | |||||
Libbey Glass, Inc., 10%, 2015 (n) | 100,000 | 103,500 | |||||
Visant Holding Corp., 8.75%, 2013 | 95,000 | 95,950 | |||||
$ | 569,456 | ||||||
Consumer Services - 1.8% | |||||||
KAR Holdings, Inc., 10%, 2015 | $ | 115,000 | $ | 117,300 | |||
KAR Holdings, Inc., FRN, | 85,000 | 77,775 | |||||
Live Nation Entertainment, Inc., | 30,000 | 29,100 | |||||
Service Corp. International, | 110,000 | 112,200 | |||||
Service Corp. International, 7%, 2017 | 190,000 | 187,150 | |||||
Ticketmaster Entertainment, Inc., | 160,000 | 172,400 | |||||
$ | 695,925 | ||||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Containers - 1.4% | |||||||
Graham Packaging Holdings Co., | $ | 220,000 | $ | 224,950 | |||
Greif, Inc., 6.75%, 2017 | 165,000 | 161,906 | |||||
Owens-Illinois, Inc., 7.375%, 2016 | 60,000 | 62,550 | |||||
Reynolds Group, 7.75%, 2016 (n) | 100,000 | 97,750 | |||||
$ | 547,156 | ||||||
Defense Electronics - 0.2% | |||||||
ManTech International Corp., | $ | 85,000 | $ | 85,850 | |||
Electronics - 1.0% | |||||||
Freescale Semiconductor, Inc., | $ | 55,000 | $ | 50,188 | |||
Freescale Semiconductor, Inc., | 55,000 | 56,100 | |||||
Freescale Semiconductor, Inc., | 75,000 | 74,063 | |||||
Jabil Circuit, Inc., 7.75%, 2016 | 120,000 | 125,400 | |||||
NXP B.V., 7.875%, 2014 | 75,000 | 68,813 | |||||
$ | 374,564 | ||||||
Emerging Market Sovereign - 0.1% | |||||||
Republic of Argentina, FRN, | $ | 57,263 | $ | 52,589 | |||
Energy - Independent - 6.2% | |||||||
Anadarko Petroleum Corp., | $ | 85,000 | $ | 73,159 | |||
Chaparral Energy, Inc., 8.875%, 2017 | 170,000 | 156,400 | |||||
Chesapeake Energy Corp., 7%, 2014 | 87,000 | 88,414 | |||||
Chesapeake Energy Corp., | 70,000 | 72,275 | |||||
Hilcorp Energy I LP, 9%, 2016 (n) | 200,000 | 205,000 | |||||
Newfield Exploration Co., | 125,000 | 125,781 | |||||
Newfield Exploration Co., | 60,000 | 60,300 | |||||
OPTI Canada, Inc., 8.25%, 2014 | 180,000 | 156,600 | |||||
Penn Virginia Corp., 10.375%, 2016 | 225,000 | 239,625 | |||||
Petrohawk Energy Corp., | 65,000 | 69,875 | |||||
Pioneer Natural Resources Co., | 130,000 | 130,543 | |||||
Pioneer Natural Resources Co., | 135,000 | 139,131 | |||||
Plains Exploration & Production Co., | 290,000 | 276,950 | |||||
Quicksilver Resources, Inc., | 115,000 | 113,563 | |||||
Quicksilver Resources, Inc., | 35,000 | 35,525 | |||||
Range Resources Corp., 8%, 2019 | 140,000 | 146,125 | |||||
SandRidge Energy, Inc., 8%, 2018 (n) | 195,000 | 184,763 | |||||
Southwestern Energy Co., 7.5%, 2018 | 130,000 | 138,125 | |||||
$ | 2,412,154 | ||||||
Entertainment - 1.0% | |||||||
AMC Entertainment, Inc., 11%, 2016 | $ | 150,000 | $ | 157,500 | |||
AMC Entertainment, Inc., | 120,000 | 120,600 | |||||
Cinemark USA, Inc., 8.625%, 2019 | 95,000 | 95,475 | |||||
$ | 373,575 | ||||||
18-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Financial Institutions - 3.8% | |||||||
CIT Group, Inc., 7%, 2014 | $ | 150,000 | $ | 141,375 | |||
CIT Group, Inc., 7%, 2017 | 405,000 | 364,500 | |||||
CIT Group, Inc., 10.25%, 2017 | 85,000 | 87,125 | |||||
GMAC, Inc., 6.75%, 2014 | 285,000 | 275,738 | |||||
GMAC, Inc., 8%, 2031 | 250,000 | 230,625 | |||||
International Lease Finance Corp., | 195,000 | 175,988 | |||||
International Lease Finance Corp., | 185,000 | 175,288 | |||||
Nationstar Mortgage LLC, | 55,000 | 43,175 | |||||
$ | 1,493,814 | ||||||
Food & Beverages - 2.5% | |||||||
ARAMARK Corp., 8.5%, 2015 | $ | 115,000 | $ | 116,150 | |||
B&G Foods, Inc., 7.625%, 2018 | 85,000 | 85,425 | |||||
CEDC Finance Corp. International, Inc., | 200,000 | 193,000 | |||||
Constellation Brands, Inc., | 60,000 | 60,525 | |||||
Del Monte Foods Co., 6.75%, 2015 | 185,000 | 187,544 | |||||
Pinnacle Foods Finance LLC, | 155,000 | 158,100 | |||||
Smithfield Foods, Inc., 7.75%, 2017 | 60,000 | 57,300 | |||||
TreeHouse Foods, Inc., 7.75%, 2018 | 125,000 | 129,688 | |||||
$ | 987,732 | ||||||
Forest & Paper Products - 2.9% | |||||||
Boise, Inc., 8%, 2020 (n) | $ | 115,000 | $ | 114,713 | |||
Buckeye Technologies, Inc., | 81,000 | 82,013 | |||||
Cascades, Inc., 7.75%, 2017 | 80,000 | 79,600 | |||||
Georgia-Pacific Corp., | 65,000 | 66,300 | |||||
Georgia-Pacific Corp., 8%, 2024 | 250,000 | 265,000 | |||||
Georgia-Pacific Corp., 7.25%, 2028 | 35,000 | 34,563 | |||||
Graphic Packaging International Corp., | 120,000 | 122,100 | |||||
JSG Funding PLC, 7.75%, 2015 | 35,000 | 34,563 | |||||
Millar Western Forest Products Ltd., | 245,000 | 210,700 | |||||
Smurfit Kappa Group PLC, | EUR | 100,000 | 122,285 | ||||
$ | 1,131,837 | ||||||
Gaming & Lodging - 4.4% | |||||||
Ameristar Casinos, Inc., 9.25%, 2014 | $ | 50,000 | $ | 52,375 | |||
Firekeepers Development Authority, | 85,000 | 98,175 | |||||
Fontainebleau Las Vegas Holdings LLC, | 180,000 | 675 | |||||
Gaylord Entertainment Co., | 105,000 | 101,063 | |||||
GWR Operating Partnership LLP, | 80,000 | 79,500 | |||||
Harrah’s Operating Co., Inc., | 100,000 | 105,250 | |||||
Harrah’s Operating Co., Inc., | 55,000 | 45,100 | |||||
Harrah’s Operating Co., Inc., | 73,000 | 59,860 | |||||
Host Hotels & Resorts, Inc., | 175,000 | 173,031 | |||||
Host Hotels & Resorts, Inc., 9%, 2017 | 30,000 | 32,100 | |||||
MGM Mirage, 10.375%, 2014 | 20,000 | 21,750 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Gaming & Lodging - continued | |||||||
MGM Mirage, 7.5%, 2016 | $ | 145,000 | $ | 114,188 | |||
MGM Mirage, 11.125%, 2017 | 60,000 | 66,150 | |||||
MGM Mirage, 11.375%, 2018 (n) | 165,000 | 155,100 | |||||
MGM Mirage, 9%, 2020 (n) | 50,000 | 51,375 | |||||
Penn National Gaming, Inc., | 125,000 | 128,438 | |||||
Pinnacle Entertainment, Inc., | 100,000 | 93,750 | |||||
Royal Caribbean Cruises Ltd., | 45,000 | 44,775 | |||||
Royal Caribbean Cruises Ltd., | 90,000 | 103,500 | |||||
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018 | 65,000 | 65,000 | |||||
Station Casinos, Inc., 6%, 2012 (d) | 200,000 | 11,875 | |||||
Station Casinos, Inc., 6.5%, 2014 (d) | 330,000 | 2,475 | |||||
Station Casinos, Inc., | 380,000 | 285 | |||||
Station Casinos, Inc., 7.75%, 2016 (d) | 70,000 | 4,419 | |||||
Wyndham Worldwide Corp., | 85,000 | 82,464 | |||||
$ | 1,692,673 | ||||||
Industrial - 1.5% | |||||||
Altra Holdings, Inc., 8.125%, 2016 (n) | $ | 85,000 | $ | 84,256 | |||
Aquilex Corp., 11.125%, 2016 (n) | 30,000 | 30,000 | |||||
Baldor Electric Co., 8.625%, 2017 | 195,000 | 201,825 | |||||
Great Lakes Dredge & Dock Corp., | 100,000 | 99,000 | |||||
Johnsondiversey Holdings, Inc., | 80,000 | 82,400 | |||||
RBS Global, Inc. & Rexnord LLC, | 95,000 | 92,150 | |||||
$ | 589,631 | ||||||
Insurance - 1.0% | |||||||
American International Group, Inc., | $ | 290,000 | $ | 229,100 | |||
ING Groep N.V., | 250,000 | 176,250 | |||||
$ | 405,350 | ||||||
Insurance - Property & Casualty - 1.1% | |||||||
Liberty Mutual Group, Inc., | $ | 180,000 | $ | 194,400 | |||
USI Holdings Corp., 9.75%, 2015 (z) | 160,000 | 146,800 | |||||
XL Group PLC, FRN, 6.5%, 2057 | 100,000 | 69,000 | |||||
$ | 410,200 | ||||||
Machinery & Tools - 1.0% | |||||||
Case Corp., 7.25%, 2016 | $ | 60,000 | $ | 60,150 | |||
Case New Holland, Inc., 7.125%, 2014 | 130,000 | 134,550 | |||||
Case New Holland, Inc., | 105,000 | 105,788 | |||||
Rental Service Corp., 9.5%, 2014 | 100,000 | 99,375 | |||||
$ | 399,863 | ||||||
Major Banks - 1.6% | |||||||
Bank of America Corp., | $ | 290,000 | $ | 280,120 | |||
JPMorgan Chase & Co., | 190,000 | 195,839 | |||||
Royal Bank of Scotland Group PLC, FRN, | 210,000 | 157,500 | |||||
$ | 633,459 | ||||||
19-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Medical & Health Technology & Services - 7.6% | |||||||
Biomet, Inc., 10%, 2017 | $ | 170,000 | $ | 182,750 | |||
Capella Healthcare, Inc., | 25,000 | 25,250 | |||||
Community Health Systems, Inc., | 265,000 | 273,281 | |||||
Cooper Cos., Inc., 7.125%, 2015 | 130,000 | 130,325 | |||||
DaVita, Inc., 6.625%, 2013 | 58,000 | 58,073 | |||||
DaVita, Inc., 7.25%, 2015 | 105,000 | 105,000 | |||||
Fresenius Medical Care AG & Co. KGaA, | 125,000 | 135,469 | |||||
HCA, Inc., 9.25%, 2016 | 510,000 | 540,600 | |||||
HCA, Inc., 8.5%, 2019 | 105,000 | 111,300 | |||||
HealthSouth Corp., 8.125%, 2020 | 180,000 | 176,850 | |||||
Psychiatric Solutions, Inc., 7.75%, 2015 | 70,000 | 71,750 | |||||
Psychiatric Solutions, Inc., 7.75%, 2015 | 50,000 | 51,250 | |||||
Tenet Healthcare Corp., 9.25%, 2015 | 195,000 | 201,338 | |||||
U.S. Oncology, Inc., 10.75%, 2014 | 155,000 | 158,875 | |||||
United Surgical Partners International, Inc., | 65,000 | 64,838 | |||||
United Surgical Partners International, Inc., | 90,000 | 90,000 | |||||
Universal Hospital Services, Inc., | 175,000 | 172,375 | |||||
Universal Hospital Services, Inc., FRN, | 45,000 | 37,800 | |||||
Vanguard Health Systems, Inc., | 130,000 | 124,800 | |||||
VWR Funding, Inc., 10.25%, 2015 (p) | 232,375 | 234,699 | |||||
$ | 2,946,623 | ||||||
Metals & Mining - 2.6% | |||||||
Arch Western Finance LLC, | $ | 120,000 | $ | 120,300 | |||
Cloud Peak Energy, Inc., | 100,000 | 99,000 | |||||
Cloud Peak Energy, Inc., | 100,000 | 99,500 | |||||
CONSOL Energy, Inc., 8%, 2017 (n) | 85,000 | 87,763 | |||||
CONSOL Energy, Inc., 8.25%, 2020 (n) | 55,000 | 57,338 | |||||
FMG Finance Ltd., 10.625%, 2016 (n) | 135,000 | 148,500 | |||||
Peabody Energy Corp., 7.375%, 2016 | 165,000 | 171,806 | |||||
Teck Resources Ltd., 10.25%, 2016 | 35,000 | 41,300 | |||||
Teck Resources Ltd., 10.75%, 2019 | 85,000 | 104,151 | |||||
U.S. Steel Corp., 7.375%, 2020 | 80,000 | 79,100 | |||||
$ | 1,008,758 | ||||||
Natural Gas - Distribution - 1.0% | |||||||
AmeriGas Partners LP, 7.125%, 2016 | $ | 145,000 | $ | 144,275 | |||
Ferrellgas Partners LP, 8.625%, 2020 | 120,000 | 120,000 | |||||
Inergy LP, 6.875%, 2014 | 120,000 | 118,200 | |||||
$ | 382,475 | ||||||
Natural Gas - Pipeline - 2.0% | |||||||
Atlas Pipeline Partners LP, | $ | 65,000 | $ | 59,800 | |||
Atlas Pipeline Partners LP, 8.75%, 2018 | 140,000 | 130,200 | |||||
Crosstex Energy, Inc., 8.875%, 2018 | 125,000 | 124,844 | |||||
El Paso Corp., 7%, 2017 | 175,000 | 174,015 | |||||
El Paso Corp., 7.75%, 2032 | 60,000 | 59,293 | |||||
Enterprise Products Partners LP, FRN, | 73,000 | 72,909 | |||||
MarkWest Energy Partners LP, | 120,000 | 115,200 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Natural Gas - Pipeline - continued | |||||||
MarkWest Energy Partners LP, | $ | 30,000 | $ | 30,300 | |||
$ | 766,561 | ||||||
Network & Telecom - 3.0% | |||||||
Cincinnati Bell, Inc., 8.25%, 2017 | $ | 35,000 | $ | 32,725 | |||
Cincinnati Bell, Inc., 8.75%, 2018 | 140,000 | 127,050 | |||||
Citizens Communications Co., | 50,000 | 46,375 | |||||
New Communications Holdings, Inc., | 30,000 | 30,113 | |||||
New Communications Holdings, Inc., | 215,000 | 215,538 | |||||
Nordic Telephone Co. Holdings, | 205,000 | 210,638 | |||||
Qwest Communications International, Inc., | 55,000 | 56,513 | |||||
Qwest Communications International, Inc., | 115,000 | 114,713 | |||||
Qwest Corp., 8.375%, 2016 | 61,000 | 66,643 | |||||
Windstream Corp., 8.625%, 2016 | 270,000 | 272,025 | |||||
$ | 1,172,333 | ||||||
Oil Services - 1.2% | |||||||
Allis-Chalmers Energy, Inc., 8.5%, 2017 | $ | 125,000 | $ | 108,125 | |||
Basic Energy Services, Inc., | 50,000 | 41,500 | |||||
Edgen Murray Corp., 12.25%, 2015 (n) | 50,000 | 42,250 | |||||
Expro Finance Luxembourg, | 100,000 | 95,500 | |||||
McJunkin Red Man Holding Corp., | 95,000 | 92,150 | |||||
Pioneer Drilling Co., 9.875%, 2018 (n) | 90,000 | 88,200 | |||||
$ | 467,725 | ||||||
Oils - 0.2% | |||||||
Petroplus Holdings AG, | $ | 100,000 | $ | 86,000 | |||
Other Banks & Diversified Financials - 1.6% | |||||||
Capital One Financial Corp., | $ | 150,000 | $ | 158,250 | |||
Citigroup Capital XXI, FRN, 8.3%, 2057 | 205,000 | 199,657 | |||||
LBG Capital No.1 PLC, | 200,000 | 161,000 | |||||
Santander UK PLC, | 120,000 | 120,651 | |||||
$ | 639,558 | ||||||
Printing & Publishing - 1.2% | |||||||
American Media Operations, Inc., | $ | 13,811 | $ | 8,760 | |||
American Media Operations, Inc., | 151,387 | 97,931 | |||||
McClatchy Co., 11.5%, 2017 (n) | 60,000 | 60,900 | |||||
Nielsen Finance LLC, 10%, 2014 | 140,000 | 143,150 | |||||
Nielsen Finance LLC, 11.5%, 2016 | 100,000 | 109,250 | |||||
Nielsen Finance LLC, 0% to 2011, | 28,000 | 26,670 | |||||
$ | 446,661 | ||||||
Railroad & Shipping - 0.4% | |||||||
Kansas City Southern Railway, | $ | 155,000 | $ | 159,650 | |||
20-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Real Estate - 0.3% | |||||||
CB Richard Ellis Group, Inc., | $ | 45,000 | $ | 50,400 | |||
Entertainment Properties Trust, REIT, | 60,000 | 60,150 | |||||
$ | 110,550 | ||||||
Retailers - 3.3% | |||||||
Couche-Tard, Inc., 7.5%, 2013 | $ | 55,000 | $ | 55,275 | |||
Dollar General Corp., | 62,000 | 70,448 | |||||
Express Parent LLC, 8.75%, 2018 (n) | 75,000 | 76,313 | |||||
Limited Brands, Inc., 6.9%, 2017 | 85,000 | 85,213 | |||||
Limited Brands, Inc., 6.95%, 2033 | 50,000 | 43,938 | |||||
Macy’s, Inc., 5.75%, 2014 | 90,000 | 90,450 | |||||
Macy’s, Inc., 5.9%, 2016 | 145,000 | 145,363 | |||||
Neiman Marcus Group, Inc., | 115,000 | 117,013 | |||||
QVC, Inc., 7.375%, 2020 (n) | 135,000 | 131,288 | |||||
Sally Beauty Holdings, Inc., | 145,000 | 155,150 | |||||
Toys “R” Us, Inc., 10.75%, 2017 (n) | 215,000 | 234,888 | |||||
Toys “R” Us, Inc., 8.5%, 2017 (n) | 75,000 | 76,875 | |||||
$ | 1,282,214 | ||||||
Specialty Stores - 0.5% | |||||||
Michaels Stores, Inc., 11.375%, 2016 | $ | 45,000 | $ | 46,800 | |||
Payless ShoeSource, Inc., 8.25%, 2013 | 142,000 | 143,420 | |||||
$ | 190,220 | ||||||
Telecommunications - Wireless - 4.8% | |||||||
Clearwire Corp., 12%, 2015 (n) | $ | 155,000 | $ | 153,644 | |||
Cricket Communications, Inc., | 95,000 | 96,900 | |||||
Crown Castle International Corp., | 75,000 | 79,313 | |||||
Crown Castle International Corp., | 60,000 | 63,450 | |||||
Crown Castle International Corp., | 190,000 | 185,725 | |||||
Digicel Group Ltd., 8.25%, 2017 (n) | 135,000 | 133,650 | |||||
Digicel Group Ltd., 10.5%, 2018 (n) | 130,000 | 134,063 | |||||
Nextel Communications, Inc., | 90,000 | 87,188 | |||||
NII Capital Corp., 8.875%, 2019 | 65,000 | 65,650 | |||||
NII Holdings, Inc., 10%, 2016 | 115,000 | 121,038 | |||||
SBA Communications Corp., | 40,000 | 41,400 | |||||
SBA Communications Corp., | 75,000 | 78,938 | |||||
Sprint Capital Corp., 6.875%, 2028 | 60,000 | 49,800 | |||||
Sprint Nextel Corp., 8.375%, 2017 | 165,000 | 165,000 | |||||
Sprint Nextel Corp., 8.75%, 2032 | 155,000 | 148,025 | |||||
Wind Acquisition Finance S.A., | 250,000 | 258,750 | |||||
$ | 1,862,534 | ||||||
Telephone Services - 0.3% | |||||||
Frontier Communications Corp., | $ | 135,000 | $ | 134,156 | |||
Tobacco - 0.2% | |||||||
Alliance One International, Inc., | $ | 75,000 | $ | 76,313 | |||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Transportation - Services - 1.1% | |||||||
American Petroleum Tankers LLC, | $ | 25,000 | $ | 25,063 | |||
Commercial Barge Line Co., | 195,000 | 205,969 | |||||
Hertz Corp., | 200,000 | 202,500 | |||||
$ | 433,532 | ||||||
Utilities - Electric Power - 4.0% | |||||||
AES Corp., 8%, 2017 | $ | 285,000 | $ | 287,850 | |||
Calpine Corp., 8%, 2016 (n) | 130,000 | 132,925 | |||||
Dynegy Holdings, Inc., 7.5%, 2015 | 125,000 | 98,906 | |||||
Dynegy Holdings, Inc., 7.5%, 2015 (n) | 85,000 | 66,831 | |||||
Dynegy Holdings, Inc., 7.75%, 2019 | 140,000 | 96,775 | |||||
Edison Mission Energy, 7%, 2017 | 295,000 | 188,800 | |||||
Energy Future Holdings Corp., | 45,000 | 33,300 | |||||
Energy Future Holdings Corp., | 115,000 | 114,425 | |||||
Mirant North America LLC, | 105,000 | 107,363 | |||||
NRG Energy, Inc., 7.375%, 2016 | 235,000 | 233,825 | |||||
Texas Competitive Electric Holdings LLC, | 300,000 | 198,000 | |||||
$ | 1,559,000 | ||||||
Total Bonds | $ | 35,678,988 | |||||
CONVERTIBLE BONDS - 0.4% | |||||||
Automotive - 0.3% | |||||||
Accuride Corp., 7.5%, 2020 | $ | 38,182 | $ | 97,958 | |||
Oil Services - 0.1% | |||||||
Transocean, Inc., 1.5%, 2037 | $ | 45,000 | $ | 37,238 | |||
Total Convertible Bonds | $ | 135,196 | |||||
FLOATING RATE LOANS (g)(r) - 2.9% | |||||||
Aerospace - 0.2% | |||||||
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014 | $ | 77,663 | $ | 76,563 | |||
Automotive - 1.1% | |||||||
Accuride Corp., Term Loan, | $ | 23,379 | $ | 23,262 | |||
Ford Motor Co., Term Loan, | 446,659 | 421,534 | |||||
$ | 444,796 | ||||||
Broadcasting - 0.3% | |||||||
Gray Television, Inc., Term Loan B, | $ | 54,346 | $ | 50,723 | |||
Local TV Finance LLC, Term Loan B, | 11,755 | 10,286 | |||||
New Young Broadcasting Holding Co., Inc, Term Loan, 2015 (o) | 55,005 | 54,657 | |||||
$ | 115,666 | ||||||
Consumer Services - 0.1% | |||||||
Realogy Corp., Letter of Credit, | $ | 15,478 | $ | 13,063 | |||
Realogy Corp., Term Loan, | 57,488 | 48,520 | |||||
$ | 61,583 | ||||||
21-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
FLOATING RATE LOANS (g)(r) - continued | |||||||
Financial Institutions - 0.1% | |||||||
American General Financial Corp., Term Loan B, 7.25%, 2015 | $ | 21,917 | $ | 21,293 | |||
Gaming & Lodging - 0.0% | |||||||
Green Valley Ranch Gaming LLC, Second Lien Term Loan, 3.5%, 2014 (d) | $ | 248,868 | $ | 8,710 | |||
Printing & Publishing - 0.3% | |||||||
Tribune Co., Incremental Term Loan B, | $ | 173,451 | $ | 102,399 | |||
Utilities - Electric Power - 0.8% | |||||||
Texas Competitive Electric Holdings Co. LLC, Term Loan B-2, | $ | 255,764 | $ | 188,466 | |||
Texas Competitive Electric Holdings Co. LLC, Term Loan B-3, 6.53%, 2014 | 160,265 | 118,020 | |||||
$ | 306,486 | ||||||
Total Floating Rate Loans | $ | 1,137,496 | |||||
COMMON STOCKS - 1.1% | |||||||
Automotive - 0.1% | |||||||
Accuride Corp. (a) | 26,727 | $ | 33,943 | ||||
Oxford Automotive, Inc. (a) | 53 | 0 | |||||
$ | 33,943 | ||||||
Broadcasting - 0.2% | |||||||
Dex One Corp. (a) | 1,664 | $ | 31,616 | ||||
New Young Broadcasting | 25 | 48,960 | |||||
Supermedia, Inc. (a) | 152 | 2,780 | |||||
$ | 83,356 | ||||||
Chemicals - 0.4% | |||||||
LyondellBasell Industries N.V., “A” (a) | 4,902 | $ | 79,167 | ||||
LyondellBasell Industries N.V., “B” (a) | 6,037 | 97,498 | |||||
$ | 176,665 | ||||||
Construction - 0.2% | |||||||
Nortek, Inc. (a) | 2,297 | $ | 96,474 | ||||
Gaming & Lodging - 0.1% | |||||||
Ameristar Casinos, Inc. | 1,600 | $ | 24,096 | ||||
Issuer | Shares/Par | Value ($) | |||||
COMMON STOCKS - continued | |||||||
Printing & Publishing - 0.1% | |||||||
American Media, Inc. (a) | 2,421 | $ | 14,816 | ||||
Golden Books Family Entertainment, | 21,250 | 0 | |||||
World Color Press, Inc. (a) | 725 | 8,084 | |||||
$ | 22,900 | ||||||
Special Products & Services - 0.0% | |||||||
Mark IV Industries LLC, Common | $ | 113 | $ | 4,746 | |||
Total Common Stocks | $ | 442,180 | |||||
PREFERRED STOCKS - 0.1% | |||||||
Other Banks & Diversified Financials - 0.1% | |||||||
Ally Financial, Inc., 7% (z) | 49 | $ | 38,087 | ||||
MONEY MARKET FUNDS (v) - 2.0% | |||||||
MFS Institutional Money Market Portfolio, 0.22%, at Cost and Net Asset Value | 779,655 | $ | 779,655 | ||||
Strike Price | First Exercise | |||||||||
WARRANTS - 0.4% | ||||||||||
Broadcasting - 0.4% | ||||||||||
New Young Broadcasting Holding Co., Inc. | $ | 0.10 | 7/14/10 | 67 | $ | 132,790 | ||||
Printing & Publishing - 0.0% | ||||||||||
World Color Press, Inc. | $ | 13.00 | 8/26/09 | 410 | $ | 615 | ||||
World Color Press, Inc. | 16.30 | 8/26/09 | 368 | 305 | ||||||
$ | 920 | |||||||||
Total Warrants | $ | 133,710 | ||||||||
Total Investments | $ | 38,345,312 | ||||||||
OTHER ASSETS, | 561,409 | |||||||||
NET ASSETS - 100.0% | $ | 38,906,721 | ||||||||
Derivative Contracts at 6/30/10
Forward Foreign Currency Exchange Contracts at 6/30/10
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 | 166,478 | 9/15/10 | $200,576 | $203,659 | $(3,083 | ) |
At June 30, 2010, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See Portfolio Footnotes and Notes to Financial Statements.
22-HYVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
Money Market Variable Account
Issuer | Shares/Par | Value ($) | ||||
CERTIFICATES OF DEPOSIT - 7.5% | ||||||
Major Banks - 4.1% | ||||||
Abbey National Treasury Services PLC/US Branch, | $ | 300,000 | $ | 300,000 | ||
Credit Suisse, New York, | 1,000,000 | 1,000,000 | ||||
$ | 1,300,000 | |||||
Other Banks & Diversified Financials - 3.4% | ||||||
Nordea Bank Finland PLC/New York, | $ | 1,100,000 | $ | 1,100,000 | ||
Total Certificates of Deposit, | $ | 2,400,000 | ||||
COMMERCIAL PAPER (y) - 51.3% | ||||||
Conglomerates - 3.0% | ||||||
United Technologies Corp., | $ | 975,000 | $ | 974,976 | ||
Consumer Products - 3.0% | ||||||
Procter & Gamble Co., | $ | 966,000 | $ | 965,742 | ||
Electronics - 4.2% | ||||||
Emerson Electric Co., | $ | 330,000 | $ | 329,967 | ||
Emerson Electric Co., | 1,000,000 | 999,819 | ||||
$ | 1,329,786 | |||||
Financial Institutions - 2.1% | ||||||
General Electric Capital Corp., | $ | 660,000 | $ | 659,960 | ||
Food & Beverages - 3.1% | ||||||
Nestle Capital Corp., | $ | 990,000 | $ | 989,535 | ||
Major Banks - 16.8% | ||||||
Abbey National North America LLC, | $ | 671,000 | $ | 670,851 | ||
ANZ National (International) Ltd., | 967,000 | 966,041 | ||||
BNP Paribas Finance, Inc., | 966,000 | 966,000 | ||||
JPMorgan Chase & Co., | 860,000 | 859,907 | ||||
Toronto Dominion HDG USA, | 990,000 | 989,993 | ||||
Westpac Banking Corp., | 940,000 | 939,514 | ||||
$ | 5,392,306 | |||||
Network & Telecom - 1.7% | ||||||
AT&T, Inc., 0.19%, due 7/06/10 (t) | $ | 560,000 | $ | 559,985 | ||
Other Banks & Diversified Financials - 12.3% | ||||||
Bank of Nova Scotia, | $ | 1,001,000 | $ | 1,000,610 | ||
Citigroup Funding, Inc., | 994,000 | 993,676 | ||||
Rabobank USA Financial Corp., | 960,000 | 959,795 | ||||
UBS Finance (Delaware) LLC, | 974,000 | 972,810 | ||||
$ | 3,926,891 | |||||
Personal Computers & Peripherals - 3.0% | ||||||
Hewlett-Packard Co., | $ | 973,000 | $ | 972,904 | ||
Issuer | Shares/Par | Value ($) | |||||
COMMERCIAL PAPER (y) - continued |
| ||||||
Tobacco - 2.1% | |||||||
Philip Morris International, Inc., | $ | 670,000 | $ | 669,870 | |||
Total Commercial Paper, | $ | 16,441,955 | |||||
U.S. GOVERNMENT AGENCIES AND |
| ||||||
Fannie Mae, 0.22%, due 8/25/10 | $ | 1,000,000 | $ | 999,664 | |||
Fannie Mae, 0.215%, due 9/01/10 | 600,000 | 599,778 | |||||
Fannie Mae, 0.25%, due 9/01/10 | 1,000,000 | 999,569 | |||||
Fannie Mae, 0.26%, due 9/01/10 | 1,000,000 | 999,552 | |||||
Freddie Mac, 0.19%, due 8/11/10 | 976,000 | 975,789 | |||||
Freddie Mac, 0.23%, due 9/01/10 | 1,000,000 | 999,604 | |||||
Freddie Mac, 0.25%, due 9/02/10 | 1,000,000 | 999,563 | |||||
Total U.S. Government Agencies and Equivalents, | $ | 6,573,519 | |||||
FLOATING RATE DEMAND NOTES - 2.5% |
| ||||||
East Baton Rouge, LA, Pollution Control Rev. (Exxon Mobil Corp.), | 500,000 | $ | 500,000 | ||||
Lincoln County, WY, Pollution Control Rev. (Exxon Mobil Corp.), | 300,000 | 300,000 | |||||
Total Floating Rate Demand Notes, | $ | 800,000 | |||||
REPURCHASE AGREEMENTS - 21.7% |
| ||||||
Bank of America Corp., 0.01%, dated 6/30/10, due 7/01/10, total to be received $3,222,001 (secured by U.S. Treasury and Federal Agency obligations valued at $3,286,440 in a jointly traded account) | $ | 3,222,000 | $ | 3,222,000 | |||
Goldman Sachs, 0.01%, dated 6/30/10, due 7/01/10, total to be received $3,222,001 (secured by various U.S. Treasury and Federal Agency obligations valued at $3,286,451 in a jointly traded account) | 3,222,000 | 3,222,000 | |||||
Morgan Stanley, 0.01%, dated 6/30/10, due 7/01/10, total to be received $529,000.15 (secured by U.S. Treasury and Federal Agency obligations valued at $543,397 in a jointly traded account) | 529,000 | 529,000 | |||||
Total Repurchase Agreements, | $ | 6,973,000 | |||||
Total Investments, | $ | 33,188,474 | |||||
OTHER ASSETS, | (1,153,679 | ) | |||||
NET ASSETS - 100.0% | $ | 32,034,795 | |||||
See Portfolio Footnotes and Notes to Financial Statements.
23-MMVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2010
Total Return Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 55.6% | |||||
Aerospace - 4.1% | |||||
Goodrich Corp. | 1,720 | $ | 113,937 | ||
Honeywell International, Inc. | 7,230 | 282,187 | |||
Lockheed Martin Corp. | 22,830 | 1,700,835 | |||
Northrop Grumman Corp. | 10,130 | 551,477 | |||
Precision Castparts Corp. | 1,270 | 130,708 | |||
United Technologies Corp. | 18,170 | 1,179,415 | |||
$ | 3,958,559 | ||||
Alcoholic Beverages - 0.7% | |||||
Diageo PLC | 36,836 | $ | 577,186 | ||
Heineken N.V. | 3,030 | 128,440 | |||
$ | 705,626 | ||||
Apparel Manufacturers - 0.8% | |||||
NIKE, Inc., “B” | 10,900 | $ | 736,295 | ||
Automotive - 0.2% | |||||
Johnson Controls, Inc. | 7,210 | $ | 193,733 | ||
Broadcasting - 1.4% | |||||
Omnicom Group, Inc. | 14,070 | $ | 482,601 | ||
Time Warner, Inc. | 4,960 | 143,394 | |||
Walt Disney Co. | 22,930 | 722,295 | |||
$ | 1,348,290 | ||||
Brokerage & Asset Managers - 0.5% | |||||
Charles Schwab Corp. | 13,120 | $ | 186,042 | ||
Deutsche Boerse AG | 1,790 | 108,755 | |||
Franklin Resources, Inc. | 1,740 | 149,971 | |||
$ | 444,768 | ||||
Business Services - 1.3% | |||||
Accenture Ltd., “A” | 14,360 | $ | 555,014 | ||
Dun & Bradstreet Corp. | 2,410 | 161,759 | |||
MasterCard, Inc., “A” | 1,270 | 253,403 | |||
Visa, Inc., “A” | 1,780 | 125,935 | |||
Western Union Co. | 10,320 | 153,871 | |||
$ | 1,249,982 | ||||
Cable TV - 0.2% | |||||
Comcast Corp., “Special A” | 10,750 | $ | 176,623 | ||
Chemicals - 1.6% | |||||
3M Co. | 9,110 | $ | 719,599 | ||
E.I. du Pont de Nemours & Co. | 4,070 | 140,781 | |||
Monsanto Co. | 1,900 | 87,818 | |||
PPG Industries, Inc. | 9,720 | 587,185 | |||
$ | 1,535,383 | ||||
Computer Software - 0.7% | |||||
Oracle Corp. | 33,460 | $ | 718,052 | ||
Computer Software - Systems - 1.4% | |||||
Dell, Inc. (a) | 13,370 | $ | 161,242 | ||
Hewlett-Packard Co. | 11,830 | 512,002 | |||
International Business Machines Corp. | 5,360 | 661,853 | |||
$ | 1,335,097 | ||||
Construction - 0.6% | |||||
Pulte Homes, Inc. (a) | 10,450 | $ | 86,526 | ||
Sherwin-Williams Co. | 4,120 | 285,063 | |||
Stanley Black & Decker, Inc. | 3,273 | 165,352 | |||
$ | 536,941 | ||||
Consumer Products - 1.1% | |||||
Clorox Co. | 3,220 | $ | 200,155 | ||
Procter & Gamble Co. | 13,533 | 811,709 | |||
$ | 1,011,864 | ||||
Consumer Services - 0.1% | |||||
Apollo Group, Inc., “A” (a) | 2,700 | $ | 114,669 | ||
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Electrical Equipment - 0.8% | |||||
Danaher Corp. | 13,540 | $ | 502,605 | ||
General Electric Co. | 9,240 | 133,241 | |||
Tyco Electronics Ltd. | 4,880 | 123,854 | |||
$ | 759,700 | ||||
Electronics - 0.6% | |||||
Intel Corp. | 30,770 | $ | 598,477 | ||
Energy - Independent - 2.4% | |||||
Anadarko Petroleum Corp. | 4,550 | $ | 164,210 | ||
Apache Corp. | 11,890 | 1,001,019 | |||
Devon Energy Corp. | 3,350 | 204,082 | |||
EOG Resources, Inc. | 4,460 | 438,730 | |||
Noble Energy, Inc. | 4,370 | 263,642 | |||
Occidental Petroleum Corp. | 2,450 | 189,018 | |||
$ | 2,260,701 | ||||
Energy - Integrated - 3.8% | |||||
Chevron Corp. | 13,065 | $ | 886,591 | ||
Exxon Mobil Corp. | 23,132 | 1,320,143 | |||
Hess Corp. | 8,410 | 423,359 | |||
Marathon Oil Corp. | 9,060 | 281,675 | |||
TOTAL S.A., ADR | 15,940 | 711,562 | |||
$ | 3,623,330 | ||||
Engineering - Construction - 0.2% | |||||
Fluor Corp. | 3,720 | $ | 158,100 | ||
Food & Beverages - 2.9% | |||||
General Mills, Inc. | 13,190 | $ | 468,509 | ||
Groupe Danone | 2,682 | 143,224 | |||
J.M. Smucker Co. | 2,108 | 126,944 | |||
Kellogg Co. | 5,530 | 278,159 | |||
Nestle S.A. | 20,120 | 970,789 | |||
PepsiCo, Inc. | 12,850 | 783,208 | |||
$ | 2,770,833 | ||||
Food & Drug Stores - 0.8% | |||||
CVS Caremark Corp. | 12,244 | $ | 358,994 | ||
Kroger Co. | 6,830 | 134,483 | |||
Walgreen Co. | 11,940 | 318,798 | |||
$ | 812,275 | ||||
Gaming & Lodging - 0.0% | |||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,130 | $ | 46,816 | ||
General Merchandise - 0.8% | |||||
Kohl’s Corp. (a) | 2,600 | $ | 123,500 | ||
Target Corp. | 7,050 | 346,649 | |||
Wal-Mart Stores, Inc. | 6,600 | 317,262 | |||
$ | 787,411 | ||||
Health Maintenance Organizations - 0.1% | |||||
WellPoint, Inc. (a) | 1,810 | $ | 88,563 | ||
Insurance - 3.8% | |||||
ACE Ltd. | 7,480 | $ | 385,070 | ||
Aflac, Inc. | 2,760 | 117,769 | |||
Allstate Corp. | 7,660 | 220,072 | |||
Aon Corp. | 5,930 | 220,122 | |||
Chubb Corp. | 3,720 | 186,037 | |||
MetLife, Inc. | 30,330 | 1,145,261 | |||
Prudential Financial, Inc. | 14,140 | 758,752 | |||
Travelers Cos., Inc. | 13,410 | 660,443 | |||
$ | 3,693,526 | ||||
Internet - 0.3% | |||||
eBay, Inc. (a) | 3,030 | $ | 59,418 | ||
Google, Inc., “A” (a) | 420 | 186,879 | |||
$ | 246,297 | ||||
24-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Leisure & Toys - 0.3% | |||||
Hasbro, Inc. | 6,830 | $ | 280,713 | ||
Machinery & Tools - 0.3% | |||||
Eaton Corp. | 4,870 | $ | 318,693 | ||
Major Banks - 7.5% | |||||
Bank of America Corp. | 69,830 | $ | 1,003,457 | ||
Bank of New York Mellon Corp. | 49,754 | 1,228,426 | |||
Goldman Sachs Group, Inc. | 9,910 | 1,300,886 | |||
JPMorgan Chase & Co. | 48,222 | 1,765,407 | |||
PNC Financial Services Group, Inc. | 7,620 | 430,530 | |||
Regions Financial Corp. | 5,870 | 38,625 | |||
State Street Corp. | 16,830 | 569,191 | |||
Wells Fargo & Co. | 35,780 | 915,968 | |||
$ | 7,252,490 | ||||
Medical & Health Technology & Services - 0.2% | |||||
DaVita, Inc. (a) | 2,410 | $ | 150,480 | ||
Medical Equipment - 1.8% | |||||
Becton, Dickinson & Co. | 6,490 | $ | 438,854 | ||
Medtronic, Inc. | 14,750 | 534,983 | |||
St. Jude Medical, Inc. (a) | 8,310 | 299,908 | |||
Thermo Fisher Scientific, Inc. (a) | 2,090 | 102,515 | |||
Waters Corp. (a) | 5,050 | 326,735 | |||
$ | 1,702,995 | ||||
Metals & Mining - 0.1% | |||||
United States Steel Corp. | 2,480 | $ | 95,604 | ||
Natural Gas - Distribution - 0.1% | |||||
Sempra Energy | 2,390 | $ | 111,828 | ||
Natural Gas - Pipeline - 0.2% | |||||
Williams Cos., Inc. | 11,510 | $ | 210,403 | ||
Network & Telecom - 0.2% | |||||
Cisco Systems, Inc. (a) | 10,270 | $ | 218,854 | ||
Oil Services - 0.7% | |||||
Halliburton Co. | 3,800 | $ | 93,290 | ||
National Oilwell Varco, Inc. | 5,760 | 190,483 | |||
Noble Corp. | 3,440 | 106,330 | |||
Schlumberger Ltd. | 1,920 | 106,253 | |||
Transocean, Inc. (a) | 2,820 | 130,651 | |||
$ | 627,007 | ||||
Other Banks & Diversified Financials - 0.2% | |||||
Marshall & Ilsley Corp. | 17,130 | $ | 122,993 | ||
Zions Bancorporation | 4,890 | 105,477 | |||
$ | 228,470 | ||||
Pharmaceuticals - 3.8% | |||||
Abbott Laboratories | 18,910 | $ | 884,610 | ||
Bayer AG | 3,764 | 210,013 | |||
GlaxoSmithKline PLC | 6,710 | 113,716 | |||
Johnson & Johnson | 23,760 | 1,403,266 | |||
Merck & Co., Inc. | 4,040 | 141,279 | |||
Pfizer, Inc. | 58,457 | 833,597 | |||
Roche Holding AG | 670 | 92,007 | |||
$ | 3,678,488 | ||||
Railroad & Shipping - 0.2% | |||||
Canadian National Railway Co. | 2,460 | $ | 141,155 | ||
Union Pacific Corp. | 1,260 | 87,583 | |||
$ | 228,738 | ||||
Restaurants - 0.3% | |||||
McDonald’s Corp. | 4,010 | $ | 264,139 | ||
Specialty Chemicals - 0.5% | |||||
Air Products & Chemicals, Inc. | 7,800 | $ | 505,518 | ||
Issuer | Shares/Par | Value ($) | ||||
COMMON STOCKS - continued | ||||||
Specialty Stores - 0.8% | ||||||
Advance Auto Parts, Inc. | 6,590 | $ | 330,686 | |||
Home Depot, Inc. | 5,370 | 150,736 | ||||
Staples, Inc. | 13,990 | 266,510 | ||||
$ | 747,932 | |||||
Telecommunications - Wireless - 0.8% | ||||||
Vodafone Group PLC | 371,660 | $ | 770,162 | |||
Telephone Services - 1.8% | ||||||
AT&T, Inc. | 63,704 | $ | 1,541,000 | |||
CenturyTel, Inc. | 5,595 | 186,369 | ||||
$ | 1,727,369 | |||||
Tobacco - 1.6% | ||||||
Altria Group, Inc. | 7,470 | $ | 149,699 | |||
Philip Morris International, Inc. | 29,510 | 1,352,738 | ||||
$ | 1,502,437 | |||||
Trucking - 0.2% | ||||||
United Parcel Service, Inc., “B” | 3,200 | $ | 182,048 | |||
Utilities - Electric Power - 2.8% | ||||||
American Electric Power Co., Inc. | 7,690 | $ | 248,387 | |||
CenterPoint Energy, Inc. | 4,520 | 59,483 | ||||
CMS Energy Corp. | 3,410 | 49,957 | ||||
Dominion Resources, Inc. | 9,114 | 353,076 | ||||
Entergy Corp. | 4,940 | 353,803 | ||||
NextEra Energy, Inc. | 5,780 | 281,833 | ||||
Northeast Utilities | 2,160 | 55,037 | ||||
NRG Energy, Inc. (a) | 7,430 | 157,590 | ||||
PG&E Corp. | 8,430 | 346,473 | ||||
PPL Corp. | 14,590 | 364,021 | ||||
Public Service Enterprise Group, Inc. | 14,280 | 447,392 | ||||
$ | 2,717,052 | |||||
Total Common Stocks | $ | 53,433,331 | ||||
BONDS - 43.2% | ||||||
Agency - Other - 0.1% | ||||||
Financing Corp., 9.65%, 2018 | $ | 45,000 | $ | 65,776 | ||
Asset-Backed & Securitized - 3.2% | ||||||
Anthracite Ltd., “A”, CDO, FRN, | $ | 112,137 | $ | 104,287 | ||
Banc of America Commercial Mortgage, Inc., FRN, 5.74%, 2051 | 210,000 | 219,226 | ||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.947%, 2040 (z) | 193,279 | 79,592 | ||||
BlackRock Capital Finance LP, | 30,362 | 3,894 | ||||
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049 | 320,000 | 326,127 | ||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049 | 130,000 | 126,263 | ||||
Countrywide Asset-Backed Certificates, FRN, 4.823%, 2035 | 1,199 | 1,188 | ||||
Countrywide Asset-Backed Certificates, FRN, 5.689%, 2046 | 90,000 | 58,250 | ||||
Credit Suisse Mortgage Capital Certificate, 5.695%, 2040 | 152,515 | 144,812 | ||||
Crest G-Star, CDO, FRN, | 247,616 | 239,568 | ||||
GMAC Mortgage Corp. Loan Trust, FRN, 5.805%, 2036 | 97,331 | 50,688 | ||||
HSBC Credit Card Master Note Trust, FRN, 0.899%, 2013 | 185,000 | 184,933 |
25-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., 4.78%, 2042 | $ | 152,000 | $ | 141,856 | ||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 | 97,000 | 101,685 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.407%, 2041 | 39,903 | 42,345 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 | 110,000 | 116,799 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.064%, 2045 | 110,000 | 117,222 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.983%, 2049 | 200,000 | 195,674 | ||||
Merrill Lynch Mortgage Trust, FRN, | 84,000 | 22,609 | ||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050 | 152,515 | 149,148 | ||||
Morgan Stanley Capital I, Inc., FRN, | 1,128,603 | 45,583 | ||||
Residential Asset Mortgage Products, Inc., FRN, 4.97%, 2034 | 92,000 | 91,868 | ||||
Residential Funding Mortgage Securities, Inc., 5.32%, 2035 | 129,000 | 46,879 | ||||
Spirit Master Funding LLC, | 152,372 | 132,600 | ||||
Structured Asset Securities Corp., FRN, 4.67%, 2035 | 54,813 | 53,540 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 6.099%, 2051 | 245,000 | 240,652 | ||||
$ | 3,037,288 | |||||
Automotive - 0.1% | ||||||
Toyota Motor Credit Corp., 3.2%, 2015 | $ | 50,000 | $ | 51,033 | ||
Broadcasting - 0.1% | ||||||
News America, Inc., 8.5%, 2025 | $ | 99,000 | $ | 122,514 | ||
Building - 0.0% | ||||||
CRH America, Inc., 6.95%, 2012 | $ | 23,000 | $ | 24,908 | ||
Cable TV - 0.3% | ||||||
Cox Communications, Inc., | $ | 115,000 | $ | 122,618 | ||
Time Warner Entertainment Co. LP, | 110,000 | 136,541 | ||||
$ | 259,159 | |||||
Computer Software - 0.1% | ||||||
Adobe Systems, Inc., 3.25%, 2015 | $ | 28,000 | $ | 28,755 | ||
Adobe Systems, Inc., 4.75%, 2020 | 49,000 | 50,519 | ||||
$ | 79,274 | |||||
Conglomerates - 0.2% | ||||||
Kennametal, Inc., 7.2%, 2012 | $ | 211,000 | $ | 224,304 | ||
Consumer Products - 0.2% | ||||||
Fortune Brands, Inc., 5.125%, 2011 | $ | 154,000 | $ | 156,959 | ||
Consumer Services - 0.2% | ||||||
Western Union Co., 5.4%, 2011 | $ | 165,000 | $ | 173,924 | ||
Defense Electronics - 0.1% | ||||||
BAE Systems Holdings, Inc., | $ | 103,000 | $ | 110,462 | ||
Electronics - 0.1% | ||||||
Tyco Electronics Group S.A., | $ | 128,000 | $ | 146,997 | ||
Emerging Market Quasi-Sovereign - 0.2% | ||||||
Petroleos Mexicanos, 8%, 2019 | $ | 66,000 | $ | 78,540 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Emerging Market Quasi-Sovereign - continued | ||||||
Qtel International Finance Ltd., | $ | 100,000 | $ | 115,632 | ||
$ | 194,172 | |||||
Emerging Market Sovereign - 0.2% | ||||||
Russian Federation, 3.625%, 2015 (z) | $ | 200,000 | $ | 193,500 | ||
Energy - Independent - 0.1% | ||||||
Anadarko Petroleum Corp., | $ | 120,000 | $ | 95,457 | ||
Energy - Integrated - 0.4% | ||||||
Hess Corp., 8.125%, 2019 | $ | 20,000 | $ | 24,931 | ||
Husky Energy, Inc., 5.9%, 2014 | 69,000 | 76,806 | ||||
Husky Energy, Inc., 7.25%, 2019 | 71,000 | 85,803 | ||||
Petro-Canada, 6.05%, 2018 | 148,000 | 166,652 | ||||
$ | 354,192 | |||||
Food & Beverages - 0.3% | ||||||
Anheuser-Busch Cos., Inc., | $ | 110,000 | $ | 143,733 | ||
Dr. Pepper Snapple Group, Inc., | 48,000 | 57,248 | ||||
Miller Brewing Co., 5.5%, 2013 (n) | 126,000 | 137,843 | ||||
$ | 338,824 | |||||
Food & Drug Stores - 0.1% | ||||||
CVS Caremark Corp., 6.125%, 2016 | $ | 110,000 | $ | 125,828 | ||
Gaming & Lodging - 0.1% | ||||||
Wyndham Worldwide Corp., 6%, 2016 | $ | 100,000 | $ | 97,017 | ||
Insurance - 0.3% | ||||||
ING Groep N.V., 5.775% to 2015, | $ | 133,000 | $ | 93,765 | ||
Metropolitan Life Global Funding, | 100,000 | 108,157 | ||||
Metropolitan Life Global Funding, | 40,000 | 43,453 | ||||
Prudential Financial, Inc., 5.375%, 2020 | 20,000 | 20,256 | ||||
Prudential Financial, Inc., 6.625%, 2040 | 30,000 | 30,531 | ||||
$ | 296,162 | |||||
Insurance - Property & Casualty - 0.4% | ||||||
Allstate Corp., 6.125%, 2032 | $ | 185,000 | $ | 193,455 | ||
Chubb Corp., 6.375% to 2017, | 200,000 | 192,000 | ||||
$ | 385,455 | |||||
International Market Quasi-Sovereign - 0.8% | ||||||
Achmea Hypotheekbank N.V., | $ | 110,000 | $ | 113,647 | ||
ING Bank N.V., 3.9%, 2014 (n) | 110,000 | 117,921 | ||||
Irish Life & Permanent PLC, | 100,000 | 99,077 | ||||
KFW International Finance, Inc., | 120,000 | 133,623 | ||||
Royal Bank of Scotland Group PLC, | 200,000 | 204,557 | ||||
Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 107,000 | 111,775 | ||||
$ | 780,600 | |||||
Local Authorities - 0.2% | ||||||
Metropolitan Transportation Authority, NY (Build America Bonds), 7.336%, 2039 | $ | 95,000 | $ | 116,002 | ||
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 2040 | 90,000 | 109,629 | ||||
$ | 225,631 | |||||
26-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Machinery & Tools - 0.1% | ||||||
Atlas Copco AB, 5.6%, 2017 (n) | $ | 90,000 | $ | 97,438 | ||
Major Banks - 1.6% | ||||||
Bank of America Corp., 7.375%, 2014 | $ | 40,000 | $ | 44,830 | ||
Bank of America Corp., 7.625%, 2019 | 60,000 | 68,730 | ||||
Commonwealth Bank of Australia, | 60,000 | 62,283 | ||||
Credit Suisse New York, 5.5%, 2014 | 120,000 | 131,201 | ||||
DBS Group Holdings Ltd., | 115,000 | 117,013 | ||||
Goldman Sachs Group, Inc., | 101,000 | 102,122 | ||||
JPMorgan Chase & Co., 6.3%, 2019 | 100,000 | 112,950 | ||||
JPMorgan Chase Capital XXVII, | 60,000 | 61,016 | ||||
Merrill Lynch & Co., Inc., 6.15%, 2013 | 100,000 | 106,914 | ||||
Morgan Stanley, 5.75%, 2016 | 100,000 | 100,742 | ||||
Morgan Stanley, 6.625%, 2018 | 140,000 | 146,739 | ||||
PNC Funding Corp., 5.625%, 2017 | 90,000 | 95,749 | ||||
UniCredito Italiano Capital Trust II, | 208,000 | 196,560 | ||||
UniCredito Luxembourg Finance S.A., | 100,000 | 99,803 | ||||
Wachovia Corp., 5.25%, 2014 | 81,000 | 85,778 | ||||
$ | 1,532,430 | |||||
Medical & Health Technology & Services - 0.4% | ||||||
Cardinal Health, Inc., 5.8%, 2016 | $ | 75,000 | $ | 83,988 | ||
CareFusion Corp., 6.375%, 2019 | 100,000 | 114,233 | ||||
Hospira, Inc., 5.55%, 2012 | 50,000 | 53,238 | ||||
Hospira, Inc., 6.05%, 2017 | 93,000 | 104,707 | ||||
$ | 356,166 | |||||
Metals & Mining - 0.2% | ||||||
ArcelorMittal, 6.125%, 2018 | $ | 155,000 | $ | 162,112 | ||
Mortgage-Backed - 15.1% | ||||||
Fannie Mae, 4.01%, 2013 | $ | 17,748 | $ | 18,685 | ||
Fannie Mae, 4.589%, 2014 | 88,638 | 95,152 | ||||
Fannie Mae, 4.63%, 2014 | 44,101 | 47,373 | ||||
Fannie Mae, 4.841%, 2014 | 56,631 | 61,145 | ||||
Fannie Mae, 4.56%, 2015 | 36,820 | 39,631 | ||||
Fannie Mae, 4.78%, 2015 | 37,033 | 40,283 | ||||
Fannie Mae, 4.922%, 2015 | 91,182 | 99,571 | ||||
Fannie Mae, 5.09%, 2016 | 40,000 | 44,156 | ||||
Fannie Mae, 5.5%, 2016-2038 | 2,845,976 | 3,070,567 | ||||
Fannie Mae, 5.724%, 2016 | 23,435 | 25,953 | ||||
Fannie Mae, 4.989%, 2017 | 80,700 | 87,891 | ||||
Fannie Mae, 5.05%, 2017 | 38,788 | 42,838 | ||||
Fannie Mae, 6%, 2017-2037 | 1,545,899 | 1,695,619 | ||||
Fannie Mae, 4.5%, 2018-2035 | 376,909 | 398,446 | ||||
Fannie Mae, 5%, 2018-2039 | 1,601,581 | 1,705,096 | ||||
Fannie Mae, 6.5%, 2031-2037 | 526,296 | 585,309 | ||||
Fannie Mae, 7.5%, 2031 | 14,569 | 16,613 | ||||
Freddie Mac, 6%, 2016-2037 | 731,965 | 803,115 | ||||
Freddie Mac, 4.5%, 2018-2039 | 1,002,993 | 1,053,999 | ||||
Freddie Mac, 5%, 2018-2039 | 1,906,827 | 2,024,021 | ||||
Freddie Mac, 5.085%, 2019 | 106,000 | 116,011 | ||||
Freddie Mac, 5.5%, 2021-2034 | 564,989 | 610,237 | ||||
Freddie Mac, 6.5%, 2034-2037 | 241,244 | 266,029 | ||||
Ginnie Mae, 4.5%, 2033-2040 | 146,837 | 153,947 | ||||
Ginnie Mae, 5%, 2033-2039 | 702,988 | 751,359 | ||||
Ginnie Mae, 5.5%, 2033-2035 | 319,687 | 347,878 | ||||
Ginnie Mae, 6%, 2033-2038 | 297,939 | 327,787 | ||||
$ | 14,528,711 | |||||
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Municipals - 0.4% | ||||||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, | $ | 55,000 | $ | 64,437 | ||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), 5.5%, 2030 | 65,000 | 75,933 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Massachusetts Institute of Technology), “K”, | 185,000 | 226,564 | ||||
$ | 366,934 | |||||
Natural Gas - Pipeline - 0.5% | ||||||
CenterPoint Energy, Inc., 7.875%, 2013 | $ | 112,000 | $ | 128,338 | ||
Enterprise Products Operating LLC, | 76,000 | 85,211 | ||||
Kinder Morgan Energy Partners LP, | 165,000 | 170,801 | ||||
Kinder Morgan Energy Partners LP, | 71,000 | 80,425 | ||||
Spectra Energy Capital LLC, 8%, 2019 | 53,000 | 63,746 | ||||
$ | 528,521 | |||||
Network & Telecom - 0.3% | ||||||
Telecom Italia Capital, 5.25%, 2013 | $ | 60,000 | $ | 61,974 | ||
Telefonica Europe B.V., 7.75%, 2010 | 38,000 | 38,475 | ||||
Verizon New York, Inc., 6.875%, 2012 | 196,000 | 211,792 | ||||
$ | 312,241 | |||||
Oils - 0.1% | ||||||
Valero Energy Corp., 6.875%, 2012 | $ | 111,000 | $ | 119,505 | ||
Other Banks & Diversified Financials - 1.0% | ||||||
American Express Co., 5.5%, 2016 | $ | 96,000 | $ | 102,883 | ||
Capital One Financial Corp., | 130,000 | 137,558 | ||||
Groupe BPCE S.A., 12.5% to 2019, | 118,000 | 131,250 | ||||
Nordea Bank AB, 5.424% to 2015, | 100,000 | 89,429 | ||||
Svenska Handelsbanken AB, | 120,000 | 126,702 | ||||
UBS Preferred Funding Trust V, | 190,000 | 162,925 | ||||
Woori Bank, 6.125% to 2011, | 220,000 | 221,672 | ||||
$ | 972,419 | |||||
Pharmaceuticals - 0.4% | ||||||
Allergan, Inc., 5.75%, 2016 | $ | 160,000 | $ | 187,185 | ||
Pfizer, Inc., 7.2%, 2039 | 50,000 | 65,729 | ||||
Roche Holdings, Inc., 6%, 2019 (n) | 160,000 | 186,383 | ||||
$ | 439,297 | |||||
Railroad & Shipping - 0.0% | ||||||
CSX Corp., 6.75%, 2011 | $ | 6,000 | $ | 6,215 | ||
Real Estate - 0.3% | ||||||
Boston Properties, Inc., REIT, 5%, 2015 | $ | 42,000 | $ | 43,552 | ||
HRPT Properties Trust, REIT, | 180,000 | 183,286 | ||||
WEA Finance LLC, REIT, | 31,000 | 34,455 | ||||
$ | 261,293 | |||||
Retailers - 0.3% | ||||||
Home Depot, Inc., 5.875%, 2036 | $ | 48,000 | $ | 49,205 | ||
Limited Brands, Inc., 5.25%, 2014 | 36,000 | 35,730 |
27-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Retailers - continued | ||||||
Wal-Mart Stores, Inc., 5.25%, 2035 | $ | 194,000 | $ | 204,322 | ||
$ | 289,257 | |||||
Supranational - 0.1% | ||||||
Asian Development Bank, 2.75%, 2014 | $ | 80,000 | $ | 82,959 | ||
Telecommunications - Wireless - 0.3% | ||||||
Crown Castle Towers LLC, | $ | 105,000 | $ | 115,243 | ||
Rogers Communications, Inc., | 132,000 | 156,038 | ||||
$ | 271,281 | |||||
Tobacco - 0.1% | ||||||
Philip Morris International, Inc., | $ | 74,000 | $ | 80,033 | ||
Transportation - Services - 0.1% | ||||||
Erac USA Finance Co., 7%, 2037 (n) | $ | 98,000 | $ | 106,791 | ||
U.S. Government Agencies and Equivalents - 0.8% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 152,000 | $ | 167,518 | ||
Small Business Administration, | 27,215 | 28,711 | ||||
Small Business Administration, | 67,380 | 71,643 | ||||
Small Business Administration, | 109,341 | 117,052 | ||||
Small Business Administration, | 163,373 | 175,762 | ||||
Small Business Administration, | 94,099 | 100,362 | ||||
Small Business Administration, | 68,499 | 73,394 | ||||
$ | 734,442 | |||||
U.S. Treasury Obligations - 12.0% | ||||||
U.S. Treasury Bonds, 2%, 2013 | $ | 197,000 | $ | 202,233 | ||
U.S. Treasury Bonds, 8.5%, 2020 | 50,000 | 73,344 | ||||
U.S. Treasury Bonds, 8%, 2021 | 37,000 | 53,812 | ||||
U.S. Treasury Bonds, 6%, 2026 | 125,000 | 161,074 | ||||
U.S. Treasury Bonds, 6.75%, 2026 | 32,000 | 44,425 | ||||
U.S. Treasury Bonds, 5.25%, 2029 | 137,000 | 164,871 | ||||
U.S. Treasury Bonds, 5.375%, 2031 | 220,000 | 270,669 | ||||
U.S. Treasury Bonds, 4.5%, 2036 | 94,000 | 103,841 | ||||
U.S. Treasury Bonds, 5%, 2037 | 552,000 | 657,915 | ||||
U.S. Treasury Bonds, 4.5%, 2039 | 438,700 | 483,187 | ||||
U.S. Treasury Notes, 1.5%, 2010 | 321,000 | 322,379 | ||||
U.S. Treasury Notes, 0.875%, 2011 | 776,000 | 779,001 | ||||
U.S. Treasury Notes, 5.125%, 2011 | 941,000 | 985,293 | ||||
U.S. Treasury Notes, 1.375%, 2013 | 733,000 | 742,850 | ||||
U.S. Treasury Notes, 3.875%, 2013 | 614,000 | 663,264 | ||||
U.S. Treasury Notes, 3.5%, 2013 | 420,000 | 451,336 | ||||
U.S. Treasury Notes, 3.125%, 2013 | 57,000 | 60,687 | ||||
U.S. Treasury Notes, 2.75%, 2013 | 1,190,000 | 1,252,382 | ||||
U.S. Treasury Notes, 1.5%, 2013 | 280,000 | 282,363 | ||||
U.S. Treasury Notes, 1.875%, 2014 | 1,205,000 | 1,226,747 | ||||
U.S. Treasury Notes, 4.75%, 2014 | 150,000 | 169,219 | ||||
U.S. Treasury Notes, 2.625%, 2016 | 68,000 | 69,960 | ||||
U.S. Treasury Notes, 4.75%, 2017 | 146,000 | 168,801 | ||||
U.S. Treasury Notes, 3.75%, 2018 | 1,959,000 | 2,110,823 | ||||
$ | 11,500,476 | |||||
Utilities - Electric Power - 1.3% | ||||||
Bruce Mansfield Unit, 6.85%, 2034 | $ | 206,032 | $ | 215,233 | ||
Enel Finance International S.A., | 170,000 | 184,258 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Utilities - Electric Power - continued | ||||||
Exelon Generation Co. LLC, | $ | 80,000 | $ | 85,456 | ||
MidAmerican Funding LLC, | 54,000 | 63,705 | ||||
Oncor Electric Delivery Co., 7%, 2022 | 152,000 | 183,243 | ||||
PSEG Power LLC, 6.95%, 2012 | 111,000 | 121,269 | ||||
PSEG Power LLC, 5.32%, 2016 (n) | 91,000 | 98,068 | ||||
System Energy Resources, Inc., | 45,945 | 46,903 | ||||
Waterford 3 Funding Corp., | 264,256 | 274,980 | ||||
$ | 1,273,115 | |||||
Total Bonds | $ | 41,561,072 | ||||
CONVERTIBLE PREFERRED STOCKS - 0.1% | ||||||
Utilities - Electric Power - 0.1% | ||||||
PPL Corp.(Identified Cost, $48,000) | 960 | $ | 49,925 | |||
MONEY MARKET FUNDS (v) - 0.7% | ||||||
MFS Institutional Money Market Portfolio, 0.22%, at Cost and Net Asset Value | 697,144 | $ | 697,144 | |||
Total Investments | $ | 95,741,472 | ||||
OTHER ASSETS, | 420,679 | |||||
NET ASSETS - 100.0% | $ | 96,162,151 | ||||
See portfolio footnotes and notes to financial statements.
28-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. |
(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 | $ | 113,501 | 1.7 | % | ||
Government Securities Variable Account | 766,500 | 1.3 | ||||
High Yield Variable Account | 8,367,844 | 21.5 | ||||
Total Return Variable Account | 3,223,081 | 3.4 |
(o) | All or a portion of this position has not settled. Upon settlement date, interest rate for unsettled amounts will be determined. The rate shown represents the weighted average coupon rate for settled amounts. |
(p) | Payment-in-kind security. |
(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 accounts hold the following restricted securities: |
Variable Account | Restricted Securities | Acquisition Date | Cost | Current Market Value | ||||||
Global Governments Variable Account | Bayview Commercial Asset Trust, FRN, 1.004%, 2023 | 5/25/06 | $ | 27,125 | $ | 21,764 | ||||
Commercial Mortgage Asset Trust, FRN, 1.091%, 2032 | 8/25/03 | 24,776 | 25,678 | |||||||
Total Restricted Securities | $ | 47,442 | ||||||||
% of Net Assets | 0.7% | |||||||||
High Yield Variable Account | ARCap REIT, Inc., CDO, “H”, 6.079%, 2045 | 9/21/04 | $ | 144,412 | $ | 10,348 | ||||
Ally Financial, Inc., 7% (Preferred Stock) | 3/12/10 | 36,650 | 38,087 | |||||||
American Media Operations, Inc., 9%, 2013 | 1/29/09 - 10/15/09 | 10,054 | 8,760 | |||||||
American Media Operations, Inc., 14%, 2013 | 1/29/09 - 4/15/09 | 97,991 | 97,931 | |||||||
American Petroleum Tankers LLC, 10.25%, 2015 | 5/6/10 | 24,314 | 25,063 | |||||||
Bonten Media Acquisition Co., 9%, 2015 | 5/22/07 - 5/19/09 | 130,003 | 74,531 | |||||||
Capella Healthcare, Inc., 9.25%, 2017 | 6/21/10 | 24,685 | 25,250 | |||||||
Case New Holland, Inc., 7.875%, 2017 | 6/22/10 | 104,286 | 105,788 | |||||||
Entertainment Properties Trust, REIT, 7.75%, 2020 | 6/25/10 | 58,974 | 60,150 | |||||||
Insight Communications Co., Inc., 9.375%, 2018 | 6/30/10 | 75,000 | 75,000 | |||||||
LBI Media, Inc., 8.5%, 2017 | 7/18/07 | 98,350 | 85,750 | |||||||
Local TV Finance LLC, 10%, 2015 | 11/09/07 - 11/30/09 | 174,256 | 147,633 | |||||||
Nationstar Mortgage LLC, 10.875%, 2015 | 3/23/10 | 53,525 | 43,175 | |||||||
USI Holdings Corp., 9.75%, 2015 | 5/07/07 - 11/28/07 | 156,538 | 146,800 | |||||||
Wachovia Credit, CDO, FRN, 1.888%, 2026 | 6/08/06 | 250,000 | 10,000 | |||||||
Total Restricted Securities | $ | 954,266 | ||||||||
% of Net Assets | 2.5% | |||||||||
Total Return Variable Account | Anthracite Ltd., “A”, CDO, FRN, 0.797%, 2017 | 3/19/10 | $ | 104,024 | $ | 104,287 | ||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.947%, 2040 | 3/01/06 | 193,279 | 79,592 | |||||||
Russian Federation, 3.625%, 2015 | 4/22/10 | 198,983 | 193,500 | |||||||
Spirit Master Funding LLC, 5.05%, 2023 | 10/04/05 | 150,765 | 132,600 | |||||||
System Energy Resources, Inc., 5.129%, 2014 | 4/16/04 | 45,945 | 46,903 | |||||||
Total Restricted Securities | $ | 556,882 | ||||||||
% of Net Assets | 0.6% | |||||||||
29
Table of Contents
Portfolio of Investments (unaudited) — continued
The following abbreviations are used in this report and are defined:
ADR | American Depository Receipt |
CDO | Collateralized Debt Obligation |
FRN | Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. |
GDR | Global Depository Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
STRIPS | Separate Trading of Registered Interest and Principal of Securities Insurers |
Insurers | ||
AGM | Assured Guaranty Municipal |
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 |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CNY | Chinese Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
TRY | Turkish Lira |
ZAR | South African Rand |
See notes to financial statements.
30
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2010
(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 | $ | 106,884 | $ | 6,060 | $ | 50,275 | $ | 38,600 | $ | 26,215 | $ | 91,891 | ||||||||||||
Underlying funds, at cost and net asset value | 916 | 235 | 4,963 | 780 | — | 697 | ||||||||||||||||||
Repurchase agreements, at cost and value | — | — | — | — | 6,973 | — | ||||||||||||||||||
Total investments, at identified cost | $ | 107,800 | $ | 6,295 | $ | 55,238 | $ | 39,380 | $ | 33,188 | $ | 92,588 | ||||||||||||
Unrealized appreciation (depreciation) | 5,126 | 126 | 3,667 | (1,035 | ) | — | 3,153 | |||||||||||||||||
Total investments, at value | $ | 112,926 | $ | 6,421 | $ | 58,905 | $ | 38,345 | $ | 33,188 | $ | 95,741 | ||||||||||||
Cash | — | — | — | 6 | 0 | * | 1 | |||||||||||||||||
Receivables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | — | 51 | — | — | — | — | ||||||||||||||||||
Investments sold | 3,781 | 35 | 295 | 496 | — | 642 | ||||||||||||||||||
Interest and dividends | 105 | 92 | 408 | 724 | 17 | 422 | ||||||||||||||||||
Units sold | 0 | * | 0 | * | 0 | * | — | — | 0 | * | ||||||||||||||
Receivable from investment adviser | 7 | 7 | — | 4 | 2 | 7 | ||||||||||||||||||
Receivable from sponsor | — | — | — | — | — | 7 | ||||||||||||||||||
Other assets | 3 | 0 | * | 1 | 1 | 1 | 2 | |||||||||||||||||
Total assets | $ | 116,822 | $ | 6,606 | $ | 59,609 | $ | 39,576 | $ | 33,208 | $ | 96,822 | ||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | 46 | $ | — | $ | 3 | $ | — | $ | — | ||||||||||||
Daily variation margin on open futures contracts | — | — | 1 | — | — | — | ||||||||||||||||||
Investments purchased | 3,449 | — | 402 | 608 | 965 | 608 | ||||||||||||||||||
Units surrendered | 34 | 1 | 79 | 4 | 166 | 9 | ||||||||||||||||||
Payable to affiliates — | ||||||||||||||||||||||||
Investment adviser | 5 | 0 | * | 2 | 1 | 1 | 4 | |||||||||||||||||
Administrative fee | 0 | * | 0 | * | 0 | * | 0 | * | 0 | * | 0 | * | ||||||||||||
Sponsor | 89 | 0 | * | 26 | 20 | 24 | — | |||||||||||||||||
Board of Managers fees | 3 | 0 | * | 1 | 1 | 1 | 2 | |||||||||||||||||
Accrued expenses and other liabilities | 30 | 29 | 29 | 32 | 16 | 37 | ||||||||||||||||||
Total liabilities | $ | 3,610 | $ | 76 | $ | 540 | $ | 669 | $ | 1,173 | $ | 660 | ||||||||||||
Net assets | $ | 113,212 | $ | 6,530 | $ | 59,069 | $ | 38,907 | $ | 32,035 | $ | 96,162 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
31
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2010 — continued
(000 Omitted except for unit values)
Units | 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 | 1,446 | $ | 50.014 | $ | 72,334 | ||||||||||||||||||
Compass 3 | 21 | 32.800 | 701 | ||||||||||||||||||||
Compass 3 – Level 2 | 2,797 | 13.765 | 38,496 | ||||||||||||||||||||
Global Governments Variable Account — | |||||||||||||||||||||||
Compass 2 | 61 | $ | 30.202 | $ | 1,829 | ||||||||||||||||||
Compass 3 | 5 | 29.210 | 141 | ||||||||||||||||||||
Compass 3 – Level 2 | 261 | 17.274 | 4,510 | ||||||||||||||||||||
Government Securities Variable Account — | |||||||||||||||||||||||
Compass 2 | 938 | $ | 47.072 | $ | 44,152 | ||||||||||||||||||
Compass 3 | 4 | 32.704 | 134 | ||||||||||||||||||||
Compass 3 – Level 2 | 692 | 19.309 | 13,367 | ||||||||||||||||||||
High Yield Variable Account — | |||||||||||||||||||||||
Compass 2 | 700 | $ | 43.834 | $ | 30,704 | ||||||||||||||||||
Compass 3 | 7 | 32.034 | 226 | ||||||||||||||||||||
Compass 3 – Level 2 | 420 | 17.286 | 7,264 | ||||||||||||||||||||
Money Market Variable Account — | |||||||||||||||||||||||
Compass 2 | 703 | $ | 21.386 | $ | 15,015 | ||||||||||||||||||
Compass 3 | 13 | 17.424 | 227 | ||||||||||||||||||||
Compass 3 – Level 2 | 1,258 | 13.168 | 16,568 | ||||||||||||||||||||
Total Return Variable Account — | |||||||||||||||||||||||
Compass 2 | 645 | $ | 45.845 | $ | 29,572 | ||||||||||||||||||
Compass 3 | 39 | 44.342 | 1,720 | ||||||||||||||||||||
Compass 3 – Level 2 | 2,949 | 21.614 | 63,736 | ||||||||||||||||||||
Net assets applicable to owners of deferred contracts | 111,531 | 6,480 | 57,653 | 38,194 | 31,810 | 95,028 | |||||||||||||||||
Reserve for variable annuities — | |||||||||||||||||||||||
Compass 2 Contracts | 1,487 | 11 | 1,375 | 678 | 179 | 838 | |||||||||||||||||
Compass 3 Contracts | — | — | — | — | — | — | |||||||||||||||||
Compass 3 – Level 2 Contracts | 194 | 39 | 41 | 35 | 46 | 296 | |||||||||||||||||
Net assets | $ | 113,212 | $ | 6,530 | $ | 59,069 | $ | 38,907 | $ | 32,035 | $ | 96,162 | |||||||||||
See notes to financial statements.
32
Table of Contents
Statements of Operations (unaudited) — Six Months Ended June 30, 2010
(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 | $ | — | $ | 94 | $ | 1,302 | $ | 1,787 | $ | 44 | $ | 962 | ||||||||||||
Dividends | 845 | — | — | 8 | — | 720 | ||||||||||||||||||
Dividends from underlying funds | 1 | 0 | * | 4 | 1 | — | 1 | |||||||||||||||||
Foreign taxes withheld | (14 | ) | — | — | — | — | (11 | ) | ||||||||||||||||
Total investment income | $ | 832 | $ | 94 | $ | 1,306 | $ | 1,796 | $ | 44 | $ | 1,672 | ||||||||||||
Expenses — | ||||||||||||||||||||||||
Mortality and expense risk charges | $ | 796 | $ | 43 | $ | 373 | $ | 252 | $ | 207 | $ | 632 | ||||||||||||
Management fee | 476 | 26 | 164 | 150 | 82 | 386 | ||||||||||||||||||
Boards of Managers fees | 9 | 1 | 4 | 3 | 2 | 7 | ||||||||||||||||||
Distribution expense charge | 1 | 0 | * | 0 | * | 0 | * | 0 | * | 1 | ||||||||||||||
Administrative fee | 24 | 5 | 12 | 8 | 7 | 19 | ||||||||||||||||||
Custodian fee | 16 | 14 | 14 | 12 | 3 | 24 | ||||||||||||||||||
Printing | 3 | 3 | 3 | 3 | 5 | 3 | ||||||||||||||||||
Auditing fees | 18 | 23 | 21 | 26 | 11 | 24 | ||||||||||||||||||
Legal fees | 4 | 4 | 4 | 4 | 4 | 4 | ||||||||||||||||||
Miscellaneous | 5 | 2 | 3 | 3 | 4 | 7 | ||||||||||||||||||
Total expenses | $ | 1,352 | $ | 121 | $ | 598 | $ | 461 | $ | 325 | $ | 1,107 | ||||||||||||
Fees paid indirectly | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | ||||||||||||
Reduction of expenses by investment adviser | (34 | ) | (34 | ) | — | (28 | ) | (75 | ) | (35 | ) | |||||||||||||
Net expenses | $ | 1,318 | $ | 87 | $ | 598 | $ | 433 | $ | 250 | $ | 1,072 | ||||||||||||
Net investment income (loss) | $ | (486 | ) | $ | 7 | $ | 708 | $ | 1,363 | $ | (206 | ) | $ | 600 | ||||||||||
Realized and unrealized gain (loss) on investments: | ||||||||||||||||||||||||
Realized gain (loss) (identified cost basis) — | ||||||||||||||||||||||||
Investment transactions | $ | 4,306 | $ | 7 | $ | 178 | $ | 548 | $ | 0 | * | $ | 41 | |||||||||||
Futures contracts | — | — | 38 | — | — | — | ||||||||||||||||||
Foreign currency transactions | (6 | ) | 70 | — | 52 | — | (7 | ) | ||||||||||||||||
Net realized gain (loss) on investments and | $ | 4,300 | $ | 77 | $ | 216 | $ | 600 | $ | 0 | * | $ | 34 | |||||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||||
Investments | $ | (15,280 | ) | $ | (175 | ) | $ | 1,466 | $ | (586 | ) | $ | — | $ | (3,530 | ) | ||||||||
Futures contracts | — | — | 76 | — | — | — | ||||||||||||||||||
Translation of assets and liabilities in foreign currencies | (2 | ) | 23 | — | (10 | ) | — | 3 | ||||||||||||||||
Net unrealized gain (loss) on investments and | $ | (15,282 | ) | $ | (152 | ) | $ | 1,542 | $ | (596 | ) | $ | — | $ | (3,527 | ) | ||||||||
Net realized and unrealized gain (loss) on | $ | (10,982 | ) | $ | (75 | ) | $ | 1,758 | $ | 4 | $ | 0 | * | $ | (3,493 | ) | ||||||||
Change in net assets from operations | $ | (11,468 | ) | $ | (68 | ) | $ | 2,466 | $ | 1,367 | $ | (206 | ) | $ | (2,893 | ) | ||||||||
* | Amount was less than $500. |
See notes to financial statements.
33
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 6/30/10 (unaudited) | Year Ended 12/31/09 | Six Months Ended 6/30/10 (unaudited) | Year Ended 12/31/09 | Six Months Ended 6/30/10 (unaudited) | Year Ended 12/31/09 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (486 | ) | $ | (690 | ) | $ | 7 | $ | 37 | $ | 708 | $ | 1,734 | ||||||||||
Net realized gain (loss) on investments and | 4,300 | (10,643 | ) | 77 | 59 | 216 | 658 | |||||||||||||||||
Net unrealized gain (loss) on investments and | (15,282 | ) | 49,716 | (152 | ) | 14 | 1,542 | (224 | ) | |||||||||||||||
Change in net assets from operations | $ | (11,468 | ) | $ | 38,383 | $ | (68 | ) | $ | 110 | $ | 2,466 | $ | 2,168 | ||||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 455 | $ | 754 | $ | 11 | $ | 18 | $ | 197 | $ | 601 | ||||||||||||
Net transfers between variable and fixed | (650 | ) | (2,491 | ) | (276 | ) | 85 | (142 | ) | (462 | ) | |||||||||||||
Withdrawals, surrenders, annuitizations, | (7,269 | ) | (13,276 | ) | (765 | ) | (956 | ) | (4,279 | ) | (8,599 | ) | ||||||||||||
Net accumulation activity | $ | (7,464 | ) | $ | (15,013 | ) | $ | (1,030 | ) | $ | (853 | ) | $ | (4,224 | ) | $ | (8,460 | ) | ||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | 29 | $ | 2 | $ | — | $ | — | $ | 11 | $ | 259 | ||||||||||||
Annuity payments and contract charges | (163 | ) | (261 | ) | (3 | ) | (6 | ) | (143 | ) | (211 | ) | ||||||||||||
Adjustments to annuity reserves | (90 | ) | (77 | ) | (11 | ) | 11 | (33 | ) | 20 | ||||||||||||||
Net annuitization activity | $ | (224 | ) | $ | (336 | ) | $ | (14 | ) | $ | 5 | $ | (165 | ) | $ | 68 | ||||||||
Change in net assets from participant transactions | $ | (7,688 | ) | $ | (15,349 | ) | $ | (1,044 | ) | $ | (848 | ) | $ | (4,389 | ) | $ | (8,392 | ) | ||||||
Total change in net assets | $ | (19,156 | ) | $ | 23,034 | $ | (1,112 | ) | $ | (738 | ) | $ | (1,923 | ) | $ | (6,224 | ) | |||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 132,368 | 109,334 | 7,642 | 8,380 | 60,992 | 67,216 | ||||||||||||||||||
At end of period | $ | 113,212 | $ | 132,368 | $ | 6,530 | $ | 7,642 | $ | 59,069 | $ | 60,992 | ||||||||||||
See notes to financial statements.
34
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 6/30/10 (unaudited) | Year Ended 12/31/09 | Six Months Ended 6/30/10 (unaudited) | Year Ended 12/31/09 | Six Months Ended 6/30/10 (unaudited) | Year Ended 12/31/09 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,363 | $ | 2,962 | $ | (206 | ) | $ | (472 | ) | $ | 600 | $ | 1,626 | ||||||||||
Net realized gain (loss) on investments and | 600 | (2,734 | ) | 0 | * | — | 34 | (7,657 | ) | |||||||||||||||
Net unrealized gain (loss) on investments and | (596 | ) | 13,451 | — | — | (3,527 | ) | 21,444 | ||||||||||||||||
Change in net assets from operations | $ | 1,367 | $ | 13,679 | $ | (206 | ) | $ | (472 | ) | $ | (2,893 | ) | $ | 15,413 | |||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 161 | $ | 175 | $ | 109 | $ | 192 | $ | 262 | $ | 764 | ||||||||||||
Net transfers between variable and fixed | (1,367 | ) | (1,074 | ) | 1,498 | 2,040 | (645 | ) | (2,849 | ) | ||||||||||||||
Withdrawals, surrenders, annuitizations, | (2,300 | ) | (3,856 | ) | (3,289 | ) | (8,583 | ) | (6,210 | ) | (12,313 | ) | ||||||||||||
Net accumulation activity | $ | (3,506 | ) | $ | (4,755 | ) | $ | (1,682 | ) | $ | (6,351 | ) | $ | (6,593 | ) | $ | (14,398 | ) | ||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | 10 | $ | — | $ | 1 | $ | 5 | $ | 16 | $ | 24 | ||||||||||||
Annuity payments and contract charges | (65 | ) | (110 | ) | (26 | ) | (55 | ) | (84 | ) | (161 | ) | ||||||||||||
Adjustments to annuity reserves | (16 | ) | (1 | ) | (20 | ) | (6 | ) | 52 | (61 | ) | |||||||||||||
Net annuitization activity | $ | (71 | ) | $ | (111 | ) | $ | (45 | ) | $ | (56 | ) | $ | (16 | ) | $ | (198 | ) | ||||||
Change in net assets from participant transactions | $ | (3,577 | ) | $ | (4,866 | ) | $ | (1,727 | ) | $ | (6,407 | ) | $ | (6,609 | ) | $ | (14,596 | ) | ||||||
Total change in net assets | $ | (2,210 | ) | $ | 8,813 | $ | (1,933 | ) | $ | (6,879 | ) | $ | (9,502 | ) | $ | 817 | ||||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 41,117 | 32,304 | 33,968 | 40,847 | 105,664 | 104,847 | ||||||||||||||||||
At end of period | $ | 38,907 | $ | 41,117 | $ | 32,035 | $ | 33,968 | $ | 96,162 | $ | 105,664 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
35
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 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 55.063 | $ | 39.750 | $ | 63.669 | $ | 58.101 | $ | 55.446 | $ | 55.625 | ||||||||||||
Investment income | $ | 0.365 | $ | 0.685 | $ | 0.780 | $ | 0.751 | $ | 0.560 | $ | 0.580 | ||||||||||||
Expenses | (0.580 | ) | (0.965 | ) | (1.154 | ) | (1.319 | ) | (1.198 | ) | (1.179 | ) | ||||||||||||
Net investment loss | $ | (0.215 | ) | $ | (0.280 | ) | $ | (0.374 | ) | $ | (0.568 | ) | $ | (0.638 | ) | $ | (0.599 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (4.834 | ) | 15.593 | (23.545 | ) | 6.136 | 3.293 | 0.420 | ||||||||||||||||
Change in unit value | $ | (5.049 | ) | $ | 15.313 | $ | (23.919 | ) | $ | 5.568 | $ | 2.655 | $ | (0.179 | ) | |||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 50.014 | $ | 55.063 | $ | 39.750 | $ | 63.669 | $ | 58.101 | $ | 55.446 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.17 | )(n) | 38.52 | (37.57 | ) | 9.58 | 4.79 | (0.32 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.18 | (a) | 2.18 | 2.17 | 2.15 | 2.15 | 2.16 | |||||||||||||||||
Expenses after expense reductions (f) | 2.12 | (a) | 2.12 | 2.12 | 2.14 | N/A | N/A | |||||||||||||||||
Net investment loss | (0.78 | )(a) | (0.60 | ) | (0.68 | ) | (0.91 | ) | (1.11 | ) | (1.08 | ) | ||||||||||||
Portfolio turnover (%) | 23 | 47 | 49 | 63 | 61 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,446 | 1,539 | 1,761 | 1,980 | 2,419 | 3,018 | ||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 36.129 | $ | 26.107 | $ | 41.858 | $ | 38.235 | $ | 36.524 | $ | 36.678 | ||||||||||||
Investment income | $ | 0.233 | $ | 0.425 | $ | 0.497 | $ | 0.490 | $ | 0.355 | $ | 0.370 | ||||||||||||
Expenses | (0.395 | ) | (0.635 | ) | (0.783 | ) | (0.903 | ) | (0.807 | ) | (0.795 | ) | ||||||||||||
Net investment loss | $ | (0.162 | ) | $ | (0.210 | ) | $ | (0.286 | ) | $ | (0.413 | ) | $ | (0.452 | ) | $ | (0.425 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (3.167 | ) | 10.232 | (15.465 | ) | 4.036 | 2.163 | 0.271 | ||||||||||||||||
Change in unit value | $ | (3.329 | ) | $ | 10.022 | $ | (15.751 | ) | $ | 3.623 | $ | 1.711 | $ | (0.154 | ) | |||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 32.800 | $ | 36.129 | $ | 26.107 | $ | 41.858 | $ | 38.235 | $ | 36.524 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.21 | )(n) | 38.39 | (37.63 | ) | 9.48 | 4.69 | (0.42 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.28 | (a) | 2.28 | 2.27 | 2.25 | 2.25 | 2.26 | |||||||||||||||||
Expenses after expense reductions (f) | 2.22 | (a) | 2.22 | 2.22 | 2.24 | N/A | N/A | |||||||||||||||||
Net investment loss | (0.90 | )(a) | (0.73 | ) | (0.81 | ) | (1.04 | ) | (1.30 | ) | (1.20 | ) | ||||||||||||
Portfolio turnover (%) | 23 | 47 | 49 | 63 | 61 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 21 | 27 | 46 | 73 | 128 | 237 |
36
Table of Contents
Financial Highlights — continued
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 15.151 | $ | 10.932 | $ | 17.501 | $ | 15.963 | $ | 15.226 | $ | 15.267 | ||||||||||||
Investment income | $ | 0.099 | $ | 0.186 | $ | 0.211 | $ | 0.203 | $ | 0.152 | $ | 0.158 | ||||||||||||
Expenses | (0.155 | ) | (0.258 | ) | (0.308 | ) | (0.352 | ) | (0.320 | ) | (0.316 | ) | ||||||||||||
Net investment loss | $ | (0.056 | ) | $ | (0.072 | ) | $ | (0.097 | ) | $ | (0.149 | ) | $ | (0.168 | ) | $ | (0.158 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (1.330 | ) | 4.291 | (6.472 | ) | 1.687 | 0.905 | 0.117 | ||||||||||||||||
Change in unit value | $ | (1.386 | ) | $ | 4.219 | $ | (6.569 | ) | $ | 1.538 | $ | 0.737 | $ | (0.041 | ) | |||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.765 | $ | 15.151 | $ | 10.932 | $ | 17.501 | $ | 15.963 | $ | 15.226 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.15 | )(n) | 38.59 | (37.54 | ) | 9.64 | 4.84 | (0.27 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.13 | (a) | 2.13 | 2.12 | 2.10 | 2.10 | 2.11 | |||||||||||||||||
Expenses after expense reductions (f) | 2.07 | (a) | 2.07 | 2.07 | 2.09 | N/A | N/A | |||||||||||||||||
Net investment loss | (0.75 | )(a) | (0.58 | ) | (0.65 | ) | (0.88 | ) | (1.13 | ) | (1.05 | ) | ||||||||||||
Portfolio turnover (%) | 23 | 47 | 49 | 63 | 61 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 2,797 | 2,945 | 3,335 | 3,671 | 4,378 | 5,248 |
(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.
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 30.488 | $ | 29.979 | $ | 27.622 | $ | 25.732 | $ | 24.865 | $ | 27.240 | ||||||||||||
Investment income | $ | 0.404 | $ | 0.885 | $ | 0.944 | $ | 1.052 | $ | 1.003 | $ | 0.925 | ||||||||||||
Expenses | (0.371 | ) | (0.742 | ) | (0.716 | ) | (0.653 | ) | (0.629 | ) | (0.651 | ) | ||||||||||||
Net investment income | $ | 0.033 | $ | 0.143 | $ | 0.228 | $ | 0.399 | �� | $ | 0.374 | $ | 0.274 | |||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.319 | ) | 0.366 | 2.129 | 1.491 | 0.493 | (2.649 | ) | ||||||||||||||||
Change in unit value | $ | (0.286 | ) | $ | 0.509 | $ | 2.357 | $ | 1.890 | $ | 0.867 | $ | (2.375 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 30.202 | $ | 30.488 | $ | 29.979 | $ | 27.622 | $ | 25.732 | $ | 24.865 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.94 | )(n) | 1.70 | 8.54 | 7.34 | 3.49 | (8.72 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.47 | (a) | 3.33 | 3.50 | 3.35 | 3.39 | 2.95 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.22 | (a) | 0.48 | 0.79 | 1.52 | 1.48 | 1.04 | |||||||||||||||||
Portfolio turnover (%) | 27 | 87 | 111 | 141 | 118 | 144 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 61 | 85 | 91 | 85 | 104 | 116 | ||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 29.508 | $ | 29.059 | $ | 26.814 | $ | 25.017 | $ | 24.209 | $ | 26.561 | ||||||||||||
Investment income | $ | 0.392 | $ | 0.834 | $ | 0.904 | $ | 1.044 | $ | 1.025 | $ | 0.949 | ||||||||||||
Expenses | (0.381 | ) | (0.746 | ) | (0.727 | ) | (0.678 | ) | (0.659 | ) | (0.688 | ) | ||||||||||||
Net investment income | $ | 0.011 | $ | 0.088 | $ | 0.177 | $ | 0.366 | $ | 0.366 | $ | 0.261 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.309 | ) | 0.361 | 2.068 | 1.431 | 0.442 | (2.613 | ) | ||||||||||||||||
Change in unit value | $ | (0.298 | ) | $ | 0.449 | $ | 2.245 | $ | 1.797 | $ | 0.808 | $ | (2.352 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 29.210 | $ | 29.508 | $ | 29.059 | $ | 26.814 | $ | 25.017 | $ | 24.209 | ||||||||||||
Total Return (%) (k)(r)(s) | (1.01 | )(n) | 1.55 | 8.38 | 7.18 | 3.34 | (8.85 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.62 | (a) | 3.48 | 3.65 | 3.50 | 3.54 | 3.10 | |||||||||||||||||
Expenses after expense reductions (f) | 2.65 | (a) | 2.65 | 2.65 | 2.65 | 2.65 | 2.65 | |||||||||||||||||
Net investment income | 0.07 | (a) | 0.31 | 0.65 | 1.44 | 1.41 | 0.97 | |||||||||||||||||
Portfolio turnover (%) | 27 | 87 | 111 | 141 | 118 | 144 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 5 | 7 | 11 | 15 | 18 | 26 |
38
Table of Contents
Financial Highlights — continued
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.438 | $ | 17.147 | $ | 15.798 | $ | 14.718 | $ | 14.221 | $ | 15.580 | ||||||||||||
Investment income | $ | 0.234 | $ | 0.508 | $ | 0.541 | $ | 0.608 | $ | 0.574 | $ | 0.526 | ||||||||||||
Expenses | (0.215 | ) | (0.426 | ) | (0.410 | ) | (0.377 | ) | (0.361 | ) | (0.371 | ) | ||||||||||||
Net investment income | $ | 0.019 | $ | 0.082 | $ | 0.131 | $ | 0.231 | $ | 0.213 | $ | 0.155 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.183 | ) | 0.209 | 1.218 | 0.849 | 0.284 | (1.514 | ) | ||||||||||||||||
Change in unit value | $ | (0.164 | ) | $ | 0.291 | $ | 1.349 | $ | 1.080 | $ | 0.497 | $ | (1.359 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.274 | $ | 17.438 | $ | 17.147 | $ | 15.798 | $ | 14.718 | $ | 14.221 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.94 | )n | 1.70 | 8.54 | 7.34 | 3.49 | (8.72 | ) | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.47 | (a) | 3.33 | 3.50 | 3.35 | 3.39 | 2.95 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.22 | (a) | 0.48 | 0.79 | 1.53 | 1.47 | 1.04 | |||||||||||||||||
Portfolio turnover (%) | 27 | 87 | 111 | 141 | 118 | 144 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 261 | 274 | 306 | 332 | 403 | 468 |
(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.
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.
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 45.185 | $ | 43.715 | $ | 40.804 | $ | 38.619 | $ | 37.679 | $ | 37.338 | ||||||||||||
Investment income | $ | 1.032 | $ | 2.152 | $ | 2.116 | $ | 2.117 | $ | 2.024 | $ | 1.936 | ||||||||||||
Expenses | (0.473 | ) | (0.917 | ) | (0.860 | ) | (0.802 | ) | (0.757 | ) | (0.752 | ) | ||||||||||||
Net investment income | $ | 0.559 | $ | 1.235 | $ | 1.256 | $ | 1.315 | $ | 1.267 | $ | 1.184 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.328 | 0.235 | 1.655 | 0.870 | (0.327 | ) | (0.843 | ) | ||||||||||||||||
Change in unit value | $ | 1.887 | $ | 1.470 | $ | 2.911 | $ | 2.185 | $ | 0.940 | $ | 0.341 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 47.072 | $ | 45.185 | $ | 43.715 | $ | 40.804 | $ | 38.619 | $ | 37.679 | ||||||||||||
Total Return (%) (k)(s) | 4.18 | (n) | 3.36 | 7.14 | 5.66 | 2.50 | 0.91 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.06 | (a) | 2.04 | 2.05 | 2.02 | 2.01 | 2.01 | |||||||||||||||||
Net investment income | 2.37 | (a) | 2.70 | 2.93 | 3.26 | 3.28 | 3.09 | |||||||||||||||||
Portfolio turnover (%) | 10 | 27 | 45 | 35 | 17 | 69 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 938 | 1,010 | 1,151 | 1,269 | 1,538 | 1,852 | ||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 31.409 | $ | 30.417 | $ | 28.419 | $ | 26.924 | $ | 26.295 | $ | 26.082 | ||||||||||||
Investment income | $ | 0.691 | $ | 1.442 | $ | 1.427 | $ | 1.470 | $ | 1.352 | $ | 1.316 | ||||||||||||
Expenses | (0.331 | ) | (0.651 | ) | (0.618 | ) | (0.583 | ) | (0.538 | ) | (0.543 | ) | ||||||||||||
Net investment income | $ | 0.360 | $ | 0.791 | $ | 0.809 | $ | 0.887 | $ | 0.814 | $ | 0.773 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.935 | 0.201 | 1.189 | 0.608 | (0.185 | ) | (0.560 | ) | ||||||||||||||||
Change in unit value | $ | 1.295 | $ | 0.992 | $ | 1.998 | $ | 1.495 | $ | 0.629 | $ | 0.213 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 32.704 | $ | 31.409 | $ | 30.417 | $ | 28.419 | $ | 26.924 | $ | 26.295 | ||||||||||||
Total Return (%) (k)(s) | 4.12 | (n) | 3.26 | 7.03 | 5.55 | 2.40 | 0.82 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.16 | (a) | 2.14 | 2.15 | �� | 2.12 | 2.11 | 2.11 | ||||||||||||||||
Net investment income | 2.32 | (a) | 2.60 | 2.80 | 3.25 | 3.15 | 2.96 | |||||||||||||||||
Portfolio turnover (%) | 10 | 27 | 45 | 35 | 17 | 69 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 4 | 10 | 20 | 28 | 40 | 69 |
40
Table of Contents
Financial Highlights — continued
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 18.530 | $ | 17.918 | $ | 16.717 | $ | 15.814 | $ | 15.421 | $ | 15.274 | ||||||||||||
Investment income | $ | 0.412 | $ | 0.862 | $ | 0.848 | $ | 0.848 | $ | 0.813 | $ | 0.781 | ||||||||||||
Expenses | (0.188 | ) | (0.364 | ) | (0.342 | ) | (0.318 | ) | (0.300 | ) | (0.299 | ) | ||||||||||||
Net investment income | $ | 0.224 | $ | 0.498 | $ | 0.506 | $ | 0.530 | $ | 0.513 | $ | 0.482 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.555 | 0.114 | 0.695 | 0.373 | (0.120 | ) | (0.335 | ) | ||||||||||||||||
Change in unit value | $ | 0.779 | $ | 0.612 | $ | 1.201 | $ | 0.903 | $ | 0.393 | $ | 0.147 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 19.309 | $ | 18.530 | $ | 17.918 | $ | 16.717 | $ | 15.814 | $ | 15.421 | ||||||||||||
Total Return (%) (k)(s) | 4.20 | (n) | 3.41 | 7.19 | 5.71 | 2.55 | 0.96 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.01 | (a) | 1.99 | 2.00 | 1.97 | 1.96 | 1.96 | |||||||||||||||||
Net investment income | 2.38 | (a) | 2.72 | 2.94 | 3.29 | 3.30 | 3.12 | |||||||||||||||||
Portfolio turnover (%) | 10 | 27 | 45 | 35 | 17 | 69 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 692 | 731 | 831 | 889 | 1,054 | 1,280 |
(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.
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.
High Yield Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 42.360 | $ | 29.057 | $ | 40.344 | $ | 40.172 | $ | 36.840 | $ | 36.669 | ||||||||||||
Investment income | $ | 1.981 | $ | 3.733 | $ | 3.568 | $ | 3.391 | $ | 3.121 | $ | 2.959 | ||||||||||||
Expenses | (0.478 | ) | (0.781 | ) | (0.817 | ) | (0.901 | ) | (0.847 | ) | (0.820 | ) | ||||||||||||
Net investment income | $ | 1.503 | $ | 2.952 | $ | 2.751 | $ | 2.490 | $ | 2.274 | $ | 2.139 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.029 | ) | 10.351 | (14.038 | ) | (2.318 | ) | 1.058 | (1.968 | ) | ||||||||||||||
Change in unit value | $ | 1.474 | $ | 13.303 | $ | (11.287 | ) | $ | 0.172 | $ | 3.332 | $ | 0.171 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 43.834 | $ | 42.360 | $ | 29.057 | $ | 40.344 | $ | 40.172 | $ | 36.840 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.48 | (n) | 45.78 | (27.98 | ) | 0.43 | 9.04 | 0.47 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.34 | (a) | 2.35 | 2.36 | 2.25 | 2.32 | 2.28 | (o) | ||||||||||||||||
Expenses after expense reductions (f) | 2.20 | (a) | 2.20 | 2.20 | 2.20 | 2.22 | 2.25 | |||||||||||||||||
Net investment income | 6.82 | (a) | 8.18 | 7.28 | 5.96 | 5.84 | 5.76 | |||||||||||||||||
Portfolio turnover (%) | 36 | 56 | 62 | 66 | 88 | 53 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 700 | 753 | 862 | 958 | 1,119 | 1,323 | ||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 30.972 | $ | 21.266 | $ | 29.556 | $ | 29.459 | $ | 27.043 | $ | 26.943 | ||||||||||||
Investment income | $ | 1.406 | $ | 2.629 | $ | 2.515 | $ | 2.445 | $ | 2.212 | $ | 2.118 | ||||||||||||
Expenses | (0.360 | ) | (0.580 | ) | (0.613 | ) | (0.681 | ) | (0.635 | ) | (0.620 | ) | ||||||||||||
Net investment income | $ | 1.046 | $ | 2.049 | $ | 1.902 | $ | 1.764 | $ | 1.577 | $ | 1.498 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.016 | 7.657 | (10.192 | ) | (1.667 | ) | 0.839 | (1.398 | ) | |||||||||||||||
Change in unit value | $ | 1.062 | $ | 9.706 | $ | (8.290 | ) | $ | 0.097 | $ | 2.416 | $ | 0.100 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 32.034 | $ | 30.972 | $ | 21.266 | $ | 29.556 | $ | 29.459 | $ | 27.043 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.43 | (n) | 45.64 | (28.05 | ) | 0.33 | 8.94 | 0.37 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.44 | (a) | 2.45 | 2.46 | 2.35 | 2.42 | 2.38 | (o) | ||||||||||||||||
Expenses after expense reductions (f) | 2.30 | (a) | 2.30 | 2.30 | 2.30 | 2.32 | 2.35 | |||||||||||||||||
Net investment income | 6.68 | (a) | 8.08 | 7.09 | 5.93 | 5.71 | 5.64 | |||||||||||||||||
Portfolio turnover (%) | 36 | 56 | 62 | 66 | 88 | 53 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 7 | 8 | 13 | 21 | 34 | 47 |
42
Table of Contents
Financial Highlights — continued
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 16.700 | $ | 11.450 | $ | 15.890 | $ | 15.814 | $ | 14.495 | $ | 14.421 | ||||||||||||
Investment income | $ | 0.760 | $ | 1.416 | $ | 1.380 | $ | 1.310 | $ | 1.202 | $ | 1.142 | ||||||||||||
Expenses | (0.181 | ) | (0.298 | ) | (0.313 | ) | (0.344 | ) | (0.323 | ) | (0.312 | ) | ||||||||||||
Net investment income | $ | 0.579 | $ | 1.118 | $ | 1.067 | $ | 0.966 | $ | 0.879 | $ | 0.830 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.007 | 4.132 | (5.507 | ) | (0.890 | ) | 0.440 | (0.756 | ) | |||||||||||||||
Change in unit value | $ | 0.586 | $ | 5.250 | $ | (4.440 | ) | $ | 0.076 | $ | 1.319 | $ | 0.074 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.286 | $ | 16.700 | $ | 11.450 | $ | 15.890 | $ | 15.814 | $ | 14.495 | ||||||||||||
Total Return (%) (k)(r)(s) | 3.51 | (n) | 45.86 | (27.94 | ) | 0.48 | 9.10 | 0.52 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.29 | (a) | 2.30 | 2.31 | 2.20 | 2.27 | 2.23 | (o) | ||||||||||||||||
Expenses after expense reductions (f) | 2.15 | (a) | 2.15 | 2.15 | 2.15 | 2.17 | 2.20 | |||||||||||||||||
Net investment income | 6.85 | (a) | 8.03 | 7.27 | 5.98 | 5.86 | 5.81 | |||||||||||||||||
Portfolio turnover (%) | 36 | 56 | 62 | 66 | 88 | 53 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 420 | 493 | 558 | 579 | 774 | 937 |
(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.
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.
Money Market Variable Account | ||||||||||||||||||||||||
Compass 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 21.523 | $ | 21.803 | $ | 21.676 | $ | 20.979 | $ | 20.331 | $ | 20.073 | ||||||||||||
Investment income | $ | 0.029 | $ | 0.078 | $ | 0.567 | $ | 1.145 | $ | 1.051 | $ | 0.661 | ||||||||||||
Expenses | (0.166 | ) | (0.357 | ) | (0.432 | ) | (0.431 | ) | (0.403 | ) | (0.403 | ) | ||||||||||||
Net investment income (loss) | $ | (0.137 | ) | $ | (0.279 | ) | $ | 0.135 | $ | 0.714 | $ | 0.648 | $ | 0.258 | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.000 | (w) | (0.001 | ) | (0.008 | ) | (0.017 | )(g) | — | (0.000 | )(w) | |||||||||||||
Change in unit value | $ | (0.137 | ) | $ | (0.280 | ) | $ | 0.127 | $ | 0.697 | $ | 0.648 | $ | 0.258 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 21.386 | $ | 21.523 | $ | 21.803 | $ | 21.676 | $ | 20.979 | $ | 20.331 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.64 | )(n) | (1.28 | ) | 0.58 | 3.32 | 3.19 | 1.29 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.02 | (a) | 2.01 | 1.99 | 2.00 | 1.95 | 1.99 | |||||||||||||||||
Expenses after expense reductions (f) | 1.56 | (a) | 1.66 | 1.97 | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.28 | )(a) | (1.27 | ) | 0.61 | 3.29 | 3.15 | 1.38 | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 703 | 732 | 793 | 887 | 928 | 1,128 | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.544 | $ | 17.790 | $ | 17.704 | $ | 17.152 | $ | 16.638 | $ | 16.443 | ||||||||||||
Investment income | $ | 0.022 | $ | 0.066 | $ | 0.468 | $ | 0.902 | $ | 0.852 | $ | 0.539 | ||||||||||||
Expenses | (0.142 | ) | (0.308 | ) | (0.364 | ) | (0.356 | ) | (0.338 | ) | (0.344 | ) | ||||||||||||
Net investment income (loss) | $ | (0.120 | ) | $ | (0.242 | ) | $ | 0.104 | $ | 0.546 | $ | 0.514 | $ | 0.195 | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.000 | (w) | (0.004 | ) | (0.018 | ) | 0.006 | (g) | — | (0.000 | )(w) | |||||||||||||
Change in unit value | $ | (0.120 | ) | $ | (0.246 | ) | $ | 0.086 | $ | 0.552 | $ | 0.514 | $ | 0.195 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.424 | $ | 17.544 | $ | 17.790 | $ | 17.704 | $ | 17.152 | $ | 16.638 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.68 | )(n) | (1.38 | ) | 0.49 | 3.22 | 3.09 | 1.19 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.12 | (a) | 2.11 | 2.09 | 2.10 | 2.05 | 2.09 | |||||||||||||||||
Expenses after expense reductions (f) | 1.66 | (a) | 1.76 | 2.07 | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.39 | )(a) | (1.38 | ) | 0.59 | 3.20 | 3.00 | 1.42 | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 13 | 18 | 45 | 64 | 131 | 218 |
44
Table of Contents
Financial Highlights — continued
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 13.249 | $ | 13.415 | $ | 13.330 | $ | 12.895 | $ | 12.491 | $ | 12.326 | ||||||||||||
Investment income | $ | 0.017 | $ | 0.048 | $ | 0.344 | $ | 0.695 | $ | 0.644 | $ | 0.405 | ||||||||||||
Expenses | (0.098 | ) | (0.213 | ) | (0.257 | ) | (0.257 | ) | (0.240 | ) | (0.240 | ) | ||||||||||||
Net investment income (loss) | $ | (0.081 | ) | $ | (0.165 | ) | $ | 0.087 | $ | 0.438 | $ | 0.404 | $ | 0.165 | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.000 | (w) | (0.001 | ) | (0.002 | ) | (0.003 | )(g) | — | (0.000 | )(w) | |||||||||||||
Change in unit value | $ | (0.081 | ) | $ | (0.166 | ) | $ | 0.085 | $ | 0.435 | $ | 0.404 | $ | 0.165 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.168 | $ | 13.249 | $ | 13.415 | $ | 13.330 | $ | 12.895 | $ | 12.491 | ||||||||||||
Total Return (%) (k)(r)(s) | (0.61 | )(n) | (1.23 | ) | 0.63 | 3.38 | 3.24 | 1.34 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 1.97 | (a) | 1.96 | 1.94 | 1.95 | 1.90 | 1.94 | |||||||||||||||||
Expenses after expense reductions (f) | 1.51 | (a) | 1.61 | 1.92 | N/A | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.24 | )(a) | (1.24 | ) | 0.65 | 3.32 | 3.18 | 1.39 | ||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,258 | 1,332 | 1,673 | 1,871 | 1,969 | 2,384 |
(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.
45
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 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 47.266 | $ | 40.464 | $ | 52.709 | $ | 51.373 | $ | 46.459 | $ | 45.729 | ||||||||||||
Investment income | $ | 0.794 | $ | 1.601 | $ | 1.748 | $ | 1.832 | $ | 1.749 | $ | 1.521 | ||||||||||||
Expenses | (0.504 | ) | (0.892 | ) | (1.008 | ) | (1.126 | ) | (1.033 | ) | (0.970 | ) | ||||||||||||
Net investment income | $ | 0.290 | $ | 0.709 | $ | 0.740 | $ | 0.706 | $ | 0.716 | $ | 0.551 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (1.711 | ) | 6.093 | (12.985 | ) | 0.630 | 4.198 | 0.179 | ||||||||||||||||
Change in unit value | $ | (1.421 | ) | $ | 6.802 | $ | (12.245 | ) | $ | 1.336 | $ | 4.914 | $ | 0.730 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 45.845 | $ | 47.266 | $ | 40.464 | $ | 52.709 | $ | 51.373 | $ | 46.459 | ||||||||||||
Total Return (%) (k)(r)(s) | (3.01 | )(n) | 16.81 | (23.23 | ) | 2.60 | 10.58 | 1.60 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.18 | 2.16 | 2.12 | 2.14 | 2.12 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.10 | 2.11 | N/A | N/A | |||||||||||||||||
Net investment income | 1.19 | (a) | 1.64 | 1.52 | 1.30 | 1.46 | 1.18 | |||||||||||||||||
Portfolio turnover (%) | 12 | 41 | 57 | 54 | 45 | 49 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 645 | 685 | 807 | 948 | 1,156 | 1,349 | ||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 45.750 | $ | 39.224 | $ | 51.169 | $ | 49.947 | $ | 45.236 | $ | 44.592 | ||||||||||||
Investment income | $ | 0.744 | $ | 1.505 | $ | 1.645 | $ | 1.770 | $ | 1.645 | $ | 1.450 | ||||||||||||
Expenses | (0.514 | ) | (0.902 | ) | (1.033 | ) | (1.165 | ) | (1.051 | ) | (1.019 | ) | ||||||||||||
Net investment income | $ | 0.230 | $ | 0.603 | $ | 0.612 | $ | 0.605 | $ | 0.594 | $ | 0.431 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (1.638 | ) | 5.923 | (12.557 | ) | 0.617 | 4.117 | 0.213 | ||||||||||||||||
Change in unit value | $ | (1.408 | ) | $ | 6.526 | $ | (11.945 | ) | $ | 1.222 | $ | 4.711 | $ | 0.644 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 44.342 | $ | 45.750 | $ | 39.224 | $ | 51.169 | $ | 49.947 | $ | 45.236 | ||||||||||||
Total Return (%) (k)(r)(s) | (3.08 | )(n) | 16.64 | (23.34 | ) | 2.45 | 10.42 | 1.45 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.32 | (a) | 2.33 | 2.31 | 2.27 | 2.29 | 2.27 | |||||||||||||||||
Expenses after expense reductions (f) | 2.25 | (a) | 2.25 | 2.25 | 2.26 | N/A | N/A | |||||||||||||||||
Net investment income | 1.00 | (a) | 1.50 | 1.33 | 1.18 | 1.28 | 0.97 | |||||||||||||||||
Portfolio turnover (%) | 12 | 41 | 57 | 54 | 45 | 49 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 39 | 48 | 74 | 107 | 142 | 217 |
46
Table of Contents
Financial Highlights — continued
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/10 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 22.284 | $ | 19.077 | $ | 24.850 | $ | 24.220 | $ | 21.903 | $ | 21.559 | ||||||||||||
Investment income | $ | 0.366 | $ | 0.740 | $ | 0.807 | $ | 0.849 | $ | 0.812 | $ | 0.710 | ||||||||||||
Expenses | (0.235 | ) | (0.417 | ) | (0.471 | ) | (0.527 | ) | (0.484 | ) | (0.457 | ) | ||||||||||||
Net investment income | $ | 0.131 | $ | 0.323 | $ | 0.336 | $ | 0.322 | $ | 0.328 | $ | 0.253 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.801 | ) | 2.884 | (6.109 | ) | 0.308 | 1.989 | 0.091 | ||||||||||||||||
Change in unit value | $ | (0.670 | ) | $ | 3.207 | $ | (5.773 | ) | $ | 0.630 | $ | 2.317 | $ | 0.344 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 21.614 | $ | 22.284 | $ | 19.077 | $ | 24.850 | $ | 24.220 | $ | 21.903 | ||||||||||||
Total Return (%) (k)(r)(s) | (3.01 | )(n) | 16.81 | (23.23 | ) | 2.60 | 10.58 | 1.60 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.18 | 2.16 | 2.12 | 2.14 | 2.12 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.10 | 2.11 | N/A | N/A | |||||||||||||||||
Net investment income | 1.16 | (a) | 1.61 | 1.49 | 1.28 | 1.44 | 1.17 | |||||||||||||||||
Portfolio turnover (%) | 12 | 41 | 57 | 54 | 45 | 49 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 2,949 | 3,136 | 3,572 | 4,116 | 4,695 | 5,462 |
(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.
47
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. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the variable accounts’ Statement of Assets and Liabilities through the date that the financial statements were issued. The High Yield Variable Account may 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 and Total Return 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 generally 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. Equity securities, for which there were no sales reported that day, 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. Equity securities held short, for which there were no sales reported for that day, are 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. 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 third-party pricing services can utilize both transaction data and market information such as 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.
48
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 the variable accounts’ 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 the variable accounts’ net asset value may be deemed to have a material effect 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 the variable accounts’ 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 the variable accounts’ 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 the variable accounts determines its net asset value per share.
Various inputs are used in determining the value of each variable account’s assets or liabilities. 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, 2010 in valuing each variable account’s assets or liabilities:
Capital Appreciation Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
Equity Securities: | ||||||||
United States | $101,961,378 | $— | $— | $101,961,378 | ||||
France | — | 2,681,904 | — | 2,681,904 | ||||
Taiwan | 2,037,459 | — | — | 2,037,459 | ||||
Switzerland | — | 1,633,792 | — | 1,633,792 | ||||
South Korea | — | 1,123,118 | — | 1,123,118 | ||||
United Kingdom | — | 1,015,042 | — | 1,015,042 | ||||
Australia | 798,431 | — | — | 798,431 | ||||
Brazil | 758,585 | — | — | 758,585 | ||||
Mutual Funds | 916,396 | — | — | 916,396 | ||||
Total Investments | $106,472,249 | $6,453,856 | $— | $112,926,105 | ||||
Global Governments Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $1,236,314 | $— | $1,236,314 | ||||
Non-U.S. Sovereign Debt | — | 4,480,945 | — | 4,480,945 | ||||
Municipal Bonds | 24,126 | — | 24,126 | |||||
Corporate Bonds | — | 77,132 | — | 77,132 | ||||
Residential Mortgage-Backed Securities | — | 262,934 | — | 262,934 | ||||
Commercial Mortgage-Backed Securities | — | 105,252 | — | 105,252 | ||||
Purchased Currency Options | — | 205 | — | 205 | ||||
Mutual Funds | 234,500 | — | — | 234,500 | ||||
Total Investments | $234,500 | $6,186,908 | $— | $6,421,408 | ||||
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
Forward Currency Contracts | $— | $5,273 | $— | $5,273 |
49
Table of Contents
Notes to Financial Statements (unaudited) — continued
Government Securities Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $15,314,723 | $— | $15,314,723 | ||||
Municipal Bonds | — | 2,303,789 | — | 2,303,789 | ||||
Corporate Bonds | — | 317,874 | 317,874 | |||||
Residential Mortgage-Backed Securities | — | 34,952,369 | — | 34,952,369 | ||||
Commercial Mortgage-Backed Securities | — | 1,053,118 | — | 1,053,118 | ||||
Mutual Funds | 4,963,174 | — | — | 4,963,174 | ||||
Total Investments | $4,963,174 | $53,941,873 | $— | $58,905,047 | ||||
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
Futures | $36,878 | $— | $— | $36,878 |
High Yield Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||
Equity Securities: | ||||||||||
United States | $92,435 | $139,307 | $196,566 | $428,308 | ||||||
Netherlands | 176,665 | — | — | 176,665 | ||||||
Canada | 9,004 | — | — | 9,004 | ||||||
Non-U.S. Sovereign Debt | — | 52,589 | — | 52,589 | ||||||
Corporate Bonds | — | 31,194,714 | — | 31,194,714 | ||||||
Commercial Mortgage-Backed Securities | — | 314,862 | — | 314,862 | ||||||
Floating Rate Loans | — | 1,082,839 | 54,657 | 1,137,496 | ||||||
Asset-Backed Securities (including CDO’s) | — | 28,048 | — | 28,048 | ||||||
Foreign Bonds | — | 4,223,971 | — | 4,223,971 | ||||||
Mutual Funds | 779,655 | — | — | 779,655 | ||||||
Total Investments | $1,057,759 | $37,036,330 | $251,223 | $38,345,312 | ||||||
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||
Forward Currency Contracts | $— | $(3,083 | ) | $— | $(3,083 | ) |
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 | Floating Rate Loans | Total | ||||
Balance as of 12/31/09 | $6,948 | $— | $6,948 | |||
Accrued discounts/premiums | — | — | — | |||
Realized gain (loss) | — | — | — | |||
Change in urealized appreciation (depreciation) | 10,120 | 677 | 10,797 | |||
Net purchases (sales) | 179,498 | 53,980 | 233,478 | |||
Transfers in and/or out of Level 3 | — | — | — | |||
Balance as of 6/30/10 | $196,566 | $54,657 | $251,223 | |||
The net change in unrealized appreciation (depreciation) from investments still held as Level 3 at June 30, 2010 is $10,797.
Money Market Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
Short Term Securities | $— | $33,188,474 | $— | $33,188,474 |
50
Table of Contents
Notes to Financial Statements (unaudited) — continued
Total Return Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||
Equity Securities: | ||||||||
United States | $49,466,330 | $49,925 | $— | $49,516,255 | ||||
United Kingdom | — | 1,461,063 | — | 1,461,063 | ||||
Switzerland | — | 1,062,790 | — | 1,062,790 | ||||
France | 711,562 | 143,224 | — | 854,786 | ||||
Germany | — | 318,767 | — | 318,767 | ||||
Canada | 141,155 | — | — | 141,155 | ||||
Netherlands | — | 128,440 | — | 128,440 | ||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 12,300,694 | — | 12,300,694 | ||||
Non-U.S. Sovereign Debt | — | 1,251,232 | — | 1,251,232 | ||||
Municipal Bonds | — | 366,934 | — | 366,934 | ||||
Corporate Bonds | — | 7,553,647 | — | 7,553,647 | ||||
Residential Mortgage-Backed Securities | — | 14,835,016 | — | 14,835,016 | ||||
Commercial Mortgage-Backed Securities | — | 2,122,600 | — | 2,122,600 | ||||
Asset-Backed Securities (including CDOs) | — | 608,381 | — | 608,381 | ||||
Foreign Bonds | — | 2,522,568 | — | 2,522,568 | ||||
Mutual Funds | 697,144 | — | — | 697,144 | ||||
Total Investments | $51,016,191 | $44,725,281 | $— | $95,741,472 | ||||
For further information regarding security characteristics, see the Portfolios of Investments.
Repurchase Agreements – Certain 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 account 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 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.
Derivative instruments include written options, purchased options, futures contracts, forward foreign currency exchange contracts, and swap agreements. The Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account period end derivatives, as presented in the Portfolio of Investments and the associated Derivative Contract Tables, generally are indicative of the volume of its derivative activity during the period.
51
Table of Contents
Notes to Financial Statements (unaudited) — continued
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, 2010 as reported in the variable accounts’ Statements of Assets and Liabilities:
Global Governments Variable Account
Fair Value (a) | |||||||
Risk | Derivative | Asset Derivatives | Liability Derivatives | ||||
Foreign Exchange Contracts | Forward Foreign Currency Exchange Contracts | $51,013 | $(45,740 | ) | |||
Foreign Exchange Contracts | Purchased Currency Options | 205 | — | ||||
Total | $51,218 | $(45,740 | ) | ||||
Government Securities Variable Account
Fair Value (a) | ||||
Risk | Derivative | Asset Derivatives | ||
Interest Rate Contracts | Interest Rate Futures | $36,878 |
High Yield Variable Account
Fair Value | |||||
Risk | Derivative | Liability Derivatives | |||
Foreign Exchange Contracts | Forward Foreign Currency Exchange Contracts | $(3,083 | ) |
(a) | The value of purchased options outstanding is included in total investments, at value, within the variable accounts’ Statements of Assets and Liabilities. The value of futures contracts outstanding includes cumulative appreciation/depreciation as reported in the variable accounts’ Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the variable accounts’ Statements of Assets and Liabilities. |
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, 2010 as reported in the Statements of Operations:
Global Governments Variable Account
Foreign Currency Transactions | ||
Foreign Exchange Contracts | $71,770 |
Government Securities Variable Account
Futures Contracts | ||
Interest Rate Contracts | $38,234 |
High Yield Variable Account
Foreign Currency Transactions | ||
Foreign Exchange Contracts | $52,517 |
The following tables present, by major type of derivative contract, the change 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, 2010 as reported in the Statements of Operations:
Global Governments Variable Account
Translation of Assets and Liabilities in Foreign Currencies | Investments (Purchased Options) | ||||
Foreign Exchange Contracts | $27,773 | $(321 | ) |
Government Securities Variable Account
Futures Contracts | ||
Interest Rate Contracts | $75,935 |
52
Table of Contents
Notes to Financial Statements (unaudited) — continued
High Yield Variable Account
Translation of Assets and Liabilities in Foreign Currencies | |||
Foreign Exchange Contracts | $(9,402 | ) |
For the six months ended June 30, 2010, 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 whenever possible 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 Statements 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 Statements 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 Statements 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 bears 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.
53
Table of Contents
Notes to Financial Statements (unaudited) — continued
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.
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.
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. 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.
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 generally 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. 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. 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. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.
The variable accounts may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statements 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 Statements of Operations.
Certain variable accounts may enter into “TBA” (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date. Although the unit price has been established, the principal value has not been finalized. However, the principal amount of the commitments will not fluctuate more than 0.01%. The variable accounts hold, and maintain until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the variable accounts may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which is in addition to the risk of decline in the value of the variable accounts’ other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities.
Certain variable accounts may enter into “TBA” (to be announced) sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
54
Table of Contents
Notes to Financial Statements (unaudited) — continued
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 account. This amount, for the six months ended June 30, 2010, is shown as a reduction of total expenses on the Statements 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 | % | 0.500 | %(b) | 0.11 | %(c) | |||
Total Return Variable Account | 0.75 | % | 0.675 | % | 0.75 | % |
(a) | The investment adviser has 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 modified or rescinded by the variable account’s Board of Managers, but such agreement will continue at least until April 30, 2011. This management fee reduction amounted to $10,009, which is shown as a reduction of total expenses in the Statements 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. For the six months ended June 30, 2010, the variable account’s average daily net assets did not exceed $500 million, and therefore, the management fee was not reduced under this agreement. |
(c) | During the six months ended June 30, 2010, MFS voluntarily waived receipt of $63,673, of the variable account’s management fee in order to avoid a negative yield. For the six months ended June 30, 2010, this voluntary waiver had the effect of reducing the management fee by 0.39% 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, 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 contract holder approval. For the six months ended June 30, 2010, this reduction amounted to $33,773 for the Global Governments Variable Account and is reflected as a reduction of total expenses in the Statements of Operations. Each of the other variable accounts did not exceed the limit and therefore, the investment adviser 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, 2011. For the six months ended June 30, 2010, these reductions under this agreement amounted to the following for each variable account and are reflected as a reduction of total expenses in the Statements of Operations:
Expense Limitation | Expense Reduction | ||||
Capital Appreciation Variable Account | 0.82 | % | $33,987 | ||
High Yield Variable Account | 0.90 | % | 18,208 | ||
Money Market Variable Account | 0.65 | % | 11,194 | ||
Total Return Variable Account | 0.85 | % | 35,165 |
55
Table of Contents
Notes to Financial Statements (unaudited) — continued
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, the variable accounts partially reimburses MFS the costs incurred to provide these services. The variable accounts are 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, 2010 was equivalent to the following annual effective rate of each variable accounts’ average daily net assets:
Capital Appreciation Variable Account | Global Governements Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | |||||||||||||
Percent of average daily net assets | 0.0372 | % | 0.1424 | % | 0.0398 | % | 0.0423 | % | 0.0439 | % | 0.0377 | % |
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 account 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 administrative support, and supplies provided to the ICCO and Assistant ICCO. For the six months ended June 30, 2010, the aggregate fees paid by the variable accounts 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 | $1,103 | |
Global Governments Variable Account | 62 | |
Government Securities Variable Account | 515 | |
High Yield Variable Account | 348 | |
Money Market Variable Account | 283 | |
Total Return Variable Account | 890 |
Certain variable accounts may invest in the MFS Institutional Money Market Portfolio which is managed by MFS and 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.
56
Table of Contents
Notes to Financial Statements (unaudited) — continued
(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 | $ | 28,247,712 | $ | 35,811,735 | ||
Global Governments Variable Account | 1,136,826 | 1,558,563 | ||||
Government Securities Variable | 944,178 | 1,364,576 | ||||
High Yield Variable Account | 13,720,456 | 15,747,352 | ||||
Total Return Variable Account | 9,451,732 | 13,469,149 |
Purchases and sales of investments for the Money Market Variable Account, exclusive of securities subject to repurchase agreements, aggregated $968,861,630 and $968,697,800, respectively.
Purchases and sales of U.S. Governments Securities, other than purchased option transactions, and short-term obligations, were as follows:
Purchases | Sales | |||||
Global Governments Variable Account | $ | 614,947 | $ | 940,171 | ||
Government Securities Variable Account | 4,501,810 | 9,797,245 | ||||
Total Return Variable Account | 2,596,994 | 4,104,075 |
(6) | Participant Transactions |
The changes in net assets from changes in numbers of outstanding units were as follows:
Six Months Ended June 30, 2010 (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 | 5 | $ | 257 | (10 | ) | $ | (508 | ) | (88 | ) | $ | (4,794 | ) | (93 | ) | $ | (5,045 | ) | $ | (237 | ) | $ | (5,282 | ) | ||||||||||||
Compass 3 Contracts | 2 | 68 | (6 | ) | (189 | ) | (2 | ) | (59 | ) | (5 | ) | (180 | ) | — | (180 | ) | |||||||||||||||||||
Compass 3 Level 2 Contracts | 10 | 130 | 2 | 47 | (160 | ) | (2,416 | ) | (149 | ) | (2,239 | ) | 13 | $ | (2,226 | ) | ||||||||||||||||||||
$ | 455 | $ | (650 | ) | $ | (7,269 | ) | $ | (7,464 | ) | $ | (224 | ) | $ | (7,688 | ) | ||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | 0 | * | (5 | ) | $ | (149 | ) | (19 | ) | $ | (592 | ) | (24 | ) | $ | (741 | ) | $ | (2 | ) | $ | (743 | ) | |||||||||||
Compass 3 Contracts | 0 | * | 7 | (1 | ) | (63 | ) | (1 | ) | (16 | ) | (3 | ) | (72 | ) | — | (72 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 0 | * | 4 | (4 | ) | (64 | ) | (9 | ) | (157 | ) | (13 | ) | (217 | ) | (12 | ) | (229 | ) | |||||||||||||||||
$ | 11 | $ | (276 | ) | $ | (765 | ) | $ | (1,030 | ) | $ | (14 | ) | $ | (1,044 | ) | ||||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 4 | $ | 160 | (7 | ) | $ | (275 | ) | (69 | ) | $ | (3,175 | ) | (72 | ) | $ | (3,290 | ) | $ | (163 | ) | $ | (3,453 | ) | ||||||||||||
Compass 3 Contracts | 0 | * | 8 | (6 | ) | (197 | ) | (0 | )* | (7 | ) | (6 | ) | (196 | ) | — | (196 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 2 | 29 | 17 | 330 | (58 | ) | (1,097 | ) | (39 | ) | (738 | ) | (2 | ) | (740 | ) | ||||||||||||||||||||
$ | 197 | $ | (142 | ) | $ | (4,279 | ) | $ | (4,224 | ) | $ | (165 | ) | $ | (4,389 | ) | ||||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 3 | $ | 144 | (17 | ) | $ | (714 | ) | (39 | ) | $ | (1,701 | ) | (53 | ) | $ | (2,271 | ) | $ | (66 | ) | $ | (2,337 | ) | ||||||||||||
Compass 3 Contracts | 0 | * | 9 | (1 | ) | (17 | ) | (1 | ) | (30 | ) | (1 | ) | (38 | ) | — | (38 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 0 | * | 8 | (39 | ) | (636 | ) | (33 | ) | (569 | ) | (72 | ) | (1,197 | ) | (5 | ) | (1,202 | ) | |||||||||||||||||
$ | 161 | $ | (1,367 | ) | $ | (2,300 | ) | $ | (3,506 | ) | $ | (71 | ) | $ | (3,577 | ) | ||||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | $ | 1 | 49 | $ | 1,059 | (78 | ) | $ | (1,676 | ) | (29 | ) | $ | (616 | ) | $ | (43 | ) | $ | (659 | ) | |||||||||||||
Compass 3 Contracts | 0 | * | 4 | (4 | ) | (70 | ) | (1 | ) | (26 | ) | (5 | ) | (92 | ) | — | (92 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 9 | 104 | 38 | 509 | (120 | ) | (1,587 | ) | (74 | ) | (974 | ) | (2 | ) | (976 | ) | ||||||||||||||||||||
$ | 109 | $ | 1,498 | $ | (3,289 | ) | $ | (1,682 | ) | $ | (45 | ) | $ | (1,727 | ) | |||||||||||||||||||||
* | Amount less than $500 |
57
Table of Contents
Notes to Financial Statements (unaudited) — continued
Six Months Ended June 30, 2010 (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 | |||||||||||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 1 | $ | 65 | (3 | ) | $ | (182 | ) | (38 | ) | $ | (1,837 | ) | (40 | ) | $ | (1,954 | ) | $ | (5 | ) | $ | (1,959 | ) | ||||||||||||
Compass 3 Contracts | 1 | 65 | (7 | ) | (362 | ) | (3 | ) | (123 | ) | (9 | ) | (420 | ) | — | (420 | ) | |||||||||||||||||||
Compass 3 Level 2 Contracts | 8 | 132 | (7 | ) | (101 | ) | (188 | ) | (4,250 | ) | (187 | ) | (4,219 | ) | (11 | ) | (4,230 | ) | ||||||||||||||||||
$ | 262 | $ | (645 | ) | $ | (6,210 | ) | $ | (6,593 | ) | $ | (16 | ) | $ | (6,609 | ) | ||||||||||||||||||||
Year Ended December 31, 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 | 12 | $ | 446 | (41 | ) | $ | (1,617 | ) | (193 | ) | $ | (8,537 | ) | (222 | ) | $ | (9,708 | ) | $ | (316 | ) | $ | (10,024 | ) | ||||||||||||
Compass 3 Contracts | 4 | 104 | (19 | ) | (517 | ) | (4 | ) | (116 | ) | (19 | ) | $ | (529 | ) | (1 | ) | $ | (530 | ) | ||||||||||||||||
Compass 3 Level 2 Contracts | 26 | 204 | (37 | ) | (357 | ) | (379 | ) | (4,623 | ) | (390 | ) | (4,776 | ) | (19 | ) | $ | (4,795 | ) | |||||||||||||||||
$ | 754 | $ | (2,491 | ) | $ | (13,276 | ) | $ | (15,013 | ) | $ | (336 | ) | $ | (15,349 | ) | ||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | 0 | * | 3 | $ | 90 | (9 | ) | $ | (282 | ) | (6 | ) | $ | (192 | ) | $ | (3 | ) | $ | (195 | ) | |||||||||||||
Compass 3 Contracts | 0 | * | 13 | (3 | ) | (78 | ) | (1 | ) | (41 | ) | (4 | ) | (106 | ) | (1 | ) | (107 | ) | |||||||||||||||||
Compass 3 Level 2 Contracts | 1 | 5 | 4 | 73 | (37 | ) | (633 | ) | (32 | ) | (555 | ) | 9 | (546 | ) | |||||||||||||||||||||
$ | 18 | $ | 85 | $ | (956 | ) | $ | (853 | ) | $ | 5 | $ | (848 | ) | ||||||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 9 | $ | 385 | (21 | ) | $ | (926 | ) | (129 | ) | $ | (5,776 | ) | (141 | ) | $ | (6,317 | ) | $ | 72 | $ | (6,245 | ) | |||||||||||||
Compass 3 Contracts | 1 | 43 | (6 | ) | (198 | ) | (5 | ) | (161 | ) | (10 | ) | (316 | ) | — | (316 | ) | |||||||||||||||||||
Compass 3 Level 2 Contracts | 11 | 173 | 35 | 662 | (146 | ) | (2,662 | ) | (100 | ) | (1,827 | ) | (4 | ) | (1,831 | ) | ||||||||||||||||||||
$ | 601 | $ | (462 | ) | $ | (8,599 | ) | $ | (8,460 | ) | $ | 68 | $ | (8,392 | ) | |||||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 5 | $ | 139 | (30 | ) | $ | (1,030 | ) | (84 | ) | $ | (2,920 | ) | (109 | ) | $ | (3,811 | ) | $ | (103 | ) | $ | (3,914 | ) | ||||||||||||
Compass 3 Contracts | 1 | 17 | (3 | ) | (76 | ) | (3 | ) | (58 | ) | (5 | ) | (117 | ) | (1 | ) | (118 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 2 | 19 | (0 | )* | 32 | (67 | ) | (878 | ) | (65 | ) | (827 | ) | (7 | ) | (834 | ) | |||||||||||||||||||
$ | 175 | $ | (1,074 | ) | $ | (3,856 | ) | $ | (4,755 | ) | $ | (111 | ) | $ | (4,866 | ) | ||||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 5 | $ | 86 | 93 | $ | 2,026 | (159 | ) | $ | (3,444 | ) | (61 | ) | $ | (1,332 | ) | $ | (44 | ) | $ | (1,376 | ) | ||||||||||||||
Compass 3 Contracts | 1 | 23 | (22 | ) | (389 | ) | (6 | ) | (105 | ) | (27 | ) | (471 | ) | (1 | ) | (472 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 13 | 83 | 23 | 403 | (377 | ) | (5,034 | ) | (341 | ) | (4,548 | ) | (11 | ) | (4,559 | ) | ||||||||||||||||||||
$ | 192 | $ | 2,040 | $ | (8,583 | ) | $ | (6,351 | ) | $ | (56 | ) | $ | (6,407 | ) | |||||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 6 | $ | 259 | (32 | ) | $ | (1,219 | ) | (96 | ) | $ | (3,902 | ) | (122 | ) | $ | (4,862 | ) | $ | (142 | ) | $ | (5,004 | ) | ||||||||||||
Compass 3 Contracts | 3 | 87 | (20 | ) | (796 | ) | (9 | ) | (347 | ) | (26 | ) | (1,056 | ) | (2 | ) | (1,058 | ) | ||||||||||||||||||
Compass 3 Level 2 Contracts | 28 | 418 | (56 | ) | (834 | ) | (408 | ) | (8,064 | ) | (436 | ) | (8,480 | ) | (54 | ) | (8,534 | ) | ||||||||||||||||||
$ | 764 | $ | (2,849 | ) | $ | (12,313 | ) | $ | (14,398 | ) | $ | (198 | ) | $ | (14,596 | ) | ||||||||||||||||||||
* | Amount less than $500 |
58
Table of Contents
Notes to Financial Statements (unaudited) — continued
(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 funds, 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 variable accounts 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, 2010, the variable accounts’ commitment fee and interest expense are included in miscellaneous expense on the Statements of Operations and were as follows:
Commitment fee | Interest Expense | |||
Capital Appreciation Variable Account | $805 | $— | ||
Global Governments Variable Account | 47 | — | ||
Government Securities Variable Account | 381 | — | ||
High Yield Variable Account | 252 | — | ||
Money Market Variable Account | 211 | — | ||
Total Return Variable Account | 652 | — |
(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. Certain variable accounts’ transactions in the MFS Institutional Money Market Portfolio for the six months ended June 30, 2010 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 | 1,026,944 | 9,871,340 | (9,981,888 | ) | 916,396 | ||||
Global Governments Variable Account | 444,688 | 1,784,343 | (1,994,531 | ) | 234,500 | ||||
Government Securities Variable Account | 2,776,082 | 10,948,294 | (8,761,202 | ) | 4,963,174 | ||||
High Yield Variable Account | 996,965 | 9,712,781 | (9,930,091 | ) | 779,655 | ||||
Total Return Variable Account | 654,933 | 9,584,801 | (9,542,590 | ) | 697,144 | ||||
Underlying Funds – MFS Institutional Money Market Portfolio | |||||||||
Realized Gain (Loss) | Capital Gain Distributions | Dividend Income | Ending Value | ||||||
Capital Appreciation Variable Account | $— | $— | $1,213 | $916,396 | |||||
Global Governments Variable Account | $— | $— | $390 | $234,500 | |||||
Government Securities Variable Account | $— | $— | $3,519 | $4,963,174 | |||||
High Yield Variable Account | $— | $— | $1,004 | $779,655 | |||||
Total Return Variable Account | $— | $— | $738 | $697,144 |
59
Table of Contents
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, 2010 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-8/10
Sun Life Financial Distributors Inc.
Table of Contents
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.
Table of Contents
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. |
Table of Contents
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 17, 2010
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 17, 2010
By (Signature and Title)* | JOHN M. CORCORAN | |
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: August 17, 2010
* | Print name and title of each signing officer under his or her signature. |