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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3563
MONEY MARKET VARIABLE ACCOUNT
(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
(Name and address of agents for service)
Registrant’s telephone number, including area code: (617) 954-5000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2011
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ITEM 1. | REPORTS TO STOCKHOLDERS. |
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PROFESSIONALLY MANAGED COMBINATION
FIXED/VARIABLE ANNUITIES
FOR PERSONAL INVESTMENTS AND
QUALIFIED RETIREMENT PLANS
SEMIANNUAL REPORT Ÿ June 30, 2011
Capital Appreciation Variable Account
Global Governments Variable Account
Government Securities Variable Account
High Yield Variable Account
Money Market Variable Account
Total Return Variable Account
Issued by
Sun Life Assurance Company of Canada (U.S.),
A Wholly Owned Subsidiary of
Sun Life of Canada (U.S.) Holdings, Inc.
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59 |
Back Cover | ||||
Back Cover | ||||
Back Cover | ||||
Back Cover |
This report is prepared for the general information of contract owners. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE |
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Dear Contract Owners:
After about a year of almost uninterrupted macroeconomic and financial market improvement following the global credit crisis, investors grew more cautious in the middle of 2010 as fears grew that some European countries would default on their debt and as economic data showed a weakening trend in the global economy. As a result asset prices fell significantly.
Last September the U.S. Federal Reserve Board’s promises to make lending conditions easier helped assuage market fears and drive asset prices off their recent lows. A combination of solid earnings and improving economic data gave an additional boost to investor sentiment.
In the following months, the renewed positive market mood, coupled with indications of better global macroeconomic activity, pushed many asset valuations to post-crisis highs. At the same time, global sovereign bond yields initially rose as investors became concerned about inflationary pressures, driven by higher prices for oil as well as other commodities. However, by the end of the second quarter of 2011, a weakening macroeconomic backdrop and renewed concerns over debt problems in some eurozone countries pushed equities lower.
For the remainder of 2011, we are cautiously optimistic that economic growth will continue to improve and that the global economies will recover from the shocks of the past few years. We expect the pace of recovery worldwide to be uneven and volatile and acknowledge the elevated uncertainty created by events in Japan, Europe, the Middle East, as well as that created by the U.S. debate over raising the debt ceiling and the downgrade by Standard & Poor’s of the U.S. long-term credit rating.
As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in 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 their advisors to research and identify appropriate investment opportunities.
Respectfully,
Robert J. Manning
Chairman and Chief Executive Officer
MFS Investment Management®
August 16, 2011
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
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Portfolio Composition — Capital Appreciation Variable Account
Portfolio structure
Top ten holdings | ||||
Oracle Corp. | 4.5% | |||
Danaher Corp. | 4.0% | |||
Apple, Inc. | 3.9% | |||
International Business Machines Corp. | 3.6% | |||
Accenture PLC, “A” | 3.2% | |||
United Technologies Corp. | 3.0% | |||
Colgate-Palmolive Co. | 2.9% | |||
Schlumberger Ltd. | 2.9% | |||
Google, Inc., “A” | 2.5% | |||
PepsiCo, Inc. | 2.3% |
Equity sectors | ||||
Technology | 26.1% | |||
Industrial Goods & Services | 11.6% | |||
Consumer Staples | 11.3% | |||
Health Care | 11.2% | |||
Special Products & Services | 8.8% | |||
Financial Services | 8.1% | |||
Retailing | 8.0% | |||
Energy | 7.2% | |||
Basic Materials | 3.4% | |||
Autos & Housing | 1.6% | |||
Leisure | 1.6% | |||
Transportation | 0.7% |
Percentages are based on net assets as of 6/30/11.
The portfolio is actively managed and current holdings may be different.
2
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Portfolio Composition — Global Governments Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||||
Non-U.S. Government Bonds | 66.1% | |||
U.S. Treasury Securities | 20.2% | |||
Mortgage-Backed Securities | 3.9% | |||
U.S. Government Agencies | 2.8% | |||
Commercial Mortgage-Backed Securities | 1.5% | |||
Composition including fixed income credit quality (a)(i) | ||||
AAA | 26.7% | |||
AA | 40.9% | |||
U.S. Government | 20.2% | |||
Federal Agencies | 6.7% | |||
Cash & Other | 5.5% |
Portfolio facts (i) | ||||
Average Duration (d) | 6.4 | |||
Average Effective Maturity (m) | 8.4 yrs. | |||
Issuer country weightings (i)(x) | ||||
United States | 33.5% | |||
Japan | 23.7% | |||
Italy | 11.5% | |||
Germany | 9.2% | |||
United Kingdom | 4.6% | |||
Netherlands | 3.7% | |||
Canada | 3.0% | |||
France | 2.6% | |||
Spain | 2.5% | |||
Other Countries | 5.7% | |||
Currency weightings (i)(y) | ||||
Japan | 31.1% | |||
United States | 28.9% | |||
Euro | 26.9% | |||
United Kingdom | 6.0% | |||
Canada | 2.1% | |||
China | 1.5% | |||
Singapore | 1.0% | |||
Australia | 0.8% | |||
Denmark | 0.7% | |||
Other Countries | 1.0% |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated. |
(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 due to the interest rate move. |
(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. |
(x) | Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s total net assets. |
(y) | Represents the portfolio’s exposure to a particular currency as a percentage of a portfolio’s total net assets. |
Percentages are based on net assets as of 6/30/11.
The portfolio is actively managed and current holdings may be different.
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Portfolio Composition — Governments Securities Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||||
Mortgage-Backed Securities | 46.9% | |||
U.S. Treasury Securities | 32.7% | |||
U.S. Government Agencies | 12.2% | |||
Commercial Mortgage-Backed Securities | 2.2% | |||
High Grade Corporates | 0.6% |
Composition including fixed income credit quality (a)(i) | ||||
AAA | 1.7% | |||
AA | 0.6% | |||
BBB | 0.5% | |||
U.S. Government | 33.2% | |||
Federal Agencies | 59.1% | |||
Not Rated | (0.5)% | |||
Cash & Other | 5.4% | |||
Portfolio facts (i) | ||||
Average Duration (d) | 4.4 | |||
Average Effective Maturity (m) | 6.2 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities, including fixed income futures, which have not been rated by any rating agency. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated. |
(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 due to the interest rate move. |
(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 6/30/11.
The portfolio is actively managed and current holdings may be different.
4
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Portfolio Composition — High Yield Variable Account
Portfolio structure (i)
Top five industries (i) | ||||
Energy-Independent | 7.9% | |||
Broadcasting | 5.8% | |||
Medical & Health Technology & Services | 5.5% | |||
Utilities-Electric Power | 5.2% | |||
Telecommunications-Wireless | 5.0% |
Composition including fixed income credit quality (a)(i) | ||||
A | 1.2% | |||
BBB | 4.0% | |||
BB | 32.2% | |||
B | 41.1% | |||
CCC | 15.8% | |||
CC | 0.8% | |||
C | 0.2% | |||
D | 0.2% | |||
Not Rated | (0.4)% | |||
Non-Fixed Income | 2.2% | |||
Cash & Other | 2.7% | |||
Portfolio facts (i) | ||||
Average Duration (d) | 4.5 | |||
Average Effective Maturity (m) | 7.2 yrs. |
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. Not Rated included fixed income securities, including fixed income futures, which have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated. |
(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 due to the interest rate move. |
(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 6/30/11.
The portfolio is actively managed and current holdings may be different.
5
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Portfolio Composition — Money Market Variable Account
Portfolio structure (u)
Composition including fixed income credit quality (a)(u) | ||||
A-1+ | 24.0% | |||
A-1 | 76.3% | |||
Not Rated | 0.0% | |||
Cash & Other | (0.3)% |
Maturity breakdown (u) | ||||
0 - 7 days | 24.7% | |||
8 - 29 days | 28.5% | |||
30 - 59 days | 17.9% | |||
60 - 89 days | 14.2% | |||
90 - 365 days | 15.0% | |||
Other Assets Less Liabilities | (0.3)% |
(a) | Ratings are assigned to portfolio securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Cash & Other portfolio assets that are not securities are not included in the categories mentioned above. Ratings are shown in the S&P scale. All ratings are subject to change. The fund itself is not rated. |
(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 6/30/11.
The portfolio is actively managed and current holdings may be different.
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Portfolio Composition — Total Return Variable Account
Portfolio structure (i)
Top ten holdings (i) | ||||
Fannie Mae, 5.5%, 30 Years | 2.2% | |||
JPMorgan Chase & Co. | 2.0% | |||
U.S. Treasury Notes, 1.375%, 2013 | 2.0% | |||
Exxon Mobil Corp. | 1.8% | |||
U.S. Treasury Notes, 1.875%, APR 2014 | 1.7% | |||
Philip Morris International Inc. | 1.7% | |||
Lockheed Martin Corp. | 1.7% | |||
United Technologies | 1.5% | |||
U.S. Treasury Notes, 3.75%, 2018 | 1.5% | |||
Johnson & Johnson | 1.4% | |||
Composition including fixed income credit quality (a)(i) | ||||
AAA | 1.6% | |||
AA | 1.8% | |||
A | 3.5% | |||
BBB | 5.6% | |||
BB | 0.3% | |||
B | 0.1% | |||
CCC | 0.1% | |||
CC | 0.1% | |||
C (o) | 0.0% | |||
D | 0.1% | |||
U.S. Government | 12.6% | |||
Federal Agencies | 13.4% | |||
Not Rated (o) | 0.0% | |||
Non-Fixed Income | 60.1% | |||
Cash & Other | 0.7% |
Equity sectors | ||||
Financial Services | 12.9% | |||
Energy | 7.1% | |||
Consumer Staples | 6.9% | |||
Health Care | 6.8% | |||
Industrial Goods & Services | 6.3% | |||
Utilities & Communications | 4.7% | |||
Technology | 3.7% | |||
Leisure | 3.5% | |||
Basic Materials | 2.8% | |||
Retailing | 2.5% | |||
Autos & Housing | 1.4% | |||
Special Products & Services | 1.0% | |||
Transportation | 0.5% | |||
Fixed income sectors (i) | ||||
Mortgage-Backed Securities | 12.7% | |||
U.S. Treasury Securities | 12.6% | |||
High Grade Corporates | 9.1% | |||
Commercial Mortgage-Backed Securities | 2.1% | |||
Non-U.S. Government Bonds | 0.9% | |||
U.S. Government Agencies | 0.8% | |||
Emerging Markets Bonds | 0.3% | |||
High Yield Corporates | 0.3% | |||
Asset-Backed Securities | 0.3% | |||
Collateralized Debt Obligations | 0.1% | |||
Residential Mortgage-Backed Securities (o) | 0.0% |
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Portfolio Composition — Total Return Variable Account — continued
(a) | For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated included fixed income securities, including fixed income futures, which have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated. |
(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 6/30/11.
The portfolio is actively managed and current holdings may be different.
8
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Portfolio of Investments (unaudited) — June 30, 2011
Capital Appreciation Variable Account
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - 99.6% |
| |||||||
Aerospace - 3.6% | ||||||||
Precision Castparts Corp. | 5,360 | $ | 882,520 | |||||
United Technologies Corp. | 43,470 | 3,847,530 | ||||||
|
| |||||||
$ | 4,730,050 | |||||||
|
| |||||||
Alcoholic Beverages - 1.1% | ||||||||
Diageo PLC | 69,036 | $ | 1,410,476 | |||||
|
| |||||||
Apparel Manufacturers - 3.3% | ||||||||
LVMH Moet Hennessy Louis Vuitton S.A. | 8,534 | $ | 1,535,809 | |||||
NIKE, Inc., “B” | 30,370 | 2,732,693 | ||||||
|
| |||||||
$ | 4,268,502 | |||||||
|
| |||||||
Automotive - 1.6% | ||||||||
Johnson Controls, Inc. | 51,350 | $ | 2,139,241 | |||||
|
| |||||||
Broadcasting - 0.4% | ||||||||
Omnicom Group, Inc. | 10,310 | $ | 496,530 | |||||
|
| |||||||
Brokerage & Asset Managers - 4.2% | ||||||||
Charles Schwab Corp. | 80,600 | $ | 1,325,870 | |||||
CME Group, Inc. | 7,130 | 2,079,037 | ||||||
Franklin Resources, Inc. | 15,800 | 2,074,382 | ||||||
|
| |||||||
$ | 5,479,289 | |||||||
|
| |||||||
Business Services - 8.8% | ||||||||
Accenture PLC, “A” | 69,680 | $ | 4,210,066 | |||||
Dun & Bradstreet Corp. | 31,910 | 2,410,481 | ||||||
MSCI, Inc., “A” (a) | 68,610 | 2,585,225 | ||||||
Verisk Analytics, Inc., “A” (a) | 63,710 | 2,205,640 | ||||||
|
| |||||||
$ | 11,411,412 | |||||||
|
| |||||||
Cable TV - 1.2% | ||||||||
DIRECTV, “A” (a) | 30,050 | $ | 1,527,141 | |||||
|
| |||||||
Chemicals - 0.8% | ||||||||
Monsanto Co. | 14,190 | $ | 1,029,343 | |||||
|
| |||||||
Computer Software - 6.3% | ||||||||
Autodesk, Inc. (a) | 21,870 | $ | 844,182 | |||||
Check Point Software Technologies Ltd. (a) | 26,670 | 1,516,190 | ||||||
Oracle Corp. | 177,340 | 5,836,259 | ||||||
|
| |||||||
$ | 8,196,631 | |||||||
|
| |||||||
Computer Software - Systems - 10.7% | ||||||||
Apple, Inc. (a) | 15,070 | $ | 5,058,547 | |||||
EMC Corp. (a) | 84,940 | 2,340,097 | ||||||
Hewlett-Packard Co. | 48,700 | 1,772,680 | ||||||
International Business Machines Corp. | 27,170 | 4,661,014 | ||||||
|
| |||||||
$ | 13,832,338 | |||||||
|
| |||||||
Consumer Products - 5.6% | ||||||||
Church & Dwight Co., Inc. | 23,300 | $ | 944,582 | |||||
Colgate-Palmolive Co. | 43,380 | 3,791,846 | ||||||
Procter & Gamble Co. | 39,470 | 2,509,108 | ||||||
|
| |||||||
$ | 7,245,536 | |||||||
|
| |||||||
Electrical Equipment - 8.0% | ||||||||
Amphenol Corp., “A” | 23,750 | $ | 1,282,263 | |||||
Danaher Corp. | 98,630 | 5,226,404 | ||||||
Sensata Technologies Holding B.V. (a) | 58,440 | 2,200,266 | ||||||
W.W. Grainger, Inc. | 11,090 | 1,703,979 | ||||||
|
| |||||||
$ | 10,412,912 | |||||||
|
| |||||||
Electronics - 4.6% | ||||||||
ASML Holding N.V. | 18,910 | $ | 698,914 | |||||
Microchip Technology, Inc. | 71,890 | 2,725,350 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 201,706 | 2,543,513 | ||||||
|
| |||||||
$ | 5,967,777 | |||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - continued |
| |||||||
Energy - Integrated - 2.4% | ||||||||
Chevron Corp. | 8,260 | $ | 849,458 | |||||
Exxon Mobil Corp. | 18,310 | 1,490,068 | ||||||
Hess Corp. | 9,990 | 746,852 | ||||||
|
| |||||||
$ | 3,086,378 | |||||||
|
| |||||||
Food & Beverages - 4.6% | ||||||||
Groupe Danone | 29,568 | $ | 2,206,074 | |||||
Mead Johnson Nutrition Co., “A” | 10,920 | 737,646 | ||||||
PepsiCo, Inc. | 43,100 | 3,035,533 | ||||||
|
| |||||||
$ | 5,979,253 | |||||||
|
| |||||||
Food & Drug Stores - 0.6% | ||||||||
CVS Caremark Corp. | 19,929 | $ | 748,932 | |||||
|
| |||||||
General Merchandise - 2.9% | ||||||||
Kohl’s Corp. | 34,070 | $ | 1,703,841 | |||||
Target Corp. | 43,610 | 2,045,745 | ||||||
|
| |||||||
$ | 3,749,586 | |||||||
|
| |||||||
Internet - 3.2% | ||||||||
eBay, Inc. (a) | 25,160 | $ | 811,913 | |||||
Google, Inc., “A” (a) | 6,510 | 3,296,534 | ||||||
|
| |||||||
$ | 4,108,447 | |||||||
|
| |||||||
Major Banks - 0.6% | ||||||||
Bank of New York Mellon Corp. | 28,144 | $ | 721,049 | |||||
|
| |||||||
Medical & Health Technology & Services - 1.9% | ||||||||
Medco Health Solutions, Inc. (a) | 14,570 | $ | 823,496 | |||||
Patterson Cos., Inc. | 50,480 | 1,660,287 | ||||||
|
| |||||||
$ | 2,483,783 | |||||||
|
| |||||||
Medical Equipment - 6.5% | ||||||||
Becton, Dickinson & Co. | 25,780 | $ | 2,221,463 | |||||
DENTSPLY International, Inc. | 41,190 | 1,568,515 | ||||||
Medtronic, Inc. | 16,850 | 649,231 | ||||||
St. Jude Medical, Inc. | 15,270 | 728,074 | ||||||
Thermo Fisher Scientific, Inc. (a) | 36,870 | 2,374,059 | ||||||
Waters Corp. (a) | 8,960 | 857,830 | ||||||
|
| |||||||
$ | 8,399,172 | |||||||
|
| |||||||
Metals & Mining - 0.9% | ||||||||
BHP Billiton Ltd., ADR | 12,030 | $ | 1,138,399 | |||||
|
| |||||||
Network & Telecom - 1.3% | ||||||||
Cisco Systems, Inc. | 106,080 | $ | 1,655,909 | |||||
|
| |||||||
Oil Services - 4.8% | ||||||||
National Oilwell Varco, Inc. | 32,370 | $ | 2,531,658 | |||||
Schlumberger Ltd. | 43,110 | 3,724,704 | ||||||
|
| |||||||
$ | 6,256,362 | |||||||
|
| |||||||
Other Banks & Diversified Financials - 3.3% | ||||||||
MasterCard, Inc., “A” | 4,900 | $ | 1,476,566 | |||||
Visa, Inc., “A” | 33,200 | 2,797,432 | ||||||
|
| |||||||
$ | 4,273,998 | |||||||
|
| |||||||
Pharmaceuticals - 2.8% | ||||||||
Abbott Laboratories | 22,220 | $ | 1,169,216 | |||||
Allergan, Inc. | 11,410 | 949,883 | ||||||
Johnson & Johnson | 23,000 | 1,529,960 | ||||||
|
| |||||||
$ | 3,649,059 | |||||||
|
| |||||||
Railroad & Shipping - 0.7% | ||||||||
Kuehne & Nagel, Inc. AG | 5,590 | $ | 848,390 | |||||
|
| |||||||
Specialty Chemicals - 1.7% | ||||||||
Praxair, Inc. | 20,700 | $ | 2,243,673 | |||||
|
| |||||||
Specialty Stores - 1.2% | ||||||||
Industria de Diseno Textil S.A. | 9,741 | $ | 887,672 |
9-CAVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - continued |
| |||||||
Specialty Stores - 1.2% | ||||||||
Industria de Diseno Textil S.A. | 9,741 | $ | 887,672 | |||||
Staples, Inc. | 44,810 | 707,998 | ||||||
|
| |||||||
$ | 1,595,670 | |||||||
|
| |||||||
Total Common Stocks |
| $ | 129,085,238 | |||||
|
| |||||||
MONEY MARKET FUNDS (v) - 0.3% |
| |||||||
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value | 420,980 | $ | 420,980 | |||||
|
| |||||||
Total Investments |
| $ | 129,506,218 | |||||
|
| |||||||
OTHER ASSETS, |
| 182,704 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 129,688,922 | |||||
|
|
See portfolio footnotes and notes to financial statements.
10-CAVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2011
Global Governments Variable Account
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - 93.1% | ||||||||||||
Foreign Bonds - 65.4% | ||||||||||||
Australia - 0.7% | ||||||||||||
Commonwealth of Australia, | AUD | 36,000 | $ | 40,174 | ||||||||
|
| |||||||||||
Austria - 1.0% | ||||||||||||
Republic of Austria, 4.65%, 2018 | EUR | 40,000 | $ | 63,435 | ||||||||
|
| |||||||||||
Belgium - 2.1% | ||||||||||||
Kingdom of Belgium, 5.5%, 2017 | EUR | 78,000 | $ | 124,340 | ||||||||
|
| |||||||||||
Canada - 3.0% | ||||||||||||
Bayview Commercial Asset Trust, FRN, 1.699%, 2023 (z) | CAD | 30,000 | $ | 27,144 | ||||||||
Canada Housing Trust, | CAD | 57,000 | 59,505 | |||||||||
Government of Canada, 4.25%, 2018 | CAD | 72,000 | 81,914 | |||||||||
Government of Canada, 5.75%, 2033 | CAD | 10,000 | 13,846 | |||||||||
|
| |||||||||||
$ | 182,409 | |||||||||||
|
| |||||||||||
Finland - 0.7% | ||||||||||||
Republic of Finland, 3.875%, 2017 | EUR | 29,000 | $ | 44,441 | ||||||||
|
| |||||||||||
France - 2.6% | ||||||||||||
Republic of France, 6%, 2025 | EUR | 49,000 | $ | 88,310 | ||||||||
Republic of France, 4.75%, 2035 | EUR | 42,000 | 66,254 | |||||||||
|
| |||||||||||
$ | 154,564 | |||||||||||
|
| |||||||||||
Germany - 8.9% | ||||||||||||
Federal Republic of Germany, | EUR | 185,000 | $ | 279,561 | ||||||||
Federal Republic of Germany, | EUR | 59,000 | 90,675 | |||||||||
Federal Republic of Germany, | EUR | 56,000 | 89,326 | |||||||||
Federal Republic of Germany, | EUR | 40,000 | 78,053 | |||||||||
|
| |||||||||||
$ | 537,615 | |||||||||||
|
| |||||||||||
Italy - 11.3% | ||||||||||||
Republic of Italy, 4.75%, 2013 | EUR | 224,000 | $ | 334,156 | ||||||||
Republic of Italy, 5.25%, 2017 | EUR | 176,000 | 269,034 | |||||||||
Republic of Italy, 3.75%, 2021 | EUR | 59,000 | 79,221 | |||||||||
|
| |||||||||||
$ | 682,411 | |||||||||||
|
| |||||||||||
Japan - 23.6% | ||||||||||||
Government of Japan, 1.7%, 2017 | JPY | 51,800,000 | $ | 685,795 | ||||||||
Government of Japan, 1.1%, 2020 | JPY | 3,000,000 | 37,633 | |||||||||
Government of Japan, 2.1%, 2024 | JPY | 21,350,000 | 285,201 | |||||||||
Government of Japan, 2.2%, 2027 | JPY | 23,700,000 | 314,663 | |||||||||
Government of Japan, 2.4%, 2037 | JPY | 8,000,000 | 107,221 | |||||||||
|
| |||||||||||
$ | 1,430,513 | |||||||||||
|
| |||||||||||
Netherlands - 3.5% | ||||||||||||
Kingdom of the Netherlands, | EUR | 119,000 | $ | 181,438 | ||||||||
Kingdom of the Netherlands, | EUR | 19,000 | 33,438 | |||||||||
|
| |||||||||||
$ | 214,876 | |||||||||||
|
| |||||||||||
Norway - 0.6% | ||||||||||||
Eksportfinans A.S.A., 1.875%, 2013 | $ | 35,000 | $ | 35,670 | ||||||||
|
| |||||||||||
Spain - 2.4% | ||||||||||||
Kingdom of Spain, 4.6%, 2019 | EUR | 106,000 | $ | 147,671 | ||||||||
|
| |||||||||||
Sweden - 0.5% | ||||||||||||
Kingdom of Sweden, 5%, 2020 | SEK | 170,000 | $ | 31,431 | ||||||||
|
| |||||||||||
United Kingdom - 4.5% | ||||||||||||
United Kingdom Treasury, 8%, 2021 | GBP | 37,100 | $ | 83,038 | ||||||||
United Kingdom Treasury, | GBP | 58,000 | 94,244 |
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Foreign Bonds - continued | ||||||||||||
United Kingdom - continued | ||||||||||||
United Kingdom Treasury, | GBP | 61,000 | $ | 97,499 | ||||||||
|
| |||||||||||
$ | 274,781 | |||||||||||
|
| |||||||||||
Total Foreign Bonds |
| $ | 3,964,331 | |||||||||
|
| |||||||||||
U.S. Bonds - 27.7% | ||||||||||||
Asset-Backed & Securitized - 1.1% | ||||||||||||
Commercial Mortgage Asset Trust, FRN, 0.991%, 2032 (i)(z) | $ | 784,612 | $ | 7,948 | ||||||||
Commercial Mortgage Pass-Through Certificates, FRN, | 59,000 | 56,980 | ||||||||||
First Union National Bank Commercial Mortgage Trust, FRN, | 63,132 | 2 | ||||||||||
|
| |||||||||||
$ | 64,930 | |||||||||||
|
| |||||||||||
Mortgage-Backed - 3.9% | ||||||||||||
Fannie Mae, 4.768%, 2012 | $ | 35,840 | $ | 36,840 | ||||||||
Fannie Mae, 5.37%, 2013 | 23,177 | 24,072 | ||||||||||
Fannie Mae, 4.78%, 2015 | 22,701 | 24,621 | ||||||||||
Fannie Mae, 5.5%, 2015 | 8,860 | 9,637 | ||||||||||
Fannie Mae, 5.09%, 2016 | 25,000 | 27,273 | ||||||||||
Fannie Mae, 5.424%, 2016 | 22,783 | 25,164 | ||||||||||
Fannie Mae, 5.16%, 2018 | 23,730 | 26,082 | ||||||||||
Fannie Mae, 5.1%, 2019 | 10,714 | 11,655 | ||||||||||
Fannie Mae, 5.18%, 2019 | 10,718 | 11,689 | ||||||||||
Fannie Mae, 6.16%, 2019 | 8,903 | 9,989 | ||||||||||
Freddie Mac, 5.085%, 2019 | 10,000 | 10,686 | ||||||||||
Freddie Mac, 5%, 2028 | 9,224 | 9,334 | ||||||||||
Freddie Mac, FRN, 3.882%, 2017 | 10,000 | 10,455 | ||||||||||
|
| |||||||||||
$ | 237,497 | |||||||||||
|
| |||||||||||
U.S. Government Agencies and Equivalents - 2.7% | ||||||||||||
Aid-Egypt, 4.45%, 2015 | $ | 49,000 | $ | 54,432 | ||||||||
Small Business Administration, | 27,970 | 29,663 | ||||||||||
Small Business Administration, | 74,619 | 80,499 | ||||||||||
|
| |||||||||||
$ | 164,594 | |||||||||||
|
| |||||||||||
U.S. Treasury Obligations - 20.0% | ||||||||||||
U.S. Treasury Bonds, 6.875%, 2025 | $ | 76,000 | $ | 102,173 | ||||||||
U.S. Treasury Bonds, 5.25%, 2029 | 126,000 | 145,392 | ||||||||||
U.S. Treasury Bonds, 4.5%, 2039 | 17,100 | 17,485 | ||||||||||
U.S. Treasury Notes, 1.375%, 2013 | 105,000 | 106,723 | ||||||||||
U.S. Treasury Notes, 4.125%, 2015 | 165,000 | 183,085 | ||||||||||
U.S. Treasury Notes, 4.75%, 2017 | 242,000 | 278,338 | ||||||||||
U.S. Treasury Notes, 3.5%, 2020 | 102,000 | 106,486 | ||||||||||
U.S. Treasury Notes, TIPS, 1.25%, 2020 | 254,726 | 269,452 | ||||||||||
|
| |||||||||||
$ | 1,209,134 | |||||||||||
|
| |||||||||||
Total U.S. Bonds |
| $ | 1,676,155 | |||||||||
|
| |||||||||||
Total Bonds |
| $ | 5,640,486 | |||||||||
|
| |||||||||||
MONEY MARKET FUNDS (v) - 5.0% |
| |||||||||||
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value | 304,534 | $ | 304,534 | |||||||||
|
| |||||||||||
Total Investments |
| $ | 5,945,020 | |||||||||
|
| |||||||||||
OTHER ASSETS, | 112,585 | |||||||||||
|
| |||||||||||
NET ASSETS - 100.0% |
| $ | 6,057,605 | |||||||||
|
|
11-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Derivative Contracts at 6/30/11
Forward Foreign Currency Exchange Contracts at 6/30/11
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
BUY | AUD | JPMorgan Chase Bank N.A. | 2,000 | 7/12/11 | $2,117 | $2,143 | $26 | |||||||||||||||
BUY | AUD | Westpac Banking Corp. | 10,158 | 7/12/11 | 10,570 | 10,886 | 316 | |||||||||||||||
BUY | CAD | Barclays Bank PLC | 4,000 | 7/12/11 | 4,081 | 4,147 | 66 | |||||||||||||||
BUY | CAD | Goldman Sachs International | 6,000 | 7/12/11 | 6,199 | 6,220 | 21 | |||||||||||||||
BUY | CNY | HSBC Bank | 102,000 | 11/16/11 | 15,821 | 15,836 | 15 | |||||||||||||||
BUY | DKK | Credit Suisse Group | 196,472 | 7/12/11 | 37,947 | 38,192 | 245 | |||||||||||||||
BUY | DKK | Goldman Sachs International | 8,000 | 7/12/11 | 1,544 | 1,556 | 12 | |||||||||||||||
SELL | DKK | UBS AG | 3,000 | 7/12/11 | 585 | 583 | 2 | |||||||||||||||
BUY | EUR | Barclays Bank PLC | 4,000 | 7/12/11 | 5,712 | 5,799 | 87 | |||||||||||||||
BUY | EUR | Brown Brothers Harriman & Co. | 9,000 | 7/12/11 | 12,989 | 13,049 | 60 | |||||||||||||||
BUY | EUR | Credit Suisse Group | 12,000 | 7/12/11 | 17,333 | 17,398 | 65 | |||||||||||||||
BUY | EUR | Merrill Lynch International Bank | 30,000 | 7/12/11 | 42,936 | 43,496 | 560 | |||||||||||||||
BUY | EUR | UBS AG | 61,064 | 7/12/11 | 87,935 | 88,535 | 600 | |||||||||||||||
SELL | EUR | Citibank N.A. | 36,000 | 7/12/11 | 52,799 | 52,195 | 604 | |||||||||||||||
BUY | GBP | Brown Brothers Harriman & Co. | 1,000 | 7/12/11 | 1,599 | 1,605 | 6 | |||||||||||||||
SELL | GBP | Barclays Bank PLC | 12,709 | 7/12/11 | 20,668 | 20,395 | 273 | |||||||||||||||
SELL | GBP | Citibank N.A. | 2,000 | 7/12/11 | 3,228 | 3,209 | 19 | |||||||||||||||
SELL | GBP | Goldman Sachs International | 2,000 | 7/12/11 | 3,270 | 3,209 | 61 | |||||||||||||||
SELL | GBP | UBS AG | 1,000 | 7/12/11 | 1,640 | 1,604 | 36 | |||||||||||||||
BUY | HUF | HSBC Bank | 2,762,000 | 7/12/11 | 14,795 | 15,059 | 264 | |||||||||||||||
BUY | IDR | HSBC Bank | 133,218,000 | 7/26/11 | 15,399 | 15,486 | 87 | |||||||||||||||
BUY | JPY | Barclays Bank PLC | 501,000 | 7/12/11 | 6,127 | 6,224 | 97 | |||||||||||||||
BUY | JPY | Credit Suisse Group | 36,834,530 | 7/12/11 | 433,853 | 457,559 | 23,706 | |||||||||||||||
BUY | JPY | Deutsche Bank AG | 2,163,000 | 7/12/11 | 26,329 | 26,869 | 540 | |||||||||||||||
BUY | JPY | HSBC Bank | 3,457,000 | 7/12/11 | 41,641 | 42,943 | 1,302 | |||||||||||||||
SELL | JPY | Barclays Bank PLC | 408,000 | 7/12/11 | 5,109 | 5,068 | 41 | |||||||||||||||
SELL | JPY | Credit Suisse Group | 485,000 | 7/12/11 | 6,046 | 6,025 | 21 | |||||||||||||||
SELL | JPY | UBS AG | 1,131,000 | 7/12/11 | 14,112 | 14,049 | 63 | |||||||||||||||
BUY | MXN | Citibank N.A. | 180,000 | 7/05/11 | 15,161 | 15,373 | 212 | |||||||||||||||
BUY | NOK | Deutsche Bank AG | 255,000 | 7/12/11 | 46,373 | 47,245 | 872 | |||||||||||||||
BUY | NZD | Barclays Bank PLC | 10,000 | 7/12/11 | 8,040 | 8,281 | 241 | |||||||||||||||
BUY | NZD | JPMorgan Chase Bank N.A. | 9,000 | 7/12/11 | 7,236 | 7,453 | 217 | |||||||||||||||
BUY | SEK | Deutsche Bank AG | 86,000 | 7/12/11 | 13,580 | 13,591 | 11 | |||||||||||||||
SELL | SEK | Credit Suisse Group | 5,157 | 7/12/11 | 824 | 815 | 9 | |||||||||||||||
BUY | SGD | Credit Suisse Group | 57,000 | 7/12/11 | 45,367 | 46,406 | 1,039 | |||||||||||||||
BUY | SGD | Deutsche Bank AG | 10,500 | 7/12/11 | 8,327 | 8,548 | 221 | |||||||||||||||
BUY | SGD | HSBC Bank | 10,500 | 7/12/11 | 8,328 | 8,548 | 220 | |||||||||||||||
SELL | THB | HSBC Bank | 458,000 | 7/25/11 | 15,007 | 14,892 | 115 | |||||||||||||||
SELL | THB | JPMorgan Chase Bank N.A. | 185,000 | 7/05/11 | 6,062 | 6,024 | 38 | |||||||||||||||
|
| |||||||||||||||||||||
$32,390 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
BUY | AUD | Barclays Bank PLC | 7,000 | 7/12/11 | $7,539 | $7,501 | $(38 | ) | ||||||||||||||
BUY | AUD | Goldman Sachs International | 6,000 | 7/12/11 | 6,518 | 6,430 | (88 | ) | ||||||||||||||
SELL | AUD | Barclays Bank PLC | 12,000 | 7/12/11 | 12,685 | 12,859 | (174 | ) | ||||||||||||||
SELL | AUD | Citibank N.A. | 3,000 | 7/12/11 | 3,214 | 3,215 | (1 | ) | ||||||||||||||
SELL | AUD | Westpac Banking Corp. | 1,000 | 7/12/11 | 1,053 | 1,072 | (19 | ) | ||||||||||||||
BUY | CAD | Brown Brothers Harriman & Co. | 9,000 | 7/12/11 | 9,437 | 9,330 | (107 | ) | ||||||||||||||
BUY | CAD | HSBC Bank | 11,000 | 7/12/11 | 11,477 | 11,403 | �� | (74 | ) | |||||||||||||
SELL | CAD | Barclays Bank PLC | 11,000 | 7/12/11 | 11,217 | 11,403 | (186 | ) | ||||||||||||||
SELL | CAD | Goldman Sachs International | 50,136 | 7/12/11 | 51,837 | 51,975 | (138 | ) | ||||||||||||||
SELL | CAD | UBS AG | 22,000 | 7/12/11 | 22,732 | 22,807 | (75 | ) | ||||||||||||||
BUY | CNY | Barclays Bank PLC | 94,000 | 11/16/11 | 14,642 | 14,594 | (48 | ) | ||||||||||||||
BUY | CNY | Deutsche Bank AG | 393,000 | 11/16/11 | 61,182 | 61,016 | (166 | ) | ||||||||||||||
BUY | EUR | Goldman Sachs International | 23,000 | 7/12/11 | 33,628 | 33,347 | (281 | ) | ||||||||||||||
BUY | EUR | HSBC Bank | 4,000 | 7/12/11 | 5,904 | 5,799 | (105 | ) | ||||||||||||||
SELL | EUR | Barclays Bank PLC | 12,000 | 7/12/11 | 17,045 | 17,398 | (353 | ) | ||||||||||||||
SELL | EUR | Citibank N.A. | 10,000 | 7/12/11 | 14,319 | 14,499 | (180 | ) |
12-WGVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Forward Foreign Currency Exchange Contracts at 6/30/11 - continued
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Liability Derivatives - continued | ||||||||||||||||||||||
SELL | EUR | Credit Suisse Group | 8,000 | 7/12/11 | $11,391 | $11,599 | $(208 | ) | ||||||||||||||
SELL | EUR | Deutsche Bank AG | 41,000 | 7/12/11 | 58,536 | 59,445 | (909 | ) | ||||||||||||||
SELL | EUR | Goldman Sachs International | 6,000 | 7/12/11 | 8,514 | 8,699 | (185 | ) | ||||||||||||||
SELL | EUR | Morgan Stanley Capital Services, Inc. | 6,000 | 7/12/11 | 8,639 | 8,699 | (60 | ) | ||||||||||||||
SELL | EUR | UBS AG | 294,847 | 7/12/11-9/15/11 | 423,622 | 426,931 | (3,309 | ) | ||||||||||||||
BUY | GBP | Barclays Bank PLC | 35,876 | 7/12/11 | 58,480 | 57,575 | (905 | ) | ||||||||||||||
BUY | GBP | Deutsche Bank AG | 32,876 | 7/12/11 | 53,589 | 52,760 | (829 | ) | ||||||||||||||
BUY | GBP | Goldman Sachs International | 1,000 | 7/12/11 | 1,633 | 1,605 | (28 | ) | ||||||||||||||
BUY | HUF | Barclays Bank PLC | 1,695,000 | 7/12/11 | 9,255 | 9,241 | (14 | ) | ||||||||||||||
SELL | HUF | Barclays Bank PLC | 4,452,000 | 7/12/11 | 22,952 | 24,272 | (1,320 | ) | ||||||||||||||
BUY | IDR | Merrill Lynch International Bank | 132,291,000 | 9/06/11 | 15,431 | 15,276 | (155 | ) | ||||||||||||||
SELL | IDR | HSBC Bank | 265,335,000 | 7/26/11 | 30,586 | 30,844 | (258 | ) | ||||||||||||||
BUY | JPY | Brown Brothers Harriman & Co. | 288,000 | 7/12/11 | 3,587 | 3,577 | (10 | ) | ||||||||||||||
BUY | JPY | Goldman Sachs International | 1,026,000 | 7/12/11 | 12,793 | 12,745 | (48 | ) | ||||||||||||||
BUY | JPY | Morgan Stanley Capital Services, Inc. | 360,000 | 7/12/11 | 4,490 | 4,472 | (18 | ) | ||||||||||||||
SELL | JPY | Barclays Bank PLC | 3,344,000 | 7/12/11 | 41,357 | 41,539 | (182 | ) | ||||||||||||||
SELL | JPY | Brown Brothers Harriman & Co. | 1,129,000 | 7/12/11 | 13,849 | 14,024 | (175 | ) | ||||||||||||||
SELL | JPY | Citibank N.A. | 1,755,000 | 7/12/11 | 21,765 | 21,801 | (36 | ) | ||||||||||||||
SELL | JPY | Credit Suisse Group | 102,000 | 7/12/11 | 1,263 | 1,267 | (4 | ) | ||||||||||||||
SELL | JPY | HSBC Bank | 186,000 | 7/12/11 | 2,287 | 2,311 | (24 | ) | ||||||||||||||
SELL | JPY | UBS AG | 239,000 | 7/12/11 | 2,812 | 2,969 | (157 | ) | ||||||||||||||
SELL | MXN | Citibank N.A. | 183,000 | 7/05/11-7/12/11 | 15,549 | 15,630 | (81 | ) | ||||||||||||||
BUY | MYR | JPMorgan Chase Bank N.A. | 92,000 | 8/09/11 | 30,557 | 30,389 | (168 | ) | ||||||||||||||
SELL | MYR | JPMorgan Chase Bank N.A. | 92,000 | 8/09/11 | 29,997 | 30,389 | (392 | ) | ||||||||||||||
SELL | NOK | Deutsche Bank AG | 88,000 | 7/12/11 | 15,898 | 16,304 | (406 | ) | ||||||||||||||
SELL | NZD | Goldman Sachs International | 19,000 | 7/12/11 | 14,879 | 15,734 | (855 | ) | ||||||||||||||
BUY | SEK | Barclays Bank PLC | 40,000 | 7/12/11 | 6,633 | 6,321 | (312 | ) | ||||||||||||||
BUY | SEK | Credit Suisse Group | 52,000 | 7/12/11 | 8,524 | 8,218 | (306 | ) | ||||||||||||||
SELL | SEK | Deutsche Bank AG | 192,000 | 7/12/11 | 29,758 | 30,344 | (586 | ) | ||||||||||||||
BUY | SGD | Barclays Bank PLC | 18,000 | 8/05/11 | 14,683 | 14,655 | (28 | ) | ||||||||||||||
BUY | SGD | JPMorgan Chase Bank N.A. | 18,000 | 8/05/11 | 14,683 | 14,654 | (29 | ) | ||||||||||||||
SELL | SGD | UBS AG | 38,000 | 7/12/11 | 30,688 | 30,937 | (249 | ) | ||||||||||||||
BUY | THB | HSBC Bank | 458,000 | 7/25/11 | 15,323 | 14,892 | (431 | ) | ||||||||||||||
BUY | THB | JPMorgan Chase Bank N.A. | 185,000 | 7/05/11 | 6,198 | 6,024 | (174 | ) | ||||||||||||||
|
| |||||||||||||||||||||
$(14,884 | ) | |||||||||||||||||||||
|
|
At June 30, 2011, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
13-WGVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2011
Government Securities Variable Account
Issuer | Shares/Par | Value ($) | ||||||
BONDS - 94.4% | ||||||||
Agency - Other - 6.0% | ||||||||
Financing Corp., 9.4%, 2018 | $ | 1,020,000 | $ | 1,425,684 | ||||
Financing Corp., 10.35%, 2018 | 500,000 | 736,354 | ||||||
Financing Corp., STRIPS, 0%, 2017 | 1,220,000 | 1,023,983 | ||||||
|
| |||||||
$ | 3,186,021 | |||||||
|
| |||||||
Asset-Backed & Securitized - 2.2% | ||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049 | $ | 151,000 | $ | 160,217 | ||||
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 2046 | 424,864 | 454,966 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.004%, 2049 | 249,825 | 269,436 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.186%, 2051 | 242,098 | 257,556 | ||||||
|
| |||||||
$ | 1,142,175 | |||||||
|
| |||||||
Local Authorities - 0.6% | ||||||||
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043 | $ | 180,000 | $ | 185,549 | ||||
University of California Rev. (Build America Bonds), 5.77%, 2043 | 125,000 | 124,199 | ||||||
|
| |||||||
$ | 309,748 | |||||||
|
| |||||||
Mortgage-Backed - 46.7% | ||||||||
Fannie Mae, 5.503%, 2011 | $ | 79,000 | $ | 79,596 | ||||
Fannie Mae, 4.73%, 2012 | 86,102 | 89,201 | ||||||
Fannie Mae, 4.791%, 2012 | 37,132 | 38,169 | ||||||
Fannie Mae, 4.542%, 2013 | 51,107 | 53,359 | ||||||
Fannie Mae, 4.845%, 2013 | 237,765 | 250,407 | ||||||
Fannie Mae, 5%, 2013-2041 | 2,839,998 | 3,031,288 | ||||||
Fannie Mae, 5.06%, 2013 | 95,641 | 98,346 | ||||||
Fannie Mae, 5.159%, 2013 | 92,059 | 97,997 | ||||||
Fannie Mae, 4.562%, 2014 | 76,246 | 81,255 | ||||||
Fannie Mae, 4.6%, 2014 | 115,218 | 122,461 | ||||||
Fannie Mae, 4.609%, 2014 | 349,324 | 375,029 | ||||||
Fannie Mae, 4.77%, 2014 | 97,154 | 104,161 | ||||||
Fannie Mae, 4.841%, 2014 | 689,802 | 738,282 | ||||||
Fannie Mae, 4.873%, 2014 | 429,773 | 453,817 | ||||||
Fannie Mae, 5.1%, 2014-2015 | 190,926 | 205,563 | ||||||
Fannie Mae, 4.56%, 2015 | 148,957 | 160,020 | ||||||
Fannie Mae, 4.62%, 2015 | 165,948 | 178,280 | ||||||
Fannie Mae, 4.665%, 2015 | 100,649 | 108,437 | ||||||
Fannie Mae, 4.74%, 2015 | 93,434 | 101,003 | ||||||
Fannie Mae, 4.79%, 2015 | 94,118 | 102,093 | ||||||
Fannie Mae, 4.81%, 2015 | 118,355 | 128,482 | ||||||
Fannie Mae, 4.815%, 2015 | 115,384 | 125,113 | ||||||
Fannie Mae, 4.82%, 2015 | 232,965 | 251,736 | ||||||
Fannie Mae, 4.89%, 2015 | 81,640 | 88,488 | ||||||
Fannie Mae, 4.922%, 2015 | 179,520 | 195,180 | ||||||
Fannie Mae, 5.465%, 2015 | 193,364 | 213,626 | ||||||
Fannie Mae, 4.5%, 2016-2041 | 1,698,861 | 1,797,051 | ||||||
Fannie Mae, 5.157%, 2016 | 36,960 | 40,626 | ||||||
Fannie Mae, 5.35%, 2016 | 53,637 | 58,678 | ||||||
Fannie Mae, 5.724%, 2016 | 92,454 | 102,617 | ||||||
Fannie Mae, 6.5%, 2016-2037 | 440,254 | 497,473 | ||||||
Fannie Mae, 5.5%, 2017-2035 | 3,708,380 | 4,035,925 | ||||||
Fannie Mae, 6%, 2017-2037 | 1,304,350 | 1,440,864 | ||||||
Fannie Mae, 5.68%, 2018 | 41,457 | 45,248 | ||||||
Fannie Mae, 4.874%, 2019 | 237,406 | 260,096 | ||||||
Fannie Mae, 5.6%, 2019 | 51,971 | 56,349 | ||||||
Fannie Mae, 3.87%, 2020 | 59,348 | 60,014 | ||||||
Fannie Mae, 4.14%, 2020 | 36,635 | 37,712 | ||||||
Fannie Mae, 4.88%, 2020 | 67,627 | 72,046 |
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued | ||||||||
Mortgage-Backed - continued | ||||||||
Fannie Mae, 7.5%, 2022-2031 | $ | 72,081 | $ | 84,478 | ||||
Freddie Mac, 4.375%, 2015 | 46,695 | 47,168 | ||||||
Freddie Mac, 5%, 2016-2040 | 1,011,638 | 1,076,777 | ||||||
Freddie Mac, 3.154%, 2018 | 181,000 | 180,448 | ||||||
Freddie Mac, 5.085%, 2019 | 312,000 | 333,393 | ||||||
Freddie Mac, 6%, 2019-2038 | 1,074,236 | 1,185,778 | ||||||
Freddie Mac, 4.224%, 2020 | 152,529 | 158,687 | ||||||
Freddie Mac, 4.251%, 2020 | 119,000 | 124,086 | ||||||
Freddie Mac, 4.5%, 2022-2025 | 150,290 | 159,397 | ||||||
Freddie Mac, 5.5%, 2022-2036 | 1,754,195 | 1,908,756 | ||||||
Freddie Mac, 4%, 2025 | 465,467 | 485,493 | ||||||
Freddie Mac, 6.5%, 2032-2037 | 267,147 | 302,635 | ||||||
Freddie Mac, FRN, 3.882%, 2017 | 166,000 | 173,550 | ||||||
Ginnie Mae, 5.5%, 2033 | 755,470 | 836,447 | ||||||
Ginnie Mae, 4.5%, 2039-2040 | 639,161 | 677,504 | ||||||
Ginnie Mae, 5.612%, 2058 | 550,591 | 589,205 | ||||||
Ginnie Mae, 6.357%, 2058 | 307,725 | 332,692 | ||||||
|
| |||||||
$ | 24,632,582 | |||||||
|
| |||||||
U.S. Government Agencies and Equivalents - 6.0% | ||||||||
Aid-Egypt, 4.45%, 2015 | $ | 335,000 | $ | 372,135 | ||||
Farmer Mac, 5.5%, 2011 (n) | 690,000 | 691,415 | ||||||
FDIC Structured Sale Guarantee Note, | 43,000 | 42,355 | ||||||
Small Business Administration, | 208,240 | 227,676 | ||||||
Small Business Administration, | 281,262 | 307,474 | ||||||
Small Business Administration, | 148,512 | 157,706 | ||||||
Small Business Administration, | 336,379 | 358,454 | ||||||
Small Business Administration, | 165,275 | 177,189 | ||||||
Small Business Administration, | 194,092 | 207,562 | ||||||
U.S. Department of Housing & Urban Development, 6.36%, 2016 | 500,000 | 502,407 | ||||||
U.S. Department of Housing & Urban Development, 6.59%, 2016 | 109,000 | 109,544 | ||||||
|
| |||||||
$ | 3,153,917 | |||||||
|
| |||||||
U.S. Treasury Obligations - 32.9% | ||||||||
U.S. Treasury Bonds, 9.25%, 2016 | $ | 19,000 | $ | 25,543 | ||||
U.S. Treasury Bonds, 7.5%, 2016 | 218,000 | 281,237 | ||||||
U.S. Treasury Bonds, 7.875%, 2021 | 63,000 | 88,362 | ||||||
U.S. Treasury Bonds, 6.25%, 2023 | 16,000 | 20,298 | ||||||
U.S. Treasury Bonds, 6.75%, 2026 | 33,000 | 44,040 | ||||||
U.S. Treasury Bonds, 6.375%, 2027 | 326,000 | 422,170 | ||||||
U.S. Treasury Bonds, 5.25%, 2029 (f) | 2,162,000 | 2,494,745 | ||||||
U.S. Treasury Bonds, 4.5%, 2036 | 124,000 | 128,146 | ||||||
U.S. Treasury Bonds, 4.375%, 2038 | 772,000 | 777,066 | ||||||
U.S. Treasury Bonds, 4.5%, 2039 | 1,280,000 | 1,308,800 | ||||||
U.S. Treasury Notes, 1.125%, 2012 | 1,170,000 | 1,176,307 | ||||||
U.S. Treasury Notes, 1.375%, 2012 | 2,014,900 | 2,030,405 | ||||||
U.S. Treasury Notes, 1.375%, 2013 | 57,000 | 57,882 | ||||||
U.S. Treasury Notes, 4%, 2014 | 211,000 | 229,199 | ||||||
U.S. Treasury Notes, 1.875%, 2014 | 2,043,000 | 2,106,844 | ||||||
U.S. Treasury Notes, 4%, 2015 | 610,000 | 672,335 | ||||||
U.S. Treasury Notes, 2.625%, 2016 | 201,000 | 210,029 | ||||||
U.S. Treasury Notes, 2.625%, 2018 | 1,429,000 | 1,446,863 | ||||||
U.S. Treasury Notes, 2.75%, 2019 | 778,400 | 785,880 | ||||||
U.S. Treasury Notes, 3.125%, 2019 | 825,000 | 851,813 | ||||||
U.S. Treasury Notes, 3.5%, 2020 | 689,000 | 719,302 |
14-GSVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued | ||||||||
U.S. Treasury Obligations - continued | ||||||||
U.S. Treasury Notes, TIPS, | $ | 1,388,103 | $ | 1,468,352 | ||||
|
| |||||||
$ | 17,345,618 | |||||||
|
| |||||||
Total Bonds |
| $ | 49,770,061 | |||||
|
| |||||||
MONEY MARKET FUNDS (v) - 5.0% |
| |||||||
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value | 2,638,907 | $ | 2,638,907 | |||||
|
| |||||||
Total Investments |
| $ | 52,408,968 | |||||
|
| |||||||
OTHER ASSETS, |
| 337,515 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 52,746,483 | |||||
|
|
Derivatives Contracts at 6/30/11
Futures Contracts Outstanding at 6/30/11
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) | |||||||||||
Asset Derivatives | ||||||||||||||||
Interest Rate Futures | ||||||||||||||||
U.S. Treasury Note 10 yr (Short) | USD | 2 | $ | 244,656 | September - 2011 | $ | 663 |
At June 30, 2011, 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.
15-GSVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2011
High Yield Variable Account
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - 93.7% | ||||||||||||
Aerospace - 2.2% | ||||||||||||
BE Aerospace, Inc., 8.5%, 2018 | $ | 110,000 | $ | 120,007 | ||||||||
Bombardier, Inc., 7.5%, 2018 (n) | 185,000 | 207,200 | ||||||||||
Bombardier, Inc., 7.75%, 2020 (n) | 60,000 | 67,500 | ||||||||||
CPI International Acquisition, Inc., | 120,000 | 113,400 | ||||||||||
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015 | 138,000 | 107,985 | ||||||||||
Heckler & Koch GmbH, 9.5%, 2018 (z) | EUR | 100,000 | 137,764 | |||||||||
Huntington Ingalls Industries, Inc., | $ | 95,000 | 98,325 | |||||||||
|
| |||||||||||
$ | 852,181 | |||||||||||
|
| |||||||||||
Airlines - 0.0% | ||||||||||||
Continental Airlines, Inc., 6.748%, 2018 | $ | 16,210 | $ | 16,067 | ||||||||
|
| |||||||||||
Apparel Manufacturers - 0.7% | ||||||||||||
Hanesbrands, Inc., 8%, 2016 | $ | 110,000 | $ | 117,425 | ||||||||
Phillips-Van Heusen Corp., | 155,000 | 165,850 | ||||||||||
|
| |||||||||||
$ | 283,275 | |||||||||||
|
| |||||||||||
Asset-Backed & Securitized - 1.3% | ||||||||||||
ARCap REIT, Inc., CDO, “H”, FRN, | $ | 122,401 | $ | 4,590 | ||||||||
Citigroup Commercial Mortgage Trust, FRN, 5.886%, 2049 | 148,212 | 85,203 | ||||||||||
Crest Ltd., CDO, 7%, 2040 | 165,066 | 8,253 | ||||||||||
First Union National Bank Commercial Mortgage Trust, 6.75%, 2032 | 165,000 | 112,625 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, | 110,000 | 75,887 | ||||||||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.943%, 2047 | 87,180 | 34,399 | ||||||||||
Wachovia Credit, CDO, FRN, | 250,000 | 175,000 | ||||||||||
|
| |||||||||||
$ | 495,957 | |||||||||||
|
| |||||||||||
Automotive - 3.0% | ||||||||||||
Accuride Corp., 9.5%, 2018 | $ | 110,000 | $ | 117,700 | ||||||||
Allison Transmission, Inc., | 80,000 | 77,800 | ||||||||||
Ford Motor Credit Co. LLC, 8%, 2014 | 100,000 | 109,704 | ||||||||||
Ford Motor Credit Co. LLC, 12%, 2015 | 404,000 | 501,008 | ||||||||||
General Motors Financial Co., Inc., | 80,000 | 80,200 | ||||||||||
Goodyear Tire & Rubber Co., | 68,000 | 76,500 | ||||||||||
Jaguar Land Rover PLC, | 150,000 | 151,125 | ||||||||||
UCI International, Inc., 8.625%, 2019 | 30,000 | 30,900 | ||||||||||
|
| |||||||||||
$ | 1,144,937 | |||||||||||
|
| |||||||||||
Basic Industry - 0.3% | ||||||||||||
Trimas Corp., 9.75%, 2017 | $ | 115,000 | $ | 125,925 | ||||||||
|
| |||||||||||
Broadcasting - 5.1% | ||||||||||||
Allbritton Communications Co., | $ | 100,000 | $ | 101,750 | ||||||||
Citadel Broadcasting Corp., | 15,000 | 15,938 | ||||||||||
Clear Channel Communications, Inc., | 45,000 | 43,088 | ||||||||||
EH Holding Corp., 7.625%, 2021 (z) | 25,000 | 25,500 | ||||||||||
Entravision Communications Corp., | 30,000 | 31,050 |
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Broadcasting - continued | ||||||||||||
Gray Television, Inc., 10.5%, 2015 | $ | 30,000 | $ | 31,200 | ||||||||
Inmarsat Finance PLC, | 200,000 | 212,000 | ||||||||||
Intelsat Bermuda Ltd., 11.25%, 2017 | 105,000 | 112,744 | ||||||||||
Intelsat Jackson Holdings Ltd., | 315,000 | 330,356 | ||||||||||
Intelsat Jackson Holdings Ltd., | 45,000 | 47,700 | ||||||||||
Lamar Media Corp., 6.625%, 2015 | 85,000 | 86,275 | ||||||||||
Lamar Media Corp., “C”, 6.625%, 2015 | 35,000 | 35,394 | ||||||||||
LBI Media, Inc., 8.5%, 2017 (z) | 100,000 | 78,500 | ||||||||||
Liberty Media Corp., 8.5%, 2029 | 105,000 | 101,325 | ||||||||||
Local TV Finance LLC, | 172,529 | 172,745 | ||||||||||
Newport Television LLC, | 50,920 | 50,543 | ||||||||||
Salem Communications Corp., | 18,000 | 18,968 | ||||||||||
Sinclair Broadcast Group, Inc., | 65,000 | 71,338 | ||||||||||
Sinclair Broadcast Group, Inc., | 20,000 | 21,000 | ||||||||||
SIRIUS XM Radio, Inc., 13%, 2014 (n) | 30,000 | 35,175 | ||||||||||
SIRIUS XM Radio, Inc., 8.75%, 2015 (n) | 120,000 | 132,300 | ||||||||||
SIRIUS XM Radio, Inc., | 80,000 | 83,600 | ||||||||||
Univision Communications, Inc., | 70,000 | 69,300 | ||||||||||
Univision Communications, Inc., | 55,000 | 56,375 | ||||||||||
|
| |||||||||||
$ | 1,964,164 | |||||||||||
�� |
|
| ||||||||||
Brokerage & Asset Managers - 0.5% | ||||||||||||
E*TRADE Financial Corp., | $ | 50,000 | $ | 50,250 | ||||||||
E*TRADE Financial Corp., 12.5%, 2017 | 135,000 | 157,950 | ||||||||||
|
| |||||||||||
$ | 208,200 | |||||||||||
|
| |||||||||||
Building - 2.1% | ||||||||||||
Associated Materials LLC, | $ | 30,000 | $ | 29,925 | ||||||||
Building Materials Holding Corp., | 85,000 | 86,700 | ||||||||||
Building Materials Holding Corp., | 55,000 | 57,613 | ||||||||||
Building Materials Holding Corp., | 45,000 | 45,225 | ||||||||||
CEMEX S.A., 9.25%, 2020 | 240,000 | 237,600 | ||||||||||
Masonite International Corp., | 45,000 | 44,719 | ||||||||||
Nortek, Inc., | 35,000 | 35,000 | ||||||||||
Nortek, Inc., | 115,000 | 106,375 | ||||||||||
Owens Corning, | 145,000 | 173,187 | ||||||||||
|
| |||||||||||
$ | 816,344 | |||||||||||
|
| |||||||||||
Business Services - 1.5% | ||||||||||||
First Data Corp., | $ | 55,000 | $ | 58,850 | ||||||||
Interactive Data Corp., | 110,000 | 119,625 | ||||||||||
Iron Mountain, Inc., | 145,000 | 145,000 |
16-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Business Services - continued | ||||||||||||
SunGard Data Systems, Inc., | $ | 156,000 | $ | 161,460 | ||||||||
SunGard Data Systems, Inc., | 50,000 | 50,000 | ||||||||||
SunGard Data Systems, Inc., | 60,000 | 60,600 | ||||||||||
|
| |||||||||||
$ | 595,535 | |||||||||||
|
| |||||||||||
Cable TV - 4.0% | ||||||||||||
AMC Networks, Inc., 7.75%, 2021 (z) | $ | 23,000 | $ | 24,035 | ||||||||
Bresnan Broadband Holdings LLC, | 30,000 | 30,938 | ||||||||||
Cablevision Systems Corp., | 85,000 | 92,119 | ||||||||||
CCH II LLC, 13.5%, 2016 | 120,000 | 141,300 | ||||||||||
CCO Holdings LLC, 7.875%, 2018 | 130,000 | 136,988 | ||||||||||
CCO Holdings LLC, 8.125%, 2020 | 125,000 | 135,000 | ||||||||||
Cequel Communications Holdings, 8.625%, 2017 (n) | 40,000 | 41,600 | ||||||||||
Charter Communications Operating LLC, 10.875%, 2014 (n) | 80,000 | 88,000 | ||||||||||
CSC Holdings LLC, 8.5%, 2014 | 190,000 | 210,425 | ||||||||||
Insight Communications Co., Inc., | 100,000 | 109,750 | ||||||||||
Mediacom LLC, 9.125%, 2019 | 100,000 | 105,500 | ||||||||||
UPCB Finance III Ltd., | 170,000 | 167,875 | ||||||||||
Videotron LTEE, 6.875%, 2014 | 27,000 | 27,304 | ||||||||||
Virgin Media Finance PLC, | 228,000 | 239,970 | ||||||||||
|
| |||||||||||
$ | 1,550,804 | |||||||||||
|
| |||||||||||
Chemicals - 3.8% | ||||||||||||
Ashland, Inc., 9.125%, 2017 | $ | 80,000 | $ | 90,000 | ||||||||
Celanese U.S. Holdings LLC, | 165,000 | 174,075 | ||||||||||
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 8.875%, 2018 | 95,000 | 98,800 | ||||||||||
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 9%, 2020 | 30,000 | 30,750 | ||||||||||
Huntsman International LLC, | 110,000 | 119,625 | ||||||||||
Lyondell Chemical Co., 11%, 2018 | 377,972 | 423,329 | ||||||||||
Momentive Performance Materials, Inc., | 153,000 | 166,388 | ||||||||||
Momentive Performance Materials, Inc., | 150,000 | 159,750 | ||||||||||
Polypore International, Inc., 7.5%, 2017 | 110,000 | 116,325 | ||||||||||
Solutia, Inc., 7.875%, 2020 | 95,000 | 101,650 | ||||||||||
|
| |||||||||||
$ | 1,480,692 | |||||||||||
|
| |||||||||||
Computer Software - 0.2% | ||||||||||||
Syniverse Holdings, Inc., | $ | 80,000 | $ | 83,200 | ||||||||
|
| |||||||||||
Computer Software - Systems - 0.8% | ||||||||||||
Audatex North America, Inc., | $ | 65,000 | $ | 65,325 | ||||||||
DuPont Fabros Technology, Inc., REIT, | 165,000 | 180,263 | ||||||||||
Eagle Parent, Inc., 8.625%, 2019 (z) | 65,000 | 62,644 | ||||||||||
|
| |||||||||||
$ | 308,232 | |||||||||||
|
| |||||||||||
Conglomerates - 1.2% | ||||||||||||
Amsted Industries, Inc., | $ | 115,000 | $ | 120,750 | ||||||||
Griffon Corp., 7.125%, 2018 (n) | 120,000 | 120,450 | ||||||||||
Pinafore LLC, 9%, 2018 (n) | 195,000 | 210,113 | ||||||||||
|
| |||||||||||
$ | 451,313 | |||||||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Consumer Products - 1.4% | ||||||||||||
ACCO Brands Corp., 10.625%, 2015 | $ | 15,000 | $ | 16,744 | ||||||||
Easton-Bell Sports, Inc., 9.75%, 2016 | 95,000 | 104,738 | ||||||||||
Elizabeth Arden, Inc., 7.375%, 2021 | 75,000 | 78,094 | ||||||||||
Jarden Corp., 7.5%, 2020 | 125,000 | 130,000 | ||||||||||
Libbey Glass, Inc., 10%, 2015 | 90,000 | 97,650 | ||||||||||
Visant Corp., 10%, 2017 | 100,000 | 103,500 | ||||||||||
|
| |||||||||||
$ | 530,726 | |||||||||||
|
| |||||||||||
Consumer Services - 1.2% | ||||||||||||
Realogy Corp., 10.5%, 2014 | $ | 33,000 | $ | 32,670 | ||||||||
Realogy Corp., 11.5%, 2017 | 90,000 | 91,350 | ||||||||||
Service Corp. International, | 55,000 | 58,988 | ||||||||||
Service Corp. International, 7%, 2017 | 190,000 | 204,725 | ||||||||||
Service Corp. International, 7%, 2019 | 80,000 | 84,200 | ||||||||||
|
| |||||||||||
$ | 471,933 | |||||||||||
|
| |||||||||||
Containers - 2.2% | ||||||||||||
Exopack Holding Corp., 10%, 2018 (z) | $ | 60,000 | $ | 59,550 | ||||||||
Graham Packaging Co. LP/GPC Capital Corp., 9.875%, 2014 | 75,000 | 76,969 | ||||||||||
Graham Packaging Co. LP/GPC Capital Corp., 8.25%, 2018 | 45,000 | 50,063 | ||||||||||
Greif, Inc., 6.75%, 2017 | 165,000 | 171,600 | ||||||||||
Owens-Illinois, Inc., 7.375%, 2016 | 75,000 | 81,563 | ||||||||||
Packaging Dynamics Corp., | 40,000 | 40,600 | ||||||||||
Reynolds Group, 7.125%, 2019 (n) | 100,000 | 99,250 | ||||||||||
Reynolds Group, 9%, 2019 (n) | 100,000 | 98,750 | ||||||||||
Reynolds Group, 8.25%, 2021 (n) | 200,000 | 187,000 | ||||||||||
|
| |||||||||||
$ | 865,345 | |||||||||||
|
| |||||||||||
Defense Electronics - 0.7% | ||||||||||||
Ducommun, Inc., 9.75%, 2018 (z) | $ | 51,000 | $ | 52,403 | ||||||||
ManTech International Corp., | 140,000 | 146,300 | ||||||||||
MOOG, Inc., 7.25%, 2018 | 60,000 | 63,675 | ||||||||||
|
| |||||||||||
$ | 262,378 | |||||||||||
|
| |||||||||||
Electronics - 0.8% | ||||||||||||
Freescale Semiconductor, Inc., | $ | 49,000 | $ | 54,390 | ||||||||
Freescale Semiconductor, Inc., | 75,000 | 80,813 | ||||||||||
Jabil Circuit, Inc., 7.75%, 2016 | 113,000 | 125,148 | ||||||||||
Sensata Technologies B.V., | 45,000 | 44,888 | ||||||||||
|
| |||||||||||
$ | 305,239 | |||||||||||
|
| |||||||||||
Energy - Independent - 7.7% | ||||||||||||
ATP Oil & Gas Corp., 11.875%, 2015 | $ | 65,000 | $ | 65,975 | ||||||||
Bill Barrett Corp., 9.875%, 2016 | 100,000 | 112,000 | ||||||||||
Carrizo Oil & Gas, Inc., 8.625%, 2018 | 95,000 | 97,850 | ||||||||||
Chaparral Energy, Inc., 8.875%, 2017 | 140,000 | 144,900 | ||||||||||
Concho Resources, Inc., 8.625%, 2017 | 70,000 | 76,300 | ||||||||||
Concho Resources, Inc., 6.5%, 2022 | 45,000 | 45,113 | ||||||||||
Connacher Oil & Gas Ltd., | 70,000 | 66,500 | ||||||||||
Continental Resources, Inc., | 105,000 | 114,713 | ||||||||||
Denbury Resources, Inc., 8.25%, 2020 | 110,000 | 119,900 | ||||||||||
Energy XXI Gulf Coast, Inc., | 110,000 | 117,150 | ||||||||||
EXCO Resources, Inc., 7.5%, 2018 | 40,000 | 38,900 | ||||||||||
Harvest Operations Corp., | 180,000 | 185,850 | ||||||||||
LINN Energy LLC, 6.5%, 2019 (z) | 45,000 | 44,550 | ||||||||||
LINN Energy LLC, 8.625%, 2020 | 35,000 | 37,975 |
17-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Energy - Independent - continued | ||||||||||||
LINN Energy LLC, 7.75%, 2021 (n) | $ | 88,000 | $ | 91,520 | ||||||||
Newfield Exploration Co., | 125,000 | 126,875 | ||||||||||
Newfield Exploration Co., | 60,000 | 61,950 | ||||||||||
Newfield Exploration Co., | 40,000 | 42,500 | ||||||||||
OPTI Canada, Inc., 9.75%, 2013 (n) | 90,000 | 89,325 | ||||||||||
OPTI Canada, Inc., 8.25%, 2014 (d) | 215,000 | 89,225 | ||||||||||
Petrohawk Energy Corp., 7.25%, 2018 | 40,000 | 41,050 | ||||||||||
Pioneer Natural Resources Co., | 130,000 | 140,359 | ||||||||||
Pioneer Natural Resources Co., | 135,000 | 152,119 | ||||||||||
Plains Exploration & Production Co., | 165,000 | 169,950 | ||||||||||
QEP Resources, Inc., 6.875%, 2021 | 205,000 | 216,275 | ||||||||||
Quicksilver Resources, Inc., | 105,000 | 114,450 | ||||||||||
Range Resources Corp., 8%, 2019 | 75,000 | 81,375 | ||||||||||
SandRidge Energy, Inc., 8%, 2018 (n) | 185,000 | 188,700 | ||||||||||
W&T Offshore, Inc., 8.5%, 2019 (z) | 60,000 | 60,750 | ||||||||||
Whiting Petroleum Corp., 6.5%, 2018 | 60,000 | 62,400 | ||||||||||
|
| |||||||||||
$ | 2,996,499 | |||||||||||
|
| |||||||||||
Engineering - Construction - 0.2% | ||||||||||||
B-Corp. Merger Sub, Inc., | $ | 90,000 | $ | 89,100 | ||||||||
|
| |||||||||||
Entertainment - 0.9% | ||||||||||||
AMC Entertainment, Inc., 8.75%, 2019 | $ | 120,000 | $ | 126,600 | ||||||||
AMC Entertainment, Inc., | 60,000 | 61,350 | ||||||||||
Cinemark USA, Inc., 8.625%, 2019 | 95,000 | 104,025 | ||||||||||
NAI Entertainment Holdings LLC, | 50,000 | 53,625 | ||||||||||
|
| |||||||||||
$ | 345,600 | |||||||||||
|
| |||||||||||
Financial Institutions - 5.6% | ||||||||||||
CIT Group, Inc., 5.25%, 2014 (n) | $ | 155,000 | $ | 154,225 | ||||||||
CIT Group, Inc., 7%, 2016 | 185,000 | 184,306 | ||||||||||
CIT Group, Inc., 7%, 2017 | 585,000 | 583,538 | ||||||||||
CIT Group, Inc., 6.625%, 2018 (n) | 132,000 | 137,610 | ||||||||||
General Electric Capital Corp., | 170,000 | 174,250 | ||||||||||
International Lease Finance Corp., | 155,000 | 169,531 | ||||||||||
International Lease Finance Corp., 7.125%, 2018 (n) | 154,000 | 164,780 | ||||||||||
International Lease Finance Corp., | 30,000 | 32,400 | ||||||||||
Nationstar Mortgage LLC, | 175,000 | 182,000 | ||||||||||
SLM Corp., 8.45%, 2018 | 50,000 | 54,881 | ||||||||||
SLM Corp., 8%, 2020 | 155,000 | 166,440 | ||||||||||
Springleaf Finance Corp., 6.9%, 2017 | 200,000 | 183,500 | ||||||||||
|
| |||||||||||
$ | 2,187,461 | |||||||||||
|
| |||||||||||
Food & Beverages - 1.6% | ||||||||||||
ARAMARK Corp., 8.5%, 2015 | $ | 115,000 | $ | 119,456 | ||||||||
B&G Foods, Inc., 7.625%, 2018 | 85,000 | 89,463 | ||||||||||
Constellation Brands, Inc., 7.25%, 2016 | 60,000 | 65,550 | ||||||||||
Pinnacle Foods Finance LLC, | 155,000 | 160,813 | ||||||||||
Pinnacle Foods Finance LLC, | 40,000 | 42,650 | ||||||||||
Pinnacle Foods Finance LLC, | 30,000 | 31,125 | ||||||||||
TreeHouse Foods, Inc., 7.75%, 2018 | 95,000 | 100,938 | ||||||||||
|
| |||||||||||
$ | 609,995 | |||||||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Forest & Paper Products - 1.7% | ||||||||||||
Boise, Inc., 8%, 2020 | $ | 115,000 | $ | 120,750 | ||||||||
Cascades, Inc., 7.75%, 2017 | 80,000 | 83,400 | ||||||||||
Georgia-Pacific Corp., 8%, 2024 | 95,000 | 112,817 | ||||||||||
Georgia-Pacific Corp., 7.25%, 2028 | 35,000 | 38,890 | ||||||||||
Graphic Packaging Holding Co., | 75,000 | 79,500 | ||||||||||
JSG Funding PLC, 7.75%, 2015 | 35,000 | 35,350 | ||||||||||
Smurfit Kappa Group PLC, | EUR | 100,000 | 149,728 | |||||||||
Xerium Technologies, Inc., | $ | 45,000 | 45,000 | |||||||||
|
| |||||||||||
$ | 665,435 | |||||||||||
|
| |||||||||||
Gaming & Lodging - 4.5% | ||||||||||||
American Casinos, Inc., 7.5%, 2021 (n) | $ | 95,000 | $ | 97,969 | ||||||||
Boyd Gaming Corp., 7.125%, 2016 | 80,000 | 73,800 | ||||||||||
Firekeepers Development Authority, 13.875%, 2015 (n) | 100,000 | 115,500 | ||||||||||
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n) | 180,000 | 90 | ||||||||||
GWR Operating Partnership LLP, 10.875%, 2017 | 55,000 | 59,538 | ||||||||||
Harrah’s Operating Co., Inc., | 150,000 | 165,563 | ||||||||||
Harrah’s Operating Co., Inc., | 55,000 | 47,438 | ||||||||||
Harrah’s Operating Co., Inc., | 43,000 | 38,808 | ||||||||||
Host Hotels & Resorts, Inc., | 140,000 | 144,550 | ||||||||||
Host Hotels & Resorts, Inc., 9%, 2017 | 135,000 | 151,875 | ||||||||||
MGM Mirage, 10.375%, 2014 | 20,000 | 22,700 | ||||||||||
MGM Mirage, 11.125%, 2017 | 60,000 | 68,550 | ||||||||||
MGM Resorts International, | 70,000 | 78,575 | ||||||||||
MGM Resorts International, 9%, 2020 | 115,000 | 125,925 | ||||||||||
Penn National Gaming, Inc., | 135,000 | 146,813 | ||||||||||
Seven Seas Cruises S. de R.L., | 40,000 | 41,200 | ||||||||||
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018 | 65,000 | 71,988 | ||||||||||
Station Casinos, Inc., 6.5%, 2014 (d) | 330,000 | 33 | ||||||||||
Station Casinos, Inc., 6.875%, 2016 (d) | 380,000 | 38 | ||||||||||
Station Casinos, Inc., 7.75%, 2049 (d) | 70,000 | 7 | ||||||||||
Wyndham Worldwide Corp., 6%, 2016 | 45,000 | 47,789 | ||||||||||
Wyndham Worldwide Corp., | 110,000 | 121,977 | ||||||||||
Wynn Las Vegas LLC, 7.75%, 2020 | 105,000 | 114,056 | ||||||||||
|
| |||||||||||
$ | 1,734,782 | |||||||||||
|
| |||||||||||
Industrial - 0.8% | ||||||||||||
Altra Holdings, Inc., 8.125%, 2016 | $ | 85,000 | $ | 91,800 | ||||||||
Hillman Group, Inc., 10.875%, 2018 (z) | 60,000 | 64,725 | ||||||||||
Mueller Water Products, Inc., | 35,000 | 32,900 | ||||||||||
Mueller Water Products, Inc., | 96,000 | 103,920 | ||||||||||
|
| |||||||||||
$ | 293,345 | |||||||||||
|
| |||||||||||
Insurance - 0.8% | ||||||||||||
ING Capital Funding Trust III, FRN, 3.845%, 2049 | $ | 95,000 | $ | 89,716 | ||||||||
ING Groep N.V., | 245,000 | 225,400 | ||||||||||
|
| |||||||||||
$ | 315,116 | |||||||||||
|
|
18-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Insurance - Property & Casualty - 1.3% | ||||||||||||
Liberty Mutual Group, Inc., | $ | 180,000 | $ | 238,950 | ||||||||
USI Holdings Corp., 9.75%, 2015 (z) | 90,000 | 90,225 | ||||||||||
XL Group PLC, | 200,000 | 183,500 | ||||||||||
|
| |||||||||||
$ | 512,675 | |||||||||||
|
| |||||||||||
International Market Sovereign - 0.3% | ||||||||||||
Republic of Ireland, 4.5%, 2020 | EUR | 60,000 | $ | 54,598 | ||||||||
Republic of Ireland, 5.4%, 2025 | EUR | 60,000 | 53,054 | |||||||||
|
| |||||||||||
$ | 107,652 | |||||||||||
|
| |||||||||||
Machinery & Tools - 1.2% | ||||||||||||
Case Corp., 7.25%, 2016 | $ | 60,000 | $ | 65,325 | ||||||||
Case New Holland, Inc., | 245,000 | 269,500 | ||||||||||
Rental Service Corp., 9.5%, 2014 | 65,000 | 66,625 | ||||||||||
RSC Equipment Rental, Inc., | 45,000 | 44,775 | ||||||||||
|
| |||||||||||
$ | 446,225 | |||||||||||
|
| |||||||||||
Major Banks - 1.7% | ||||||||||||
Bank of America Corp., | $ | 300,000 | $ | 313,293 | ||||||||
JPMorgan Chase & Co., | 175,000 | 187,966 | ||||||||||
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049 | 180,000 | 162,000 | ||||||||||
|
| |||||||||||
$ | 663,259 | |||||||||||
|
| |||||||||||
Medical & Health Technology & Services - 5.4% | ||||||||||||
Biomet, Inc., 10%, 2017 | $ | 170,000 | $ | 185,300 | ||||||||
Biomet, Inc., 10.375%, 2017 (p) | 55,000 | 60,638 | ||||||||||
CDRT Merger Sub, Inc., | 35,000 | 35,000 | ||||||||||
Davita, Inc., 6.375%, 2018 | 165,000 | 167,063 | ||||||||||
Davita, Inc., 6.625%, 2020 | 50,000 | 50,875 | ||||||||||
Fresenius Medical Care AG & Co. KGaA, | 125,000 | 141,406 | ||||||||||
HCA, Inc., 9.25%, 2016 | 135,000 | 143,269 | ||||||||||
HCA, Inc., 8.5%, 2019 | 310,000 | 342,550 | ||||||||||
HealthSouth Corp., 8.125%, 2020 | 195,000 | 209,381 | ||||||||||
Teleflex, Inc., 6.875%, 2019 | 25,000 | 25,313 | ||||||||||
United Surgical Partners International, Inc., 8.875%, 2017 | 65,000 | 67,925 | ||||||||||
United Surgical Partners International, Inc., 9.25%, 2017 (p) | 90,000 | 94,050 | ||||||||||
Universal Health Services, Inc., | 50,000 | 51,500 | ||||||||||
Universal Hospital Services, Inc., | 175,000 | 180,250 | ||||||||||
Universal Hospital Services, Inc., FRN, | 45,000 | 43,200 | ||||||||||
Vanguard Health Systems, Inc., | 2,000 | 1,318 | ||||||||||
Vanguard Health Systems, Inc., | 150,000 | 154,875 | ||||||||||
VWR Funding, Inc., 10.25%, 2015 (p) | 147,375 | 154,007 | ||||||||||
|
| |||||||||||
$ | 2,107,920 | |||||||||||
|
| |||||||||||
Metals & Mining - 1.9% | ||||||||||||
Arch Coal, Inc., 7%, 2019 (z) | $ | 105,000 | $ | 104,738 | ||||||||
Arch Coal, Inc., 7.25%, 2020 | 55,000 | 55,963 | ||||||||||
Arch Western Finance LLC, | 57,000 | 57,071 | ||||||||||
Cloud Peak Energy, Inc., 8.25%, 2017 | 120,000 | 128,400 | ||||||||||
Cloud Peak Energy, Inc., 8.5%, 2019 | 130,000 | 140,563 | ||||||||||
Consol Energy, Inc., 8%, 2017 | 85,000 | 92,650 |
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Metals & Mining - continued | ||||||||||||
Consol Energy, Inc., 8.25%, 2020 | $ | 55,000 | $ | 59,950 | ||||||||
Novelis, Inc., 8.375%, 2017 | 60,000 | 64,050 | ||||||||||
Novelis, Inc., 8.75%, 2020 | 30,000 | 32,400 | ||||||||||
|
| |||||||||||
$ | 735,785 | |||||||||||
|
| |||||||||||
Natural Gas - Distribution - 0.4% | ||||||||||||
AmeriGas Partners LP, 7.125%, 2016 | $ | 145,000 | $ | 149,350 | ||||||||
|
| |||||||||||
Natural Gas - Pipeline - 2.2% | ||||||||||||
Atlas Pipeline Partners LP, 8.75%, 2018 | $ | 90,000 | $ | 95,175 | ||||||||
Crosstex Energy, Inc., 8.875%, 2018 | 150,000 | 159,750 | ||||||||||
El Paso Corp., 7%, 2017 | 100,000 | 113,138 | ||||||||||
El Paso Corp., 7.75%, 2032 | 130,000 | 151,225 | ||||||||||
Energy Transfer Equity LP, 7.5%, 2020 | 185,000 | 196,100 | ||||||||||
Enterprise Products Partners LP, | 73,000 | 79,023 | ||||||||||
Enterprise Products Partners LP, | 44,000 | 46,255 | ||||||||||
|
| |||||||||||
$ | 840,666 | |||||||||||
|
| |||||||||||
Network & Telecom - 2.2% | ||||||||||||
CenturyLink, Inc., 7.6%, 2039 | $ | 40,000 | $ | 38,475 | ||||||||
Cincinnati Bell, Inc., 8.25%, 2017 | 35,000 | 35,175 | ||||||||||
Cincinnati Bell, Inc., 8.75%, 2018 | 130,000 | 123,500 | ||||||||||
Citizens Communications Co., | 50,000 | 51,250 | ||||||||||
Frontier Communications Corp., | 30,000 | 32,625 | ||||||||||
Frontier Communications Corp., | 135,000 | 146,644 | ||||||||||
Qwest Communications International, Inc., | 55,000 | 59,813 | ||||||||||
Qwest Communications International, Inc., | 185,000 | 198,644 | ||||||||||
Windstream Corp., 8.125%, 2018 | 20,000 | 21,200 | ||||||||||
Windstream Corp., 7.75%, 2020 | 105,000 | 109,988 | ||||||||||
Windstream Corp., 7.75%, 2021 | 45,000 | 47,025 | ||||||||||
|
| |||||||||||
$ | 864,339 | |||||||||||
|
| |||||||||||
Oil Services - 1.1% | ||||||||||||
Edgen Murray Corp., 12.25%, 2015 | $ | 75,000 | $ | 75,563 | ||||||||
Expro Finance Luxembourg, | 100,000 | 96,500 | ||||||||||
McJunkin Red Man Holding Corp., | 85,000 | 86,488 | ||||||||||
Pioneer Drilling Co., 9.875%, 2018 | 150,000 | 160,500 | ||||||||||
Unit Corp., 6.625%, 2021 | 20,000 | 20,000 | ||||||||||
|
| |||||||||||
$ | 439,051 | |||||||||||
|
| |||||||||||
Oils - 0.3% | ||||||||||||
Petroplus Holdings AG, | $ | 100,000 | $ | 100,500 | ||||||||
|
| |||||||||||
Other Banks & Diversified Financials - 1.6% | ||||||||||||
Capital One Financial Corp., | $ | 150,000 | $ | 159,000 | ||||||||
Groupe BPCE S.A., | 100,000 | 114,436 | ||||||||||
LBG Capital No.1 PLC, | 100,000 | 93,500 | ||||||||||
Santander UK PLC, | 245,000 | 270,725 | ||||||||||
|
| |||||||||||
$ | 637,661 | |||||||||||
|
| |||||||||||
Pollution Control - 0.1% | ||||||||||||
WCA Waste Corp., 7.5%, 2019 (z) | $ | 40,000 | $ | 39,950 | ||||||||
|
| |||||||||||
Printing & Publishing - 0.6% | ||||||||||||
American Media, Inc., 13.5%, 2018 (z) | $ | 14,489 | $ | 15,612 | ||||||||
McClatchy Co., 11.5%, 2017 | 65,000 | 69,063 | ||||||||||
Nielsen Finance LLC, 11.5%, 2016 | 65,000 | 76,050 | ||||||||||
Nielsen Finance LLC, 7.75%, 2018 (n) | 50,000 | 52,500 | ||||||||||
|
| |||||||||||
$ | 213,225 | |||||||||||
|
|
19-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Railroad & Shipping - 0.5% | ||||||||||||
Kansas City Southern Railway, | $ | 155,000 | $ | 166,238 | ||||||||
Kansas City Southern Railway, | 45,000 | 45,000 | ||||||||||
|
| |||||||||||
$ | 211,238 | |||||||||||
|
| |||||||||||
Real Estate - 1.1% | ||||||||||||
CB Richard Ellis Group, Inc., | $ | 70,000 | $ | 81,113 | ||||||||
CNL Lifestyle Properties, Inc., REIT, | 50,000 | 45,250 | ||||||||||
Entertainment Properties Trust, REIT, | 130,000 | 146,575 | ||||||||||
Kennedy Wilson, Inc., 8.75%, 2019 (n) | 80,000 | 80,500 | ||||||||||
MPT Operating Partnership, | 65,000 | 63,863 | ||||||||||
|
| |||||||||||
$ | 417,301 | |||||||||||
|
| |||||||||||
Restaurants - 0.1% | ||||||||||||
Dunkin Finance Corp., | $ | 33,000 | $ | 33,288 | ||||||||
|
| |||||||||||
Retailers - 2.1% | ||||||||||||
Burlington Coat Factory Warehouse Corp., 10%, 2019 (n) | $ | 80,000 | $ | 79,200 | ||||||||
J. Crew Group, Inc., 8.125%, 2019 (n) | 45,000 | 43,313 | ||||||||||
Limited Brands, Inc., 6.9%, 2017 | 85,000 | 91,056 | ||||||||||
Limited Brands, Inc., 6.95%, 2033 | 50,000 | 46,000 | ||||||||||
Neiman Marcus Group, Inc., | 115,000 | 120,750 | ||||||||||
QVC, Inc., 7.375%, 2020 (n) | 80,000 | 84,200 | ||||||||||
Sally Beauty Holdings, Inc., | 145,000 | 154,788 | ||||||||||
Toys “R” Us Property Co. II LLC, | 75,000 | 78,375 | ||||||||||
Toys “R” Us, Inc., 10.75%, 2017 | 90,000 | 100,125 | ||||||||||
Yankee Holdings Corp., | 30,000 | 30,075 | ||||||||||
|
| |||||||||||
$ | 827,882 | |||||||||||
|
| |||||||||||
Specialty Stores - 0.4% | ||||||||||||
Michaels Stores, Inc., 11.375%, 2016 | $ | 80,000 | $ | 85,200 | ||||||||
Michaels Stores, Inc., 7.75%, 2018 (n) | 85,000 | 85,213 | ||||||||||
|
| |||||||||||
$ | 170,413 | |||||||||||
|
| |||||||||||
Telecommunications - Wireless - 4.9% | ||||||||||||
Clearwire Corp., 12%, 2015 (n) | $ | 195,000 | $ | 208,894 | ||||||||
Cricket Communications, Inc., | 95,000 | 100,700 | ||||||||||
Cricket Communications, Inc., | 50,000 | 49,000 | ||||||||||
Crown Castle International Corp., | 75,000 | 81,375 | ||||||||||
Crown Castle International Corp., | 190,000 | 199,975 | ||||||||||
Digicel Group Ltd., 8.25%, 2017 (n) | 135,000 | 140,063 | ||||||||||
Digicel Group Ltd., 10.5%, 2018 (n) | 130,000 | 145,600 | ||||||||||
MetroPCS Wireless, Inc., | 100,000 | 105,875 | ||||||||||
Nextel Communications, Inc., | 110,000 | 110,000 | ||||||||||
NII Holdings, Inc., 8.875%, 2019 | 65,000 | 71,744 | ||||||||||
NII Holdings, Inc., 7.625%, 2021 | 40,000 | 41,800 | ||||||||||
SBA Communications Corp., | 40,000 | 42,550 | ||||||||||
SBA Communications Corp., | 75,000 | 80,250 | ||||||||||
Sprint Capital Corp., 6.875%, 2028 | 60,000 | 56,850 | ||||||||||
Sprint Nextel Corp., 8.375%, 2017 | 110,000 | 120,863 |
Issuer | Shares/Par | Value ($) | ||||||||||
BONDS - continued | ||||||||||||
Telecommunications - Wireless - continued | ||||||||||||
Wind Acquisition Finance S.A., | $ | 125,000 | $ | 141,563 | ||||||||
Wind Acquisition Finance S.A., | 200,000 | 208,000 | ||||||||||
|
| |||||||||||
$ | 1,905,102 | |||||||||||
|
| |||||||||||
Telephone Services - 0.1% | ||||||||||||
Cogent Communications Group, Inc., 8.375%, 2018 (n) | $ | 50,000 | $ | 51,375 | ||||||||
|
| |||||||||||
Transportation - 0.1% | ||||||||||||
Navios South American Logistics, Inc., 9.25%, 2019 (n) | $ | 54,000 | $ | 54,405 | ||||||||
|
| |||||||||||
Transportation - Services - 2.2% | ||||||||||||
ACL I Corp., 10.625%, 2016 (p)(z) | $ | 95,000 | $ | 84,593 | ||||||||
American Petroleum Tankers LLC, 10.25%, 2015 | 54,000 | 56,430 | ||||||||||
Atlas Airlines, Inc. Pass-Through Certificates, “A-1”, 7.2%, 2019 | 68,232 | 64,820 | ||||||||||
Commercial Barge Line Co., | 195,000 | 218,888 | ||||||||||
Hertz Corp., 8.875%, 2014 | 19,000 | 19,475 | ||||||||||
Hertz Corp., 7.5%, 2018 (n) | 80,000 | 82,400 | ||||||||||
Hertz Corp., 7.375%, 2021 (n) | 60,000 | 61,050 | ||||||||||
Navios Maritime Acquisition Corp., 8.625%, 2017 | 50,000 | 49,250 | ||||||||||
Navios Maritime Acquisition Corp., 8.625%, 2017 (z) | 55,000 | 54,175 | ||||||||||
Navios Maritime Holdings, Inc., | 60,000 | 61,800 | ||||||||||
Swift Services Holdings, Inc., | 105,000 | 111,038 | ||||||||||
|
| |||||||||||
$ | 863,919 | |||||||||||
|
| |||||||||||
Utilities - Electric Power - 5.1% | ||||||||||||
AES Corp., 8%, 2017 | $ | 195,000 | $ | 206,700 | ||||||||
Calpine Corp., 8%, 2016 (n) | 130,000 | 140,400 | ||||||||||
Calpine Corp., 7.875%, 2020 (n) | 140,000 | 146,300 | ||||||||||
Covanta Holding Corp., 7.25%, 2020 | 115,000 | 120,283 | ||||||||||
Dynegy Holdings, Inc., 7.5%, 2015 | 40,000 | 32,600 | ||||||||||
Dynegy Holdings, Inc., 7.75%, 2019 | 160,000 | 116,400 | ||||||||||
Edison Mission Energy, 7%, 2017 | 190,000 | 153,900 | ||||||||||
EDP Finance B.V., 6%, 2018 (n) | 110,000 | 101,778 | ||||||||||
Energy Future Holdings Corp., | 145,000 | 153,912 | ||||||||||
Energy Future Holdings Corp., | 290,000 | 309,273 | ||||||||||
GenOn Energy, Inc., 9.875%, 2020 | 180,000 | 188,100 | ||||||||||
NRG Energy, Inc., 7.375%, 2017 | 105,000 | 109,988 | ||||||||||
NRG Energy, Inc., 8.25%, 2020 | 140,000 | 142,800 | ||||||||||
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n) | 65,000 | 63,863 | ||||||||||
|
| |||||||||||
$ | 1,986,297 | |||||||||||
|
| |||||||||||
Total Bonds |
| $ | 36,429,258 | |||||||||
|
| |||||||||||
FLOATING RATE LOANS (g)(r) - 0.8% |
| |||||||||||
Aerospace - 0.2% | ||||||||||||
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014 | $ | 74,628 | $ | 75,328 | ||||||||
|
| |||||||||||
Broadcasting - 0.3% | ||||||||||||
Gray Television, Inc., Term Loan B, | $ | 51,770 | $ | 50,761 | ||||||||
Local TV Finance LLC, Term Loan B, | 11,307 | 11,038 | ||||||||||
New Young Broadcasting Holding Co., Inc., Term Loan, 8%, 2015 | 55,005 | 55,245 | ||||||||||
|
| |||||||||||
$ | 117,044 | |||||||||||
|
|
20-HYVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||||||
FLOATING RATE LOANS (g)(r) - continued |
| |||||||||||
Building - 0.0% | ||||||||||||
Goodman Global Holdings, Inc., 2nd Lien Term Loan, 9%, 2017 | $ | 6,641 | $ | 6,810 | ||||||||
|
| |||||||||||
Financial Institutions - 0.1% | ||||||||||||
Springleaf Finance Corp., Term Loan, | $ | 51,677 | $ | 50,589 | ||||||||
|
| |||||||||||
Gaming & Lodging - 0.2% | ||||||||||||
MGM Mirage, Term Loan, 7%, 2014 | $ | 77,179 | $ | 75,357 | ||||||||
|
| |||||||||||
Total Floating Rate Loans |
| $ | 325,128 | |||||||||
|
| |||||||||||
COMMON STOCKS - 0.4% |
| |||||||||||
Automotive - 0.1% | ||||||||||||
Accuride Corp. (a) | 2,673 | $ | 33,760 | |||||||||
Oxford Automotive, Inc. (a) | 53 | 0 | ||||||||||
|
| |||||||||||
$ | 33,760 | |||||||||||
|
| |||||||||||
Broadcasting - 0.2% | ||||||||||||
New Young Broadcasting Holding Co., | 25 | $ | 67,500 | |||||||||
|
| |||||||||||
Printing & Publishing - 0.1% | ||||||||||||
American Media Operations, Inc. (a) | 3,713 | $ | 58,554 | |||||||||
Golden Books Family Entertainment, | 21,250 | 0 | ||||||||||
|
| |||||||||||
$ | 58,554 | |||||||||||
|
| |||||||||||
Special Products & Services - 0.0% | ||||||||||||
Mark IV Industries LLC, Common | 113 | $ | 6,413 | |||||||||
|
| |||||||||||
Total Common Stocks |
| $ | 166,227 | |||||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||||
CONVERTIBLE PREFERRED STOCKS - 0.7% |
| |||||||||
Automotive - 0.4% | ||||||||||
General Motors Co., 4.75% | 2,820 | $ | 137,447 | |||||||
|
| |||||||||
Insurance - 0.3% | ||||||||||
MetLife, Inc., 5% | 1,500 | $ | 123,645 | |||||||
|
| |||||||||
Total Convertible Preferred Stocks |
| $ | 261,092 | |||||||
|
| |||||||||
PREFERRED STOCKS - 0.9% |
| |||||||||
Other Banks & Diversified Financials - 0.9% | ||||||||||
Ally Financial, Inc., 7% (n) | 60 | $ | 56,389 | |||||||
Ally Financial, Inc., “A”, 8.5% | 7,646 | 191,379 | ||||||||
GMAC Capital Trust I, 8.125% (a) | 3,600 | 92,160 | ||||||||
|
| |||||||||
Total Preferred Stocks |
| $ | 339,928 | |||||||
|
|
Strike Price | First Exercise | |||||||||||||||
WARRANTS - 0.2% |
| |||||||||||||||
Broadcasting - 0.2% | ||||||||||||||||
New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (Identified Cost, $49,598) (a) | $ | 0.01 | 7/14/10 | 26 | $ | 70,200 | ||||||||||
|
| |||||||||||||||
MONEY MARKET FUNDS (v) - 1.2% |
| |||||||||||||||
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value |
| 457,149 | $ | 457,149 | ||||||||||||
|
| |||||||||||||||
Total Investments |
| $ | 38,048,982 | |||||||||||||
|
| |||||||||||||||
OTHER ASSETS, |
| 800,701 | ||||||||||||||
|
| |||||||||||||||
NET ASSETS - 100.0% |
| $ | 38,849,683 | |||||||||||||
|
|
Derivative Contracts at 6/30/11
Forward Foreign Currency Exchange Contracts at 6/30/11
Type | Currency | Counterparty | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Asset Derivatives | ||||||||||||||||||||||
SELL | EUR | HSBC Bank | 13,905 | 7/12/11 | $20,191 | $20,160 | $31 | |||||||||||||||
Liability Derivatives | ||||||||||||||||||||||
SELL | EUR | Citibank N.A. | 69,125 | 7/12/11 | $99,084 | $100,222 | $(1,138 | ) | ||||||||||||||
SELL | EUR | Deutsche Bank AG | 28,591 | 7/12/11 | 40,567 | 41,453 | (886 | ) | ||||||||||||||
SELL | EUR | Goldman Sachs International | 29,625 | 7/12/11 | 42,587 | 42,952 | (365 | ) | ||||||||||||||
SELL | EUR | JPMorgan Chase Bank N.A. | 131,592 | 7/12/11 | 187,776 | 190,791 | (3,016 | ) | ||||||||||||||
SELL | EUR | UBS AG | 13,946 | 7/12/11 | 20,154 | 20,220 | (65 | ) | ||||||||||||||
|
| |||||||||||||||||||||
$(5,470 | ) | |||||||||||||||||||||
|
|
Futures Contracts Outstanding at 6/30/11
Description | Currency | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) | |||||||||||
Asset Derivatives | ||||||||||||||||
Interest Rate Futures | ||||||||||||||||
U.S. Treasury Note 10 yr (Short) | USD | 3 | $ | 366,984 | September - 2011 | $ | 1,161 | |||||||||
U.S. Treasury Bond 30 yr (Short) | USD | 1 | 123,031 | September - 2011 | 1,411 | |||||||||||
|
| |||||||||||||||
$ | 2,572 | |||||||||||||||
|
|
At June 30, 2011, 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.
21-HYVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2011
Money Market Variable Account
Issuer | Shares/Par | Value ($) | ||||||
CERTIFICATES OF DEPOSIT - 2.8% |
| |||||||
Major Banks - 2.8% | ||||||||
Abbey National Treasury Services PLC/US Branch, 0.25%, due 7/19/11, at Cost and Value | $ | 750,000 | $ | 750,000 | ||||
|
| |||||||
COMMERCIAL PAPER (y) - 53.4% |
| |||||||
Automotive - 2.8% | ||||||||
Toyota Motor Credit Corp., | $ | 752,000 | $ | 751,950 | ||||
|
| |||||||
Computer Software - Systems - 3.0% | ||||||||
International Business Machines Corp., 0.06%, due 7/12/11 (t) | $ | 789,000 | $ | 788,985 | ||||
|
| |||||||
Conglomerates - 3.0% | ||||||||
United Technologies Corp., | $ | 801,000 | $ | 801,000 | ||||
|
| |||||||
Electrical Equipment - 1.8% | ||||||||
General Electric Co., | $ | 477,000 | $ | 477,000 | ||||
|
| |||||||
Food & Beverages - 5.9% | ||||||||
Coca-Cola Co., | $ | 750,000 | $ | 749,867 | ||||
Pepsico, Inc., | 488,000 | 487,957 | ||||||
Pepsico, Inc., | 327,000 | 326,965 | ||||||
|
| |||||||
$ | 1,564,789 | |||||||
|
| |||||||
Major Banks - 22.7% | ||||||||
Abbey National North America LLC, | $ | 51,000 | $ | 51,000 | ||||
ANZ National (International) Ltd., | 757,000 | 756,924 | ||||||
BNP Paribas Finance, Inc., | 51,000 | 51,000 | ||||||
BNP Paribas Finance, Inc., | 750,000 | 749,392 | ||||||
Credit Suisse First Boston, Inc., | 397,000 | 396,971 | ||||||
Credit Suisse First Boston, Inc., | 350,000 | 349,669 | ||||||
HSBC USA, Inc., 0.17%, due 9/06/11 | 750,000 | 749,763 | ||||||
JPMorgan Chase & Co., | 753,000 | 752,859 | ||||||
National Australia Funding (Delaware), Inc., | 534,000 | 534,000 | ||||||
Royal Bank of Canada, | 100,000 | 99,967 | ||||||
Toronto Dominion Holdings (USA), Inc., | 812,000 | 811,211 | ||||||
Westpac Banking Corp., | 750,000 | 749,907 | ||||||
|
| |||||||
$ | 6,052,663 | |||||||
|
| |||||||
Other Banks & Diversified Financials - 5.8% | ||||||||
Bank of Nova Scotia, | $ | 49,000 | $ | 49,000 | ||||
Bank of Nova Scotia, | 275,000 | 274,939 | ||||||
Bank of Nova Scotia, | 477,000 | 476,953 | ||||||
Rabobank USA Financial Corp., | 754,000 | 753,710 | ||||||
|
| |||||||
$ | 1,554,602 | |||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
COMMERCIAL PAPER (y) - continued |
| |||||||
Pharmaceuticals - 5.4% | ||||||||
Novartis Finance Corp., | $ | 631,000 | $ | 630,867 | ||||
Sanofi-Aventis, | 809,000 | 808,924 | ||||||
|
| |||||||
$ | 1,439,791 | |||||||
|
| |||||||
Retailers - 3.0% | ||||||||
Wal-Mart Stores, Inc., | $ | 807,000 | $ | 806,932 | ||||
|
| |||||||
Total Commercial Paper, |
| $ | 14,237,712 | |||||
|
| |||||||
U.S. GOVERNMENT AGENCIES AND |
| |||||||
Fannie Mae, 0.17%, due 7/01/11 | $ | 660,000 | $ | 660,000 | ||||
Fannie Mae, 0.16%, due 9/01/11 | 740,000 | 739,796 | ||||||
Freddie Mac, 0.07%, due 7/22/11 | 461,000 | 460,981 | ||||||
Freddie Mac, 0.21%, due 7/26/11 | 840,000 | 839,878 | ||||||
Freddie Mac, 0.001%, due 7/27/11 | 800,000 | 799,999 | ||||||
Freddie Mac, 0.24%, due 8/16/11 | 330,000 | 329,899 | ||||||
Freddie Mac, 0.025%, due 8/18/11 | 400,000 | 399,987 | ||||||
Freddie Mac, 0.18%, due 9/15/11 | 800,000 | 799,696 | ||||||
Freddie Mac, 0.095%, due 10/12/11 | 815,000 | 814,778 | ||||||
Freddie Mac, 0.116%, due 11/21/11 | 820,000 | 819,622 | ||||||
Freddie Mac, 0.13%, due 12/05/11 | 815,000 | 814,538 | ||||||
Freddie Mac, 0.13%, due 2/08/12 | 300,000 | 299,760 | ||||||
|
| |||||||
Total U.S. Government Agencies and Equivalents, |
| $ | 7,778,934 | |||||
|
| |||||||
FLOATING RATE DEMAND NOTES - 3.0% |
| |||||||
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 - 11.9% |
| |||||||
Bank of America Corp., 0.01%, dated 6/30/11, due 7/01/11, total to be received $487,000.14 (secured by U.S. Treasury and Federal Agency obligations valued at $496,749 in a jointly traded account) | $ | 487,000 | $ | 487,000 | ||||
Goldman Sachs, 0.02%, dated 6/30/11, due 7/01/11, total to be received $2,671,001 (secured by U.S. Treasury and Federal Agency obligations valued at $2,724,420 in a jointly traded account) | 2,671,000 | $ | 2,671,000 | |||||
|
| |||||||
Total Repurchase Agreements, |
| $ | 3,158,000 | |||||
|
| |||||||
Total Investments, |
| $ | 26,724,646 | |||||
|
| |||||||
OTHER ASSETS, |
| (76,012 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 26,648,634 | |||||
|
|
See portfolio footnotes and notes to financial statements.
22-MMVA
Table of Contents
Portfolio of Investments (unaudited) — June 30, 2011
Total Return Variable Account
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - 59.9% |
| |||||||
Aerospace - 4.5% | ||||||||
Honeywell International, Inc. | 11,890 | $ | 708,528 | |||||
Huntington Ingalls Industries, Inc. (a) | 933 | 32,189 | ||||||
Lockheed Martin Corp. | 19,720 | 1,596,728 | ||||||
Northrop Grumman Corp. | 5,560 | 385,586 | ||||||
Precision Castparts Corp. | 1,160 | 190,994 | ||||||
United Technologies Corp. | 15,910 | 1,408,194 | ||||||
|
| |||||||
$ | 4,322,219 | |||||||
|
| |||||||
Alcoholic Beverages - 0.9% | ||||||||
Diageo PLC | 33,794 | $ | 690,446 | |||||
Heineken N.V. | 2,729 | 164,116 | ||||||
|
| |||||||
$ | 854,562 | |||||||
|
| |||||||
Apparel Manufacturers - 0.2% | ||||||||
NIKE, Inc., “B” | 1,640 | $ | 147,567 | |||||
|
| |||||||
Automotive - 0.7% | ||||||||
General Motors Co. (a) | 4,790 | $ | 145,424 | |||||
Johnson Controls, Inc. | 11,840 | 493,254 | ||||||
|
| |||||||
$ | 638,678 | |||||||
|
| |||||||
Broadcasting - 2.1% | ||||||||
Omnicom Group, Inc. | 11,440 | $ | 550,950 | |||||
Viacom, Inc., “B” | 13,820 | 704,820 | ||||||
Walt Disney Co. | 19,230 | 750,739 | ||||||
|
| |||||||
$ | 2,006,509 | |||||||
|
| |||||||
Brokerage & Asset Managers - 0.6% | ||||||||
Blackrock, Inc. | 1,166 | $ | 223,650 | |||||
Charles Schwab Corp. | 9,230 | 151,834 | ||||||
Franklin Resources, Inc. | 1,920 | 252,077 | ||||||
|
| |||||||
$ | 627,561 | |||||||
|
| |||||||
Business Services - 1.0% | ||||||||
Accenture PLC, “A” | 10,560 | $ | 638,035 | |||||
Dun & Bradstreet Corp. | 2,040 | 154,102 | ||||||
Western Union Co. | 8,750 | 175,263 | ||||||
|
| |||||||
$ | 967,400 | |||||||
|
| |||||||
Cable TV - 0.5% | ||||||||
Comcast Corp., “Special A” | 18,330 | $ | 444,136 | |||||
|
| |||||||
Chemicals - 2.0% | ||||||||
3M Co. | 8,470 | $ | 803,380 | |||||
Celanese Corp. | 4,540 | 242,027 | ||||||
E.I. du Pont de Nemours & Co. | 3,660 | 197,823 | ||||||
PPG Industries, Inc. | 7,410 | 672,754 | ||||||
|
| |||||||
$ | 1,915,984 | |||||||
|
| |||||||
Computer Software - 1.3% | ||||||||
Check Point Software Technologies Ltd. (a) | 3,090 | $ | 175,667 | |||||
Microsoft Corp. | 5,220 | 135,720 | ||||||
Oracle Corp. | 29,110 | 958,010 | ||||||
|
| |||||||
$ | 1,269,397 | |||||||
|
| |||||||
Computer Software - Systems - 1.5% | ||||||||
Hewlett-Packard Co. | 13,300 | $ | 484,120 | |||||
International Business Machines Corp. | 5,900 | 1,012,145 | ||||||
|
| |||||||
$ | 1,496,265 | |||||||
|
| |||||||
Construction - 0.6% | ||||||||
Pulte Homes, Inc. (a) | 7,440 | $ | 56,990 | |||||
Sherwin-Williams Co. | 3,270 | 274,255 | ||||||
Stanley Black & Decker, Inc. | 4,053 | 292,019 | ||||||
|
| |||||||
$ | 623,264 | |||||||
|
| |||||||
Consumer Products - 1.0% | ||||||||
Avon Products, Inc. | 7,620 | $ | 213,360 | |||||
Procter & Gamble Co. | 8,853 | 562,785 |
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - continued |
| |||||||
Consumer Products - continued | ||||||||
Reckitt Benckiser Group PLC | 2,643 | $ | 145,921 | |||||
|
| |||||||
$ | 922,066 | |||||||
|
| |||||||
Electrical Equipment - 1.1% | ||||||||
Danaher Corp. | 18,230 | $ | 966,008 | |||||
Tyco International Ltd. | 2,780 | 137,415 | ||||||
|
| |||||||
$ | 1,103,423 | |||||||
|
| |||||||
Electronics - 0.5% | ||||||||
ASML Holding N.V. | 1,450 | $ | 53,592 | |||||
Intel Corp. | 13,590 | 301,154 | ||||||
Microchip Technology, Inc. | 4,100 | 155,431 | ||||||
|
| |||||||
$ | 510,177 | |||||||
|
| |||||||
Energy - Independent - 3.0% | ||||||||
Anadarko Petroleum Corp. | 2,760 | $ | 211,858 | |||||
Apache Corp. | 10,190 | 1,257,344 | ||||||
EOG Resources, Inc. | 4,000 | 418,200 | ||||||
Noble Energy, Inc. | 3,300 | 295,779 | ||||||
Occidental Petroleum Corp. | 6,860 | 713,714 | ||||||
|
| |||||||
$ | 2,896,895 | |||||||
|
| |||||||
Energy - Integrated - 3.8% | ||||||||
Chevron Corp. | 10,925 | $ | 1,123,527 | |||||
EQT Corp. | 3,660 | 192,223 | ||||||
Exxon Mobil Corp. | 21,342 | 1,736,812 | ||||||
Hess Corp. | 6,380 | 476,969 | ||||||
QEP Resources, Inc. | 2,690 | 112,523 | ||||||
|
| |||||||
$ | 3,642,054 | |||||||
|
| |||||||
Engineering - Construction - 0.3% | ||||||||
Fluor Corp. | 4,210 | $ | 272,219 | |||||
|
| |||||||
Food & Beverages - 2.7% | ||||||||
General Mills, Inc. | 11,450 | $ | 426,169 | |||||
Groupe Danone | 3,145 | 234,649 | ||||||
J.M. Smucker Co. | 1,678 | 128,266 | ||||||
Kellogg Co. | 4,170 | 230,684 | ||||||
Nestle S.A. | 13,937 | 866,141 | ||||||
PepsiCo, Inc. | 10,890 | 766,983 | ||||||
|
| |||||||
$ | 2,652,892 | |||||||
|
| |||||||
Food & Drug Stores - 0.8% | ||||||||
CVS Caremark Corp. | 12,364 | $ | 464,639 | |||||
Kroger Co. | 6,180 | 153,264 | ||||||
Walgreen Co. | 3,380 | 143,515 | ||||||
|
| |||||||
$ | 761,418 | |||||||
|
| |||||||
General Merchandise - 1.1% | ||||||||
Kohl’s Corp. | 7,290 | $ | 364,573 | |||||
Target Corp. | 14,230 | 667,529 | ||||||
|
| |||||||
$ | 1,032,102 | |||||||
|
| |||||||
Health Maintenance Organizations - 0.1% | ||||||||
WellPoint, Inc. | 1,070 | $ | 84,284 | |||||
|
| |||||||
Insurance - 4.2% | ||||||||
ACE Ltd. | 10,200 | $ | 671,364 | |||||
Aon Corp. | 9,560 | 490,428 | ||||||
Chubb Corp. | 3,170 | 198,474 | ||||||
MetLife, Inc. | 26,410 | 1,158,607 | ||||||
Prudential Financial, Inc. | 14,060 | 894,075 | ||||||
Travelers Cos., Inc. | 10,720 | 625,834 | ||||||
|
| |||||||
$ | 4,038,782 | |||||||
|
| |||||||
Leisure & Toys - 0.5% | ||||||||
Hasbro, Inc. | 7,110 | $ | 312,342 | |||||
Mattel, Inc. | 4,480 | 123,155 | ||||||
|
| |||||||
$ | 435,497 | |||||||
|
|
23-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - continued |
| |||||||
Machinery & Tools - 0.4% | ||||||||
Eaton Corp. | 8,000 | $ | 411,600 | |||||
|
| |||||||
Major Banks - 7.3% | ||||||||
Bank of America Corp. | 69,780 | $ | 764,789 | |||||
Bank of New York Mellon Corp. | 40,924 | 1,048,473 | ||||||
Goldman Sachs Group, Inc. | 9,750 | 1,297,628 | ||||||
JPMorgan Chase & Co. | 48,372 | 1,980,350 | ||||||
PNC Financial Services Group, Inc. | 6,300 | 375,543 | ||||||
State Street Corp. | 12,660 | 570,839 | ||||||
SunTrust Banks, Inc. | 3,300 | 85,140 | ||||||
Wells Fargo & Co. | 33,560 | 941,694 | ||||||
|
| |||||||
$ | 7,064,456 | |||||||
|
| |||||||
Medical & Health Technology & Services - 0.3% | ||||||||
AmerisourceBergen Corp. | 4,070 | $ | 168,498 | |||||
Quest Diagnostics, Inc. | 2,830 | 167,253 | ||||||
|
| |||||||
$ | 335,751 | |||||||
|
| |||||||
Medical Equipment - 2.3% | ||||||||
Becton, Dickinson & Co. | 6,070 | $ | 523,052 | |||||
Covidien PLC | 5,000 | 266,150 | ||||||
Medtronic, Inc. | 15,030 | 579,106 | ||||||
St. Jude Medical, Inc. | 9,000 | 429,120 | ||||||
Thermo Fisher Scientific, Inc. (a) | 6,710 | 432,057 | ||||||
|
| |||||||
$ | 2,229,485 | |||||||
|
| |||||||
Metals & Mining - 0.1% | ||||||||
Cliffs Natural Resources, Inc. | 1,420 | $ | 131,279 | |||||
|
| |||||||
Natural Gas - Pipeline - 0.4% | ||||||||
Kinder Morgan, Inc. | 2,790 | $ | 80,157 | |||||
Williams Cos., Inc. | 9,420 | 284,955 | ||||||
|
| |||||||
$ | 365,112 | |||||||
|
| |||||||
Network & Telecom - 0.4% | ||||||||
Cisco Systems, Inc. | 23,080 | $ | 360,279 | |||||
|
| |||||||
Oil Services - 0.3% | ||||||||
Schlumberger Ltd. | 1,730 | $ | 149,472 | |||||
Transocean, Inc. | 2,850 | 183,996 | ||||||
|
| |||||||
$ | 333,468 | |||||||
|
| |||||||
Other Banks & Diversified Financials - 0.8% | ||||||||
MasterCard, Inc., “A” | 990 | $ | 298,327 | |||||
TCF Financial Corp. | 7,260 | 100,188 | ||||||
Visa, Inc., “A” | 2,920 | 246,039 | ||||||
Zions Bancorporation | 6,490 | 155,825 | ||||||
|
| |||||||
$ | 800,379 | |||||||
|
| |||||||
Pharmaceuticals - 4.1% | ||||||||
Abbott Laboratories | 18,820 | $ | 990,308 | |||||
Bayer AG | 1,810 | 145,517 | ||||||
GlaxoSmithKline PLC | 5,723 | 122,530 | ||||||
Johnson & Johnson | 19,830 | 1,319,092 | ||||||
Merck & Co., Inc. | 3,460 | 122,103 | ||||||
Pfizer, Inc. | 54,057 | 1,113,574 | ||||||
Roche Holding AG | 897 | 150,113 | ||||||
|
| |||||||
$ | 3,963,237 | |||||||
|
| |||||||
Railroad & Shipping - 0.3% | ||||||||
Canadian National Railway Co. | 2,080 | $ | 166,192 | |||||
CSX Corp. | 4,730 | 124,021 | ||||||
|
| |||||||
$ | 290,213 | |||||||
|
| |||||||
Restaurants - 0.4% | ||||||||
McDonald’s Corp. | 5,120 | $ | 431,718 | |||||
|
| |||||||
Specialty Chemicals - 0.7% | ||||||||
Air Products & Chemicals, Inc. | 6,620 | $ | 632,740 | |||||
Airgas, Inc. | 900 | 63,036 | ||||||
|
| |||||||
$ | 695,776 | |||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
COMMON STOCKS - continued |
| |||||||
Specialty Stores - 0.4% | ||||||||
Advance Auto Parts, Inc. | 2,680 | $ | 156,753 | |||||
Staples, Inc. | 13,790 | 217,882 | ||||||
|
| |||||||
$ | 374,635 | |||||||
|
| |||||||
Telecommunications - Wireless - 0.7% | ||||||||
Vodafone Group PLC | 262,756 | $ | 697,087 | |||||
|
| |||||||
Telephone Services - 1.5% | ||||||||
AT&T, Inc. | 41,004 | $ | 1,287,936 | |||||
CenturyLink, Inc. | 3,995 | 161,518 | ||||||
|
| |||||||
$ | 1,449,454 | |||||||
|
| |||||||
Tobacco - 2.3% | ||||||||
Altria Group, Inc. | 7,330 | $ | 193,585 | |||||
Philip Morris International, Inc. | 24,900 | 1,662,573 | ||||||
Reynolds American, Inc. | 8,760 | 324,558 | ||||||
|
| |||||||
$ | 2,180,716 | |||||||
|
| |||||||
Trucking - 0.2% | ||||||||
United Parcel Service, Inc., “B” | 2,900 | $ | 211,497 | |||||
|
| |||||||
Utilities - Electric Power - 2.0% | ||||||||
American Electric Power Co., Inc. | 5,410 | $ | 203,849 | |||||
Dominion Resources, Inc. | 1,514 | 73,081 | ||||||
Entergy Corp. | 3,160 | 215,765 | ||||||
NextEra Energy, Inc. | 2,710 | 155,717 | ||||||
NRG Energy, Inc. (a) | 6,690 | 164,440 | ||||||
PG&E Corp. | 8,730 | 366,922 | ||||||
PPL Corp. | 12,280 | 341,752 | ||||||
Public Service Enterprise Group, Inc. | 13,630 | 444,883 | ||||||
|
| |||||||
$ | 1,966,409 | |||||||
|
| |||||||
Total Common Stocks |
| $ | 57,957,902 | |||||
|
| |||||||
BONDS - 38.9% | ||||||||
Agency - Other - 0.1% | ||||||||
Financing Corp., 9.65%, 2018 | $ | 45,000 | $ | 64,650 | ||||
|
| |||||||
Asset-Backed & Securitized - 2.5% | ||||||||
Anthracite Ltd., “A”, CDO, FRN, | $ | 112,137 | $ | 108,773 | ||||
Banc of America Commercial Mortgage, Inc., FRN, 5.93%, 2051 | 210,000 | 228,192 | ||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.785%, 2040 (z) | 180,426 | 100,914 | ||||||
BlackRock Capital Finance LP, | 29,745 | 3,569 | ||||||
Citigroup Commercial Mortgage Trust, FRN, 5.886%, 2049 | 142,000 | 155,036 | ||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049 | 237,638 | 252,144 | ||||||
Credit Suisse Mortgage Capital Certificate, FRN, 5.695%, 2040 | 152,515 | 161,673 | ||||||
GMAC Mortgage Corp. Loan Trust, FRN, 5.805%, 2036 | 79,111 | 52,025 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., 4.78%, 2042 | 152,000 | 156,501 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 | 97,000 | 105,635 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.388%, 2041 | 39,903 | 42,845 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.067%, 2045 | 110,000 | 122,084 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.004%, 2049 | 200,000 | 215,700 | ||||||
Merrill Lynch Mortgage Trust, FRN, “A3”, 6.019%, 2050 | 28,792 | 30,822 |
24-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued |
| |||||||
Asset-Backed & Securitized - continued | ||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050 | $ | 152,515 | $ | 163,228 | ||||
Morgan Stanley Capital I, Inc., FRN, 1.185%, 2030 (i)(z) | 963,285 | 24,275 | ||||||
Residential Asset Mortgage Products, Inc., FRN, 4.97%, 2034 | 51,548 | 51,991 | ||||||
Residential Funding Mortgage Securities, Inc., FRN, 5.32%, 2035 | 129,000 | 54,956 | ||||||
Spirit Master Funding LLC, | 140,849 | 125,111 | ||||||
Structured Asset Securities Corp., FRN, 4.67%, 2035 | 5,523 | 5,512 | ||||||
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.096%, 2051 | 245,000 | 266,546 | ||||||
|
| |||||||
$ | 2,427,532 | |||||||
|
| |||||||
Automotive - 0.1% | ||||||||
Toyota Motor Credit Corp., 3.2%, 2015 | $ | 50,000 | $ | 51,966 | ||||
|
| |||||||
Broadcasting - 0.1% | ||||||||
News America, Inc., 8.5%, 2025 | $ | 99,000 | $ | 125,243 | ||||
|
| |||||||
Cable TV - 0.4% | ||||||||
Cox Communications, Inc., | $ | 115,000 | $ | 122,111 | ||||
DIRECTV Holdings LLC, 4.6%, 2021 | 110,000 | 110,522 | ||||||
Time Warner Entertainment Co. LP, 8.375%, 2033 | 110,000 | 140,592 | ||||||
|
| |||||||
$ | 373,225 | |||||||
|
| |||||||
Conglomerates - 0.2% | ||||||||
Kennametal, Inc., 7.2%, 2012 | $ | 211,000 | $ | 222,537 | ||||
|
| |||||||
Consumer Services - 0.2% | ||||||||
Western Union Co., 5.4%, 2011 | $ | 165,000 | $ | 167,975 | ||||
|
| |||||||
Defense Electronics - 0.1% | ||||||||
BAE Systems Holdings, Inc., | $ | 103,000 | $ | 111,827 | ||||
|
| |||||||
Electronics - 0.2% | ||||||||
Tyco Electronics Group S.A., | $ | 128,000 | $ | 150,816 | ||||
|
| |||||||
Emerging Market Quasi-Sovereign - 0.1% | ||||||||
Petrobras International Finance Co., | $ | 23,000 | $ | 24,544 | ||||
Petroleos Mexicanos, 8%, 2019 | 66,000 | 81,378 | ||||||
|
| |||||||
$ | 105,922 | |||||||
|
| |||||||
Emerging Market Sovereign - 0.2% | ||||||||
Russian Federation, 3.625%, 2015 (z) | $ | 200,000 | $ | 205,500 | ||||
|
| |||||||
Energy - Independent - 0.1% | ||||||||
Anadarko Petroleum Corp., | $ | 120,000 | $ | 125,214 | ||||
|
| |||||||
Energy - Integrated - 0.5% | ||||||||
BP Capital Markets PLC, 4.5%, 2020 | $ | 25,000 | $ | 25,495 | ||||
BP Capital Markets PLC, 4.742%, 2021 | 110,000 | 113,476 | ||||||
Hess Corp., 8.125%, 2019 | 20,000 | 25,306 | ||||||
Husky Energy, Inc., 5.9%, 2014 | 69,000 | 76,796 | ||||||
Husky Energy, Inc., 7.25%, 2019 | 71,000 | 85,093 | ||||||
Petro-Canada, 6.05%, 2018 | 148,000 | 167,568 | ||||||
|
| |||||||
$ | 493,734 | |||||||
|
| |||||||
Financial Institutions - 0.1% | ||||||||
General Electric Capital Corp., | $ | 100,000 | $ | 100,589 | ||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued |
| |||||||
Food & Beverages - 0.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., | $ | 110,000 | $ | 148,679 | ||||
Miller Brewing Co., 5.5%, 2013 (n) | 126,000 | 136,480 | ||||||
|
| |||||||
$ | 285,159 | |||||||
|
| |||||||
Food & Drug Stores - 0.1% | ||||||||
CVS Caremark Corp., 6.125%, 2016 | $ | 110,000 | $ | 126,104 | ||||
|
| |||||||
Gaming & Lodging - 0.1% | ||||||||
Wyndham Worldwide Corp., 6%, 2016 | $ | 100,000 | $ | 106,198 | ||||
|
| |||||||
Insurance - 0.3% | ||||||||
ING Groep N.V., 5.775% to 2015, | $ | 133,000 | $ | 122,360 | ||||
Metropolitan Life Global Funding, | 100,000 | 106,403 | ||||||
Metropolitan Life Global Funding, | 40,000 | 43,702 | ||||||
Prudential Financial, Inc., 6.625%, 2040 | 30,000 | 32,390 | ||||||
|
| |||||||
$ | 304,855 | |||||||
|
| |||||||
Insurance - Property & Casualty - 0.2% | ||||||||
Chubb Corp., 6.375% to 2017, | $ | 200,000 | $ | 207,000 | ||||
|
| |||||||
International Market Quasi-Sovereign - 0.8% | ||||||||
Achmea Hypotheekbank N.V., | $ | 110,000 | $ | 115,456 | ||||
ING Bank N.V., 3.9%, 2014 (n) | 110,000 | 117,692 | ||||||
Irish Life & Permanent PLC, | 100,000 | 84,071 | ||||||
KFW International Finance, Inc., | 120,000 | 135,721 | ||||||
Royal Bank of Scotland Group PLC, 2.625%, 2012 (n) | 200,000 | 203,777 | ||||||
Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n) | 107,000 | 113,487 | ||||||
|
| |||||||
$ | 770,204 | |||||||
|
| |||||||
Local Authorities - 0.1% | ||||||||
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 2040 | $ | 90,000 | $ | 108,634 | ||||
|
| |||||||
Machinery & Tools - 0.1% | ||||||||
Atlas Copco AB, 5.6%, 2017 (n) | $ | 90,000 | $ | 100,125 | ||||
|
| |||||||
Major Banks - 1.6% | ||||||||
Bank of America Corp., 7.375%, 2014 | $ | 40,000 | $ | 44,968 | ||||
Bank of America Corp., 5.49%, 2019 | 100,000 | 100,190 | ||||||
Bank of America Corp., 7.625%, 2019 | 60,000 | 69,504 | ||||||
BNP Paribas, 7.195% to 2037, | 100,000 | 96,500 | ||||||
Commonwealth Bank of Australia, | 60,000 | 62,437 | ||||||
Credit Suisse New York, 5.5%, 2014 | 120,000 | 131,801 | ||||||
Goldman Sachs Group, Inc., | 101,000 | 106,922 | ||||||
JPMorgan Chase & Co., 6.3%, 2019 | 100,000 | 112,714 | ||||||
JPMorgan Chase Capital XXII, | 47,000 | 47,356 | ||||||
JPMorgan Chase Capital XXVII, | 13,000 | 12,984 | ||||||
Merrill Lynch & Co., Inc., 6.15%, 2013 | 100,000 | 107,373 | ||||||
Morgan Stanley, 5.75%, 2016 | 100,000 | 106,213 | ||||||
Morgan Stanley, 6.625%, 2018 | 140,000 | 154,223 | ||||||
PNC Funding Corp., 5.625%, 2017 | 90,000 | 99,100 | ||||||
Royal Bank of Scotland PLC, | 100,000 | 102,511 |
25-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued |
| |||||||
Major Banks - continued | ||||||||
UniCredito Luxembourg Finance S.A., | $ | 100,000 | $ | 96,098 | ||||
Wachovia Corp., 5.25%, 2014 | 81,000 | 86,821 | ||||||
|
| |||||||
$ | 1,537,715 | |||||||
|
| |||||||
Medical & Health Technology & Services - 0.2% | ||||||||
CareFusion Corp., 6.375%, 2019 | $ | 100,000 | $ | 112,869 | ||||
Hospira, Inc., 6.05%, 2017 | 93,000 | 105,555 | ||||||
|
| |||||||
$ | 218,424 | |||||||
|
| |||||||
Metals & Mining - 0.2% | ||||||||
ArcelorMittal, 9.85%, 2019 | $ | 55,000 | $ | 69,725 | ||||
ArcelorMittal, 5.25%, 2020 | 90,000 | 88,986 | ||||||
|
| |||||||
$ | 158,711 | |||||||
|
| |||||||
Mortgage-Backed - 12.6% | ||||||||
Fannie Mae, 4.01%, 2013 | $ | 17,340 | $ | 18,076 | ||||
Fannie Mae, 4.562%, 2014 | 82,494 | 87,914 | ||||||
Fannie Mae, 4.63%, 2014 | 43,147 | 45,942 | ||||||
Fannie Mae, 4.841%, 2014 | 55,215 | 59,095 | ||||||
Fannie Mae, 4.56%, 2015 | 36,099 | 38,780 | ||||||
Fannie Mae, 4.78%, 2015 | 36,321 | 39,394 | ||||||
Fannie Mae, 4.922%, 2015 | 55,708 | 60,568 | ||||||
Fannie Mae, 5.09%, 2016 | 40,000 | 43,638 | ||||||
Fannie Mae, 5.5%, 2016-2038 | 2,170,267 | 2,362,011 | ||||||
Fannie Mae, 5.724%, 2016 | 23,113 | 25,654 | ||||||
Fannie Mae, 4.989%, 2017 | 79,165 | 85,723 | ||||||
Fannie Mae, 5.05%, 2017 | 38,276 | 41,769 | ||||||
Fannie Mae, 6%, 2017-2037 | 1,215,367 | 1,345,516 | ||||||
Fannie Mae, 4.5%, 2018-2041 | 405,928 | 424,494 | ||||||
Fannie Mae, 5%, 2018-2040 | 1,273,616 | 1,363,110 | ||||||
Fannie Mae, 6.5%, 2031-2037 | 379,344 | 431,414 | ||||||
Fannie Mae, 7.5%, 2031 | 13,604 | 15,978 | ||||||
Freddie Mac, 6%, 2016-2037 | 544,829 | 603,017 | ||||||
Freddie Mac, 3.154%, 2018 | 8,000 | 7,976 | ||||||
Freddie Mac, 4.5%, 2018-2039 | 777,214 | 816,358 | ||||||
Freddie Mac, 5%, 2018-2039 | 741,066 | 792,164 | ||||||
Freddie Mac, 5.085%, 2019 | 106,000 | 113,268 | ||||||
Freddie Mac, 3.808%, 2020 | 86,000 | 86,377 | ||||||
Freddie Mac, 5.5%, 2021-2034 | 428,890 | 466,608 | ||||||
Freddie Mac, 4%, 2024 | 177,447 | 185,248 | ||||||
Freddie Mac, 6.5%, 2034-2037 | 174,067 | 196,828 | ||||||
Freddie Mac, 4%, 2041 | 548,457 | 548,794 | ||||||
Freddie Mac, FRN, 3.882%, 2017 | 23,811 | 24,894 | ||||||
Ginnie Mae, 4.5%, 2033-2040 | 424,361 | 450,299 | ||||||
Ginnie Mae, 5%, 2033-2039 | 522,924 | 567,941 | ||||||
Ginnie Mae, 5.5%, 2033-2035 | 256,006 | 283,372 | ||||||
Ginnie Mae, 6%, 2033-2038 | 260,232 | 291,205 | ||||||
Ginnie Mae, 4%, 2041 | 281,608 | 286,551 | ||||||
|
| |||||||
$ | 12,209,976 | |||||||
|
| |||||||
Natural Gas - Pipeline - 0.3% | ||||||||
Enterprise Products Operating LLC, | $ | 76,000 | $ | 87,057 | ||||
Kinder Morgan Energy Partners LP, | 71,000 | 84,290 | ||||||
Spectra Energy Capital LLC, 8%, 2019 | 53,000 | 64,833 | ||||||
|
| |||||||
$ | 236,180 | |||||||
|
| |||||||
Network & Telecom - 0.4% | ||||||||
AT&T, Inc., 6.55%, 2039 | $ | 100,000 | $ | 109,683 | ||||
Telecom Italia Capital, 5.25%, 2013 | 60,000 | 62,986 | ||||||
Verizon New York, Inc., 6.875%, 2012 | 196,000 | 204,726 | ||||||
|
| |||||||
$ | 377,395 | |||||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued |
| |||||||
Other Banks & Diversified Financials - 1.1% | ||||||||
American Express Co., 5.5%, 2016 | $ | 96,000 | $ | 107,013 | ||||
Banco Santander U.S. Debt S.A.U., | 100,000 | 96,426 | ||||||
Capital One Financial Corp., | 130,000 | 143,419 | ||||||
Groupe BPCE S.A., 12.5% to 2019, | 118,000 | 135,034 | ||||||
HSBC Holdings PLC, 5.1%, 2021 | 57,000 | 58,413 | ||||||
Lloyds TSB Bank PLC, 4.875%, 2016 | 90,000 | 92,049 | ||||||
Nordea Bank AB, 5.424% to 2015, | 100,000 | 95,000 | ||||||
Svenska Handelsbanken AB, | 120,000 | 129,619 | ||||||
UBS Preferred Funding Trust V, | 190,000 | 186,200 | ||||||
|
| |||||||
$ | 1,043,173 | |||||||
|
| |||||||
Pharmaceuticals - 0.3% | ||||||||
Pfizer, Inc., 7.2%, 2039 | $ | 50,000 | $ | 62,774 | ||||
Roche Holdings, Inc., 6%, 2019 (n) | 160,000 | 184,346 | ||||||
|
| |||||||
$ | 247,120 | |||||||
|
| |||||||
Real Estate - 0.4% | ||||||||
Boston Properties, Inc., REIT, 5%, 2015 | $ | 42,000 | $ | 45,527 | ||||
HCP, Inc., REIT, 5.375%, 2021 | 62,000 | 63,948 | ||||||
HRPT Properties Trust, REIT, | 180,000 | 197,087 | ||||||
WEA Finance LLC, REIT, | 31,000 | 35,154 | ||||||
WEA Finance LLC, REIT, | 80,000 | 77,637 | ||||||
|
| |||||||
$ | 419,353 | |||||||
|
| |||||||
Retailers - 0.3% | ||||||||
Home Depot, Inc., 5.95%, 2041 | $ | 93,000 | $ | 95,774 | ||||
Limited Brands, Inc., 5.25%, 2014 | 36,000 | 37,620 | ||||||
Wal-Mart Stores, Inc., 5.25%, 2035 | 194,000 | 194,012 | ||||||
|
| |||||||
$ | 327,406 | |||||||
|
| |||||||
Supranational - 0.1% | ||||||||
Asian Development Bank, 2.75%, 2014 | $ | 80,000 | $ | 83,748 | ||||
|
| |||||||
Telecommunications - Wireless - 0.3% | ||||||||
Crown Castle Towers LLC, | $ | 105,000 | $ | 114,568 | ||||
Crown Castle Towers LLC, | 20,000 | 20,111 | ||||||
Rogers Communications, Inc., | 132,000 | 155,756 | ||||||
|
| |||||||
$ | 290,435 | |||||||
|
| |||||||
Transportation - Services - 0.1% | ||||||||
Erac USA Finance Co., 7%, 2037 (n) | $ | 98,000 | $ | 107,832 | ||||
|
| |||||||
U.S. Government Agencies and Equivalents - 0.7% | ||||||||
Aid-Egypt, 4.45%, 2015 | $ | 152,000 | $ | 168,849 | ||||
Small Business Administration, | 23,473 | 24,626 | ||||||
Small Business Administration, | 59,361 | 63,257 | ||||||
Small Business Administration, | 97,505 | 104,498 | ||||||
Small Business Administration, | 135,747 | 146,070 | ||||||
Small Business Administration, | 84,534 | 90,628 |
26-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued |
| |||||||
U.S. Government Agencies and Equivalents - continued | ||||||||
Small Business Administration, | $ | 58,514 | $ | 62,713 | ||||
|
| |||||||
$ | 660,641 | |||||||
|
| |||||||
U.S. Treasury Obligations - 12.5% | ||||||||
U.S. Treasury Bonds, 2%, 2013 | $ | 197,000 | $ | 203,556 | ||||
U.S. Treasury Bonds, 8.5%, 2020 | 50,000 | 71,844 | ||||||
U.S. Treasury Bonds, 8%, 2021 | 37,000 | 52,685 | ||||||
U.S. Treasury Bonds, 6%, 2026 | 125,000 | 155,586 | ||||||
U.S. Treasury Bonds, 6.75%, 2026 | 32,000 | 42,705 | ||||||
U.S. Treasury Bonds, 5.25%, 2029 | 749,000 | 864,276 | ||||||
U.S. Treasury Bonds, 5.375%, 2031 | 79,000 | 92,590 | ||||||
U.S. Treasury Bonds, 4.5%, 2036 | 94,000 | 97,143 | ||||||
U.S. Treasury Bonds, 5%, 2037 | 440,000 | 488,744 | ||||||
U.S. Treasury Bonds, 4.5%, 2039 | 964,000 | 985,690 | ||||||
U.S. Treasury Notes, 1.375%, 2012 | 459,000 | 465,311 | ||||||
U.S. Treasury Notes, 1.375%, 2013 | 733,000 | 744,339 | ||||||
U.S. Treasury Notes, 3.875%, 2013 | 281,000 | 296,839 | ||||||
U.S. Treasury Notes, 1.375%, 2013 | 1,884,000 | 1,914,916 | ||||||
U.S. Treasury Notes, 3.5%, 2013 | 420,000 | 444,331 | ||||||
U.S. Treasury Notes, 3.125%, 2013 | 57,000 | 60,295 | ||||||
U.S. Treasury Notes, 2.75%, 2013 | 138,000 | 144,900 | ||||||
U.S. Treasury Notes, 1.5%, 2013 | 280,000 | 286,016 | ||||||
U.S. Treasury Notes, 1.875%, 2014 | 1,630,000 | 1,680,938 | ||||||
U.S. Treasury Notes, 4.75%, 2014 | 150,000 | 167,004 | ||||||
U.S. Treasury Notes, 2.625%, 2016 | 68,000 | 71,166 | ||||||
U.S. Treasury Notes, 4.75%, 2017 | 146,000 | 167,923 | ||||||
U.S. Treasury Notes, 3.75%, 2018 | 1,293,000 | 1,400,682 | ||||||
U.S. Treasury Notes, 2.75%, 2019 | 405,500 | 409,396 | ||||||
U.S. Treasury Notes, TIPS, | 763,147 | 807,266 | ||||||
|
| |||||||
$ | 12,116,141 | |||||||
|
| |||||||
Utilities - Electric Power - 0.9% | ||||||||
Bruce Mansfield Unit, 6.85%, 2034 | $ | 203,637 | $ | 218,312 | ||||
MidAmerican Funding LLC, | 54,000 | 62,294 | ||||||
Oncor Electric Delivery Co., 7%, 2022 | 76,000 | 90,608 | ||||||
PSEG Power LLC, 6.95%, 2012 | 111,000 | 117,028 | ||||||
PSEG Power LLC, 5.32%, 2016 | 91,000 | 100,307 | ||||||
System Energy Resources, Inc., | 32,201 | 33,051 | ||||||
Waterford 3 Funding Corp., | 217,059 | 218,565 | ||||||
|
| |||||||
$ | 840,165 | |||||||
|
| |||||||
Total Bonds |
| $ | 37,609,424 | |||||
|
|
Issuer | Shares/Par | Value ($) | ||||||
CONVERTIBLE PREFERRED STOCKS - 0.2% |
| |||||||
Automotive - 0.1% | ||||||||
General Motors Co., 4.75% | 3,100 | $ | 151,094 | |||||
|
| |||||||
Utilities - Electric Power - 0.1% | ||||||||
PPL Corp., 9.5% | 960 | $ | 53,664 | |||||
|
| |||||||
Total Convertible Preferred Stocks |
| $ | 204,758 | |||||
|
|
MONEY MARKET FUNDS (v) - 0.6% |
| |||||||
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value | 541,449 | $ | 541,449 | |||||
|
| |||||||
Total Investments |
| $ | 96,313,533 | |||||
|
| |||||||
OTHER ASSETS, |
| 365,322 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 96,678,855 | |||||
|
|
See portfolio footnotes and notes to financial statements.
27-TRVA
Table of Contents
Portfolio of Investments (unaudited) — continued
Portfolio Footnotes:
(a) | Non-income producing security. |
(d) | Non-income producing security – in default. |
(e) | Guaranteed by Minister for Finance of Ireland. |
(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 | Value | % of Net Assets | ||||||
Global Governments Variable Account | $ | 116,485 | 1.9 | % | ||||
Government Securities Variable Account | 733,770 | 1.4 | ||||||
High Yield Variable Account | 8,666,608 | 22.3 | ||||||
Total Return Variable Account | 2,309,714 | 2.4 |
(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 affiliated 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 Range | Cost | Value | ||||||||
Global Governments Variable Account | Bayview Commercial Asset Trust, FRN, 1.699%, 2023 | 5/25/06 | $ | 30,044 | $ | 27,144 | ||||||
Commercial Mortgage Asset Trust, FRN, 0.991%, 2032 | 8/25/03 | 12,457 | 7,948 | |||||||||
First Union National Bank Commercial Mortgage Trust, FRN, 1.636%, 2043 | 12/11/03 | 150 | 2 | |||||||||
|
| |||||||||||
Total Restricted Securities | $ | 35,094 | ||||||||||
|
| |||||||||||
% of Net Assets | 0.6% | |||||||||||
High Yield Variable Account | ACL I Corp., 10.625%, 2016 | 2/10/11 | $ | 93,434 | $ | 84,593 | ||||||
AMC Networks, Inc., 7.75%, 2021 | 6/22/11 | 23,000 | 24,035 | |||||||||
American Media, Inc., 13.5%, 2018 | 12/22/10 | 14,711 | 15,612 | |||||||||
ARCap REIT, Inc., CDO, “H”, FRN, 6.1%, 2045 | 9/21/04 | 4,590 | 4,590 | |||||||||
Arch Coal, Inc., 7%, 2019 | 6/08/11 - 6/14/11 | 105,510 | 104,738 | |||||||||
Associated Materials LLC, 9.125%, 2017 | 6/09/11 | 29,329 | 29,925 | |||||||||
Audatex North America, Inc., 6.75%, 2018 | 6/10/11 | 65,000 | 65,325 | |||||||||
B-Corp. Merger Sub, Inc., 8.25%, 2019 | 5/17/11 | 90,348 | 89,100 | |||||||||
CDRT Merger Sub, Inc., 8.125%, 2019 | 5/13/11 | 35,000 | 35,000 | |||||||||
Clear Channel Communications, Inc., 9%, 2021 | 6/08/11 | 43,131 | 43,088 | |||||||||
Connacher Oil & Gas Ltd., 8.5%, 2019 | 5/20/11 | 70,000 | 66,500 | |||||||||
Ducommun, Inc., 9.75%, 2018 | 6/23/11 | 51,550 | 52,403 | |||||||||
EH Holding Corp., 7.625%, 2021 | 5/17/11 | 25,000 | 25,500 | |||||||||
Eagle Parent, Inc., 8.625%, 2019 | 5/11/11 | 65,768 | 62,644 | |||||||||
Exopack Holding Corp., 10%, 2018 | 5/25/11 | 60,242 | 59,550 | |||||||||
General Motors Financial Co., Inc., 6.75%, 2018 | 5/26/11 - 6/06/11 | 80,447 | 80,200 | |||||||||
Heckler & Koch GmbH, 9.5%, 2018 | 5/06/11 | 141,776 | 137,764 | |||||||||
Hillman Group, Inc., 10.875%, 2018 | 3/11/11 | 65,384 | 64,725 | |||||||||
Jaguar Land Rover PLC, 8.125%, 2021 | 5/16/11 | 154,278 | 151,125 | |||||||||
Kansas City Southern Railway, 6.125%, 2021 | 5/06/11 | 45,421 | 45,000 | |||||||||
LBI Media, Inc., 8.5%, 2017 | 7/18/07 | 98,837 | 78,500 | |||||||||
LINN Energy LLC, 6.5%, 2019 | 5/10/11 | 44,659 | 44,550 | |||||||||
Local TV Finance LLC, 9.25%, 2015 | 11/09/07 - 11/30/10 | 168,762 | 172,745 | |||||||||
Navios Maritime Acquisition Corp., 8.625%, 2017 | 5/12/11 | 56,223 | 54,175 | |||||||||
Packaging Dynamics Corp., 8.75%, 2016 | 1/25/11 - 2/01/11 | 40,664 | 40,600 | |||||||||
Sensata Technologies B.V., 6.5%, 2019 | 5/06/11 | 45,247 | 44,888 | |||||||||
Seven Seas Cruises S. de R.L., 9.125%, 2019 | 5/13/11 | 40,000 | 41,200 | |||||||||
USI Holdings Corp., 9.75%, 2015 | 5/07/07 - 11/28/07 | 86,034 | 90,225 | |||||||||
W&T Offshore, Inc., 8.5%, 2019 | 6/03/11 | 60,000 | 60,750 |
28
Table of Contents
Portfolio of Investments (unaudited) — continued
Variable Account | Restricted Securities - continued | Acquisition Date | Cost | Value | ||||||||
High Yield Variable Account (continued) | WCA Waste Corp., 7.5%, 2019 | 5/26/11 | $ | 40,000 | $ | 39,950 | ||||||
Wachovia Credit, CDO, FRN, 1.596%, 2026 | 6/08/06 | 250,000 | 175,000 | |||||||||
Xerium Technologies, Inc., 8.875%, 2018 | 5/20/11 | 45,000 | 45,000 | |||||||||
|
| |||||||||||
Total Restricted Securities | $ | 2,129,000 | ||||||||||
|
| |||||||||||
% of Net Assets | 5.5% | |||||||||||
Total Return Variable Account | Anthracite Ltd., “A”, CDO, FRN, 0.635%, 2017 | 3/19/10 | $ | 105,127 | $ | 108,773 | ||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.785%, 2040 | 3/01/06 | 180,426 | 100,914 | |||||||||
Morgan Stanley Capital I, Inc., FRN, 1.185%, 2030 | 4/02/02 | 34,215 | 24,275 | |||||||||
Russian Federation, 3.625%, 2015 | 4/22/10 | 199,179 | 205,500 | |||||||||
Spirit Master Funding LLC, 5.05%, 2023 | 10/04/05 | 139,547 | 125,111 | |||||||||
System Energy Resources, Inc., 5.129%, 2014 | 33,051 | |||||||||||
WEA Finance LLC, REIT, 4.625%, 2021 | 77,637 | |||||||||||
|
| |||||||||||
Total Restricted Securities | $ | 675,261 | ||||||||||
|
| |||||||||||
% of Net Assets | 0.7% |
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. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
TIPS | Treasury Inflation Protected Security |
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 |
CNY | Chinese Yuan Renminbi |
DKK | Danish Krone |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
See notes to financial statements.
29
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2011
(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-affiliated issuers, at identified cost | $ | 100,760 | $ | 5,178 | $ | 47,294 | $ | 37,298 | $ | 23,567 | $ | 82,133 | ||||||||||||
Underlying affiliated funds, at cost and net asset value | 421 | 305 | 2,639 | 457 | — | 542 | ||||||||||||||||||
Repurchase agreements, at cost and value | — | — | — | — | 3,158 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investments, at identified cost | $ | 101,181 | $ | 5,483 | $ | 49,933 | $ | 37,755 | $ | 26,725 | $ | 82,675 | ||||||||||||
Unrealized appreciation | 28,325 | 462 | 2,476 | 294 | — | 13,639 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investments, at value | $ | 129,506 | $ | 5,945 | $ | 52,409 | $ | 38,049 | $ | 26,725 | $ | 96,314 | ||||||||||||
Cash | — | — | — | 23 | 1 | 1 | ||||||||||||||||||
Restricted Cash | — | — | — | 5 | — | — | ||||||||||||||||||
Foreign currency, at value (identified cost, $—, $1, $—, $—, $—, $—) | — | 1 | — | — | — | — | ||||||||||||||||||
Receivables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | — | 32 | — | 0 | * | — | — | |||||||||||||||||
Daily variation on open futures contracts | — | — | 1 | 2 | — | — | ||||||||||||||||||
Investments sold | — | 41 | — | 319 | — | 95 | ||||||||||||||||||
Units sold | — | — | — | 15 | — | — | ||||||||||||||||||
Interest and dividends | 182 | 83 | 387 | 684 | 0 | * | 420 | |||||||||||||||||
Receivable from investment adviser | — | 7 | — | 2 | 4 | 2 | ||||||||||||||||||
Receivable from sponsor | 22 | — | — | 19 | 2 | — | ||||||||||||||||||
Other assets | 35 | 0 | * | 1 | 1 | 1 | 2 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets | $ | 129,745 | $ | 6,109 | $ | 52,798 | $ | 39,119 | $ | 26,733 | $ | 96,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payables for | ||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | 15 | $ | — | $ | 5 | $ | — | $ | — | ||||||||||||
Investments purchased | — | — | — | 215 | — | 81 | ||||||||||||||||||
Units surrendered | 19 | 1 | 11 | 10 | 63 | 19 | ||||||||||||||||||
Payable to affiliates — | ||||||||||||||||||||||||
Investment adviser | 5 | — | 2 | — | — | — | ||||||||||||||||||
Sponsor | — | 0 | * | 3 | — | — | 6 | |||||||||||||||||
Board of Managers fees | 2 | 0 | * | 1 | 1 | 0 | * | 2 | ||||||||||||||||
Accrued expenses and other liabilities | 30 | 35 | 35 | 38 | 21 | 47 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | $ | 56 | $ | 51 | $ | 52 | $ | 269 | $ | 84 | $ | 155 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net assets | $ | 129,689 | $ | 6,058 | $ | 52,746 | $ | 38,850 | $ | 26,649 | $ | 96,679 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Amount is less than $500. |
See notes to financial statements.
30
Table of Contents
Statements of Assets and Liabilities (unaudited) — June 30, 2011 — continued
(000 Omitted except for unit values which are rounded for presentation purposes)
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 | 1,287 | $ | 64.986 | $ | 83,612 | |||||||||||||||||||||||||||
Compass 3 | 17 | 42.577 | 711 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 2,425 | 17.894 | 43,385 | |||||||||||||||||||||||||||||
Global Governments Variable Account — | ||||||||||||||||||||||||||||||||
Compass 2 | 56 | $ | 32.334 | $ | 1,825 | |||||||||||||||||||||||||||
Compass 3 | 5 | 31.225 | 144 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 218 | 18.493 | 4,039 | |||||||||||||||||||||||||||||
Government Securities Variable Account — | ||||||||||||||||||||||||||||||||
Compass 2 | 823 | $ | 47.450 | $ | 39,040 | |||||||||||||||||||||||||||
Compass 3 | 3 | 32.934 | 84 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 634 | 19.473 | 12,341 | |||||||||||||||||||||||||||||
High Yield Variable Account — | ||||||||||||||||||||||||||||||||
Compass 2 | 622 | $ | 49.810 | $ | 30,996 | |||||||||||||||||||||||||||
Compass 3 | 4 | 36.365 | 157 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 355 | 19.652 | 6,969 | |||||||||||||||||||||||||||||
Money Market Variable Account — | ||||||||||||||||||||||||||||||||
Compass 2 | 599 | $ | 21.111 | $ | 12,631 | |||||||||||||||||||||||||||
Compass 3 | 9 | 17.183 | 148 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 1,050 | 13.005 | 13,659 | |||||||||||||||||||||||||||||
Total Return Variable Account — | ||||||||||||||||||||||||||||||||
Compass 2 | 549 | $ | 53.271 | $ | 29,243 | |||||||||||||||||||||||||||
Compass 3 | 19 | 51.448 | 955 | |||||||||||||||||||||||||||||
Compass 3 – Level 2 | 2,601 | 25.114 | 65,319 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets applicable to owners of deferred contracts |
| 127,708 | 6,008 | 51,465 | 38,122 | 26,438 | 95,517 | |||||||||||||||||||||||||
Reserve for variable annuities — | ||||||||||||||||||||||||||||||||
Compass 2 Contracts |
| 1,754 | 11 | 1,243 | 693 | 170 | 859 | |||||||||||||||||||||||||
Compass 3 Contracts |
| — | — | — | — | — | — | |||||||||||||||||||||||||
Compass 3 – Level 2 Contracts |
| 227 | 39 | 38 | 35 | 41 | 303 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net assets |
| $ | 129,689 | $ | 6,058 | $ | 52,746 | $ | 38,850 | $ | 26,649 | $ | 96,679 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
31
Table of Contents
Statements of Operations (unaudited) — Six Months Ended June 30, 2011
(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 | $ | — | $ | 81 | $ | 1,060 | $ | 1,587 | $ | 26 | $ | 832 | ||||||||||||
Dividends | 988 | — | — | 7 | — | 696 | ||||||||||||||||||
Dividends from underlying affiliated funds | 1 | 0 | * | 3 | 1 | — | 1 | |||||||||||||||||
Foreign taxes withheld | (38 | ) | — | — | — | — | (8 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total investment income | $ | 951 | $ | 81 | $ | 1,063 | $ | 1,595 | $ | 26 | $ | 1,521 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses — | ||||||||||||||||||||||||
Mortality and expense risk charges | $ | 816 | $ | 37 | $ | 335 | $ | 258 | $ | 165 | $ | 604 | ||||||||||||
Management fee | 488 | 22 | 147 | 154 | 66 | 369 | ||||||||||||||||||
Boards of Managers fees | 7 | 0 | * | 3 | 2 | 2 | 6 | |||||||||||||||||
Distribution expense charge | 1 | 0 | * | 0 | * | 0 | * | 0 | * | 1 | ||||||||||||||
Administrative fee | 22 | 9 | 9 | 9 | 9 | 17 | ||||||||||||||||||
Custodian fee | 11 | 9 | 13 | 9 | 3 | 21 | ||||||||||||||||||
Printing | 5 | 5 | 4 | 4 | 7 | 5 | ||||||||||||||||||
Auditing fees | 19 | 24 | 21 | 26 | 11 | 25 | ||||||||||||||||||
Legal fees | 4 | 4 | 4 | 4 | 4 | 4 | ||||||||||||||||||
Miscellaneous | 6 | 4 | 5 | 4 | 3 | 5 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses | $ | 1,379 | $ | 114 | $ | 541 | $ | 470 | $ | 270 | $ | 1,057 | ||||||||||||
Fees paid indirectly | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | (0 | )* | ||||||||||||
Reduction of expenses by investment adviser | (19 | ) | (39 | ) | — | (27 | ) | (79 | ) | (33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | $ | 1,360 | $ | 75 | $ | 541 | $ | 443 | $ | 191 | $ | 1,024 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | $ | (409 | ) | $ | 6 | $ | 522 | $ | 1,152 | $ | (165 | ) | $ | 497 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Realized and unrealized gain (loss) on investments: | ||||||||||||||||||||||||
Realized gain (loss) (identified cost basis) — | ||||||||||||||||||||||||
Investment transactions | $ | 4,571 | $ | 51 | $ | (76 | ) | $ | 893 | $ | 0 | * | $ | 1,757 | ||||||||||
Futures contracts | — | — | (18 | ) | (20 | ) | — | — | ||||||||||||||||
Foreign currency transactions | 6 | (57 | ) | — | (18 | ) | — | 2 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain (loss) on investments and | $ | 4,577 | $ | (6 | ) | $ | (94 | ) | $ | 855 | $ | 0 | * | $ | 1,759 | |||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||||
Investments | $ | 3,155 | $ | 131 | $ | 399 | $ | (522 | ) | $ | — | $ | 1,294 | |||||||||||
Futures contracts | — | — | 15 | (9 | ) | — | — | |||||||||||||||||
Translation of assets and liabilities in foreign currencies | (2 | ) | 32 | — | (2 | ) | — | 1 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized gain (loss) on investments and | $ | 3,153 | $ | 163 | $ | 414 | $ | (533 | ) | $ | — | $ | 1,295 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized and unrealized gain (loss) on | $ | 7,730 | $ | 157 | $ | 320 | $ | 322 | $ | 0 | * | $ | 3,054 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets from operations | $ | 7,321 | $ | 163 | $ | 842 | $ | 1,474 | $ | (165 | ) | $ | 3,551 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Amount is less than $500. |
See notes to financial statements.
32
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 6/30/11 (unaudited) | Year Ended 12/31/10 | Six Months Ended 6/30/11 (unaudited) | Year Ended 12/31/10 | Six Months Ended 6/30/11 (unaudited) | Year Ended 12/31/10 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (409 | ) | $ | (895 | ) | $ | 6 | $ | 4 | $ | 522 | $ | 1,381 | ||||||||||
Net realized gain (loss) on investments and | 4,577 | 9,740 | (6 | ) | 173 | (94 | ) | 797 | ||||||||||||||||
Net unrealized gain (loss) on investments and | 3,153 | 4,771 | 163 | 41 | 414 | (100 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets from operations | $ | 7,321 | $ | 13,616 | $ | 163 | $ | 218 | $ | 842 | $ | 2,078 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 448 | $ | 753 | $ | 8 | $ | 19 | $ | 69 | $ | 696 | ||||||||||||
Net transfers between variable and fixed | (129 | ) | (1,374 | ) | 184 | (241 | ) | (795 | ) | 144 | ||||||||||||||
Withdrawals, surrenders, annuitizations, | (7,959 | ) | (14,998 | ) | (386 | ) | (1,531 | ) | (3,025 | ) | (7,933 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net accumulation activity | $ | (7,640 | ) | $ | (15,619 | ) | $ | (194 | ) | $ | (1,753 | ) | $ | (3,751 | ) | $ | (7,093 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | — | $ | 76 | $ | — | $ | — | $ | 49 | $ | 28 | ||||||||||||
Annuity payments and contract charges | (152 | ) | (302 | ) | (2 | ) | (5 | ) | (128 | ) | (261 | ) | ||||||||||||
Adjustments to annuity reserves | 16 | 5 | (0 | )* | (11 | ) | (10 | ) | 0 | * | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net annuitization activity | $ | (136 | ) | $ | (221 | ) | $ | (2 | ) | $ | (16 | ) | $ | (89 | ) | $ | (233 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets from participant transactions | $ | (7,776 | ) | $ | (15,840 | ) | $ | (196 | ) | $ | (1,769 | ) | $ | (3,840 | ) | $ | (7,326 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total change in net assets | $ | (455 | ) | $ | (2,224 | ) | $ | (33 | ) | $ | (1,551 | ) | $ | (2,998 | ) | $ | (5,248 | ) | ||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 130,144 | 132,368 | 6,091 | 7,642 | 55,744 | 60,992 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
At end of period | $ | 129,689 | $ | 130,144 | $ | 6,058 | $ | 6,091 | $ | 52,746 | $ | 55,744 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
* | Amount is less than $500. |
See notes to financial statements.
33
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 6/30/11 (unaudited) | Year Ended 12/31/10 | Six Months Ended 6/30/11 (unaudited) | Year Ended 12/31/10 | Six Months Ended 6/30/11 (unaudited) | Year Ended 12/31/10 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,152 | $ | 2,577 | $ | (165 | ) | $ | (395 | ) | $ | 497 | $ | 1,123 | ||||||||||
Net realized gain (loss) on investments and | 855 | 1,263 | 0 | * | 0 | * | 1,759 | 1,584 | ||||||||||||||||
Net unrealized gain (loss) on investments and | (533 | ) | 1,267 | — | — | 1,295 | 5,666 | |||||||||||||||||
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Change in net assets from operations | $ | 1,474 | $ | 5,107 | $ | (165 | ) | $ | (395 | ) | $ | 3,551 | $ | 8,373 | ||||||||||
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Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 177 | $ | 255 | $ | 312 | $ | 235 | $ | 235 | $ | 510 | ||||||||||||
Net transfers between variable and fixed | (1,633 | ) | (510 | ) | 1,773 | 927 | (384 | ) | (1,099 | ) | ||||||||||||||
Withdrawals, surrenders, annuitizations, | (2,018 | ) | (4,980 | ) | (3,324 | ) | (6,646 | ) | (5,968 | ) | (14,004 | ) | ||||||||||||
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Net accumulation activity | $ | (3,474 | ) | $ | (5,235 | ) | $ | (1,239 | ) | $ | (5,484 | ) | $ | (6,117 | ) | $ | (14,593 | ) | ||||||
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Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | — | $ | 31 | $ | — | $ | 18 | $ | — | $ | 16 | ||||||||||||
Annuity payments and contract charges | (66 | ) | (127 | ) | (16 | ) | (44 | ) | (87 | ) | (167 | ) | ||||||||||||
Adjustments to annuity reserves | 23 | (0 | )* | 7 | (1 | ) | (7 | ) | 46 | |||||||||||||||
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Net annuitization activity | $ | (43 | ) | $ | (96 | ) | $ | (9 | ) | $ | (27 | ) | $ | (94 | ) | $ | (105 | ) | ||||||
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Change in net assets from participant transactions | $ | (3,517 | ) | $ | (5,331 | ) | $ | (1,248 | ) | $ | (5,511 | ) | $ | (6,211 | ) | $ | (14,698 | ) | ||||||
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Total change in net assets | $ | (2,043 | ) | $ | (224 | ) | $ | (1,413 | ) | $ | (5,906 | ) | $ | (2,660 | ) | $ | (6,325 | ) | ||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 40,893 | 41,117 | 28,062 | 33,968 | 99,339 | 105,664 | ||||||||||||||||||
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At end of period | $ | 38,850 | $ | 40,893 | $ | 26,649 | $ | 28,062 | $ | 96,679 | $ | 99,339 | ||||||||||||
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* | Amount is less than $500. |
See notes to financial statements.
34
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 61.454 | $ | 55.063 | $ | 39.750 | $ | 63.669 | $ | 58.101 | $ | 55.446 | ||||||||||||
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Investment income | $ | 0.470 | $ | 0.768 | $ | 0.685 | $ | 0.780 | $ | 0.751 | $ | 0.560 | ||||||||||||
Expenses | (0.676 | ) | (1.176 | ) | (0.965 | ) | (1.154 | ) | (1.319 | ) | (1.198 | ) | ||||||||||||
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Net investment loss | $ | (0.206 | ) | $ | (0.408 | ) | $ | (0.280 | ) | $ | (0.374 | ) | $ | (0.568 | ) | $ | (0.638 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 3.738 | 6.799 | 15.593 | (23.545 | ) | 6.136 | 3.293 | |||||||||||||||||
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Change in unit value | $ | 3.532 | $ | 6.391 | $ | 15.313 | $ | (23.919 | ) | $ | 5.568 | $ | 2.655 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 64.986 | $ | 61.454 | $ | 55.063 | $ | 39.750 | $ | 63.669 | $ | 58.101 | ||||||||||||
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Total Return (%) (k)(r)(s) | 5.75 | (n) | 11.61 | 38.52 | (37.57 | ) | 9.58 | 4.79 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.16 | (a) | 2.18 | 2.18 | 2.17 | 2.15 | 2.15 | |||||||||||||||||
Expenses after expense reductions (f) | 2.13 | (a) | 2.12 | 2.12 | 2.12 | 2.14 | N/A | |||||||||||||||||
Net investment loss | (0.64 | )(a) | (0.72 | ) | (0.60 | ) | (0.68 | ) | (0.91 | ) | (1.11 | ) | ||||||||||||
Portfolio turnover (%) | 15 | 43 | 47 | 49 | 63 | 61 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 1,287 | 1,360 | 1,539 | 1,761 | 1,980 | 2,419 | ||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 40.282 | $ | 36.129 | $ | 26.107 | $ | 41.858 | $ | 38.235 | $ | 36.524 | ||||||||||||
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Investment income | $ | 0.295 | $ | 0.488 | $ | 0.425 | $ | 0.497 | $ | 0.490 | $ | 0.355 | ||||||||||||
Expenses | (0.455 | ) | (0.796 | ) | (0.635 | ) | (0.783 | ) | (0.903 | ) | (0.807 | ) | ||||||||||||
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Net investment loss | $ | (0.160 | ) | $ | (0.308 | ) | $ | (0.210 | ) | $ | (0.286 | ) | $ | (0.413 | ) | $ | (0.452 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 2.455 | 4.461 | 10.232 | (15.465 | ) | 4.036 | 2.163 | |||||||||||||||||
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Change in unit value | $ | 2.295 | $ | 4.153 | $ | 10.022 | $ | (15.751 | ) | $ | 3.623 | $ | 1.711 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 42.577 | $ | 40.282 | $ | 36.129 | $ | 26.107 | $ | 41.858 | $ | 38.235 | ||||||||||||
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Total Return (%) (k)(r)(s) | 5.70 | (n) | 11.49 | 38.39 | (37.63 | ) | 9.48 | 4.69 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.26 | (a) | 2.28 | 2.28 | 2.27 | 2.25 | 2.25 | |||||||||||||||||
Expenses after expense reductions (f) | 2.23 | (a) | 2.22 | 2.22 | 2.22 | 2.24 | N/A | |||||||||||||||||
Net investment loss | (0.78 | )(a) | (0.85 | ) | (0.73 | ) | (0.81 | ) | (1.04 | ) | (1.30 | ) | ||||||||||||
Portfolio turnover (%) | 15 | 43 | 47 | 49 | 63 | 61 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 17 | 20 | 27 | 46 | 73 | 128 |
35
Table of Contents
Financial Highlights — continued
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 16.917 | $ | 15.151 | $ | 10.932 | $ | 17.501 | $ | 15.963 | $ | 15.226 | ||||||||||||
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Investment income | $ | 0.127 | $ | 0.208 | $ | 0.186 | $ | 0.211 | $ | 0.203 | $ | 0.152 | ||||||||||||
Expenses | (0.180 | ) | (0.314 | ) | (0.258 | ) | (0.308 | ) | (0.352 | ) | (0.320 | ) | ||||||||||||
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Net investment loss | $ | (0.053 | ) | $ | (0.106 | ) | $ | (0.072 | ) | $ | (0.097 | ) | $ | (0.149 | ) | $ | (0.168 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.030 | 1.872 | 4.291 | (6.472 | ) | 1.687 | 0.905 | |||||||||||||||||
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Change in unit value | $ | 0.977 | $ | 1.766 | $ | 4.219 | $ | (6.569 | ) | $ | 1.538 | $ | 0.737 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.894 | $ | 16.917 | $ | 15.151 | $ | 10.932 | $ | 17.501 | $ | 15.963 | ||||||||||||
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Total Return (%) (k)(r)(s) | 5.78 | (n) | 11.66 | 38.59 | (37.54 | ) | 9.64 | 4.84 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.11 | (a) | 2.13 | 2.13 | 2.12 | 2.10 | 2.10 | |||||||||||||||||
Expenses after expense reductions (f) | 2.08 | (a) | 2.07 | 2.07 | 2.07 | 2.09 | N/A | |||||||||||||||||
Net investment loss | (0.61 | )(a) | (0.70 | ) | (0.58 | ) | (0.65 | ) | (0.88 | ) | (1.13 | ) | ||||||||||||
Portfolio turnover (%) | 15 | 43 | 47 | 49 | 63 | 61 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 2,425 | 2,588 | 2,945 | 3,335 | 3,671 | 4,378 |
(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.
36
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 31.477 | $ | 30.488 | $ | 29.979 | $ | 27.622 | $ | 25.732 | $ | 24.865 | ||||||||||||
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Investment income | $ | 0.430 | $ | 0.781 | $ | 0.885 | $ | 0.944 | $ | 1.052 | $ | 1.003 | ||||||||||||
Expenses | (0.394 | ) | (0.763 | ) | (0.742 | ) | (0.716 | ) | (0.653 | ) | (0.629 | ) | ||||||||||||
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Net investment income | $ | 0.036 | $ | 0.018 | $ | 0.143 | $ | 0.228 | $ | 0.399 | $ | 0.374 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.821 | 0.971 | 0.366 | 2.129 | 1.491 | 0.493 | ||||||||||||||||||
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Change in unit value | $ | 0.857 | $ | 0.989 | $ | 0.509 | $ | 2.357 | $ | 1.890 | $ | 0.867 | ||||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 32.334 | $ | 31.477 | $ | 30.488 | $ | 29.979 | $ | 27.622 | $ | 25.732 | ||||||||||||
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Total Return (%) (k)(r)(s) | 2.72 | (n) | 3.24 | 1.70 | 8.54 | 7.34 | 3.49 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.79 | (a) | 3.64 | 3.33 | 3.50 | 3.35 | 3.39 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.22 | (a) | 0.06 | 0.48 | 0.79 | 1.52 | 1.48 | |||||||||||||||||
Portfolio turnover (%) | 31 | 55 | 87 | 111 | 141 | 118 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 56 | 55 | 85 | 91 | 85 | 104 | ||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 30.421 | $ | 29.508 | $ | 29.059 | $ | 26.814 | $ | 25.017 | $ | 24.209 | ||||||||||||
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Investment income | $ | 0.408 | $ | 0.740 | $ | 0.834 | $ | 0.904 | $ | 1.044 | $ | 1.025 | ||||||||||||
Expenses | (0.396 | ) | (0.768 | ) | (0.746 | ) | (0.727 | ) | (0.678 | ) | (0.659 | ) | ||||||||||||
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Net investment income (loss) | $ | 0.012 | $ | (0.028 | ) | $ | 0.088 | $ | 0.177 | $ | 0.366 | $ | 0.366 | |||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.792 | 0.941 | 0.361 | 2.068 | 1.431 | 0.442 | ||||||||||||||||||
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Change in unit value | $ | 0.804 | $ | 0.913 | $ | 0.449 | $ | 2.245 | $ | 1.797 | $ | 0.808 | ||||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 31.225 | $ | 30.421 | $ | 29.508 | $ | 29.059 | $ | 26.814 | $ | 25.017 | ||||||||||||
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Total Return (%) (k)(r)(s) | 2.64 | (n) | 3.09 | 1.55 | 8.38 | 7.18 | 3.34 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.94 | (a) | 3.79 | 3.48 | 3.65 | 3.50 | 3.54 | |||||||||||||||||
Expenses after expense reductions (f) | 2.65 | (a) | 2.65 | 2.65 | 2.65 | 2.65 | 2.65 | |||||||||||||||||
Net investment income (loss) | 0.08 | (a) | (0.09 | ) | 0.31 | 0.65 | 1.44 | 1.41 | ||||||||||||||||
Portfolio turnover (%) | 31 | 55 | 87 | 111 | 141 | 118 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 5 | 6 | 7 | 11 | 15 | 18 |
37
Table of Contents
Financial Highlights — continued
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 18.003 | $ | 17.438 | $ | 17.147 | $ | 15.798 | $ | 14.718 | $ | 14.221 | ||||||||||||
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Investment income | $ | 0.243 | $ | 0.454 | $ | 0.508 | $ | 0.541 | $ | 0.608 | $ | 0.574 | ||||||||||||
Expenses | (0.225 | ) | (0.444 | ) | (0.426 | ) | (0.410 | ) | (0.377 | ) | (0.361 | ) | ||||||||||||
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Net investment income | $ | 0.018 | $ | 0.010 | $ | 0.082 | $ | 0.131 | $ | 0.231 | $ | 0.213 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.472 | 0.555 | 0.209 | 1.218 | 0.849 | 0.284 | ||||||||||||||||||
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Change in unit value | $ | 0.490 | $ | 0.565 | $ | 0.291 | $ | 1.349 | $ | 1.080 | $ | 0.497 | ||||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 18.493 | $ | 18.003 | $ | 17.438 | $ | 17.147 | $ | 15.798 | $ | 14.718 | ||||||||||||
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Total Return (%) (k)(r)(s) | 2.72 | (n) | 3.24 | 1.70 | 8.54 | 7.34 | 3.49 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.79 | (a) | 3.64 | 3.33 | 3.50 | 3.35 | 3.39 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | 2.50 | |||||||||||||||||
Net investment income | 0.20 | (a) | 0.06 | 0.48 | 0.79 | 1.53 | 1.47 | |||||||||||||||||
Portfolio turnover (%) | 31 | 55 | 87 | 111 | 141 | 118 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 218 | 230 | 274 | 306 | 332 | 403 |
(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.
38
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 46.717 | $ | 45.185 | $ | 43.715 | $ | 40.804 | $ | 38.619 | $ | 37.679 | ||||||||||||
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| |||||||||||||
Investment income | $ | 0.952 | $ | 2.100 | $ | 2.152 | $ | 2.116 | $ | 2.117 | $ | 2.024 | ||||||||||||
Expenses | (0.486 | ) | (0.976 | ) | (0.917 | ) | (0.860 | ) | (0.802 | ) | (0.757 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | $ | 0.466 | $ | 1.124 | $ | 1.235 | $ | 1.256 | $ | 1.315 | $ | 1.267 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.267 | 0.408 | 0.235 | 1.655 | 0.870 | (0.327 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 0.733 | $ | 1.532 | $ | 1.470 | $ | 2.911 | $ | 2.185 | $ | 0.940 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 47.450 | $ | 46.717 | $ | 45.185 | $ | 43.715 | $ | 40.804 | $ | 38.619 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(s) | 1.57 | (n) | 3.39 | 3.36 | 7.14 | 5.66 | 2.50 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.07 | (a) | 2.07 | 2.04 | 2.05 | 2.02 | 2.01 | |||||||||||||||||
Net investment income | 1.94 | (a) | 2.33 | 2.70 | 2.93 | 3.26 | 3.28 | |||||||||||||||||
Portfolio turnover (%) | 13 | 33 | 27 | 45 | 35 | 17 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 823 | 889 | 1,010 | 1,151 | 1,269 | 1,538 | ||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 32.441 | $ | 31.409 | $ | 30.417 | $ | 28.419 | $ | 26.924 | $ | 26.295 | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment income | $ | 0.632 | $ | 1.401 | $ | 1.442 | $ | 1.427 | $ | 1.470 | $ | 1.352 | ||||||||||||
Expenses | (0.344 | ) | (0.671 | ) | (0.651 | ) | (0.618 | ) | (0.583 | ) | (0.538 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | $ | 0.288 | $ | 0.730 | $ | 0.791 | $ | 0.809 | $ | 0.887 | $ | 0.814 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.205 | 0.302 | 0.201 | 1.189 | 0.608 | (0.185 | ) | |||||||||||||||||
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|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 0.493 | $ | 1.032 | $ | 0.992 | $ | 1.998 | $ | 1.495 | $ | 0.629 | ||||||||||||
|
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|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 32.934 | $ | 32.441 | $ | 31.409 | $ | 30.417 | $ | 28.419 | $ | 26.924 | ||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(s) | 1.52 | (n) | 3.29 | 3.26 | 7.03 | 5.55 | 2.40 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.17 | (a) | 2.17 | 2.14 | 2.15 | 2.12 | 2.11 | |||||||||||||||||
Net investment income | 1.80 | (a) | 2.34 | 2.60 | 2.80 | 3.25 | 3.15 | |||||||||||||||||
Portfolio turnover (%) | 13 | 33 | 27 | 45 | 35 | 17 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 3 | 3 | 10 | 20 | 28 | 40 |
39
Table of Contents
Financial Highlights — continued
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 19.168 | $ | 18.530 | $ | 17.918 | $ | 16.717 | $ | 15.814 | $ | 15.421 | ||||||||||||
|
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| |||||||||||||
Investment income | $ | 0.381 | $ | 0.837 | $ | 0.862 | $ | 0.848 | $ | 0.848 | $ | 0.813 | ||||||||||||
Expenses | (0.193 | ) | (0.387 | ) | (0.364 | ) | (0.342 | ) | (0.318 | ) | (0.300 | ) | ||||||||||||
|
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|
| |||||||||||||
Net investment income | $ | 0.188 | $ | 0.450 | $ | 0.498 | $ | 0.506 | $ | 0.530 | $ | 0.513 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.117 | 0.188 | 0.114 | 0.695 | 0.373 | (0.120 | ) | |||||||||||||||||
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|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 0.305 | $ | 0.638 | $ | 0.612 | $ | 1.201 | $ | 0.903 | $ | 0.393 | ||||||||||||
|
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|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 19.473 | $ | 19.168 | $ | 18.530 | $ | 17.918 | $ | 16.717 | $ | 15.814 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(s) | 1.59 | (n) | 3.44 | 3.41 | 7.19 | 5.71 | 2.55 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.02 | (a) | 2.02 | 1.99 | 2.00 | 1.97 | 1.96 | |||||||||||||||||
Net investment income | 1.96 | (a) | 2.34 | 2.72 | 2.94 | 3.29 | 3.30 | |||||||||||||||||
Portfolio turnover (%) | 13 | 33 | 27 | 45 | 35 | 17 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 634 | 667 | 731 | 831 | 889 | 1,054 |
(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.
40
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 48.077 | $ | 42.360 | $ | 29.057 | $ | 40.344 | $ | 40.172 | $ | 36.840 | ||||||||||||
|
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|
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|
| |||||||||||||
Investment income | $ | 1.964 | $ | 3.913 | $ | 3.733 | $ | 3.568 | $ | 3.391 | $ | 3.121 | ||||||||||||
Expenses | (0.547 | ) | (0.995 | ) | (0.781 | ) | (0.817 | ) | (0.901 | ) | (0.847 | ) | ||||||||||||
|
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|
|
|
|
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|
|
| |||||||||||||
Net investment income | $ | 1.417 | $ | 2.918 | $ | 2.952 | $ | 2.751 | $ | 2.490 | $ | 2.274 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.316 | 2.799 | 10.351 | (14.038 | ) | (2.318 | ) | 1.058 | ||||||||||||||||
|
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|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 1.733 | $ | 5.717 | $ | 13.303 | $ | (11.287 | ) | $ | 0.172 | $ | 3.332 | |||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 49.810 | $ | 48.077 | $ | 42.360 | $ | 29.057 | $ | 40.344 | $ | 40.172 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(r)(s) | 3.60 | (n) | 13.50 | 45.78 | (27.98 | ) | 0.43 | 9.04 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.34 | (a) | 2.37 | 2.35 | 2.36 | 2.25 | 2.32 | |||||||||||||||||
Expenses after expense reductions (f) | 2.20 | (a) | 2.20 | 2.20 | 2.20 | 2.20 | 2.22 | |||||||||||||||||
Net investment income | 5.61 | (a) | 6.36 | 8.18 | 7.28 | 5.96 | 5.84 | |||||||||||||||||
Portfolio turnover (%) | 31 | 66 | 56 | 62 | 66 | 88 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 622 | 662 | 753 | 862 | 958 | 1,119 | ||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 35.117 | $ | 30.972 | $ | 21.266 | $ | 29.556 | $ | 29.459 | $ | 27.043 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment income | $ | 1.369 | $ | 2.791 | $ | 2.629 | $ | 2.515 | $ | 2.445 | $ | 2.212 | ||||||||||||
Expenses | (0.401 | ) | (0.749 | ) | (0.580 | ) | (0.613 | ) | (0.681 | ) | (0.635 | ) | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | $ | 0.968 | $ | 2.042 | $ | 2.049 | $ | 1.902 | $ | 1.764 | $ | 1.577 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.280 | 2.103 | 7.657 | (10.192 | ) | (1.667 | ) | 0.839 | ||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 1.248 | $ | 4.145 | $ | 9.706 | $ | (8.290 | ) | $ | 0.097 | $ | 2.416 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 36.365 | $ | 35.117 | $ | 30.972 | $ | 21.266 | $ | 29.556 | $ | 29.459 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(r)(s) | 3.55 | (n) | 13.38 | 45.64 | (28.05 | ) | 0.33 | 8.94 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.44 | (a) | 2.47 | 2.45 | 2.46 | 2.35 | 2.42 | |||||||||||||||||
Expenses after expense reductions (f) | 2.30 | (a) | 2.30 | 2.30 | 2.30 | 2.30 | 2.32 | |||||||||||||||||
Net investment income | 5.52 | (a) | 6.26 | 8.08 | 7.09 | 5.93 | 5.71 | |||||||||||||||||
Portfolio turnover (%) | 31 | 66 | 56 | 62 | 66 | 88 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 4 | 6 | 8 | 13 | 21 | 34 |
41
Table of Contents
Financial Highlights — continued
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 18.963 | $ | 16.700 | $ | 11.450 | $ | 15.890 | $ | 15.814 | $ | 14.495 | ||||||||||||
|
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|
|
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|
|
|
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|
| |||||||||||||
Investment income | $ | 0.767 | $ | 1.507 | $ | 1.416 | $ | 1.380 | $ | 1.310 | $ | 1.202 | ||||||||||||
Expenses | (0.211 | ) | (0.379 | ) | (0.298 | ) | (0.313 | ) | (0.344 | ) | (0.323 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | $ | 0.556 | $ | 1.128 | $ | 1.118 | $ | 1.067 | $ | 0.966 | $ | 0.879 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.133 | 1.135 | 4.132 | (5.507 | ) | (0.890 | ) | 0.440 | ||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in unit value | $ | 0.689 | $ | 2.263 | $ | 5.250 | $ | (4.440 | ) | $ | 0.076 | $ | 1.319 | |||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 19.652 | $ | 18.963 | $ | 16.700 | $ | 11.450 | $ | 15.890 | $ | 15.814 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(r)(s) | 3.63 | (n) | 13.55 | 45.86 | (27.94 | ) | 0.48 | 9.10 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.29 | (a) | 2.32 | 2.30 | 2.31 | 2.20 | 2.27 | |||||||||||||||||
Expenses after expense reductions (f) | 2.15 | (a) | 2.15 | 2.15 | 2.15 | 2.15 | 2.17 | |||||||||||||||||
Net investment income | 5.65 | (a) | 6.37 | 8.03 | 7.27 | 5.98 | 5.86 | |||||||||||||||||
Portfolio turnover (%) | 31 | 66 | 56 | 62 | 66 | 88 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 355 | 428 | 493 | 558 | 579 | 774 |
(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.
42
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 21.247 | $ | 21.523 | $ | 21.803 | $ | 21.676 | $ | 20.979 | $ | 20.331 | ||||||||||||
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|
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| |||||||||||||
Investment income | $ | 0.021 | $ | 0.058 | $ | 0.078 | $ | 0.567 | $ | 1.145 | $ | 1.051 | ||||||||||||
Expenses | (0.157 | ) | (0.334 | ) | (0.357 | ) | (0.432 | ) | (0.431 | ) | (0.403 | ) | ||||||||||||
|
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|
|
| |||||||||||||
Net investment income (loss) | $ | (0.136 | ) | $ | (0.276 | ) | $ | (0.279 | ) | $ | 0.135 | $ | 0.714 | $ | 0.648 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.000 | )(w) | 0.000 | (w) | (0.001 | ) | (0.008 | ) | (0.017 | )(g) | — | |||||||||||||
|
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|
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|
| |||||||||||||
Change in unit value | $ | (0.136 | ) | $ | (0.276 | ) | $ | (0.280 | ) | $ | 0.127 | $ | 0.697 | $ | 0.648 | |||||||||
|
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|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 21.111 | $ | 21.247 | $ | 21.523 | $ | 21.803 | $ | 21.676 | $ | 20.979 | ||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(r)(s) | (0.64 | )(n) | (1.28 | ) | (1.28 | ) | 0.58 | 3.32 | 3.19 | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.10 | (a) | 2.06 | 2.01 | 1.99 | 2.00 | 1.95 | |||||||||||||||||
Expenses after expense reductions (f) | 1.50 | (a) | 1.56 | 1.66 | 1.97 | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.27 | )(a) | (1.28 | ) | (1.27 | ) | 0.61 | 3.29 | 3.15 | |||||||||||||||
Number of units outstanding at end of period (000 omitted) | 599 | 621 | 732 | 793 | 887 | 928 | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.302 | $ | 17.544 | $ | 17.790 | $ | 17.704 | $ | 17.152 | $ | 16.638 | ||||||||||||
|
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|
|
|
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|
|
| |||||||||||||
Investment income | $ | 0.017 | $ | 0.045 | $ | 0.066 | $ | 0.468 | $ | 0.902 | $ | 0.852 | ||||||||||||
Expenses | (0.133 | ) | (0.284 | ) | (0.308 | ) | (0.364 | ) | (0.356 | ) | (0.338 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | $ | (0.116 | ) | $ | (0.239 | ) | $ | (0.242 | ) | $ | 0.104 | $ | 0.546 | $ | 0.514 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.003 | ) | (0.003 | ) | (0.004 | ) | (0.018 | ) | 0.006 | (g) | — | |||||||||||||
|
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|
|
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|
|
|
|
|
|
| |||||||||||||
Change in unit value | $ | (0.119 | ) | $ | (0.242 | ) | $ | (0.246 | ) | $ | 0.086 | $ | 0.552 | $ | 0.514 | |||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.183 | $ | 17.302 | $ | 17.544 | $ | 17.790 | $ | 17.704 | $ | 17.152 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return (%) (k)(r)(s) | (0.69 | )(n) | (1.38 | ) | (1.38 | ) | 0.49 | 3.22 | 3.09 | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.20 | (a) | 2.16 | 2.11 | 2.09 | 2.10 | 2.05 | |||||||||||||||||
Expenses after expense reductions (f) | 1.60 | (a) | 1.66 | 1.76 | 2.07 | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.39 | )(a) | (1.39 | ) | (1.38 | ) | 0.59 | 3.20 | 3.00 | |||||||||||||||
Number of units outstanding at end of period (000 omitted) | 9 | 11 | 18 | 45 | 64 | 131 |
43
Table of Contents
Financial Highlights — continued
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 13.086 | $ | 13.249 | $ | 13.415 | $ | 13.330 | $ | 12.895 | $ | 12.491 | ||||||||||||
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Investment income | $ | 0.013 | $ | 0.036 | $ | 0.048 | $ | 0.344 | $ | 0.695 | $ | 0.644 | ||||||||||||
Expenses | (0.093 | ) | (0.199 | ) | (0.213 | ) | (0.257 | ) | (0.257 | ) | (0.240 | ) | ||||||||||||
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Net investment income (loss) | $ | (0.080 | ) | $ | (0.163 | ) | $ | (0.165 | ) | $ | 0.087 | $ | 0.438 | $ | 0.404 | |||||||||
Net realized and unrealized gain (loss) on investments | (0.001 | ) | 0.000 | (w) | (0.001 | ) | (0.002 | ) | (0.003 | )(g) | — | |||||||||||||
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Change in unit value | $ | (0.081 | ) | $ | (0.163 | ) | $ | (0.166 | ) | $ | 0.085 | $ | 0.435 | $ | 0.404 | |||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.005 | $ | 13.086 | $ | 13.249 | $ | 13.415 | $ | 13.330 | $ | 12.895 | ||||||||||||
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Total Return (%) (k)(r)(s) | (0.62 | )(n) | (1.23 | ) | (1.23 | ) | 0.63 | 3.38 | 3.24 | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.05 | (a) | 2.01 | 1.96 | 1.94 | 1.95 | 1.90 | |||||||||||||||||
Expenses after expense reductions (f) | 1.45 | (a) | 1.51 | 1.61 | 1.92 | N/A | N/A | |||||||||||||||||
Net investment income (loss) | (1.24 | )(a) | (1.24 | ) | (1.24 | ) | 0.65 | 3.32 | 3.18 | |||||||||||||||
Number of units outstanding at end of period (000 omitted) | 1,050 | 1,106 | 1,332 | 1,673 | 1,871 | 1,969 |
(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.
44
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 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 51.412 | $ | 47.266 | $ | 40.464 | $ | 52.709 | $ | 51.373 | $ | 46.459 | ||||||||||||
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Investment income | $ | 0.834 | $ | 1.590 | $ | 1.601 | $ | 1.748 | $ | 1.832 | $ | 1.749 | ||||||||||||
Expenses | (0.556 | ) | (1.026 | ) | (0.892 | ) | (1.008 | ) | (1.126 | ) | (1.033 | ) | ||||||||||||
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Net investment income | $ | 0.278 | $ | 0.564 | $ | 0.709 | $ | 0.740 | $ | 0.706 | $ | 0.716 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.581 | 3.582 | 6.093 | (12.985 | ) | 0.630 | 4.198 | |||||||||||||||||
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Change in unit value | $ | 1.859 | $ | 4.146 | $ | 6.802 | $ | (12.245 | ) | $ | 1.336 | $ | 4.914 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 53.271 | $ | 51.412 | $ | 47.266 | $ | 40.464 | $ | 52.709 | $ | 51.373 | ||||||||||||
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Total Return (%) (k)(r)(s) | 3.62 | (n) | 8.77 | 16.81 | (23.23 | ) | 2.60 | 10.58 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.18 | 2.18 | 2.16 | 2.12 | 2.14 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.10 | 2.10 | 2.11 | N/A | |||||||||||||||||
Net investment income | 1.03 | (a) | 1.13 | 1.64 | 1.52 | 1.30 | 1.46 | |||||||||||||||||
Portfolio turnover (%) | 9 | 32 | 41 | 57 | 54 | 45 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 549 | 587 | 685 | 807 | 948 | 1,156 | ||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 49.689 | $ | 45.750 | $ | 39.224 | $ | 51.169 | $ | 49.947 | $ | 45.236 | ||||||||||||
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Investment income | $ | 0.774 | $ | 1.485 | $ | 1.505 | $ | 1.645 | $ | 1.770 | $ | 1.645 | ||||||||||||
Expenses | (0.562 | ) | (1.038 | ) | (0.902 | ) | (1.033 | ) | (1.165 | ) | (1.051 | ) | ||||||||||||
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Net investment income | $ | 0.212 | $ | 0.447 | $ | 0.603 | $ | 0.612 | $ | 0.605 | $ | 0.594 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 1.547 | 3.492 | 5.923 | (12.557 | ) | 0.617 | 4.117 | |||||||||||||||||
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Change in unit value | $ | 1.759 | $ | 3.939 | $ | 6.526 | $ | (11.945 | ) | $ | 1.222 | $ | 4.711 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 51.448 | $ | 49.689 | $ | 45.750 | $ | 39.224 | $ | 51.169 | $ | 49.947 | ||||||||||||
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Total Return (%) (k)(r)(s) | 3.54 | (n) | 8.61 | 16.64 | (23.34 | ) | 2.45 | 10.42 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.32 | (a) | 2.33 | 2.33 | 2.31 | 2.27 | 2.29 | |||||||||||||||||
Expenses after expense reductions (f) | 2.25 | (a) | 2.25 | 2.25 | 2.25 | 2.26 | N/A | |||||||||||||||||
Net investment income | 0.84 | (a) | 0.96 | 1.50 | 1.33 | 1.18 | 1.28 | |||||||||||||||||
Portfolio turnover (%) | 9 | 32 | 41 | 57 | 54 | 45 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 19 | 23 | 48 | 74 | 107 | 142 |
45
Table of Contents
Financial Highlights — continued
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/11 (Unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 24.238 | $ | 22.284 | $ | 19.077 | $ | 24.850 | $ | 24.220 | $ | 21.903 | ||||||||||||
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Investment income | $ | 0.384 | $ | 0.732 | $ | 0.740 | $ | 0.807 | $ | 0.849 | $ | 0.812 | ||||||||||||
Expenses | (0.259 | ) | (0.479 | ) | (0.417 | ) | (0.471 | ) | (0.527 | ) | (0.484 | ) | ||||||||||||
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Net investment income | $ | 0.125 | $ | 0.253 | $ | 0.323 | $ | 0.336 | $ | 0.322 | $ | 0.328 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.751 | 1.701 | 2.884 | (6.109 | ) | 0.308 | 1.989 | |||||||||||||||||
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Change in unit value | $ | 0.876 | $ | 1.954 | $ | 3.207 | $ | (5.773 | ) | $ | 0.630 | $ | 2.317 | |||||||||||
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Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 25.114 | $ | 24.238 | $ | 22.284 | $ | 19.077 | $ | 24.850 | $ | 24.220 | ||||||||||||
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Total Return (%) (k)(r)(s) | 3.61 | (n) | 8.77 | 16.81 | (23.23 | ) | 2.60 | 10.58 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.18 | 2.18 | 2.16 | 2.12 | 2.14 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.10 | 2.10 | 2.10 | 2.11 | N/A | |||||||||||||||||
Net investment income | 1.00 | (a) | 1.10 | 1.61 | 1.49 | 1.28 | 1.44 | |||||||||||||||||
Portfolio turnover (%) | 9 | 32 | 41 | 57 | 54 | 45 | ||||||||||||||||||
Number of units outstanding at end of period (000 omitted) | 2,601 | 2,757 | 3,136 | 3,572 | 4,116 | 4,695 |
(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.
46
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’ Statements of Assets and Liabilities through the date that the financial statements were issued. The High Yield Variable Account invests 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 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 Global Governments Variable Account and High Yield Variable Account invest in foreign securities. 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.
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 at valuations provided by a third-party pricing service. 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. 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’
47
Table of Contents
Notes to Financial Statements (unaudited) — continued
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 each 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 each 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 each variable account determines its net asset value per share.
Various inputs are used in determining the value of each variable account’s assets or liabilities. 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 and forwards. The following is a summary of the levels used as of June 30, 2011 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 | $129,085,238 | $— | $— | $129,085,238 | ||||||||||||
Mutual Funds | 420,980 | — | — | 420,980 | ||||||||||||
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Total Investments | $129,506,218 | $— | $— | $129,506,218 | ||||||||||||
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Global Governments Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $1,373,728 | $— | $1,373,728 | ||||||||||||
Non-U.S. Sovereign Debt | — | 3,937,187 | — | 3,937,187 | ||||||||||||
Residential Mortgage-Backed Securities | — | 237,497 | — | 237,497 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 92,074 | — | 92,074 | ||||||||||||
Mutual Funds | 304,534 | — | — | 304,534 | ||||||||||||
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Total Investments | $304,534 | $5,640,486 | $— | $5,945,020 | ||||||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Exchange Contracts | $— | $17,506 | $— | $17,506 |
Government Securities Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | $— | $23,685,556 | $— | $23,685,556 | ||||||||||||
Corporate Bonds | — | 309,748 | — | 309,748 | ||||||||||||
Residential Mortgage-Backed Securities | — | 24,632,582 | — | 24,632,582 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,142,175 | — | 1,142,175 | ||||||||||||
Mutual Funds | 2,638,907 | — | — | 2,638,907 | ||||||||||||
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Total Investments | $2,638,907 | $49,770,061 | $— | $52,408,968 | ||||||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $663 | $— | $— | $663 |
48
Table of Contents
Notes to Financial Statements (unaudited) — continued
High Yield Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Securities: | ||||||||||||||||
United States | $578,391 | $200,502 | $58,554 | $837,447 | ||||||||||||
Non-U.S. Sovereign Debt | — | 107,652 | — | 107,652 | ||||||||||||
Corporate Bonds | — | 30,763,717 | — | 30,763,717 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 308,114 | — | 308,114 | ||||||||||||
Floating Rate Loans | — | 325,128 | — | 325,128 | ||||||||||||
Asset-Backed Securities (including CDO’s) | — | 187,843 | — | 187,843 | ||||||||||||
Foreign Bonds | — | 5,061,932 | — | 5,061,932 | ||||||||||||
Mutual Funds | 457,149 | — | — | 457,149 | ||||||||||||
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Total Investments | $1,035,540 | $36,954,888 | $58,554 | $38,048,982 | ||||||||||||
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Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures | $2,572 | $— | $— | $2,572 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | (5,439 | ) | — | (5,439 | ) |
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. The variable account’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of Level 3 securities held at the beginning and the end of the period.
Equity Securities | Corporate Bonds | Total | ||||||||||
Balance as of 12/31/10 | $0 | $14,721 | $14,721 | |||||||||
Realized gain (loss) | — | (57,242 | ) | (57,242 | ) | |||||||
Change in unrealized appreciation (depreciation) | — | 58,133 | 58,133 | |||||||||
Sales | — | 0 | 0 | |||||||||
Transfers into Level 3 | 58,554 | — | 58,554 | |||||||||
Transfers out of Level 3 | — | (15,612 | ) | (15,612 | ) | |||||||
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Balance as of 6/30/11 | $58,554 | $— | $58,554 | |||||||||
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The net change in unrealized appreciation (depreciation) from investments still held as Level 3 at June 30, 2011 is $0.
Money Market Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short Term Securities | $— | $26,724,646 | $— | $26,724,646 |
Total Return Variable Account
Investments at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Securities | $58,162,660 | $— | $— | $58,162,660 | ||||||||||||
U.S. Treasury Bonds & U.S. Government Agency & Equivalents | — | 12,841,432 | — | 12,841,432 | ||||||||||||
Non-U.S. Sovereign Debt | — | 1,165,373 | — | 1,165,373 | ||||||||||||
Corporate Bonds | — | 6,499,619 | — | 6,499,619 | ||||||||||||
Residential Mortgage-Backed Securities | — | 12,378,033 | — | 12,378,033 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 2,049,792 | — | 2,049,792 | ||||||||||||
Asset-Backed Securities (including CDOs) | — | 209,683 | — | 209,683 | ||||||||||||
Foreign Bonds | — | 2,465,492 | — | 2,465,492 | ||||||||||||
Mutual Funds | 541,449 | — | — | 541,449 | ||||||||||||
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|
| |||||||||
Total Investments | $58,704,109 | $37,609,424 | $— | $96,313,533 | ||||||||||||
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For further information regarding security characteristics, see the Portfolios of Investments.
Repurchase Agreements – The Money Market Variable Account entered into repurchase agreements with approved counterparties. Each repurchase agreement is recorded at cost. The variable account requires that the securities collateral in a repurchase transaction be transferred to a custodian. The variable account monitors, 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 account 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 – The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account 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
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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 – The Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account 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 used by the variable accounts were purchased options, futures contracts, and forward foreign currency exchange contracts. The Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account period end derivatives, as presented in the Portfolios of Investments and the associated Derivative Contract Tables, generally are indicative of the volume of their derivative activity during the period.
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, 2011 as reported in the Statements of Assets and Liabilities:
Global Governments Variable Account
Fair Value | ||||||||||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives | |||||||
Foreign Exchange | Forward Foreign Currency Exchange | $32,390 | $(14,884 | ) |
Government Securities Variable Account
Fair Value (a) | ||||||
Risk | Derivative Contracts | Asset Derivatives | ||||
Interest Rate | Interest Rate Futures | $663 |
High Yield Variable Account
Fair Value (a) | ||||||||||
Risk | Derivative Contracts | Asset Derivatives | Liability Derivatives | |||||||
Interest Rate | Interest Rate Futures | $2,572 | $— | |||||||
Foreign Exchange | Forward Foreign Currency Exchange | 31 | (5,470 | ) | ||||||
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| |||||||
Total | $2,603 | $(5,470 | ) | |||||||
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(a) | The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the variable account’s Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the variable account’s Statement 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, 2011 as reported in the Statements of Operations:
Global Governments Variable Account
Risk | Foreign Currency Transactions | |||
Foreign Exchange | $(58,672 | ) |
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Government Securities Variable Account
Risk | Futures Contracts | Investment Transactions (Purchased Options) | ||||||
Interest Rate | $(17,858 | ) | $107 |
High Yield Variable Account
Risk | Futures Contracts | Foreign Currency Transactions | Investment Transactions (Purchased Options) | |||||||||
Interest Rate | $(20,316 | ) | $— | $— | ||||||||
Foreign Exchange | — | (18,328 | ) | — | ||||||||
Equity | — | — | 38,068 | |||||||||
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| |||||||
Total | $(20,316 | ) | $(18,328 | ) | $38,068 | |||||||
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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, 2011 as reported in the Statements of Operations:
Global Governments Variable Account
Risk | Translation of Assets and Liabilities in Foreign Currencies | |||
Foreign Exchange | $29,575 |
Government Securities Variable Account
Risk | Futures Contracts | |||
Interest Rate | $15,441 |
High Yield Variable Account
Risk | Futures Contracts | Translation of Assets Foreign Currencies | Investments (Purchased Options) | |||||||||
Interest Rate | $(9,394 | ) | $— | $— | ||||||||
Foreign Exchange | — | (2,698 | ) | — | ||||||||
Equity | — | — | (22,764 | ) | ||||||||
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Total | $(9,394 | ) | $(2,698 | ) | $(22,764 | ) | ||||||
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For the six months ended June 30, 2011, 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, the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account attempt to reduce their 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 account 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 amounts of assets and liabilities in the Statements of 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
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to cover obligations of the variable accounts under derivative contracts, if any, will be reported separately on the Statements of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolios of Investments.
Purchased Options – The Government Securities Variable Account purchased call and put options for a premium. The High Yield Variable Account purchased call options for a premium. Purchased call and put options entitle the holder to buy and 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 call and put options which have expired are treated as realized losses on investments in the Statements of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument 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 – The Government Securities Variable Account and High Yield Variable Account entered into futures contracts which may be used to hedge against or obtain broad market, interest rate or currency exposure. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the variable accounts are required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the variable accounts each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the variable accounts until the contract is closed or expires at which point the gain or loss on futures is realized.
The variable accounts bear the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the variable accounts may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures may present less counterparty risk to the variable accounts since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The variable accounts’ maximum risk of loss due to counterparty credit risk is equal to the margin posted by the variable accounts to the broker plus any gains or minus any losses on the outstanding futures contracts.
Forward Foreign Currency Exchange Contracts – The Global Governments Variable Account and High Yield Variable Account entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used 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’ portfolios 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. Generally, the variable accounts’ maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, an industry accepted settlement system. 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 – The High Yield Variable Account invests in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the variable account 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.
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Investment Transactions and Income – Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Certain variable accounts earn certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted upward or downward to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is 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. Certain dividends from foreign securities will be recorded when the variable account is 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 account 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.
The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account entered 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 maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the variable account 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.
The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account entered into “TBA” sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Fees Paid Indirectly – The variable accounts’ custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the variable accounts. This amount, for the six months ended June 30, 2011, 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.
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(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 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 | %(a) | 0.75 | % | ||||||
Global Governments Variable Account | 0.75 | % | 0.675 | % | 0.75 | % | ||||||
Government Securities Variable Account | 0.55 | % | 0.495 | %(b) | 0.55 | % | ||||||
High Yield Variable Account | 0.75 | %(c) | 0.675 | %(c) | 0.70 | % | ||||||
Money Market Variable Account | 0.50 | % | 0.500 | %(d) | 0.05 | %(e) | ||||||
Total Return Variable Account | 0.75 | % | 0.675 | % | 0.75 | % |
(a) | The investment adviser has agreed in writing to reduce its management fee to 0.675% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement. |
(b) | The investment adviser has agreed in writing to reduce its management fee to 0.495% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement. |
(c) | 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, 2013. For the six months ended June 30, 2011, this management fee reduction under this agreement amounted to $10,245, which is shown as a reduction of total expenses in the Statement of Operations. The investment adviser has also agreed in writing to reduce its management fee to 0.675% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement. |
(d) | 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, 2011, the variable account’s average daily net assets did not exceed $500 million, and therefore, the management fee was not reduced under this agreement. |
(e) | During the six months ended June 30, 2011, MFS voluntarily waived receipt of $59,326, of the variable account’s management fee in order to avoid a negative yield. For the six months ended June 30, 2011, this voluntary waiver had the effect of reducing the management fee by 0.45% of average daily net assets on an annualized basis. |
The investment adviser has agreed in writing to pay a portion of 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, 2011, this reduction amounted to $38,532 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, with the exception of the Capital Appreciation Variable Account, will continue until April 30, 2013. For the Capital Appreciation Variable Account this written agreement terminated on April 30, 2011. For the six months ended June 30, 2011, 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 | % | $18,943 | |||||
High Yield Variable Account | 0.90 | % | 16,896 | |||||
Money Market Variable Account | 0.65 | % | 19,590 | |||||
Total Return Variable Account | 0.85 | % | 33,435 |
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.
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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 reimburse MFS the costs incurred to provide these services. The variable accounts are charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended June 30, 2011 was equivalent to the following annual effective rate of each variable account’s average daily net assets:
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | |||||||||||||||||||
Percent of average daily net assets | 0.0341 | % | 0.2895 | % | 0.0349 | % | 0.0423 | % | 0.0661 | % | 0.0342 | % |
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, 2011, the aggregate fees paid by the variable accounts to Tarantino LLC and Griffin Compliance LLC which are included in miscellaneous expense on the Statements of Operations were as follows:
Capital Appreciation Variable Account | $1,070 | |||
Global Governments Variable Account | 49 | |||
Government Securities Variable Account | 447 | |||
High Yield Variable Account | 335 | |||
Money Market Variable Account | 223 | |||
Total Return Variable Account | 813 |
All variable accounts, except the Money Market Variable Account, 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 affiliated funds on the Statements of Operations. This money market fund does not pay a management fee to MFS.
(5) | Portfolio Securities |
Purchases and sales of investments, other than U.S. Government securities, purchased option transactions, and short-term obligations, were as follows:
Purchases | Sales | |||||||
Capital Appreciation Variable Account | $ | 19,635,841 | $ | 26,892,695 | ||||
Global Governments Variable Account | 799,829 | 790,794 | ||||||
Government Securities Variable | 182,807 | 1,519,108 | ||||||
High Yield Variable Account | 11,901,867 | 14,350,681 | ||||||
Total Return Variable Account | 6,978,228 | 11,482,972 |
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Purchases and sales of money market securities for the Money Market Variable Account, exclusive of securities subject to repurchase agreements, aggregated $497,411,656 and $498,742,604, respectively.
Purchases and sales of U.S. Government Securities, other than purchased option transactions, and short-term obligations, were as follows:
Purchases | Sales | |||||||
Global Governments Variable Account | $940,124 | $1,375,565 | ||||||
Government Securities Variable Account | 6,727,668 | 8,804,845 | ||||||
High Yield Variable Account | 120,044 | — | ||||||
Total Return Variable Account | 2,004,610 | 2,826,262 |
(6) | Participant Transactions |
The changes in net assets from changes in numbers of outstanding units were as follows:
Six Months Ended 6/30/11 (000 Omitted) | ||||||||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net Annuitization Activity | Net Increases (Decreases) | |||||||||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 4 | $ | 220 | (3 | ) | $ | (175 | ) | (74 | ) | $ | (4,694 | ) | (73 | ) | $ | (4,649 | ) | $ | (123 | ) | $ | (4,772 | ) | ||||||||||||||||
Compass 3 Contracts | 1 | 27 | (3 | ) | (108 | ) | (1 | ) | (58 | ) | (3 | ) | (139 | ) | — | (139 | ) | |||||||||||||||||||||||
Compass 3 Level 2 Contracts | 14 | 201 | 6 | 154 | (183 | ) | (3,207 | ) | (163 | ) | (2,852 | ) | (13 | ) | (2,865 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 448 | $ | (129 | ) | $ | (7,959 | ) | $ | (7,640 | ) | $ | (136 | ) | $ | (7,776 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | $ | 0 | * | 4 | $ | 113 | (2 | ) | $ | (69 | ) | 2 | $ | 44 | $ | (0 | )* | $ | 44 | |||||||||||||||||||
Compass 3 Contracts | 0 | * | 3 | (1 | ) | (25 | ) | (0 | )* | (12 | ) | (1 | ) | (34 | ) | — | (34 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 0 | * | 5 | 5 | 96 | (17 | ) | (305 | ) | (33 | ) | (204 | ) | (2 | ) | (206 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 8 | $ | 184 | $ | (386 | ) | $ | (194 | ) | $ | (2 | ) | $ | (196 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 1 | $ | 38 | (16 | ) | $ | (764 | ) | (51 | ) | $ | (2,367 | ) | (66 | ) | $ | (3,093 | ) | $ | (88 | ) | $ | (3,181 | ) | ||||||||||||||||
Compass 3 Contracts | 0 | * | 3 | (1 | ) | (19 | ) | (0 | )* | (5 | ) | (1 | ) | (21 | ) | — | (21 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 2 | 28 | (1 | ) | (12 | ) | (34 | ) | (653 | ) | (33 | ) | (637 | ) | (1 | ) | (638 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 69 | $ | (795 | ) | $ | (3,025 | ) | $ | (3,751 | ) | $ | (89 | ) | $ | (3,840 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 3 | $ | 163 | (10 | ) | $ | (507 | ) | (33 | ) | $ | (1,627 | ) | (40 | ) | $ | (1,971 | ) | $ | (38 | ) | $ | (2,009 | ) | ||||||||||||||||
Compass 3 Contracts | 0 | * | 4 | (2 | ) | (67 | ) | (0 | )* | (6 | ) | (2 | ) | (69 | ) | — | (69 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 1 | 10 | (54 | ) | (1,059 | ) | (20 | ) | (385 | ) | (73 | ) | (1,434 | ) | (5 | ) | (1,439 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 177 | $ | (1,633 | ) | $ | (2,018 | ) | $ | (3,474 | ) | $ | (43 | ) | $ | (3,517 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 13 | $ | 281 | 36 | $ | 772 | (71 | ) | $ | (1,522 | ) | (22 | ) | $ | (469 | ) | $ | (7 | ) | $ | (476 | ) | ||||||||||||||||||
Compass 3 Contracts | 0 | * | 3 | (2 | ) | (38 | ) | (0 | )* | (3 | ) | (2 | ) | (38 | ) | — | (38 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 3 | 28 | 79 | 1,039 | (138 | ) | (1,799 | ) | (56 | ) | (732 | ) | (2 | ) | (734 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 312 | $ | 1,773 | $ | (3,324 | ) | $ | (1,239 | ) | $ | (9 | ) | $ | (1,248 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 3 | $ | 136 | (8 | ) | $ | (430 | ) | (33 | ) | $ | (1,719 | ) | (38 | ) | $ | (2,013 | ) | $ | (72 | ) | $ | (2,085 | ) | ||||||||||||||||
Compass 3 Contracts | 0 | * | 19 | (3 | ) | (171 | ) | (1 | ) | (52 | ) | (4 | ) | (204 | ) | — | (204 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 4 | 80 | 8 | 217 | (168 | ) | (4,197 | ) | (156 | ) | (3,900 | ) | (22 | ) | (3,922 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 235 | $ | (384 | ) | $ | (5,968 | ) | $ | (6,117 | ) | $ | (94 | ) | $ | (6,211 | ) | ||||||||||||||||||||||||
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* | Amount is less than $500. |
56
Table of Contents
Notes to Financial Statements (unaudited) — continued
Year Ended 12/31/10 (000 Omitted) | ||||||||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net Annuitization Activity | Net Increases (Decreases) | |||||||||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 10 | $ | 452 | (16 | ) | $ | (763 | ) | (173 | ) | $ | (9,653 | ) | (179 | ) | $ | (9,964 | ) | $ | (223 | ) | $ | (10,187 | ) | ||||||||||||||||
Compass 3 Contracts | 3 | 108 | (7 | ) | (265 | ) | (3 | ) | (75 | ) | (7 | ) | (232 | ) | — | (232 | ) | |||||||||||||||||||||||
Compass 3 Level 2 Contracts | 18 | 193 | (28 | ) | (346 | ) | (347 | ) | (5,270 | ) | (357 | ) | (5,423 | ) | 2 | (5,421 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 753 | $ | (1,374 | ) | $ | (14,998 | ) | $ | (15,619 | ) | $ | (221 | ) | $ | (15,840 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 0 | * | $ | 0 | * | (3 | ) | $ | (85 | ) | (27 | ) | $ | (835 | ) | (30 | ) | $ | (920 | ) | $ | (3 | ) | $ | (923 | ) | ||||||||||||||
Compass 3 Contracts | 0 | * | 13 | (0 | )* | (40 | ) | (1 | ) | (17 | ) | (1 | ) | (44 | ) | — | (44 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 1 | 6 | (7 | ) | (116 | ) | (38 | ) | (679 | ) | (44 | ) | (789 | ) | (13 | ) | (802 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 19 | $ | (241 | ) | $ | (1,531 | ) | $ | (1,753 | ) | $ | (16 | ) | $ | (1,769 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 14 | $ | 628 | (8 | ) | $ | (346 | ) | (127 | ) | $ | (5,906 | ) | (121 | ) | $ | (5,624 | ) | $ | (229 | ) | $ | (5,853 | ) | ||||||||||||||||
Compass 3 Contracts | 0 | * | 14 | (7 | ) | (232 | ) | (0 | )* | (7 | ) | (7 | ) | (225 | ) | — | (225 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 4 | 54 | 37 | 722 | (105 | ) | (2,020 | ) | (64 | ) | (1,244 | ) | (4 | ) | (1,248 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 696 | $ | 144 | $ | (7,933 | ) | $ | (7,093 | ) | $ | (233 | ) | $ | (7,326 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 5 | $ | 223 | (10 | ) | $ | (435 | ) | (86 | ) | $ | (3,880 | ) | (91 | ) | $ | (4,092 | ) | $ | (85 | ) | $ | (4,177 | ) | ||||||||||||||||
Compass 3 Contracts | 0 | * | 18 | (1 | ) | (45 | ) | (1 | ) | (39 | ) | (2 | ) | (66 | ) | — | (66 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 1 | 14 | (6 | ) | (30 | ) | (60 | ) | (1,061 | ) | (65 | ) | (1,077 | ) | (11 | ) | (1,088 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 255 | $ | (510 | ) | $ | (4,980 | ) | $ | (5,235 | ) | $ | (96 | ) | $ | (5,331 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 4 | $ | 76 | 38 | $ | 828 | (153 | ) | $ | (3,286 | ) | (111 | ) | $ | (2,382 | ) | $ | (23 | ) | $ | (2,405 | ) | ||||||||||||||||||
Compass 3 Contracts | 1 | 14 | (6 | ) | (107 | ) | (2 | ) | �� | (38 | ) | (7 | ) | (131 | ) | — | (131 | ) | ||||||||||||||||||||||
Compass 3 Level 2 Contracts | 13 | 145 | 13 | 206 | (252 | ) | (3,322 | ) | (226 | ) | (2,971 | ) | (4 | ) | (2,975 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
$ | 235 | $ | 927 | $ | (6,646 | ) | $ | (5,484 | ) | $ | (27 | ) | $ | (5,511 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 4 | $ | 211 | (10 | ) | $ | (495 | ) | (92 | ) | $ | (4,488 | ) | (98 | ) | $ | (4,772 | ) | $ | (73 | ) | $ | (4,845 | ) | ||||||||||||||||
Compass 3 Contracts | 2 | 96 | (21 | ) | (984 | ) | (6 | ) | (295 | ) | (25 | ) | (1,183 | ) | — | (1,183 | ) | |||||||||||||||||||||||
Compass 3 Level 2 Contracts | 14 | 203 | 11 | 380 | (404 | ) | (9,221 | ) | (379 | ) | (8,638 | ) | (32 | ) | (8,670 | ) | ||||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||||||||
$ | 510 | $ | (1,099 | ) | $ | (14,004 | ) | $ | (14,593 | ) | $ | (105 | ) | $ | (14,698 | ) | ||||||||||||||||||||||||
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|
* | Amount is less than $500. |
(7) | Line of Credit |
The variable accounts and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the 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, 2011, 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 | $528 | $— | ||||||
Global Governments Variable Account | 25 | — | ||||||
Government Securities Variable Account | 219 | — | ||||||
High Yield Variable Account | 164 | — | ||||||
Money Market Variable Account | 111 | — | ||||||
Total Return Variable Account | 401 | — |
57
Table of Contents
Notes to Financial Statements (unaudited) — continued
(8) | Transactions in Underlying Affiliated 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. The variable accounts’ transactions in the MFS Institutional Money Market Portfolio for the six months ended June 30, 2011 are as follows:
Underlying Affiliated 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 | 1,555,872 | 7,199,972 | (8,334,864 | ) | 420,980 | |||||||||||
Global Governments Variable Account | 246,397 | 1,601,152 | (1,543,015 | ) | 304,534 | |||||||||||
Government Securities Variable Account | 4,438,810 | 6,045,821 | (7,845,724 | ) | 2,638,907 | |||||||||||
High Yield Variable Account | 459,698 | 6,984,436 | (6,986,985 | ) | 457,149 | |||||||||||
Total Return Variable Account | 1,598,744 | 6,919,530 | (7,976,825 | ) | 541,449 | |||||||||||
Underlying Affiliated Funds – MFS Institutional Money Market Portfolio | ||||||||||||||||
Realized Gain (Loss) | Capital Gain Distributions | Dividend Income | Ending Value | |||||||||||||
Capital Appreciation Variable Account | $— | $— | $1,231 | $420,980 | ||||||||||||
Global Governments Variable Account | $— | $— | $312 | $304,534 | ||||||||||||
Government Securities Variable Account | $— | $— | $3,191 | $2,638,907 | ||||||||||||
High Yield Variable Account | $— | $— | $1,033 | $457,149 | ||||||||||||
Total Return Variable Account | $— | $— | $695 | $541,449 |
(9) | Subsequent Event |
On July 14, 2011, the Board of Managers of each variable account approved a proposal (the “Proposed Transaction”) whereby each variable account would be restructured as a separate account registered with the Securities and Exchange Commission (“SEC”) as a unit investment trust (“UIT”) that invests its assets entirely in a series MFS Variable Insurance Trust II (the “acquiring funds”) as described below:
Variable Accounts | Acquiring Funds | |
Capital Appreciation Variable Account | MFS Massachusetts Investors Growth Stock Portfolio | |
Global Governments Variable Account | MFS Global Governments Portfolio | |
Government Securities Variable Account | MFS Government Securities Portfolio | |
High Yield Variable Account | MFS High Yield Portfolio | |
Money Market Variable Account | MFS Money Market Portfolio | |
Total Return Variable Account | MFS Total Return Portfolio |
The Proposed Transaction is subject to the approval of the contract holders of the variable accounts. The Proposed Transaction provides for the transfer of the investment-related assets of the variable accounts to the applicable acquiring fund and the assumption by such acquiring fund of the variable account’s investment-related liabilities in exchange for shares of beneficial interest in the acquiring fund (the “transfer”). Simultaneously or immediately following the transfer, the SEC registration status of each variable account will change from a managed separate account to a UIT. If approved by contract holders, it is expected that the reorganization will occur in December, 2011.
58
Table of Contents
rev. 3/11
FACTS | WHAT DOES MFS DO WITH YOUR PERSONAL INFORMATION? | ![]() |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
•Social Security number and account balances •Account transactions and transaction history •Checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MFS chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does MFS share? | Can you limit this sharing? | ||
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes – to offer our products and services to you | No | We don’t share | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 800-225-2606 or go to mfs.com. |
59
Table of Contents
Page 2 |
Who we are | ||
Who is providing this notice? | MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors, Inc., MFS Heritage Trust Company, and MFS Service Center, Inc. |
What we do | ||
How does MFS protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you. | |
How does MFS collect my personal information? | We collect your personal information, for example, when you
•open an account or provide account information •direct us to buy securities or direct us to sell your securities •make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
•sharing for affiliates’ everyday business purposes – information about your creditworthiness •affiliates from using your information to market to you •sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
•MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
•MFS does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
•MFS doesn’t jointly market. |
Other important information | ||
If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours. |
60
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, 2011 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-8/11
Sun Life Financial Distributors Inc.
Table of Contents
ITEM 2. | CODE OF ETHICS. |
During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.
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. |
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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.
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(a) under the Act (17 CFR 270.30a-2): Attached hereto. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MONEY MARKET VARIABLE ACCOUNT
By (Signature and Title)* | MARIA F. DIORIODWYER | |
Maria F. DiOrioDwyer, President |
Date: August 16, 2011
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. DIORIODWYER | |
Maria F. DiOrioDwyer, President (Principal Executive Officer) |
Date: August 16, 2011
By (Signature and Title)* | JOHN M. CORCORAN | |
John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: August 16, 2011
* | Print name and title of each signing officer under his or her signature. |