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 811-4009
GOVERNMENT SECURITIES 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, 2008
ITEM 1. REPORTS TO STOCKHOLDERS.
PROFESSIONALLY MANAGED COMBINATION
FIXED/VARIABLE ANNUITIES
FOR PERSONAL INVESTMENTS AND
QUALIFIED RETIREMENT PLANS
SEMIANNUAL REPORT Ÿ June 30, 2008
Capital Appreciation Variable Account
Global Governments Variable Account
Government Securities Variable Account
High Yield Variable Account
Money Market Variable Account
Total Return Variable Account
Issued by
Sun Life Assurance Company of Canada (U.S.),
A Wholly Owned Subsidiary of
Sun Life of Canada (U.S.) Holdings, Inc.
Table of Contents
1 | ||
2 | ||
8 | ||
28 | ||
30 | ||
31 | ||
33 | ||
45 | ||
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 OR CREDIT UNION GUARANTEE | ||||
NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY OR NCUA/NCUSIF |
Dear Contract Owners:
Negative headlines tend to resonate during difficult markets, and we certainly have had more than our share of tough news recently. As a result consumer, and particularly investor, sentiment are at all-time lows. That said, I do think it is helpful to remember there are always silver linings in the storm clouds if you look hard enough.
Through all of the challenges we have faced, there are some positive underlying trends. In the United States, for example, institutional traders and credit market followers are just now showing increasing signs of confidence and are beginning to take on more risk. At the corporate level, earnings continue to be relatively strong as companies have reduced labor costs, controlled inventories, and relied less on debt to finance expansion. More broadly, low interest rates and strong demand for consumer goods and industrial equipment are good signs for the global economy.
While I do not mean to minimize the risks inherent in today’s markets, periods such as these allow the talented fund managers and research analysts we have at MFS® to test their convictions, reevaluate existing positions, and identify new investment ideas. Our investment process also includes a significant risk management component, with constant attention paid to monitoring market risk, so we can do our best to minimize any surprises to your portfolio.
For investors, this is a great time to check in with your advisor and make sure you have a sound investment plan in place — one that can keep your hard-earned money working over the long term through a strategy that involves asset allocation, diversification, and periodic portfolio rebalancing and reviews. A plan tailored to your distinct needs and goals continues to be the best approach to help you take advantage of the inevitable challenges — and opportunities — that present themselves over time.
Respectfully,
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management®
August 15, 2008
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
Portfolio Composition — Capital Appreciation Variable Account
Portfolio structure
Top ten holdings | ||
Cisco Systems, Inc. | 2.7% | |
Google, Inc., “A” | 2.6% | |
Oracle Corp. | 2.5% | |
Microsoft Corp. | 2.3% | |
Amdocs Ltd. | 2.2% | |
Genzyme Corp. | 2.2% | |
LVMH Moet Hennessy Louis Vuitton S.A. | 2.1% | |
PepsiCo, Inc. | 2.1% | |
Danaher Corp. | 2.1% | |
CVS Caremark Corp. | 2.1% |
Equity sectors | ||
Technology | 23.8% | |
Health Care | 17.0% | |
Consumer Staples | 9.5% | |
Energy | 9.1% | |
Retailing | 8.9% | |
Financial Services | 7.3% | |
Special Products & Services | 6.4% | |
Industrial Goods & Services | 6.0% | |
Leisure | 4.5% | |
Utilities & Communications | 2.3% | |
Basic Materials | 2.1% | |
Transportation | 1.2% |
Percentages are based on net assets as of 6/30/08.
The portfolio is actively managed and current holdings may be different.
2
Portfolio Composition — Global Governments Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Non-U.S. Government Bonds | 72.9% | |
U.S. Treasury Securities | 18.7% | |
Commercial Mortgage-Backed Securities | 2.8% | |
U.S. Government Agencies | 2.3% | |
Mortgage-Backed Securities | 1.1% | |
Municipal Bonds | 0.6% | |
Credit quality of bonds (r) | ||
AAA | 65.4% | |
AA | 34.6% |
Portfolio facts | ||
Average Duration (d)(i) | 6.3 | |
Average Life (i)(m) | 8.3 yrs. | |
Average Maturity (i)(m) | 8.9 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | AA+ | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 | |
Country weightings (i) | ||
United States | 26.8% | |
Japan | 25.5% | |
United Kingdom | 11.0% | |
Germany | 9.5% | |
France | 5.2% | |
Spain | 4.8% | |
Netherlands | 4.7% | |
Italy | 4.1% | |
Belgium | 3.9% | |
Other Countries | 4.5% |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | The average maturity shown is calculated using the final stated maturity on the portfolio’s holdings without taking into account any holdings which have been pre-refunded or pre-paid to an earlier date or which have a mandatory put date prior to the stated maturity. The average life shown takes into account these earlier dates. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/08. |
Percentages are based on net assets as of 6/30/08, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
3
Portfolio Composition — Government Securities Variable Account
Portfolio structure (i)
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 57.6% | |
U.S. Treasury Securities | 26.0% | |
U.S. Government Agencies | 17.6% | |
Municipal Bonds | 1.2% |
Credit quality of bonds (r) | ||
AAA | 100.0% | |
Portfolio facts | ||
Average Duration (d)(i) | 4.9 | |
Average Life (i)(m) | 7.6 yrs. | |
Average Maturity (i)(m) | 15.4 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | AAA | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | The average maturity shown is calculated using the final stated maturity on the portfolio’s holdings without taking into account any holdings which have been pre-refunded or pre-paid to an earlier date or which have a mandatory put date prior to the stated maturity. The average life shown takes into account these earlier dates. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/08. |
Percentages are based on net assets as of 6/30/08, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
From time to time “Cash & Other Net Assets” may be negative due to the timing of cash receipts and/or the equivalent exposure of derivatives.
4
Portfolio Composition — High Yield Variable Account
Portfolio structure (i)
Top five industries (i) | ||
Medical & Health Technology & Services | 9.0% | |
Gaming & Lodging | 8.0% | |
Utilities - Electric Power | 7.2% | |
Broadcasting | 6.3% | |
Energy - Independent | 6.0% |
Credit quality of bonds (r) | ||
AAA | 3.3% | |
AA | 1.0% | |
A | 1.4% | |
BBB | 0.6% | |
BB | 19.5% | |
B | 52.9% | |
CCC | 17.7% | |
D | 0.1% | |
Not Rated | 3.5% | |
Portfolio facts | ||
Average Duration (d)(i) | 4.3 | |
Average Life (i)(m) | 6.9 yrs. | |
Average Maturity (i)(m) | 8.3 yrs. | |
Average Credit Quality of Rated Securities (long-term) (a) | B+ | |
Average Credit Quality of Rated Securities (short-term) (a) | A-1 |
(a) | The average credit quality of rated securities is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(d) | Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value. |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(m) | The average maturity shown is calculated using the final stated maturity on the portfolio’s holdings without taking into account any holdings which have been pre-refunded or pre-paid to an earlier date or which have a mandatory put date prior to the stated maturity. The average life shown takes into account these earlier dates. |
(r) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. For those portfolios that hold a security which is not rated by any of the three agencies, the security is considered Not Rated. Holdings in U.S. Treasuries and government agency mortgage-backed securities, if any, are included in the “AAA”-rating category. Percentages are based on the total market value of investments as of 6/30/08. |
Percentages are based on net assets as of 6/30/08, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
From time to time “Cash & Other Net Assets” may be negative due to the timing of cash receipts and/or the equivalent exposure of derivative holdings.
5
Portfolio Composition — Money Market Variable Account
Portfolio structure (u)
Short-term credit quality (q) | ||
Average Credit Quality Short-Term Bonds (a) | A-1 | |
All holdings are rated “A-1” | ||
Maturity breakdown (u) | ||
0 - 29 days | 49.6% | |
30 - 59 days | 20.5% | |
60 - 89 days | 12.8% | |
90 - 366 days | 17.1% | |
Other Assets Less Liabilities (o) | 0.0% |
(a) | The average credit quality is based upon a market weighted average of portfolio holdings that are rated by public rating agencies. |
(o) | Less than 0.1%. |
(q) | Each security is assigned a rating from Moody’s Investors Service. If not rated by Moody’s, the rating will be that assigned by Standard & Poor’s. Likewise, if not assigned a rating by Standard & Poor’s, it will be based on the rating assigned by Fitch, Inc. If not rated by any of the three agencies, the security is considered Not Rated. U.S. Treasuries and U.S. Agency securities are included in the “A-1”-rating category. Percentages are based on the total market value of investments as of 6/30/08. |
(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 6/30/08, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
6
Portfolio Composition — Total Return Variable Account
Portfolio structure (i)
Top ten holdings (i) | ||
Fannie Mae, 5.5%, 30 year | 4.2% | |
Fannie Mae, 6.0%, 30 year | 2.3% | |
Exxon Mobil Corp. | 2.1% | |
U.S. Treasury Notes, 4.875%, 2009 | 1.8% | |
U.S. Treasury Notes, 4.625%, 2008 | 1.7% | |
Lockheed Martin Corp. | 1.6% | |
U.S. Treasury Notes, 4.25%, 2013 | 1.6% | |
TOTAL S.A., ADR | 1.5% | |
AT&T | 1.2% | |
Wyeth | 1.2% |
Equity sectors | ||
Financial Services | 11.4% | |
Energy | 9.6% | |
Utilities & Communications | 7.2% | |
Consumer Staples | 5.5% | |
Health Care | 5.4% | |
Industrial Goods & Services | 5.2% | |
Technology | 3.3% | |
Retailing | 3.3% | |
Leisure | 1.8% | |
Basic Materials | 1.4% | |
Autos & Housing | 1.3% | |
Special Products & Services | 1.0% | |
Transportation | 0.7% | |
Fixed income sectors (i) | ||
Mortgage-Backed Securities | 16.6% | |
High Grade Corporates | 9.9% | |
U.S. Treasury Securities | 8.1% | |
Commercial Mortgage-Backed Securities | 2.8% | |
U.S. Government Agencies | 1.6% | |
Non U.S. Government Bonds | 1.0% | |
Asset-Backed Securities | 0.5% | |
Emerging Market Bonds | 0.4% | |
Municipal Bonds | 0.3% | |
High Yield Corporates | 0.1% | |
Residential Mortgage-Backed Securities (o) | 0.0% |
(i) | For purposes of this presentation, the bond component includes accrued interest amounts and may be positively or negatively impacted by the equivalent exposure from any derivative holdings, if applicable. |
(o) | Less than 0.1%. |
Percentages are based on net assets as of 6/30/08, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
7
Portfolio of Investments (unaudited) — June 30, 2008
Capital Appreciation Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 98.1% | |||||
Aerospace - 2.1% | |||||
Precision Castparts Corp. | 7,560 | $ | 728,550 | ||
United Technologies Corp. | 45,070 | 2,780,819 | |||
$ | 3,509,369 | ||||
Alcoholic Beverages - 1.5% | |||||
Diageo PLC | 132,970 | $ | 2,444,141 | ||
Apparel Manufacturers - 3.5% | |||||
LVMH Moet Hennessy Louis | 33,560 | $ | 3,499,013 | ||
NIKE, Inc., “B” | 39,110 | 2,331,347 | |||
$ | 5,830,360 | ||||
Biotechnology - 3.2% | |||||
Genentech, Inc. (a) | 13,540 | $ | 1,027,686 | ||
Genzyme Corp. (a) | 51,350 | 3,698,227 | |||
Millipore Corp. (a) | 9,910 | 672,493 | |||
$ | 5,398,406 | ||||
Broadcasting - 2.4% | |||||
Grupo Televisa S.A., ADR | 47,180 | $ | 1,114,392 | ||
News Corp., “A” | 77,920 | 1,171,917 | |||
Omnicom Group, Inc. | 40,190 | 1,803,727 | |||
$ | 4,090,036 | ||||
Brokerage & Asset Managers - 2.6% | |||||
Charles Schwab Corp. | 104,190 | $ | 2,140,063 | ||
Deutsche Boerse AG | 11,120 | 1,248,132 | |||
Franklin Resources, Inc. | 10,760 | 986,154 | |||
$ | 4,374,349 | ||||
Business Services - 6.4% | |||||
Amdocs Ltd. (a) | 126,530 | $ | 3,722,513 | ||
Automatic Data Processing, Inc. | 39,950 | 1,673,905 | |||
Fidelity National Information Services, Inc. | 21,350 | 788,029 | |||
Visa, Inc., “A” | 20,710 | 1,683,930 | |||
Western Union Co. | 119,120 | 2,944,646 | |||
$ | 10,813,023 | ||||
Cable TV - 0.9% | |||||
Comcast Corp., “A” | 82,310 | $ | 1,561,421 | ||
Computer Software - 6.1% | |||||
Citrix Systems, Inc. (a) | 34,460 | $ | 1,013,469 | ||
Microsoft Corp. | 137,380 | 3,779,324 | |||
Oracle Corp. (a) | 203,590 | 4,275,390 | |||
VeriSign, Inc. (a) | 31,170 | 1,178,226 | |||
$ | 10,246,409 | ||||
Computer Software - Systems - 3.1% | |||||
Apple, Inc. (a) | 10,720 | $ | 1,794,957 | ||
EMC Corp. (a) | 107,320 | 1,576,531 | |||
International Business Machines Corp. | 15,350 | 1,819,436 | |||
$ | 5,190,924 | ||||
Consumer Goods & Services - 3.4% | |||||
Colgate-Palmolive Co. | 25,100 | $ | 1,734,410 | ||
Estee Lauder Cos., Inc., “A” | 18,850 | 875,583 | |||
Procter & Gamble Co. | 51,260 | 3,117,121 | |||
$ | 5,727,114 | ||||
Electrical Equipment - 3.9% | |||||
Danaher Corp. | 44,890 | $ | 3,469,997 | ||
General Electric Co. | 47,230 | 1,260,569 | |||
W.W. Grainger, Inc. | 22,730 | 1,859,314 | |||
$ | 6,589,880 | ||||
Electronics - 6.4% | |||||
Intel Corp. | 135,750 | $ | 2,915,910 | ||
Intersil Corp., “A” | 47,580 | 1,157,146 |
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Electronics - continued | |||||
KLA-Tencor Corp. | 43,800 | $ | 1,783,098 | ||
National Semiconductor Corp. | 43,310 | 889,587 | |||
Samsung Electronics Co. Ltd., GDR | 7,372 | 2,161,633 | |||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 166,264 | 1,813,940 | |||
$ | 10,721,314 | ||||
Energy - Integrated - 4.0% | |||||
Exxon Mobil Corp. | 34,340 | $ | 3,026,384 | ||
Hess Corp. | 11,450 | 1,444,876 | |||
Marathon Oil Corp. | 42,700 | 2,214,849 | |||
$ | 6,686,109 | ||||
Food & Beverages - 4.6% | |||||
General Mills, Inc. | 25,500 | $ | 1,549,635 | ||
Nestle S.A. | 58,000 | 2,624,913 | |||
PepsiCo, Inc. | 54,780 | 3,483,460 | |||
$ | 7,658,008 | ||||
Food & Drug Stores - 2.7% | |||||
CVS Caremark Corp. | 87,499 | $ | 3,462,335 | ||
Walgreen Co. | 33,360 | 1,084,534 | |||
$ | 4,546,869 | ||||
Gaming & Lodging - 1.2% | |||||
International Game Technology | 36,100 | $ | 901,778 | ||
Royal Caribbean Cruises Ltd. | 51,070 | 1,147,543 | |||
$ | 2,049,321 | ||||
General Merchandise - 0.5% | |||||
Kohl’s Corp. (a) | 20,380 | $ | 816,015 | ||
Health Maintenance Organizations - 0.5% | |||||
UnitedHealth Group, Inc. | 28,450 | $ | 746,813 | ||
Insurance - 0.7% | |||||
MetLife, Inc. | 21,930 | $ | 1,157,246 | ||
Internet - 3.3% | |||||
eBay, Inc. (a) | 45,660 | $ | 1,247,888 | ||
Google, Inc., “A” (a) | 8,210 | 4,321,908 | |||
$ | 5,569,796 | ||||
Major Banks - 3.0% | |||||
Bank of New York Mellon Corp. | 43,924 | $ | 1,661,645 | ||
State Street Corp. | 53,140 | 3,400,429 | |||
$ | 5,062,074 | ||||
Medical & Health Technology & Services - 1.2% | |||||
Cardinal Health, Inc. | 18,300 | $ | 943,914 | ||
VCA Antech, Inc. (a) | 37,550 | 1,043,139 | |||
$ | 1,987,053 | ||||
Medical Equipment - 4.7% | |||||
Advanced Medical Optics, Inc. (a) | 68,850 | $ | 1,290,249 | ||
Medtronic, Inc. | 53,080 | 2,746,890 | |||
ResMed, Inc. (a) | 33,380 | 1,193,001 | |||
Stryker Corp. | 20,240 | 1,272,691 | |||
Zimmer Holdings, Inc. (a) | 20,700 | 1,408,635 | |||
$ | 7,911,466 | ||||
Metals & Mining - 0.7% | |||||
BHP Billiton Ltd., ADR | 14,310 | $ | 1,219,069 | ||
Network & Telecom - 4.3% | |||||
Cisco Systems, Inc. (a) | 191,720 | $ | 4,459,407 | ||
Juniper Networks, Inc. (a) | 44,770 | 992,999 | |||
QUALCOMM, Inc. | 19,670 | 872,758 | |||
Research in Motion Ltd. (a) | 7,500 | 876,750 | |||
$ | 7,201,914 | ||||
8-CAVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
COMMON STOCKS - continued | ||||||
Oil Services - 5.1% | ||||||
Halliburton Co. | 61,090 | $ | 3,242,046 | |||
Noble Corp. | 26,630 | 1,729,885 | ||||
Schlumberger Ltd. | 11,750 | 1,262,303 | ||||
Weatherford International Ltd. (a) | 46,260 | 2,294,033 | ||||
$ | 8,528,267 | |||||
Other Banks & Diversified Financials - 1.0% | ||||||
American Express Co. | 42,570 | $ | 1,603,612 | |||
Personal Computers & Peripherals - 0.6% | ||||||
NetApp, Inc. (a) | 45,890 | $ | 993,977 | |||
Pharmaceuticals - 7.4% | ||||||
Allergan, Inc. | 33,140 | $ | 1,724,937 | |||
Johnson & Johnson | 53,060 | 3,413,880 | ||||
Merck KGaA | 11,980 | 1,701,747 | ||||
Roche Holding AG | 13,750 | 2,471,182 | ||||
Wyeth | 65,470 | 3,139,941 | ||||
$ | 12,451,687 | |||||
Specialty Chemicals - 1.4% | ||||||
Praxair, Inc. | 25,590 | $ | 2,411,602 | |||
Specialty Stores - 2.2% | ||||||
Lowe’s Cos., Inc. | 43,470 | $ | 902,003 | |||
Nordstrom, Inc. | 44,530 | 1,349,259 | ||||
Staples, Inc. | 57,120 | 1,356,600 | ||||
$ | 3,607,862 | |||||
Telecommunications - Wireless - 2.3% | ||||||
America Movil S.A.B. de C.V., “L”, ADR | 47,530 | $ | 2,507,208 | |||
Rogers Communications, Inc., “B” | 33,960 | 1,312,894 | ||||
$ | 3,820,102 | |||||
Trucking - 1.2% | ||||||
FedEx Corp. | 12,120 | $ | 954,935 | |||
United Parcel Service, Inc., “B” | 17,270 | 1,061,587 | ||||
$ | 2,016,522 | |||||
Total Common Stocks | $ | 164,542,130 | ||||
SHORT-TERM OBLIGATIONS - 1.9% | ||||||
Toyota Motor Credit Corp., | $ | 3,221,000 | $ | 3,221,000 | ||
Total Investments | $ | 167,763,130 | ||||
OTHER ASSETS, | 30,736 | |||||
NET ASSETS - 100.0% | $ | 167,793,866 | ||||
See portfolio footnotes and notes to financial statements.
9-CAVA
Portfolio of Investments (unaudited) — June 30, 2008
Global Governments Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 96.2% | |||||||
Foreign Bonds - 71.5% | |||||||
Australia - 1.1% | |||||||
Commonwealth of Australia, 6%, 2017 | AUD | 97,000 | $ | 90,199 | |||
Belgium - 3.7% | |||||||
Kingdom of Belgium, 5.5%, 2017 | EUR | 192,000 | $ | 315,643 | |||
Canada - 1.8% | |||||||
Canada Housing Trust, 4.6%, 2011 | CAD | 52,000 | $ | 52,337 | |||
Government of Canada, 4.5%, 2015 | CAD | 81,000 | 84,011 | ||||
Government of Canada, 5.75%, 2033 | CAD | 16,000 | 19,721 | ||||
$ | 156,069 | ||||||
Denmark - 0.6% | |||||||
Kingdom of Denmark, 4%, 2015 | DKK | 253,000 | $ | 50,330 | |||
France - 5.0% | |||||||
Republic of France, 6%, 2025 | EUR | 185,000 | $ | 323,510 | |||
Republic of France, 4.75%, 2035 | EUR | 68,000 | 102,977 | ||||
$ | 426,487 | ||||||
Germany - 9.2% | |||||||
Federal Republic of Germany, | EUR | 152,000 | $ | 242,032 | |||
Federal Republic of Germany, | EUR | 172,000 | 257,309 | ||||
Federal Republic of Germany, | EUR | 152,000 | 279,240 | ||||
$ | 778,581 | ||||||
Italy - 4.1% | |||||||
Republic of Italy, 4.75%, 2013 | EUR | 221,000 | $ | 344,205 | |||
Japan - 25.5% | |||||||
Development Bank of Japan, | JPY | 27,000,000 | $ | 256,792 | |||
Government of Japan, 0.8%, 2010 | JPY | 7,000,000 | 66,114 | ||||
Government of Japan, 1.5%, 2012 | JPY | 16,000,000 | 153,470 | ||||
Government of Japan, 1.3%, 2014 | JPY | 96,000,000 | 905,351 | ||||
Government of Japan, 1.5%, 2015 | JPY | 11,000,000 | 105,025 | ||||
Government of Japan, 1.7%, 2017 | JPY | 18,000,000 | 172,580 | ||||
Government of Japan, 2.1%, 2024 | JPY | 29,000,000 | 275,616 | ||||
Government of Japan, 2.2%, 2027 | JPY | 19,000,000 | 179,784 | ||||
Government of Japan, 2.4%, 2037 | JPY | 5,000,000 | 47,103 | ||||
$ | 2,161,835 | ||||||
Netherlands - 4.5% | |||||||
Kingdom of Netherlands, 3.75%, 2014 | EUR | 258,000 | $ | 385,167 | |||
Spain - 4.5% | |||||||
Kingdom of Spain, 5%, 2012 | EUR | 244,000 | $ | 385,665 | |||
Sweden - 0.7% | |||||||
Kingdom of Sweden, 4.5%, 2015 | SEK | 345,000 | $ | 56,971 | |||
United Kingdom - 10.8% | |||||||
United Kingdom Treasury, 9%, 2011 | GBP | 114,000 | $ | 250,875 | |||
United Kingdom Treasury, 8%, 2015 | GBP | 150,000 | 348,470 | ||||
United Kingdom Treasury, 8%, 2021 | GBP | 65,000 | 162,946 | ||||
United Kingdom Treasury, | GBP | 84,000 | 154,452 | ||||
$ | 916,743 | ||||||
Total Foreign Bonds | $ | 6,067,895 | |||||
U.S. Bonds - 24.7% | |||||||
Asset Backed & Securitized - 2.7% | |||||||
Bayview Commercial Asset Trust, FRN, | CAD | 30,000 | $ | 22,575 | |||
Commercial Mortgage Asset Trust, FRN, | $ | 1,338,267 | 34,308 | ||||
Commercial Mortgage Pass-Through Certificates, FRN, 2.661%, 2017 (n) | 59,000 | 56,984 |
Issuer | Shares/Par | Value ($) | ||||||
BONDS - continued | ||||||||
U.S. Bonds - continued | ||||||||
Asset Backed & Securitized - continued | ||||||||
Commercial Mortgage Pass-Through Certificates, FRN, 2.671%, 2017 (n) | $ | 94,804 | $ | 89,752 | ||||
First Union National Bank Commercial Mortgage Trust, FRN, | 1,473,470 | 29,443 | ||||||
$ | 233,062 | |||||||
Mortgage Backed - 1.1% | ||||||||
Fannie Mae, 5.37%, 2013 | $ | 24,303 | $ | 24,860 | ||||
Fannie Mae, 4.78%, 2015 | 23,969 | 23,365 | ||||||
Fannie Mae, 5.09%, 2016 | 25,000 | 24,630 | ||||||
Fannie Mae, 5.424%, 2016 | 24,300 | 24,529 | ||||||
$ | 97,384 | |||||||
Municipals - 0.6% | ||||||||
Minnesota Public Facilities Authority, Water Pollution Control Rev., “B”, | $ | 45,000 | $ | 48,650 | ||||
U.S. Government Agencies - 2.3% | ||||||||
Aid-Egypt, 4.45%, 2015 | $ | 49,000 | $ | 49,418 | ||||
Small Business Administration, | 39,081 | 36,984 | ||||||
Small Business Administration, | 105,122 | 105,070 | ||||||
$ | 191,472 | |||||||
U.S. Treasury Obligations - 18.0% | ||||||||
U.S. Treasury Bonds, 4.75%, 2017 | $ | 145,000 | $ | 153,609 | ||||
U.S. Treasury Bonds, 8%, 2021 | 183,000 | 248,208 | ||||||
U.S. Treasury Bonds, 4.75%, 2037 | 52,000 | 53,698 | ||||||
U.S. Treasury Notes, 3.125%, 2008 | 1,000 | 1,004 | ||||||
U.S. Treasury Notes, 2.125%, 2010 | 572,000 | 567,844 | ||||||
U.S. Treasury Notes, 4.75%, 2012 | 267,000 | 281,747 | ||||||
U.S. Treasury Notes, 4%, 2015 | 211,000 | 216,885 | ||||||
$ | 1,522,995 | |||||||
Total U.S. Bonds | $ | 2,093,563 | ||||||
Total Bonds | $ | 8,161,458 | ||||||
CALL OPTIONS PURCHASED - 0.0% |
| |||||||
U.S. Treasury Notes 10 yr Future - | 1 | $ | 688 | |||||
PUT OPTIONS PURCHASED - 0.0% | ||||||||
USD Currency - | 125,610 | $ | 806 | |||||
REPURCHASE AGREEMENTS - 4.3% | ||||||||
Merrill Lynch, 2.5%, dated 6/30/08, due 7/01/08, total to be received $359,025 (secured by various U.S. Treasury and Federal Agency obligations and Mortgage Backed securities in a jointly traded account), at Cost | $ | 359,000 | $ | 359,000 | ||||
Total Investments | $ | 8,521,952 | ||||||
OTHER ASSETS, | (39,649 | ) | ||||||
NET ASSETS - 100.0% | $ | 8,482,303 | ||||||
10 - WGVA
Portfolio of Investments (unaudited) — continued
Forward Foreign Currency Exchange Contracts at 6/30/08
Type | Currency | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Appreciation | ||||||||||||||||||
SELL | AUD | 43,861 | 8/11/08 | $ | 41,928 | $ | 41,815 | $ | 113 | |||||||||
SELL | CAD | 17,147 | 8/25/08 | 16,865 | 16,836 | 29 | ||||||||||||
BUY | CHF | 22,393 | 7/21/08 | 21,620 | 21,961 | 341 | ||||||||||||
SELL | CLP | 5,130,779 | 7/17/08 | 10,298 | 9,759 | 539 | ||||||||||||
BUY | CNY | 297,152 | 8/21/08 | 43,000 | 43,627 | 627 | ||||||||||||
BUY | DKK | 36,123 | 8/12/08 | 7,471 | 7,611 | 140 | ||||||||||||
BUY | EUR | 596,085 | 8/25/08 | 925,748 | 936,217 | 10,469 | ||||||||||||
BUY | GBP | 2,000 | 8/26/08 | 3,902 | 3,970 | 68 | ||||||||||||
BUY | JPY | 67,696,779 | 7/31/08 - 8/26/08 | 630,341 | 640,366 | 10,025 | ||||||||||||
BUY | NOK | 438,305 | 7/18/08 | 84,444 | 85,967 | 1,523 | ||||||||||||
BUY | SEK | 244,372 | 7/31/08 | 40,411 | 40,523 | 112 | ||||||||||||
SELL | SEK | 275,655 | 7/31/08 | 46,000 | 45,710 | 290 | ||||||||||||
$ | 24,276 | |||||||||||||||||
Depreciation | ||||||||||||||||||
SELL | AUD | 50,961 | 8/11/08 | $ | 47,266 | $ | 48,583 | $ | (1,317 | ) | ||||||||
BUY | CLP | 10,277,005 | 7/17/08 | 20,595 | 19,546 | (1,049 | ) | |||||||||||
BUY | EUR | 26,400 | 8/25/08 | 41,469 | 41,464 | (5 | ) | |||||||||||
SELL | EUR | 368,698 | 8/20/08 - 8/25/08 | 572,460 | 579,081 | (6,621 | ) | |||||||||||
SELL | GBP | 228,458 | 8/26/08 | 447,586 | 453,446 | (5,860 | ) | |||||||||||
BUY | JPY | 4,315,748 | 7/31/08 | 41,333 | 40,772 | (561 | ) | |||||||||||
SELL | JPY | 24,590,289 | 7/31/08 - 8/26/08 | 228,994 | 232,367 | (3,373 | ) | |||||||||||
SELL | NZD | 81,739 | 8/20/08 | 61,162 | 61,740 | (578 | ) | |||||||||||
$ | (19,364 | ) | ||||||||||||||||
At June 30, 2008, 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.
11-WGVA
Portfolio of Investments (unaudited) — June 30, 2008
Government Securities Variable Account
Issuer | Shares/Par | Value ($) | ||||
BONDS - 95.0% | ||||||
Agency - Other - 5.7% | ||||||
Financing Corp., 9.4%, 2018 | $ | 1,020,000 | $ | 1,381,217 | ||
Financing Corp., 10.35%, 2018 | 1,150,000 | 1,654,427 | ||||
Financing Corp., STRIPS, 0%, 2017 | 1,220,000 | 796,152 | ||||
$ | 3,831,796 | |||||
Mortgage Backed - 57.4% | ||||||
Fannie Mae, 4.73%, 2012 | $ | 91,746 | $ | 90,983 | ||
Fannie Mae, 4.79%, 2012-2015 | 1,032,900 | 1,035,956 | ||||
Fannie Mae, 4.845%, 2013 | 253,374 | 251,317 | ||||
Fannie Mae, 5%, 2013-2027 | 2,687,695 | 2,697,529 | ||||
Fannie Mae, 5.06%, 2013-2017 | 192,031 | 190,395 | ||||
Fannie Mae, 4.545%, 2014 | 113,216 | 110,225 | ||||
Fannie Mae, 4.6%, 2014 | 122,051 | 119,067 | ||||
Fannie Mae, 4.61%, 2014 | 370,129 | 361,558 | ||||
Fannie Mae, 4.77%, 2014 | 103,146 | 101,227 | ||||
Fannie Mae, 4.849%, 2014 | 761,059 | 750,852 | ||||
Fannie Mae, 4.871%, 2014 | 468,091 | 463,308 | ||||
Fannie Mae, 5.1%, 2014 | 134,379 | 133,855 | ||||
Fannie Mae, 4.5%, 2015-2020 | 2,394,853 | 2,337,476 | ||||
Fannie Mae, 4.56%, 2015 | 157,441 | 152,114 | ||||
Fannie Mae, 4.62%, 2015 | 175,426 | 170,253 | ||||
Fannie Mae, 4.665%, 2015 | 106,275 | 103,253 | ||||
Fannie Mae, 4.7%, 2015 | 122,130 | 118,872 | ||||
Fannie Mae, 4.74%, 2015 | 98,299 | 95,838 | ||||
Fannie Mae, 4.81%, 2015 | 124,796 | 121,834 | ||||
Fannie Mae, 4.815%, 2015 | 117,000 | 114,386 | ||||
Fannie Mae, 4.82%, 2015 | 335,169 | 328,281 | ||||
Fannie Mae, 4.89%, 2015 | 86,023 | 84,578 | ||||
Fannie Mae, 4.925%, 2015 | 338,240 | 333,522 | ||||
Fannie Mae, 5.471%, 2015 | 115,027 | 116,489 | ||||
Fannie Mae, 6.5%, 2016-2036 | 1,381,545 | 1,433,884 | ||||
Fannie Mae, 4.995%, 2017 | 297,377 | 294,362 | ||||
Fannie Mae, 5.5%, 2017-2035 | 9,424,483 | 9,374,427 | ||||
Fannie Mae, 6%, 2017-2037 | 2,473,180 | 2,512,363 | ||||
Fannie Mae, 4.88%, 2020 | 84,499 | 84,273 | ||||
Fannie Mae, 5.19%, 2020 | 81,305 | 79,504 | ||||
Fannie Mae, 7.5%, 2022-2031 | 140,568 | 151,721 | ||||
Freddie Mac, 4.5%, 2013-2021 | 168,039 | 168,484 | ||||
Freddie Mac, 4.375%, 2015 | 392,236 | 391,247 | ||||
Freddie Mac, 5%, 2016-2027 | 2,960,826 | 2,986,434 | ||||
Freddie Mac, 6%, 2021-2037 | 2,324,739 | 2,361,150 | ||||
Freddie Mac, 5.5%, 2022-2035 | 4,505,473 | 4,499,138 | ||||
Freddie Mac, 6.5%, 2032-2037 | 600,240 | 623,459 | ||||
Ginnie Mae, 5.5%, 2033-2038 | 2,535,652 | 2,530,122 | ||||
Ginnie Mae, 5.612%, 2058 | 381,353 | 380,043 | ||||
Ginnie Mae, 6.36%, 2058 | 344,793 | 353,979 | ||||
$ | 38,607,758 | |||||
Municipals - 1.2% | ||||||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, 5%, 2039 | $ | 670,000 | $ | 695,762 | ||
Minnesota Public Facilities Authority, Water Pollution Control Rev., “B”, 5%, 2018 | 105,000 | 113,516 | ||||
$ | 809,278 | |||||
U.S. Government Agencies - 11.6% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 473,000 | $ | 477,035 | ||
Aid-Peru, 9.98%, 2008 | 91,114 | 91,123 | ||||
Empresa Energetica Cornito Ltd., | 1,152,000 | 1,192,735 | ||||
Farmer Mac, 5.5%, 2011 (n) | 690,000 | 731,263 | ||||
Small Business Administration, | 13,942 | 14,258 | ||||
Small Business Administration, | 1,645 | 1,679 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
U.S. Government Agencies - continued | ||||||
Small Business Administration, | $ | 388,402 | $ | 402,515 | ||
Small Business Administration, | 513,799 | 539,923 | ||||
Small Business Administration, | 205,026 | 203,067 | ||||
Small Business Administration, | 463,818 | 453,454 | ||||
Small Business Administration, | 263,257 | 257,933 | ||||
Small Business Administration, | 231,791 | 226,177 | ||||
Small Business Administration, | 344,851 | 338,036 | ||||
Small Business Administration, | 280,316 | 276,958 | ||||
U.S. Department of Housing & Urban Development, 6.36%, 2016 | 500,000 | 527,028 | ||||
U.S. Department of Housing & Urban Development, 6.59%, 2016 | 2,045,000 | 2,050,789 | ||||
$ | 7,783,973 | |||||
U.S. Treasury Obligations - 19.1% | ||||||
U.S. Treasury Bonds, 9.25%, 2016 | $ | 409,000 | $ | 556,687 | ||
U.S. Treasury Bonds, 7.5%, 2016 | 218,000 | 272,313 | ||||
U.S. Treasury Bonds, 4.75%, 2017 | 993,000 | 1,051,959 | ||||
U.S. Treasury Bonds, 7.875%, 2021 | 396,000 | 527,979 | ||||
U.S. Treasury Bonds, 6.25%, 2023 | 322,000 | 383,105 | ||||
U.S. Treasury Bonds, 6.75%, 2026 (f) | 3,382,000 | 4,281,135 | ||||
U.S. Treasury Bonds, 5.25%, 2029 | 876,000 | 950,392 | ||||
U.S. Treasury Bonds, 4.375%, 2038 | 727,000 | 708,598 | ||||
U.S. Treasury Notes, 4.75%, 2010 | 1,860,000 | 1,926,408 | ||||
U.S. Treasury Notes, 2.125%, 2010 | 500,000 | 496,367 | ||||
U.S. Treasury Notes, 4.125%, 2012 | 1,159,000 | 1,199,655 | ||||
U.S. Treasury Notes, 12%, 2013 | 19,000 | 19,212 | ||||
U.S. Treasury Notes, 4%, 2014 | 211,000 | 217,610 | ||||
U.S. Treasury Notes, 4.75%, 2014 | 261,000 | 279,800 | ||||
$ | 12,871,220 | |||||
Total Bonds | $ | 63,904,025 | ||||
REPURCHASE AGREEMENTS - 3.3% | ||||||
Merrill Lynch, 2.5%, dated 6/30/08, | $ | 2,239,000 | $ | 2,239,000 | ||
Total Investments | $ | 66,143,025 | ||||
OTHER ASSETS, | 1,153,312 | |||||
NET ASSETS - 100.0% | $ | 67,296,337 | ||||
12-GSVA
Portfolio of Investments (unaudited) — continued
Futures contracts outstanding at 6/30/08
Description | Contracts | Value | Expiration Date | Unrealized Appreciation (Depreciation) | |||||||
U.S. Treasury Bond 30 yr (Short) | 14 | $ | 1,618,313 | Sep - 08 | $ | (36,799 | ) | ||||
U.S. Treasury Note 5 yr (Long) | 51 | 5,638,289 | Sep - 08 | 21,736 | |||||||
U.S. Treasury Note 10 yr (Long) | 3 | 341,766 | Sep - 08 | 4,068 | |||||||
$ | (10,995 | ) | |||||||||
At June 30, 2008, 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.
13-GSVA
Portfolio of Investments (unaudited) — June 30, 2008
High Yield Variable Account
Issuer | Shares/Par | Value ($) | |||||
BONDS - 88.7% | |||||||
Aerospace - 1.2% | |||||||
Hawker Beechcraft Acquisition Co. LLC, 9.75%, 2017 | $ | 240,000 | $ | 240,000 | |||
Vought Aircraft Industries, Inc., 8%, 2011 | 315,000 | 292,950 | |||||
$ | 532,950 | ||||||
Airlines - 0.6% | |||||||
Continental Airlines, Inc., 7.339%, 2014 | $ | 281,000 | $ | 213,560 | |||
Continental Airlines, Inc., 6.9%, 2017 | 53,024 | 43,745 | |||||
Continental Airlines, Inc., 6.748%, 2017 | 42,178 | 34,797 | |||||
$ | 292,102 | ||||||
Asset Backed & Securitized - 4.8% | |||||||
ARCap REIT, Inc., CDO, “H”, | $ | 165,567 | $ | 57,948 | |||
Banc of America Commercial Mortgage, Inc., 5.39%, 2045 | 75,059 | 68,002 | |||||
Banc of America Commercial Mortgage, Inc., FRN, 5.772%, 2017 | 315,434 | 285,292 | |||||
Banc of America Commercial Mortgage, Inc., FRN, 6.002%, 2017 | 71,823 | 65,689 | |||||
Citigroup Commercial Mortgage Trust, FRN, 5.7%, 2017 | 148,212 | 96,907 | |||||
Credit Suisse Mortgage Capital Certificate, 5.343%, 2039 | 70,665 | 63,474 | |||||
Crest Ltd., CDO, 7%, 2040 | 154,000 | 79,969 | |||||
First Union National Bank Commercial Mortgage Trust, 6.75%, 2032 | 165,000 | 137,908 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.44%, 2045 | 224,410 | 203,629 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.372%, 2047 | 114,643 | 103,402 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.466%, 2047 | 145,361 | 129,756 | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.26%, 2051 | 110,000 | 80,796 | |||||
Merrill Lynch Mortgage Trust, FRN, | 110,000 | 79,766 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.204%, 2049 | 242,759 | 216,761 | |||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.902%, 2050 | 62,000 | 56,497 | |||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.941%, 2047 | 87,180 | 60,931 | |||||
Wachovia Bank Commercial Mortgage Trust, FRN, 6.099%, 2051 | 240,129 | 220,660 | |||||
Wachovia Credit, CDO, FRN, | 250,000 | 138,258 | |||||
$ | 2,145,645 | ||||||
Automotive - 2.9% | |||||||
Allison Transmission, Inc., 11%, 2015 (n) | $ | 355,000 | $ | 317,725 | |||
Ford Motor Credit Co. LLC, | 190,000 | 161,178 | |||||
Ford Motor Credit Co. LLC, 12%, 2015 | 350,000 | 307,883 | |||||
Ford Motor Credit Co. LLC, 8%, 2016 | 300,000 | 218,029 | |||||
Ford Motor Credit Co. LLC, FRN, | 155,000 | 136,467 | |||||
General Motors Corp., | 291,000 | 172,418 | |||||
$ | 1,313,700 | ||||||
Broadcasting - 5.7% | |||||||
Allbritton Communications Co., | $ | 328,000 | $ | 318,980 | |||
Bonten Media Acquisition Co., | 135,000 | 98,550 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - (continued) | |||||||
Broadcasting - (continued) | |||||||
CanWest MediaWorks LP, | $ | 160,000 | $ | 130,400 | |||
DIRECTV Holdings LLC, | 245,000 | 241,325 | |||||
Lamar Media Corp., 6.625%, 2015 | 225,000 | 204,750 | |||||
Lamar Media Corp., “C”, 6.625%, 2015 | 145,000 | 131,950 | |||||
LBI Media, Inc., 8.5%, 2017 (n) | 150,000 | 115,500 | |||||
LIN TV Corp., 6.5%, 2013 | 320,000 | 292,800 | |||||
Local TV Finance LLC, 9.25%, 2015 (n)(p) | 235,000 | 183,300 | |||||
Newport Television LLC, 13%, 2017 (n)(p) | 280,000 | 246,400 | |||||
Nexstar Broadcasting Group, Inc., | 270,000 | 234,900 | |||||
Univision Communications, Inc., | 450,000 | 330,750 | |||||
Young Broadcasting, Inc., 8.75%, 2014 | 80,000 | 43,200 | |||||
$ | 2,572,805 | ||||||
Brokerage & Asset Managers - 0.7% | |||||||
Nuveen Investments, Inc., | $ | 350,000 | $ | 322,875 | |||
Building - 1.8% | |||||||
Associated Materials, Inc., 9.75%, 2012 | $ | 75,000 | $ | 74,250 | |||
Associated Materials, Inc., | 120,000 | 79,200 | |||||
Building Materials Corp. of America, | 165,000 | 135,300 | |||||
Nortek Holdings, Inc., 10%, 2013 (n) | 110,000 | 105,050 | |||||
Nortek Holdings, Inc., 8.5%, 2014 | 195,000 | 124,800 | |||||
Ply Gem Industries, Inc., 9%, 2012 | 345,000 | 202,688 | |||||
Ply Gem Industries, Inc., | 85,000 | 77,988 | |||||
$ | 799,276 | ||||||
Business Services - 0.7% | |||||||
SunGard Data Systems, Inc., | $ | 326,000 | $ | 327,630 | |||
Cable TV - 3.9% | |||||||
CCH I Holdings LLC, 11%, 2015 | $ | 105,000 | $ | 77,831 | |||
CCH II Holdings LLC, 10.25%, 2010 | 380,000 | 367,650 | |||||
CCO Holdings LLC, 8.75%, 2013 | 705,000 | 648,600 | |||||
CSC Holdings, Inc., 6.75%, 2012 | 285,000 | 267,900 | |||||
CSC Holdings, Inc., 8.5%, 2015 (n) | 5,000 | 4,913 | |||||
Mediacom LLC, 9.5%, 2013 | 180,000 | 169,650 | |||||
NTL Cable PLC, 9.125%, 2016 | 228,000 | 213,750 | |||||
$ | 1,750,294 | ||||||
Chemicals - 3.6% | |||||||
Innophos, Inc., 8.875%, 2014 | $ | 265,000 | $ | 265,000 | |||
Koppers Holdings, Inc., 9.875%, 2013 | 220,000 | 231,000 | |||||
Koppers Holdings, Inc., 0% to 2009, | 348,000 | 314,940 | |||||
Momentive Performance Materials, Inc., | 75,000 | 64,125 | |||||
Momentive Performance Materials, Inc., | 304,000 | 226,480 | |||||
Nalco Co., 7.75%, 2011 | 235,000 | 235,000 | |||||
Nalco Co., 8.875%, 2013 | 300,000 | 307,500 | |||||
$ | 1,644,045 | ||||||
Computer Software - 0.6% | |||||||
First Data Corp., 9.875%, 2015 (n) | $ | 305,000 | $ | 265,350 | |||
Consumer Goods & Services - 2.2% | |||||||
Corrections Corp. of America, | $ | 120,000 | $ | 115,500 | |||
GEO Group, Inc., 8.25%, 2013 | 180,000 | 183,600 |
14-HYVA
Portfolio of Investments (unaudited)— continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Consumer Goods & Services - continued | |||||||
Jarden Corp., 7.5%, 2017 | $ | 75,000 | $ | 65,250 | |||
KAR Holdings, Inc., 10%, 2015 | 170,000 | 142,800 | |||||
Service Corp. International, | 110,000 | 110,000 | |||||
Service Corp. International, 7%, 2017 | 400,000 | 382,000 | |||||
$ | 999,150 | ||||||
Containers - 1.2% | |||||||
Crown Americas LLC, | $ | 150,000 | $ | 149,625 | |||
Graham Packaging Co. LP, | 165,000 | 146,025 | |||||
Greif, Inc., 6.75%, 2017 | 165,000 | 159,225 | |||||
Owens-Brockway Glass Container, Inc., | 105,000 | 107,625 | |||||
$ | 562,500 | ||||||
Defense Electronics - 0.9% | |||||||
L-3 Communications Corp., | $ | 235,000 | $ | 220,313 | |||
L-3 Communications Corp., | 215,000 | 198,338 | |||||
$ | 418,651 | ||||||
Electronics - 0.9% | |||||||
Avago Technologies Finance, | $ | 120,000 | $ | 129,000 | |||
Flextronics International Ltd., | 125,000 | 116,875 | |||||
Spansion LLC, 11.25%, 2016 (n) | 240,000 | 148,800 | |||||
$ | 394,675 | ||||||
Emerging Market Sovereign - 0.6% | |||||||
Republic of Argentina, FRN, | $ | 303,750 | $ | 255,675 | |||
Energy - Independent - 5.9% | |||||||
Chaparral Energy, Inc., 8.875%, 2017 | $ | 160,000 | $ | 138,800 | |||
Chesapeake Energy Corp., 7%, 2014 | 149,000 | 146,020 | |||||
Chesapeake Energy Corp., | 265,000 | 250,425 | |||||
Forest Oil Corp., 7.25%, 2019 | 150,000 | 144,000 | |||||
Forest Oil Corp., 7.25%, 2019 (n) | 35,000 | 33,600 | |||||
Hilcorp Energy I LP, 7.75%, 2015 (n) | 20,000 | 19,200 | |||||
Hilcorp Energy I LP, 9%, 2016 (n) | 115,000 | 117,013 | |||||
Mariner Energy, Inc., 8%, 2017 | 140,000 | 135,450 | |||||
Newfield Exploration Co., 6.625%, 2014 | 250,000 | 235,000 | |||||
OPTI Canada, Inc., 8.25%, 2014 | 320,000 | 318,400 | |||||
Plains Exploration & Production Co., | 355,000 | 340,800 | |||||
Plains Exploration & Production Co., | 70,000 | 70,000 | |||||
Quicksilver Resources, Inc., | 355,000 | 330,594 | |||||
SandRidge Energy, Inc., | 95,000 | 97,375 | |||||
SandRidge Energy, Inc., 8%, 2018 (n) | 130,000 | 130,650 | |||||
Southwestern Energy Co., 7.5%, 2018 (n) | 140,000 | 144,047 | |||||
$ | 2,651,374 | ||||||
Entertainment - 0.5% | |||||||
AMC Entertainment, Inc., 11%, 2016 | $ | 150,000 | $ | 148,500 | |||
Marquee Holdings, Inc., 9.505%, 2014 | 115,000 | 90,275 | |||||
$ | 238,775 | ||||||
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Financial Institutions - 1.0% | |||||||
General Motors Corp., | $ | 422,000 | $ | 303,237 | |||
General Motors Corp., | 217,000 | 141,175 | |||||
Residential Capital LLC, 9.625%, 2015 (z) | 10,000 | 4,850 | |||||
$ | 449,262 | ||||||
Food & Beverages - 2.5% | |||||||
ARAMARK Corp., 8.5%, 2015 | $ | 420,000 | $ | 411,600 | |||
B&G Foods, Inc., 8%, 2011 | 175,000 | 171,938 | |||||
Dean Foods Co., 7%, 2016 | 215,000 | 186,513 | |||||
Del Monte Corp., 6.75%, 2015 | 185,000 | 176,213 | |||||
Michael Foods, Inc., 8%, 2013 | 175,000 | 172,375 | |||||
$ | 1,118,639 | ||||||
Forest & Paper Products - 2.5% | |||||||
Buckeye Technologies, Inc., 8%, 2010 | $ | 49,000 | $ | 49,000 | |||
Buckeye Technologies, Inc., 8.5%, 2013 | 375,000 | 373,125 | |||||
Georgia-Pacific Corp., 7.125%, 2017 (n) | 135,000 | 126,900 | |||||
Georgia-Pacific Corp., 8%, 2024 | 75,000 | 69,375 | |||||
Graphic Packaging International Corp., | 115,000 | 109,825 | |||||
JSG Funding PLC, 7.75%, 2015 | 25,000 | 22,750 | |||||
Millar Western Forest Products Ltd., | 245,000 | 159,250 | |||||
NewPage Holding Corp., 10%, 2012 | 80,000 | 81,000 | |||||
Smurfit-Stone Container Corp., 8%, 2017 | 165,000 | 132,000 | |||||
$ | 1,123,225 | ||||||
Gaming & Lodging - 7.0% | |||||||
Firekeepers Development Authority, | $ | 145,000 | $ | 141,738 | |||
Fontainebleau Las Vegas Holdings LLC, | 345,000 | 224,250 | |||||
Harrah’s Operating Co., Inc., 5.5%, 2010 | 140,000 | 125,125 | |||||
Harrah’s Operating Co., Inc., | 170,000 | 104,125 | |||||
Harrah’s Operating Co., Inc., | 415,000 | 344,450 | |||||
Harrah’s Operating Co., Inc., | 300,000 | 220,500 | |||||
Mandalay Resort Group, 9.375%, 2010 | 175,000 | 175,000 | |||||
MGM Mirage, 8.5%, 2010 | 140,000 | 138,250 | |||||
MGM Mirage, 8.375%, 2011 | 215,000 | 207,475 | |||||
MGM Mirage, 6.75%, 2013 | 200,000 | 172,500 | |||||
MGM Mirage, 5.875%, 2014 | 195,000 | 157,950 | |||||
Pinnacle Entertainment, Inc., 7.5%, 2015 | 320,000 | 244,800 | |||||
Station Casinos, Inc., 6.5%, 2014 | 530,000 | 304,750 | |||||
Station Casinos, Inc., 6.875%, 2016 | 380,000 | 207,575 | |||||
Trump Entertainment Resorts Holdings, Inc., | 405,000 | 252,113 | |||||
Wynn Las Vegas LLC, 6.625%, 2014 | 130,000 | 118,950 | |||||
$ | 3,139,551 | ||||||
General Merchandise - 0.5% | |||||||
Buhrmann U.S., Inc., 7.875%, 2015 | $ | 195,000 | $ | 217,889 | |||
Industrial - 1.6% | |||||||
Blount, Inc., 8.875%, 2012 | $ | 205,000 | $ | 205,000 | |||
JohnsonDiversey, Inc., 9.625%, 2012 | EUR | 70,000 | 106,946 | ||||
JohnsonDiversey, Inc., “B”, | $ | 400,000 | 404,000 | ||||
$ | 715,946 | ||||||
Insurance - Property & Casualty - 0.3% | |||||||
USI Holdings Corp., 9.75%, 2015 (n) | $ | 160,000 | $ | 137,600 | |||
15-HYVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Machinery & Tools - 0.6% | |||||||
Case New Holland, Inc., 7.125%, 2014 | $ | 280,000 | $ | 274,400 | |||
Major Banks - 1.1% | |||||||
Bank of America Corp., | $ | 225,000 | $ | 210,796 | |||
JPMorgan Chase & Co., | 325,000 | 304,733 | |||||
$ | 515,529 | ||||||
Medical & Health Technology & Services - 7.9% | |||||||
Biomet, Inc., 10%, 2017 | $ | 160,000 | $ | 170,800 | |||
Biomet, Inc., 11.625%, 2017 | 310,000 | 328,600 | |||||
Community Health Systems, Inc., | 490,000 | 493,063 | |||||
Cooper Cos., Inc., 7.125%, 2015 | 220,000 | 211,200 | |||||
DaVita, Inc., 7.25%, 2015 | 395,000 | 384,138 | |||||
HCA, Inc., 6.375%, 2015 | 445,000 | 369,350 | |||||
HCA, Inc., 9.25%, 2016 | 765,000 | 787,950 | |||||
Psychiatric Solutions, Inc., 7.75%, 2015 | 200,000 | 198,000 | |||||
U.S. Oncology, Inc., 10.75%, 2014 | 325,000 | 322,563 | |||||
Universal Hospital Services, Inc., | 155,000 | 155,000 | |||||
Universal Hospital Services, Inc., FRN, | 45,000 | 42,075 | |||||
VWR Funding, Inc., 10.25%, 2015 (p) | 135,000 | 124,538 | |||||
$ | 3,587,277 | ||||||
Metals & Mining - 4.5% | |||||||
Arch Western Finance LLC, 6.75%, 2013 | $ | 175,000 | $ | 171,500 | |||
FMG Finance Ltd., 10.625%, 2016 (n) | 320,000 | 372,800 | |||||
Freeport-McMoRan Copper & Gold, Inc., | 580,000 | 611,900 | |||||
Freeport-McMoRan Copper & Gold, Inc., FRN, 5.882%, 2015 | 305,000 | 308,007 | |||||
Peabody Energy Corp., 5.875%, 2016 | 225,000 | 210,375 | |||||
Peabody Energy Corp., 7.375%, 2016 | 175,000 | 174,563 | |||||
PNA Group, Inc., 10.75%, 2016 | 160,000 | 188,000 | |||||
$ | 2,037,145 | ||||||
Municipals - 0.4% | |||||||
Regional Transportation Authority, IL, “A”, MBIA, 4.5%, 2035 | $ | 215,000 | $ | 199,468 | |||
Natural Gas - Distribution - 0.9% | |||||||
AmeriGas Partners LP, 7.125%, 2016 | $ | 200,000 | $ | 185,500 | |||
Inergy LP, 6.875%, 2014 | 235,000 | 218,550 | |||||
$ | 404,050 | ||||||
Natural Gas - Pipeline - 2.1% | |||||||
Atlas Pipeline Partners LP, 8.125%, 2015 | $ | 155,000 | $ | 152,288 | |||
Atlas Pipeline Partners LP, | 140,000 | 138,950 | |||||
Deutsche Bank (El Paso Performance-Linked Trust, CLN), 7.75%, 2011 (n) | 255,000 | 256,895 | |||||
El Paso Corp., 7.25%, 2018 | 140,000 | 137,900 | |||||
Transcontinental Gas Pipe Line Corp., | 55,000 | 57,200 | |||||
Williams Partners LP, 7.25%, 2017 | 205,000 | 205,000 | |||||
$ | 948,233 | ||||||
Network & Telecom - 3.8% | |||||||
Cincinnati Bell, Inc., 8.375%, 2014 | $ | 315,000 | $ | 304,763 | |||
Citizens Communications Co., | 225,000 | 232,875 | |||||
Nordic Telephone Co. Holdings, | 205,000 | 200,900 | |||||
Qwest Capital Funding, Inc., | 355,000 | 344,350 |
Issuer | Shares/Par | Value ($) | |||||
BONDS - continued | |||||||
Network & Telecom - continued | |||||||
Qwest Corp., 7.875%, 2011 | $ | 95,000 | $ | 95,000 | |||
Qwest Corp., 8.875%, 2012 | 300,000 | 306,000 | |||||
Windstream Corp., 8.625%, 2016 | 215,000 | 214,463 | |||||
$ | 1,698,351 | ||||||
Oil Services - 0.9% | |||||||
Basic Energy Services, Inc., | $ | 290,000 | $ | 282,025 | |||
GulfMark Offshore, Inc., 7.75%, 2014 | 110,000 | 110,825 | |||||
$ | 392,850 | ||||||
Printing & Publishing - 3.2% | |||||||
American Media Operations, Inc., | $ | 8,181 | $ | 6,586 | |||
American Media Operations, Inc., “B”, | 225,000 | 181,125 | |||||
Dex Media West LLC, 9.875%, 2013 | 119,000 | 107,100 | |||||
Dex Media, Inc., | 300,000 | 214,500 | |||||
Dex Media, Inc., | 425,000 | 303,875 | |||||
Idearc, Inc., 8%, 2016 | 395,000 | 248,356 | |||||
Nielsen Finance LLC, 10%, 2014 | 230,000 | 231,725 | |||||
Nielsen Finance LLC, | 40,000 | 27,500 | |||||
Quebecor World, Inc., 6.125%, 2013 (d) | 105,000 | 38,325 | |||||
R.H. Donnelley Corp., 8.875%, 2016 | 175,000 | 105,000 | |||||
$ | 1,464,092 | ||||||
Retailers - 0.4% | |||||||
Couche-Tard, Inc., 7.5%, 2013 | $ | 120,000 | $ | 118,500 | |||
Sally Holdings LLC, 10.5%, 2016 | 45,000 | 42,863 | |||||
$ | 161,363 | ||||||
Specialty Stores - 0.3% | |||||||
Payless ShoeSource, Inc., 8.25%, 2013 | $ | 160,000 | $ | 140,000 | |||
Steel - 0.3% | |||||||
Evraz Group S.A., 8.875%, 2013 (z) | $ | 140,000 | $ | 140,168 | |||
Supermarkets - 0.4% | |||||||
Stater Brothers Holdings, Inc., | $ | 165,000 | $ | 163,763 | |||
Telecommunications - Wireless - 1.7% | |||||||
Alltel Corp., 7%, 2012 | $ | 238,000 | $ | 242,760 | |||
MetroPCS Wireless, Inc., 9.25%, 2014 | 255,000 | 245,438 | |||||
Wind Acquisition Finance S.A., | 250,000 | 262,500 | |||||
$ | 750,698 | ||||||
Transportation - Services - 0.3% | |||||||
Hertz Corp., 8.875%, 2014 | $ | 160,000 | $ | 146,400 | |||
Utilities - Electric Power - 5.8% | |||||||
Dynegy Holdings, Inc., 7.5%, 2015 | $ | 125,000 | $ | 115,313 | |||
Edison Mission Energy, 7%, 2017 | 340,000 | 317,900 | |||||
Mirant North America LLC, | 240,000 | 237,900 | |||||
NRG Energy, Inc., 7.375%, 2016 | 965,000 | 908,306 | |||||
Reliant Energy, Inc., 6.75%, 2014 | 75,000 | 76,500 | |||||
Reliant Energy, Inc., 7.875%, 2017 | 340,000 | 332,350 | |||||
Sierra Pacific Resources, 8.625%, 2014 | 110,000 | 115,300 | |||||
Texas Competitive Electric Holdings LLC, | 525,000 | 514,500 | |||||
$ | 2,618,069 | ||||||
Total Bonds | $ | 40,031,440 | |||||
16-HYVA
Portfolio of Investments (unaudited)— continued
Issuer | Shares/Par | Value ($) | |||||
FLOATING RATE LOANS (g)(r) - 6.0% | |||||||
Aerospace - 0.5% | |||||||
Hawker Beechcraft Acquisition Co., Letter of Credit, 4.69%, 2014 | 10,085 | $ | 9,448 | ||||
Hawker Beechcraft Acquisition Co., Term Loan, 4.8%, 2014 | 250,954 | 235,113 | |||||
$ | 244,561 | ||||||
Automotive - 1.2% | |||||||
Federal-Mogul Corp., Term Loan B, | 187,893 | $ | 156,890 | ||||
Ford Motor Co., Term Loan B, | 392,244 | 315,658 | |||||
Mark IV Industries, Inc., Second Lien Term Loan, 11.42%, 2011 | 169,464 | 68,633 | |||||
$ | 541,181 | ||||||
Broadcasting - 0.5% | |||||||
Young Broadcasting, Inc., Term Loan, | 182,093 | $ | 163,884 | ||||
Young Broadcasting, Inc., Term Loan B-1, | 67,169 | 60,452 | |||||
$ | 224,336 | ||||||
Computer Software - 0.5% | |||||||
First Data Corp., Term Loan B-1, | 241,834 | $ | 221,671 | ||||
Forest & Paper Products - 0.1% | |||||||
Abitibi Consolidated, Inc., Term Loan, 11.5%, 2009 | 65,619 | $ | 65,701 | ||||
Gaming & Lodging - 0.3% | |||||||
Green Valley Ranch Gaming LLC, Second Lien Term Loan, 5.89%, 2014 (o) | 248,868 | $ | 156,787 | ||||
Medical & Health Technology & Services - 0.9% | |||||||
Community Health Systems, Inc., Delayed Draw Term Loan B, 2014 (q) | 8,611 | $ | 8,106 | ||||
Community Health Systems, Inc., Term Loan B, 4.86%, 2014 | 168,339 | 158,465 | |||||
HCA, Inc., Term Loan B, 5.05%, 2013 | 240,438 | 225,481 | |||||
$ | 392,052 | ||||||
Printing & Publishing - 0.5% | |||||||
Idearc, Inc., Term Loan B, 4.79%, 2014 | 23,068 | $ | 18,390 | ||||
Tribune Co., Term Loan B, 2014 (o) | 286,550 | 215,271 | |||||
$ | 233,661 | ||||||
Specialty Stores - 0.2% | |||||||
Michaels Stores, Inc., Term Loan B, | 91,676 | $ | 76,034 | ||||
Telecommunications - Wireless - 0.3% | |||||||
ALLTEL Communications, Inc., Term Loan B-2, 2015 (o) | 126,672 | $ | 125,754 | ||||
Utilities - Electric Power - 1.0% | |||||||
Calpine Corp., DIP Term Loan, | 202,032 | $ | 192,829 | ||||
Texas Competitive Electric Holdings LLC, Term Loan B-3, 6.26%, 2014 | 262,052 | 242,153 | |||||
$ | 434,982 | ||||||
Total Floating Rate Loans | $ | 2,716,720 | |||||
COMMON STOCKS - 1.9% | |||||||
Automotive - 0.0% | |||||||
Oxford Automotive, Inc. (a) | 53 | $ | 0 | ||||
Issuer | Shares/Par | Value ($) | |||||
COMMON STOCKS - continued | |||||||
Cable TV - 0.7% | |||||||
Cablevision Systems Corp., “A” (a) | 2,100 | $ | 47,460 | ||||
Comcast Corp., “A” | 11,300 | 214,361 | |||||
Time Warner Cable, Inc. (a) | 2,800 | 74,144 | |||||
$ | 335,965 | ||||||
Consumer Goods & Services - 0.0% | |||||||
Central Garden & Pet Co. (a) | 2,300 | $ | 10,465 | ||||
Electronics - 0.1% | |||||||
Intel Corp. | 2,300 | $ | 49,404 | ||||
Energy - Integrated - 0.1% | |||||||
Chevron Corp. | 500 | $ | 49,565 | ||||
Forest & Paper Products - 0.0% | |||||||
Louisiana-Pacific Corp. | 2,600 | $ | 22,074 | ||||
Gaming & Lodging - 0.2% | |||||||
MGM Mirage (a) | 1,300 | $ | 44,057 | ||||
Pinnacle Entertainment, Inc. (a) | 2,400 | 25,176 | |||||
$ | 69,233 | ||||||
Major Banks - 0.1% | |||||||
Bank of America Corp. | 1,200 | $ | 28,644 | ||||
JPMorgan Chase & Co. | 600 | 20,586 | |||||
$ | 49,230 | ||||||
Printing & Publishing - 0.0% | |||||||
Golden Books Family Entertainment, Inc. (a) | 21,250 | $ | 0 | ||||
Real Estate - 0.2% | |||||||
Host Hotels & Resorts, Inc., REIT | 5,000 | $ | 68,250 | ||||
Telephone Services - 0.2% | |||||||
Windstream Corp. | 7,600 | $ | 93,784 | ||||
Utilities - Electric Power - 0.3% | |||||||
Reliant Energy, Inc. (a) | 6,100 | $ | 129,747 | ||||
Total Common Stocks | $ | 877,717 | |||||
PREFERRED STOCKS - 0.8% | |||||||
Brokerage & Asset Managers - 0.8% | |||||||
Merrill Lynch Co., Inc., 8.625%, (Identified Cost, $380,625) | $ | 15,225 | $ | 353,220 | |||
SHORT-TERM OBLIGATIONS - 1.1% | |||||||
Toyota Motor Credit Corp., at | 494,000 | $ | 494,000 | ||||
Total Investments | $ | 44,473,097 | |||||
OTHER ASSETS, | 675,468 | ||||||
NET ASSETS - 100.0% | $ | 45,148,565 | |||||
17-HYVA
Portfolio of Investments (unaudited) — continued
Derivative Contracts at 6/30/08
Forward Foreign Currency Exchange Contracts at 6/30/08
Type | Currency | Contracts to Deliver/ Receive | Settlement Date Range | In Exchange For | Contracts at Value | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Appreciation | ||||||||||||||||||
BUY | EUR | 47,850 | 8/25/08 | $ | 74,323 | $ | 75,154 | $ | 831 | |||||||||
Depreciation | ||||||||||||||||||
SELL | EUR | 107,762 | 8/25/08 | $ | 167,321 | $ | 169,251 | $ | (1,930 | ) |
Swap Agreements at 6/30/08
Expiration | Notional Amount | Counterparty | Cash Flows to Receive | Cash Flows to Pay | Value | |||||||||
Credit Default Swaps | ||||||||||||||
6/20/09 | USD | 200,000 | JPMorgan Chase Bank | 4.10% (fixed rate) | (1) | $ | (30,804 | ) | ||||||
6/20/09 | USD | 100,000 | JPMorgan Chase Bank | 4.80% (fixed rate) | (1) | $ | (14,792 | ) | ||||||
6/20/12 | USD | 200,000 | Morgan Stanley Capital Services, Inc. | 3.76% (fixed rate) | (2) | $ | (53,953 | ) | ||||||
6/20/12 | USD | 100,000 | Morgan Stanley Capital Services, Inc. | 4.15% (fixed rate) | (2) | $ | (25,998 | ) | ||||||
6/20/13 | USD | 200,000 | Goldman Sachs International (a) | 5.0% (fixed rate) | (3) | $ | (44,927 | ) | ||||||
$ | (170,474 | ) | ||||||||||||
(1) | Variable account to pay notional amount upon a defined credit event by Abitibi Consolidated, Inc., 8.375%, 4/01/15. |
(2) | Variable account to pay notional amount upon a defined credit event by Bowater, Inc., 6.5%, 6/15/13. |
(3) | Variable account to pay notional amount upon a defined credit event by Station Casinos, Inc., 6.0%, 4/01/12. |
(a) | Net unamortized premiums received by the variable account amounted to $33,974. |
At June 30, 2008, the variable account had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.
See portfolio footnotes and notes to financial statements.
18-HYVA
Portfolio of Investments (unaudited) — June 30, 2008
Money Market Variable Account
Issuer | Shares/Par | Value ($) | ||||
CERTIFICATES OF DEPOSIT - 20.2% | ||||||
Financial Institutions - 3.0% | ||||||
Swedbank AB, NY, | $ | 1,280,000 | $ | 1,280,000 | ||
Major Banks - 11.9% | ||||||
Bank of Scotland PLC, NY, | $ | 1,250,000 | $ | 1,250,000 | ||
Barclays Bank PLC, NY, | 1,250,000 | 1,250,000 | ||||
BNP Paribas, NY, 3.65%, due 7/16/08 | 1,350,000 | 1,350,000 | ||||
Societe Generale, NY, | 1,295,000 | 1,295,000 | ||||
$ | 5,145,000 | |||||
Other Banks & Diversified Financials - 5.3% | ||||||
DEPFA Bank PLC, NY, | $ | 1,280,000 | $ | 1,280,000 | ||
Rabobank Nederland N.V., NY, | 993,000 | 993,000 | ||||
$ | 2,273,000 | |||||
Total Certificates of Deposit, | $ | 8,698,000 | ||||
COMMERCIAL PAPER (y) - 65.5% | ||||||
Alcoholic Beverages - 3.0% | ||||||
Anheuser-Busch Company, Inc., | $ | 1,288,000 | $ | 1,288,000 | ||
Automotive - 3.0% | ||||||
Toyota Motor Credit Corp., | $ | 1,283,000 | $ | 1,283,000 | ||
Toyota Motor Credit Corp., | 5,000 | 5,000 | ||||
$ | 1,288,000 | |||||
Brokerage & Asset Managers - 5.9% | ||||||
Merrill Lynch & Co., Inc., | $ | 1,293,000 | $ | 1,273,314 | ||
Morgan Stanley, | 1,294,000 | 1,275,884 | ||||
$ | 2,549,198 | |||||
Conglomerates - 3.0% | ||||||
United Technologies Corp., | $ | 1,288,000 | $ | 1,288,000 | ||
Energy - Integrated - 2.1% | ||||||
ConocoPhillips, 2.3%, due 7/01/08 (t) | $ | 901,000 | $ | 901,000 | ||
Financial Institutions - 11.7% | ||||||
American Express Credit Corp., | $ | 13,000 | $ | 13,000 | ||
American Express Credit Corp., | 1,283,000 | 1,275,117 | ||||
American General Finance Corp., | 11,000 | 11,000 | ||||
American General Finance Corp., | 1,284,000 | 1,277,059 | ||||
Cargill, Inc., 2.35%, due 7/30/08 (t) | 1,280,000 | 1,277,577 | ||||
General Electric Capital Co., | 1,200,000 | 1,197,499 | ||||
$ | 5,051,252 | |||||
Food & Beverages - 5.9% | ||||||
Archer Daniels Midland Co., | $ | 1,290,000 | $ | 1,287,234 | ||
Coca-Cola Co., 2.03%, due 7/10/08 (t) | 1,266,000 | 1,265,358 | ||||
$ | 2,552,592 | |||||
Issuer | Shares/Par | Value ($) | ||||
COMMERCIAL PAPER (y) - continued | ||||||
Forest & Paper Products - 3.0% | ||||||
Mcgraw-Hill Cos., Inc., | $ | 1,289,000 | $ | 1,287,953 | ||
Insurance - 1.0% | ||||||
Prudential Funding LLC, | $ | 425,000 | $ | 422,905 | ||
Major Banks - 11.5% | ||||||
Abbey National North America LLC, | $ | 270,000 | $ | 269,752 | ||
Abbey National North America LLC, | 1,010,000 | 999,594 | ||||
Bank of America Corp., | 420,000 | 419,971 | ||||
Bank of America Corp., | 647,000 | 644,383 | ||||
JPMorgan Chase & Co., | 1,289,000 | 1,287,138 | ||||
Natexis Banques Populaires U.S. Financial Co., LLC, 2.6%, due 7/14/08 | 1,330,000 | 1,328,751 | ||||
$ | 4,949,589 | |||||
Medical Equipment - 3.2% | ||||||
Pfizer, Inc., 2.68%, due 8/06/08 (t) | $ | 1,380,000 | $ | 1,376,302 | ||
Network & Telecom - 3.0% | ||||||
AT&T, Inc., 2.18%, due 7/31/08 (t) | $ | 1,277,000 | $ | 1,274,680 | ||
AT&T, Inc., 2.35%, due 7/01/08 (t) | 14,000 | 14,000 | ||||
$ | 1,288,680 | |||||
Other Banks & Diversified Financials - 9.2% | ||||||
Calyon North America, Inc., | $ | 207,000 | $ | 206,902 | ||
Citigroup Funding Inc., | 361,000 | 359,313 | ||||
Citigroup Funding, Inc., | 922,000 | 916,468 | ||||
Dexia Delaware LLC, | 1,275,000 | 1,271,088 | ||||
Svenska Handelsbanken AB, | 735,000 | 734,486 | ||||
UBS Finance Delaware LLC, | 482,000 | 481,467 | ||||
$ | 3,969,724 | |||||
Total Commercial Paper, | $ | 28,213,195 | ||||
U.S. GOVERNMENT AGENCIES - 4.2% | ||||||
Fannie Mae, 2.5%, due 8/20/08, | $ | 1,798,000 | $ | 1,791,757 | ||
REPURCHASE AGREEMENTS - 10.0% | ||||||
Merrill Lynch, 2.50%, dated 6/30/08, due 7/01/08, total to be received $4,295,298 (secured by various U.S. Treasury and Federal Agency obligations and Mortgage Backed securities in a jointly traded account), at Cost | $ | 4,295,000 | $ | 4,295,000 | ||
Total Investments, | $ | 42,997,952 | ||||
OTHER ASSETS, | 45,314 | |||||
NET ASSETS - 100.0% | $ | 43,043,266 | ||||
See portfolio footnotes and notes to financial statements.
19-MMVA
Portfolio of Investments (unaudited) — June 30, 2008
Total Return Variable Account
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - 57.1% | |||||
Aerospace - 3.0% | |||||
Lockheed Martin Corp. | 22,560 | $ | 2,225,757 | ||
Northrop Grumman Corp. | 13,010 | 870,369 | |||
Raytheon Co. | 1,230 | 69,224 | |||
United Technologies Corp. | 17,010 | 1,049,517 | |||
$ | 4,214,867 | ||||
Alcoholic Beverages - 0.6% | |||||
Diageo PLC | 34,196 | $ | 628,562 | ||
Heineken N.V. | 3,700 | 188,137 | |||
$ | 816,699 | ||||
Apparel Manufacturers - 0.6% | |||||
NIKE, Inc., “B” | 13,140 | $ | 783,275 | ||
Automotive - 0.6% | |||||
Harley-Davidson, Inc. | 5,250 | $ | 190,365 | ||
Johnson Controls, Inc. | 21,570 | 618,628 | |||
$ | 808,993 | ||||
Biotechnology - 0.5% | |||||
Amgen, Inc. (a) | 5,370 | $ | 253,249 | ||
Genzyme Corp. (a) | 6,250 | 450,125 | |||
$ | 703,374 | ||||
Broadcasting - 1.0% | |||||
Omnicom Group, Inc. | 15,100 | $ | 677,688 | ||
Walt Disney Co. | 21,020 | 655,824 | |||
WPP Group PLC | 11,250 | 108,388 | |||
$ | 1,441,900 | ||||
Brokerage & Asset Managers - 1.8% | |||||
Deutsche Boerse AG | 2,490 | $ | 279,483 | ||
Franklin Resources, Inc. | 5,860 | 537,069 | |||
Goldman Sachs Group, Inc. | 5,930 | 1,037,157 | |||
Invesco Ltd. | 7,640 | 183,207 | |||
Legg Mason, Inc. | 1,810 | 78,862 | |||
Merrill Lynch & Co., Inc. | 13,830 | 438,549 | |||
$ | 2,554,327 | ||||
Business Services - 1.0% | |||||
Accenture Ltd., “A” | 12,770 | $ | 519,994 | ||
Automatic Data Processing, Inc. | 6,780 | 284,082 | |||
Fidelity National Information Services, Inc. | 7,890 | 291,220 | |||
Visa, Inc., “A” | 2,990 | 243,117 | |||
Western Union Co. | 2,200 | 54,384 | |||
$ | 1,392,797 | ||||
Cable TV - 0.2% | |||||
Time Warner Cable, Inc. (a) | 10,430 | $ | 276,186 | ||
Chemicals - 1.0% | |||||
3M Co. | 3,100 | $ | 215,729 | ||
PPG Industries, Inc. | 16,700 | 958,079 | |||
Rohm & Haas Co. | 3,300 | 153,252 | |||
$ | 1,327,060 | ||||
Computer Software - 0.8% | |||||
Oracle Corp. (a) | 53,740 | $ | 1,128,540 | ||
Synopsys, Inc. (a) | 1,300 | 31,083 | |||
$ | 1,159,623 | ||||
Computer Software - Systems - 1.3% | |||||
Hewlett-Packard Co. | 8,780 | $ | 388,164 | ||
International Business Machines Corp. | 12,330 | 1,461,475 | |||
$ | 1,849,639 | ||||
Construction - 0.5% | |||||
Masco Corp. | 13,940 | $ | 219,276 | ||
Pulte Homes, Inc. | 15,800 | 152,154 |
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Construction - continued | |||||
Sherwin-Williams Co. | 3,770 | $ | 173,156 | ||
Toll Brothers, Inc. (a) | 5,820 | 109,009 | |||
$ | 653,595 | ||||
Consumer Goods & Services - 0.6% | |||||
Clorox Co. | 7,050 | $ | 368,010 | ||
Procter & Gamble Co. | 8,560 | 520,534 | |||
$ | 888,544 | ||||
Containers - 0.0% | |||||
Smurfit-Stone Container Corp. (a) | 710 | $ | 2,890 | ||
Electrical Equipment - 1.1% | |||||
Danaher Corp. | 4,000 | $ | 309,200 | ||
General Electric Co. | 11,380 | 303,732 | |||
W.W. Grainger, Inc. | 7,040 | 575,872 | |||
WESCO International, Inc. (a) | 7,150 | 286,286 | |||
$ | 1,475,090 | ||||
Electronics - 1.0% | |||||
Flextronics International Ltd. (a) | 21,340 | $ | 200,596 | ||
Intel Corp. | 44,860 | 963,593 | |||
Samsung Electronics Co. Ltd., GDR | 454 | 133,123 | |||
SanDisk Corp. (a) | 4,600 | 86,020 | |||
$ | 1,383,332 | ||||
Energy - Independent - 2.4% | |||||
Apache Corp. | 11,500 | $ | 1,598,500 | ||
Devon Energy Corp. | 10,220 | 1,228,035 | |||
EOG Resources, Inc. | 2,240 | 293,888 | |||
Sunoco, Inc. | 4,240 | 172,526 | |||
$ | 3,292,949 | ||||
Energy - Integrated - 6.5% | |||||
Chevron Corp. | 10,475 | $ | 1,038,387 | ||
ConocoPhillips | 4,200 | 396,438 | |||
Exxon Mobil Corp. | 32,772 | 2,888,196 | |||
Hess Corp. | 13,180 | 1,663,184 | |||
Marathon Oil Corp. | 18,450 | 957,002 | |||
TOTAL S.A., ADR | 24,370 | 2,078,030 | |||
$ | 9,021,237 | ||||
Engineering - Construction - 0.0% | |||||
North American Energy Partners, Inc. (a) | 1,800 | $ | 39,024 | ||
Food & Beverages - 2.7% | |||||
General Mills, Inc. | 17,050 | $ | 1,036,129 | ||
Hain Celestial Group, Inc. (a) | 600 | 14,088 | |||
Kellogg Co. | 16,000 | 768,320 | |||
Nestle S.A. | 25,190 | 1,140,027 | |||
PepsiCo, Inc. | 12,360 | 785,972 | |||
$ | 3,744,536 | ||||
Food & Drug Stores - 1.4% | |||||
CVS Caremark Corp. | 23,864 | $ | 944,298 | ||
Kroger Co. | 8,930 | 257,809 | |||
Safeway, Inc. | 13,140 | 375,147 | |||
Walgreen Co. | 11,770 | 382,643 | |||
$ | 1,959,897 | ||||
Furniture & Appliances - 0.2% | |||||
Jarden Corp. (a) | 13,140 | $ | 239,674 | ||
Gaming & Lodging - 0.6% | |||||
Royal Caribbean Cruises Ltd. | 24,780 | $ | 556,807 | ||
Wyndham Worldwide | 14,000 | 250,740 | |||
$ | 807,547 | ||||
20-TRVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
General Merchandise - 0.8% | |||||
Macy’s, Inc. | 40,460 | $ | 785,733 | ||
Wal-Mart Stores, Inc. | 6,260 | 351,812 | |||
$ | 1,137,545 | ||||
Health Maintenance Organizations - 0.6% | |||||
UnitedHealth Group, Inc. | 10,760 | $ | 282,450 | ||
WellPoint, Inc. (a) | 10,180 | 485,179 | |||
$ | 767,629 | ||||
Insurance - 4.4% | |||||
Allstate Corp. | 35,260 | $ | 1,607,503 | ||
Aon Corp. | 2,110 | 96,933 | |||
Aspen Insurance Holdings Ltd. | 3,600 | 85,212 | |||
Chubb Corp. | 3,370 | 165,164 | |||
Conseco, Inc. (a) | 25,300 | 250,976 | |||
Genworth Financial, Inc., “A” | 55,810 | 993,976 | |||
Hartford Financial Services Group, Inc. | 8,910 | 575,319 | |||
Max Capital Group Ltd. | 10,700 | 228,231 | |||
MetLife, Inc. | 27,810 | 1,467,534 | |||
Principal Financial Group, Inc. | 2,500 | 104,925 | |||
Prudential Financial, Inc. | 2,690 | 160,701 | |||
Travelers Cos., Inc. | 8,540 | 370,636 | |||
$ | 6,107,110 | ||||
Machinery & Tools - 1.1% | |||||
Eaton Corp. | 4,900 | $ | 416,353 | ||
Ingersoll-Rand Co. Ltd., “A” (a) | 9,040 | 338,367 | |||
Kennametal, Inc. | 8,390 | 273,095 | |||
Timken Co. | 13,500 | 444,690 | |||
$ | 1,472,505 | ||||
Major Banks - 4.4% | |||||
Bank of America Corp. | 40,458 | $ | 965,732 | ||
Bank of New York Mellon Corp. | 36,484 | 1,380,190 | |||
JPMorgan Chase & Co. | 40,872 | 1,402,318 | |||
PNC Financial Services Group, Inc. | 13,710 | 782,841 | |||
State Street Corp. | 13,560 | 867,704 | |||
SunTrust Banks, Inc. | 9,310 | 337,208 | |||
UnionBanCal Corp. | 3,500 | 141,470 | |||
Wachovia Corp. | 11,500 | 178,595 | |||
$ | 6,056,058 | ||||
Medical & Health Technology & Services - 0.1% | |||||
DaVita, Inc. (a) | 3,340 | $ | 177,454 | ||
Medical Equipment - 0.7% | |||||
Advanced Medical Optics, Inc. (a) | 11,790 | $ | 220,945 | ||
Boston Scientific Corp. (a) | 17,150 | 210,774 | |||
Cooper Cos., Inc. | 3,540 | 131,511 | |||
Zimmer Holdings, Inc. (a) | 5,000 | 340,250 | |||
$ | 903,480 | ||||
Metals & Mining - 0.1% | |||||
Century Aluminum Co. (a) | 2,920 | $ | 194,151 | ||
Natural Gas - Distribution - 0.6% | |||||
Sempra Energy | 14,510 | $ | 819,090 | ||
Natural Gas - Pipeline - 0.8% | |||||
El Paso Corp. | 18,560 | $ | 403,494 | ||
Williams Cos., Inc. | 17,030 | 686,479 | |||
$ | 1,089,973 | ||||
Network & Telecom - 0.2% | |||||
Cisco Systems, Inc. (a) | 1,810 | $ | 42,101 | ||
Nokia Corp., ADR | 9,600 | 235,200 | |||
$ | 277,301 | ||||
Issuer | Shares/Par | Value ($) | |||
COMMON STOCKS - continued | |||||
Oil Services - 0.7% | |||||
Halliburton Co. | 7,380 | $ | 391,657 | ||
Helix Energy Solutions Group, Inc. (a) | 2,400 | 99,936 | |||
Nabors Industries Ltd. (a) | 2,000 | 98,460 | |||
Noble Corp. | 5,460 | 354,682 | |||
$ | 944,735 | ||||
Other Banks & Diversified Financials - 0.8% | |||||
American Express Co. | 9,770 | $ | 368,036 | ||
Assured Guaranty Ltd. | 2,500 | 44,975 | |||
East West Bancorp, Inc. | 5,500 | 38,830 | |||
New York Community Bancorp, Inc. | 7,370 | 131,481 | |||
Sovereign Bancorp, Inc. | 49,900 | 367,264 | |||
UBS AG (a) | 5,657 | 117,137 | |||
$ | 1,067,723 | ||||
Pharmaceuticals - 3.5% | |||||
Abbott Laboratories | 2,310 | $ | 122,361 | ||
GlaxoSmithKline PLC | 7,830 | 173,186 | |||
Johnson & Johnson | 17,630 | 1,134,314 | |||
Merck & Co., Inc. | 27,910 | 1,051,928 | |||
Merck KGaA | 2,020 | 286,939 | |||
Pfizer, Inc. | 6,760 | 118,097 | |||
Roche Holding AG | 1,800 | 323,500 | |||
Wyeth | 35,070 | 1,681,957 | |||
$ | 4,892,282 | ||||
Railroad & Shipping - 0.5% | |||||
Burlington Northern Santa Fe Corp. | 4,800 | $ | 479,472 | ||
Norfolk Southern Corp. | 3,350 | 209,945 | |||
$ | 689,417 | ||||
Specialty Chemicals - 0.3% | |||||
Air Products & Chemicals, Inc. | 3,770 | $ | 372,702 | ||
Praxair, Inc. | 700 | 65,968 | |||
$ | 438,670 | ||||
Specialty Stores - 0.5% | |||||
Advance Auto Parts, Inc. | 1,360 | $ | 52,809 | ||
Nordstrom, Inc. | 2,200 | 66,660 | |||
PetSmart, Inc. | 5,300 | 105,735 | |||
Staples, Inc. | 17,120 | 406,600 | |||
$ | 631,804 | ||||
Telecommunications - Wireless - 0.2% | |||||
Rogers Communications, Inc., “B” | 1,760 | $ | 68,418 | ||
Vodafone Group PLC, ADR | 8,849 | 260,692 | |||
$ | 329,110 | ||||
Telephone Services - 2.2% | |||||
AT&T, Inc. | 50,744 | $ | 1,709,565 | ||
Embarq Corp. | 21,200 | 1,002,124 | |||
TELUS Corp. | 2,080 | 84,802 | |||
Verizon Communications, Inc. | 7,000 | 247,800 | |||
$ | 3,044,291 | ||||
Tobacco - 1.6% | |||||
Altria Group, Inc. | 6,520 | $ | 134,051 | ||
Lorillard, Inc. (a) | 5,640 | 390,062 | |||
Philip Morris International, Inc. | 33,710 | 1,664,937 | |||
$ | 2,189,050 | ||||
Trucking - 0.2% | |||||
United Parcel Service, Inc., “B” | 4,510 | $ | 277,230 | ||
Utilities - Electric Power - 3.4% | |||||
American Electric Power Co., Inc. | 11,150 | $ | 448,565 | ||
CMS Energy Corp. | 6,980 | 104,002 | |||
Dominion Resources, Inc. | 8,434 | 400,531 | |||
DPL, Inc. | 5,920 | 156,170 |
21-TRVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
COMMON STOCKS - continued | ||||||
Utilities - Electric Power - continued | ||||||
Entergy Corp. | 2,070 | $ | 249,394 | |||
FPL Group, Inc. | 12,180 | 798,764 | ||||
NRG Energy, Inc. (a) | 13,080 | 561,132 | ||||
Pepco Holdings, Inc. | 6,540 | 167,751 | ||||
PG&E Corp. | 20,770 | 824,361 | ||||
PPL Corp. | 7,660 | 400,388 | ||||
Public Service Enterprise Group, Inc. | 11,350 | 521,306 | ||||
$ | 4,632,364 | |||||
Total Common Stocks | $ | 78,976,027 | ||||
BONDS - 40.8% | ||||||
Agency - Other - 0.0% | ||||||
Financing Corp., 9.65%, 2018 | $ | 45,000 | $ | 62,447 | ||
Asset Backed & Securitized - 3.3% | ||||||
Banc of America Commercial Mortgage, Inc., 5.935%, 2051 | $ | 210,000 | $ | 199,963 | ||
Banc of America Commercial Mortgage, Inc., FRN, 5.482%, 2049 | 48,384 | 43,222 | ||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, 3.182%, 2040 (z) | 250,000 | 191,740 | ||||
BlackRock Capital Finance LP, | 32,486 | 19,492 | ||||
Chase Commercial Mortgage Securities Corp., 7.543%, 2032 | 12,722 | 12,848 | ||||
Citigroup Commercial Mortgage Trust, FRN, 5.888%, 2049 | 320,000 | 304,083 | ||||
Countrywide Asset-Backed Certificates, FRN, 4.823%, 2035 | 16,095 | 16,030 | ||||
Countrywide Asset-Backed Certificates, FRN, 5.689%, 2046 | 90,000 | 80,041 | ||||
Credit Suisse Commercial Mortgage Trust, 5.509%, 2039 | 128,277 | 116,818 | ||||
Credit Suisse Mortgage Capital Certificate, 5.343%, 2039 | 98,568 | 88,538 | ||||
Credit Suisse Mortgage Capital Certificate, FRN, 5.695%, 2040 | 152,515 | 143,745 | ||||
GE Commercial Mortgage Corp., FRN, 5.517%, 2044 | 130,000 | 119,132 | ||||
GMAC Mortgage Corp. Loan Trust, FRN, 5.805%, 2036 | 115,000 | 60,315 | ||||
Greenwich Capital Commercial Funding Corp., 4.305%, 2042 | 107,385 | 106,614 | ||||
Greenwich Capital Commercial Funding Corp., FRN, 5.317%, 2036 | 60,728 | 59,681 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp, 6.007%, 2049 | 200,000 | 191,307 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., 4.78%, 2042 | 152,000 | 140,338 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045 | 97,000 | 92,812 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., 5.372%, 2047 | 170,000 | 153,331 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.378%, 2041 | 39,903 | 39,160 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.475%, 2043 | 110,000 | 105,144 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.065%, 2045 | 110,000 | 108,051 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.038%, 2046 | 197,476 | 188,638 | ||||
Merrill Lynch Mortgage Trust, FRN, | 84,000 | 59,042 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Asset Backed & Securitized - continued | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050 | $ | 152,515 | $ | 144,805 | ||
Morgan Stanley Capital I, Inc., | 48,533 | 46,817 | ||||
Morgan Stanley Capital I, Inc., FRN, | 3,516,146 | 39,192 | ||||
Multi-Family Capital Access One, Inc., | 20,953 | 20,924 | ||||
Nomura Asset Securities Corp., FRN, | 203,015 | 221,656 | ||||
Residential Asset Mortgage Products, Inc., 4.109%, 2035 | 14,471 | 14,442 | ||||
Residential Asset Mortgage Products, Inc., FRN, 4.97%, 2034 | 92,000 | 87,925 | ||||
Residential Funding Mortgage Securities, Inc., FRN, 5.32%, 2035 | 129,000 | 49,763 | ||||
Spirit Master Funding LLC, | 173,446 | 133,549 | ||||
Structured Asset Securities Corp., | 160,286 | 153,940 | ||||
Wachovia Bank Commercial Mortgage Trust, 6.099%, 2051 | 245,000 | 236,428 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 4.847%, 2041 | 50,000 | 47,340 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.083%, 2042 | 185,000 | 177,093 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.118%, 2042 | 200,000 | 190,936 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.513%, 2043 | 55,500 | 38,205 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 6.158%, 2045 | 140,000 | 132,879 | ||||
Wachovia Bank Commercial Mortgage Trust, FRN, 5.795%, 2045 | 150,000 | 139,521 | ||||
$ | 4,515,500 | |||||
Automotive - 0.1% | ||||||
Johnson Controls, Inc., 5.5%, 2016 | $ | 136,000 | $ | 130,473 | ||
Broadcasting - 0.2% | ||||||
CBS Corp., 6.625%, 2011 | $ | 137,000 | $ | 140,287 | ||
News America, Inc., 8.5%, 2025 | 99,000 | 111,792 | ||||
$ | 252,079 | |||||
Brokerage & Asset Managers - 0.6% | ||||||
Goldman Sachs Group, Inc., | $ | 146,000 | $ | 135,277 | ||
Lehman Brothers Holdings, Inc., | 170,000 | 157,270 | ||||
Merrill Lynch & Co., Inc., 6.15%, 2013 | 100,000 | 96,920 | ||||
Merrill Lynch & Co., Inc., 6.11%, 2037 | 130,000 | 103,247 | ||||
Morgan Stanley, 5.75%, 2016 | 100,000 | 92,437 | ||||
Morgan Stanley Group, Inc., | 126,000 | 129,250 | ||||
Morgan Stanley Group, Inc., | 104,000 | 98,543 | ||||
$ | 812,944 | |||||
Building - 0.1% | ||||||
CRH America, Inc., 6.95%, 2012 | $ | 208,000 | $ | 208,131 | ||
Business Services - 0.1% | ||||||
Xerox Corp., 5.5%, 2012 | $ | 80,000 | $ | 79,075 | ||
22-TRVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Cable TV - 0.2% | ||||||
Cox Communications, Inc., | $ | 159,000 | $ | 150,522 | ||
Time Warner Entertainment Co. LP, | 110,000 | 119,048 | ||||
$ | 269,570 | |||||
Chemicals - 0.1% | ||||||
PPG Industries, Inc., 5.75%, 2013 | $ | 132,000 | $ | 134,212 | ||
Conglomerates - 0.2% | ||||||
General Electric Co., 5.25%, 2017 | $ | 80,000 | $ | 76,907 | ||
Kennametal, Inc., 7.2%, 2012 | 211,000 | 223,442 | ||||
$ | 300,349 | |||||
Consumer Goods & Services - 0.3% | ||||||
Fortune Brands, Inc., 5.125%, 2011 | $ | 158,000 | $ | 157,160 | ||
Western Union Co., 5.4%, 2011 | 210,000 | 208,855 | ||||
$ | 366,015 | |||||
Defense Electronics - 0.1% | ||||||
BAE Systems Holdings, Inc., | $ | 103,000 | $ | 98,732 | ||
Electronics - 0.1% | ||||||
Tyco Electronics Group S.A., | $ | 128,000 | $ | 129,148 | ||
Emerging Market Sovereign - 0.1% | ||||||
State of Israel, 4.625%, 2013 | $ | 112,000 | $ | 112,189 | ||
Energy - Independent - 0.1% | ||||||
Nexen, Inc., 5.875%, 2035 | $ | 30,000 | $ | 26,793 | ||
Ocean Energy, Inc., 7.25%, 2011 | 165,000 | 176,197 | ||||
$ | 202,990 | |||||
Energy - Integrated - 0.1% | ||||||
Petro-Canada, 6.05%, 2018 | $ | 148,000 | $ | 145,852 | ||
Financial Institutions - 0.5% | ||||||
American Express Co., 5.5%, 2016 | $ | 184,000 | $ | 174,785 | ||
Capital One Financial Corp., | 130,000 | 114,600 | ||||
General Electric Capital Corp., | 60,000 | 59,043 | ||||
HSBC Finance Corp., 5.25%, 2011 | 145,000 | 145,349 | ||||
ORIX Corp., 5.48%, 2011 | 210,000 | 194,200 | ||||
$ | 687,977 | |||||
Food & Beverages - 0.5% | ||||||
Diageo Finance B.V., 5.5%, 2013 | $ | 230,000 | $ | 232,871 | ||
Dr. Pepper Snapple Group, Inc., | 40,000 | 40,545 | ||||
Dr. Pepper Snapple Group, Inc., | 48,000 | 48,198 | ||||
Kraft Foods, Inc., 6.125%, 2018 | 80,000 | 77,474 | ||||
Miller Brewing Co., 5.5%, 2013 (n) | 276,000 | 282,068 | ||||
$ | 681,156 | |||||
Food & Drug Stores - 0.1% | ||||||
CVS Caremark Corp., 6.125%, 2016 | $ | 110,000 | $ | 110,935 | ||
Gaming & Lodging - 0.2% | ||||||
Marriott International, Inc., | $ | 160,000 | $ | 152,100 | ||
Wyndham Worldwide Corp., 6%, 2016 | 100,000 | 88,307 | ||||
$ | 240,407 | |||||
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Insurance - 0.3% | ||||||
American International Group, Inc., | $ | 100,000 | $ | 78,277 | ||
ING Groep N.V., | 133,000 | 110,387 | ||||
MetLife, Inc., 6.4%, 2036 | 120,000 | 104,774 | ||||
Metropolitan Life Global Funding, | 100,000 | 98,469 | ||||
$ | 391,907 | |||||
Insurance - Property & Casualty - 0.3% | ||||||
Allstate Corp., 6.125%, 2032 | $ | 185,000 | $ | 172,721 | ||
Chubb Corp., | 200,000 | 182,949 | ||||
Fund American Cos., Inc., | 117,000 | 113,184 | ||||
$ | 468,854 | |||||
International Market Quasi-Sovereign - 0.2% | ||||||
Hydro-Quebec, 6.3%, 2011 | $ | 262,000 | $ | 278,675 | ||
International Market Sovereign - 0.1% | ||||||
Province of Ontario, 5%, 2011 | $ | 200,000 | $ | 207,349 | ||
Machinery & Tools - 0.1% | ||||||
Atlas Copco AB, 5.6%, 2017 (n) | $ | 160,000 | $ | 155,651 | ||
Major Banks - 0.8% | ||||||
Commonwealth Bank, 5%, 2012 (n) | $ | 154,000 | $ | 155,297 | ||
DBS Capital Funding Corp., | 170,000 | 171,883 | ||||
MUFG Capital Finance 1 Ltd., | 200,000 | 173,358 | ||||
Natixis S.A., | 151,000 | 150,703 | ||||
PNC Funding Corp., 5.625%, 2017 | 90,000 | 83,926 | ||||
UniCredito Italiano Capital Trust II, | 208,000 | 213,270 | ||||
Unicredito Luxembourg Finance S.A., | 100,000 | 96,008 | ||||
Wachovia Corp., 5.25%, 2014 | 81,000 | 75,418 | ||||
$ | 1,119,863 | |||||
Medical & Health Technology & Services - 0.3% | ||||||
Baxter International, Inc., 5.9%, 2016 | $ | 116,000 | $ | 118,778 | ||
Cardinal Health, Inc., 5.8%, 2016 | 75,000 | 73,403 | ||||
HCA, Inc., 8.75%, 2010 | 15,000 | 15,188 | ||||
Hospira, Inc., 5.55%, 2012 | 50,000 | 49,122 | ||||
Hospira, Inc., 6.05%, 2017 | 174,000 | 167,922 | ||||
$ | 424,413 | |||||
Metals & Mining - 0.2% | ||||||
ArcelorMittal, 6.125%, 2018 (z) | $ | 155,000 | $ | 151,475 | ||
Vale Overseas Ltd., 6.25%, 2017 | 150,000 | 145,196 | ||||
$ | 296,671 | |||||
Mortgage Backed - 16.6% | ||||||
Fannie Mae, 4.01%, 2013 | $ | 18,506 | $ | 17,685 | ||
Fannie Mae, 4.555%, 2014 | 122,493 | 119,257 | ||||
Fannie Mae, 4.63%, 2014 | 45,866 | 44,783 | ||||
Fannie Mae, 4.854%, 2014 | 60,918 | 60,101 | ||||
Fannie Mae, 4.56%, 2015 | 38,155 | 36,864 | ||||
Fannie Mae, 4.78%, 2015 | 38,352 | 37,385 | ||||
Fannie Mae, 4.925%, 2015 | 258,794 | 255,184 | ||||
Fannie Mae, 5.09%, 2016 | 40,000 | 39,408 | ||||
Fannie Mae, 5.5%, 2016-2035 | 6,566,213 | 6,523,839 | ||||
Fannie Mae, 4.994%, 2017 | 87,207 | 86,323 | ||||
Fannie Mae, 5.05%, 2017 | 39,000 | 38,316 | ||||
Fannie Mae, 6%, 2017 - 2037 | 3,649,980 | 3,703,783 |
23-TRVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Mortgage Backed - continued | ||||||
Fannie Mae, 4.5%, 2018-2035 | $ | 793,235 | $ | 763,421 | ||
Fannie Mae, 5%, 2018-2038 | 2,287,263 | 2,234,642 | ||||
Fannie Mae, 6.5%, 2031-2037 | 1,024,958 | 1,064,232 | ||||
Fannie Mae, 7.5%, 2031 | 20,390 | 21,952 | ||||
Freddie Mac, 6%, 2016-2037 | 1,654,969 | 1,680,960 | ||||
Freddie Mac, 4.5%, 2018-2035 | 605,244 | 584,813 | ||||
Freddie Mac, 5%, 2018-2035 | 1,937,054 | 1,875,886 | ||||
Freddie Mac, 5.5%, 2020-2038 | 1,686,125 | 1,673,177 | ||||
Freddie Mac, 6.5%, 2034-2038 | 467,233 | 482,651 | ||||
Ginnie Mae, 4.5%, 2033-2034 | 133,192 | 124,209 | ||||
Ginnie Mae, 5%, 2033-2034 | 134,853 | 131,020 | ||||
Ginnie Mae, 5.5%, 2033-2038 | 821,570 | 819,452 | ||||
Ginnie Mae, 6%, 2033-2038 | 477,621 | 486,146 | ||||
$ | 22,905,489 | |||||
Municipals - 0.3% | ||||||
California Educational Facilities Authority Rev. (Stanford University), “T-1”, | $ | 180,000 | $ | 186,921 | ||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), 5.5%, 2030 | 65,000 | 71,497 | ||||
Massachusetts Health & Educational Facilities Authority Rev. (Boston College), 5.5%, 2035 | 105,000 | 115,192 | ||||
$ | 373,610 | |||||
Natural Gas - Pipeline - 0.4% | ||||||
CenterPoint Energy, Inc., 7.875%, 2013 | $ | 112,000 | $ | 119,896 | ||
Enterprise Products Operating LLC, | 130,000 | 130,689 | ||||
Kinder Morgan Energy Partners LP, | 165,000 | 170,078 | ||||
Kinder Morgan Energy Partners LP, | 71,000 | 76,846 | ||||
Spectra Energy Capital LLC, 8%, 2019 | 53,000 | 57,977 | ||||
$ | 555,486 | |||||
Network & Telecom - 0.8% | ||||||
AT&T, Inc., 6.5%, 2037 | $ | 139,000 | $ | 134,527 | ||
BellSouth Corp., 6.55%, 2034 | 146,000 | 141,004 | ||||
Deutsche Telekom International Finance B.V., 5.75%, 2016 | 176,000 | 171,725 | ||||
Telecom Italia Capital, 5.25%, 2013 | 60,000 | 56,679 | ||||
Telefonica Europe B.V., 7.75%, 2010 | 50,000 | 52,698 | ||||
TELUS Corp., 8%, 2011 | 180,000 | 193,260 | ||||
Verizon New York, Inc., 6.875%, 2012 | 286,000 | 298,268 | ||||
$ | 1,048,161 | |||||
Oil Services - 0.1% | ||||||
Weatherford International Ltd., | $ | 40,000 | $ | 40,515 | ||
Weatherford International Ltd., | 113,000 | 111,522 | ||||
$ | 152,037 | |||||
Oils - 0.1% | ||||||
Valero Energy Corp., 6.875%, 2012 | $ | 111,000 | $ | 115,223 | ||
Other Banks & Diversified Financials - 0.4% | ||||||
Nordea Bank AB, | $ | 100,000 | $ | 85,861 | ||
UBS Preferred Funding Trust V, | 190,000 | 166,481 |
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
Other Banks & Diversified Financials - continued | ||||||
UFJ Finance Aruba AEC, 6.75%, 2013 | $ | 145,000 | $ | 152,328 | ||
Woori Bank, | 220,000 | 213,083 | ||||
$ | 617,753 | |||||
Pharmaceuticals - 0.1% | ||||||
Allergan, Inc., 5.75%, 2016 | $ | 160,000 | $ | 160,589 | ||
Glaxosmithkline Capital, Inc., | 50,000 | 49,933 | ||||
$ | 210,522 | |||||
Pollution Control - 0.1% | ||||||
Waste Management, Inc., | $ | 134,000 | $ | 139,974 | ||
Railroad & Shipping - 0.1% | ||||||
CSX Corp., 6.75%, 2011 | $ | 6,000 | $ | 6,218 | ||
CSX Corp., 7.9%, 2017 | 120,000 | 127,573 | ||||
$ | 133,791 | |||||
Real Estate - 0.4% | ||||||
Boston Properties, Inc., REIT, 5%, 2015 | $ | 42,000 | $ | 38,528 | ||
HRPT Properties Trust, REIT, | 180,000 | 165,229 | ||||
ProLogis, REIT, 5.75%, 2016 | 179,000 | 168,581 | ||||
Simon Property Group, Inc., | 193,000 | 174,638 | ||||
$ | 546,976 | |||||
Retailers - 0.2% | ||||||
Federated Retail Holdings, Inc., | $ | 40,000 | $ | 37,168 | ||
Home Depot, Inc., 5.25%, 2013 | 55,000 | 52,751 | ||||
Limited Brands, Inc., 5.25%, 2014 | 99,000 | 83,743 | ||||
Wal-Mart Stores, Inc., 5.25%, 2035 | 194,000 | 168,550 | ||||
$ | 342,212 | |||||
Supermarkets - 0.1% | ||||||
Kroger Co., 5%, 2013 | $ | 51,000 | $ | 50,165 | ||
Kroger Co., 6.4%, 2017 | 23,000 | 23,459 | ||||
$ | 73,624 | |||||
Supranational - 0.7% | ||||||
European Investment Bank, | $ | 876,000 | $ | 919,193 | ||
Telecommunications - Wireless - 0.1% | ||||||
Cingular Wireless LLC, 6.5%, 2011 | $ | 35,000 | $ | 36,379 | ||
Nextel Communications, Inc., | 180,000 | 144,450 | ||||
Vodafone Group PLC, 5.625%, 2017 | 32,000 | 30,825 | ||||
$ | 211,654 | |||||
Tobacco - 0.1% | ||||||
Philip Morris International, Inc., | $ | 190,000 | $ | 186,642 | ||
U.S. Government Agencies - 1.5% | ||||||
Aid-Egypt, 4.45%, 2015 | $ | 152,000 | $ | 153,297 | ||
Fannie Mae, 6.625%, 2009 | 280,000 | 292,153 | ||||
Freddie Mac, 5.5%, 2017 | 700,000 | 740,267 | ||||
Small Business Administration, | 34,054 | 32,646 | ||||
Small Business Administration, | 81,850 | 80,021 | ||||
Small Business Administration, | 118,235 | 115,898 |
24-TRVA
Portfolio of Investments (unaudited) — continued
Issuer | Shares/Par | Value ($) | ||||
BONDS - continued | ||||||
U.S. Government Agencies - continued | ||||||
Small Business Administration, | $ | 134,180 | $ | 134,214 | ||
Small Business Administration, | 200,717 | 202,811 | ||||
Small Business Administration, | 89,334 | 86,198 | ||||
Small Business Administration, | 115,277 | 113,121 | ||||
Small Business Administration, | 86,993 | 87,561 | ||||
$ | 2,038,187 | |||||
U.S. Treasury Obligations - 8.0% | ||||||
U.S. Treasury Bonds, 4.75%, 2017 | $ | 130,000 | $ | 137,719 | ||
U.S. Treasury Bonds, 8%, 2021 | 37,000 | 50,184 | ||||
U.S. Treasury Bonds, 6.25%, 2023 | 211,000 | 251,041 | ||||
U.S. Treasury Bonds, 6%, 2026 | 125,000 | 146,397 | ||||
U.S. Treasury Bonds, 6.75%, 2026 | 384,000 | 486,090 | ||||
U.S. Treasury Bonds, 5.375%, 2031 | 900,000 | 999,985 | ||||
U.S. Treasury Bonds, 4.5%, 2036 | 577,000 | 572,898 | ||||
U.S. Treasury Notes, 4.625%, 2008 | 2,297,000 | 2,313,329 | ||||
U.S. Treasury Notes, 4.75%, 2008 | 46,000 | 46,442 | ||||
U.S. Treasury Notes, 4%, 2009 | 23,000 | 23,350 | ||||
U.S. Treasury Notes, 4.875%, 2009 | 2,415,000 | 2,479,526 | ||||
U.S. Treasury Notes, 6.5%, 2010 | 128,000 | 136,200 | ||||
U.S. Treasury Notes, 5.125%, 2011 | 180,000 | 191,306 | ||||
U.S. Treasury Notes, 3.875%, 2013 | 614,000 | 629,350 | ||||
U.S. Treasury Notes, 4.25%, 2013 | 2,046,000 | 2,134,553 | ||||
U.S. Treasury Notes, 4.25%, 2013 | 250,000 | 260,899 | ||||
U.S. Treasury Notes, 4.75%, 2014 | 150,000 | 160,805 | ||||
U.S. Treasury Notes, 4.5%, 2015 | 68,000 | 71,613 | ||||
$ | 11,091,687 | |||||
Utilities - Electric Power - 1.4% | ||||||
Bruce Mansfield Unit, 6.85%, 2034 | $ | 210,000 | $ | 212,529 | ||
E.On International Finance B.V., | 160,000 | 156,961 | ||||
EDP Finance B.V., 6%, 2018 (n) | 110,000 | 109,535 | ||||
Enel Finance International S.A., | 170,000 | 172,018 | ||||
Exelon Generation Co. LLC, | 232,000 | 239,788 | ||||
Exelon Generation Co. LLC, 6.2%, 2017 | 80,000 | 77,920 | ||||
MidAmerican Energy Holdings Co., | 61,000 | 62,741 | ||||
MidAmerican Funding LLC, | 154,000 | 166,361 | ||||
Oncor Electric Delivery Co., 7%, 2022 | 152,000 | 148,217 | ||||
Pacific Gas & Electric Co., 4.8%, 2014 | 45,000 | 43,849 | ||||
PSEG Power LLC, 6.95%, 2012 | 111,000 | 116,445 | ||||
PSEG Power LLC, 5.5%, 2015 | 90,000 | 86,668 | ||||
System Energy Resources, Inc., | 74,524 | 72,440 | ||||
Waterford 3 Funding Corp., | 315,981 | 307,740 | ||||
$ | 1,973,212 | |||||
Total Bonds | $ | 56,518,997 | ||||
Issuer | Shares/Par | Value ($) | ||||
SHORT-TERM OBLIGATIONS - 1.7% | ||||||
Toyota Motor Credit Corp., | $ | 2,317,000 | $ | 2,317,000 | ||
Total Investments | $ | 137,812,024 | ||||
OTHER ASSETS, | 508,477 | |||||
NET ASSETS - 100.0% | $ | 138,320,501 | ||||
See portfolio footnotes and notes to financial statements.
25-TRVA
Portfolio of Investments (unaudited) — continued
Portfolio Footnotes
(a) | Non-income producing security. |
(d) | Non-income producing security – in default. |
(f) | All or a portion of the security has been segregated as collateral for an open futures contract. |
(g) | The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated. |
(i) | Interest only security for which the variable account receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security. |
(n) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was: |
Variable Account | Market Value | % of Net Assets | ||||
Global Governments Variable Account | $ | 233,062 | 2.7 | % | ||
Government Securities Variable Account | 731,263 | 1.1 | ||||
High Yield Variable Account | 5,530,741 | 12.3 | ||||
Total Return Variable Account | 1,932,728 | 1.4 |
(o) | All or a portion of this position has not settled. Upon settlement date, interest rates will be determined. |
(p) | Payment-in-kind security. |
(q) | All or a portion of this position represents an unfunded loan commitment. The rate shown represents a weighted average coupon rate on the full position, including the unfunded loan commitment which has no current coupon rate. |
(r) | Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium. |
(t) | Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities Act of 1933. |
(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 holds the following restricted securities: |
Variable Account | Restricted Securities | Acquisition Date | Cost | Current Market Value | Total % of Net Assets | |||||||
High Yield Variable Account | American Media Operations, Inc., 10.25%, 2009 | 1/04/07 - 11/28/07 | $ | 8,026 | $ | 6,586 | ||||||
Atlas Pipeline Partners LP, 8.75%, 2018 | 6/24/2008 | 140,000 | 138,950 | |||||||||
DIRECTV Holdings LLC, 7.625%, 2016 | 5/7/2008 | 245,000 | 241,325 | |||||||||
Evraz Group S.A., 8.875%, 2013 | 4/28/2008 | 142,100 | 140,168 | |||||||||
Firekeepers Development Authority, 13.875%, 2015 | 4/22/2008 | 140,855 | 141,738 | |||||||||
Ply Gem Industries, Inc., 11.75%, 2013 | 6/10/2008 | 82,490 | 77,988 | |||||||||
Residential Capital LLC, 9.625%, 2015 | 6/6/2008 | 5,012 | 4,850 | |||||||||
Wachovia Credit, CDO, FRN, 4.154%, 2026 | 6/8/2006 | 250,000 | 138,258 | |||||||||
Total Restricted Securities | $ | 889,863 | 2.0% | |||||||||
Total Return Variable Account | ArcelorMittal, 6.125%, 2018 | 5/19/2008 | $ | 154,335 | $ | 151,475 | ||||||
Bayview Financial Revolving Mortgage Loan Trust, FRN, | 3/1/2006 | 250,000 | 191,740 | |||||||||
Dr. Pepper Snapple Group, Inc., 6.12%, 2013 | 4/25/2008 | 39,995 | 40,545 | |||||||||
E.On International Finance B.V., 5.8%, 2018 | 4/15/2008 | 159,325 | 156,961 | |||||||||
Metropolitan Life Global Funding, 5.125%, 2013 | 4/7/2008 | 99,926 | 98,469 | |||||||||
Natixis S.A., 10% to 2018, FRN to 2049 | 4/24/2008 | 151,000 | 150,703 | |||||||||
Nomura Asset Securities Corp., FRN, 9.946%, 2027 | 7/16/2007 | 223,515 | 221,656 | |||||||||
Spirit Master Funding LLC, 5.05%, 2023 | 10/4/2005 | 171,210 | 133,549 | |||||||||
Total Restricted Securities | $ | 1,145,098 | 0.8% | |||||||||
The following abbreviations are used in this report and are defined:
ADR | American Depository Receipt |
CDO | Collateralized Debt Obligation |
CLN | Credit-Linked Note |
DIP | Debtor-in-Possession |
FRN | Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end. |
GDR | Global Depository Receipt |
IEU | International Equity Unit |
REIT | Real Estate Investment Trust |
STRIPS | Separate Trading of Registered Interest and Principal of Securities |
Insurers
MBIA | MBIA Insurance Corp. |
26-TRVA
Portfolio of Investments (unaudited) — continued
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 | EUR | Euro | |||
CAD | Canadian Dollar | GBP | British Pound | |||
CHF | Swiss Franc | JPY | Japanese Yen | |||
CLP | Chilean Peso | NOK | Norwegian Krone | |||
CNY | Chinese Yuan Renminbi | NZD | New Zealand Dollar | |||
DKK | Danish Krone | SEK | Swedish Krona |
See portfolio footnotes and notes to financial statements.
27-TRVA
Statements of Assets and Liabilities (unaudited) — June 30, 2008
(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 — | ||||||||||||||||||||||||
Investments, cost | $ | 168,859 | $ | 8,439 | $ | 66,075 | $ | 47,511 | $ | 42,998 | $ | 139,947 | ||||||||||||
Unrealized appreciation (depreciation) | (1,096 | ) | 83 | 68 | (3,038 | ) | — | (2,135 | ) | |||||||||||||||
Total investments, at value | $ | 167,763 | $ | 8,522 | $ | 66,143 | $ | 44,473 | $ | 42,998 | $ | 137,812 | ||||||||||||
Cash | 15 | 1 | 0 | * | 15 | 0 | * | 1 | ||||||||||||||||
Foreign currency, at value (identified cost, $2) | — | 2 | — | — | — | — | ||||||||||||||||||
Receivable for forward foreign currency exchange contracts | — | 24 | — | 1 | — | — | ||||||||||||||||||
Receivable for daily variation margin on open futures contracts | — | — | 7 | — | — | — | ||||||||||||||||||
Receivable for investments sold | — | — | 1,100 | 828 | — | 214 | ||||||||||||||||||
Receivable for units sold | 28 | 0 | * | 6 | 2 | 136 | 10 | |||||||||||||||||
Interest and dividends receivable | 159 | 138 | 649 | 908 | 48 | 696 | ||||||||||||||||||
Receivable from investment adviser | 5 | 8 | — | 3 | — | 5 | ||||||||||||||||||
Receivable from sponsor | — | — | — | 5 | 1 | 7 | ||||||||||||||||||
Other assets | 2 | 0 | * | 1 | 1 | 1 | 2 | |||||||||||||||||
Total assets | $ | 167,972 | $ | 8,695 | $ | 67,906 | $ | 46,236 | $ | 43,184 | $ | 138,747 | ||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payable to custodian | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 11 | ||||||||||||
Payable for forward foreign currency exchange contracts | — | 19 | — | 2 | — | — | ||||||||||||||||||
Payable for investments purchased | — | 153 | 483 | 685 | — | 285 | ||||||||||||||||||
Payable for units surrendered | 88 | 2 | 44 | 191 | 121 | 53 | ||||||||||||||||||
Swaps, at value (Net unamortized premiums received, $34) | — | — | — | 170 | — | — | ||||||||||||||||||
Payable to affiliates — | ||||||||||||||||||||||||
Investment adviser | 14 | 1 | 4 | 4 | 2 | 11 | ||||||||||||||||||
Administrative fee | 0 | * | 0 | * | 0 | * | 0 | * | 0 | * | 1 | |||||||||||||
Sponsor | 20 | 1 | 43 | — | — | — | ||||||||||||||||||
Payable for Board of Managers fees | 4 | 0 | * | 1 | 1 | 1 | 3 | |||||||||||||||||
Accrued expenses and other liabilities | 52 | 37 | 35 | 34 | 17 | 62 | ||||||||||||||||||
Total liabilities | $ | 178 | $ | 213 | $ | 610 | $ | 1,087 | $ | 141 | $ | 426 | ||||||||||||
Net assets | $ | 167,794 | $ | 8,482 | $ | 67,296 | $ | 45,149 | $ | 43,043 | $ | 138,321 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
28
Statements of Assets and Liabilities (unaudited) — June 30, 2008 — continued
(000 Omitted except for unit values)
Unit | Unit Value | Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | ||||||||||||||||
Net assets applicable to contract owners: | |||||||||||||||||||||||
Capital Appreciation Variable Account — | |||||||||||||||||||||||
Compass 2 | 1,868 | $ | 57.375 | $ | 107,200 | ||||||||||||||||||
Compass 3 | 56 | 37.702 | 2,112 | ||||||||||||||||||||
Compass 3 – Level 2 | 3,548 | 15.775 | 55,974 | ||||||||||||||||||||
Global Governments Variable Account — | |||||||||||||||||||||||
Compass 2 | 96 | $ | 28.494 | $ | 2,742 | ||||||||||||||||||
Compass 3 | 13 | 27.640 | 368 | ||||||||||||||||||||
Compass 3 – Level 2 | 325 | 16.297 | 5,303 | ||||||||||||||||||||
Government Securities Variable Account — | |||||||||||||||||||||||
Compass 2 | 1,219 | $ | 41.327 | $ | 50,368 | ||||||||||||||||||
Compass 3 | 26 | 28.770 | 741 | ||||||||||||||||||||
Compass 3 – Level 2 | 872 | 16.936 | 14,775 | ||||||||||||||||||||
High Yield Variable Account — | |||||||||||||||||||||||
Compass 2 | 896 | $ | 39.522 | $ | 35,416 | ||||||||||||||||||
Compass 3 | 16 | 28.940 | 470 | ||||||||||||||||||||
Compass 3 – Level 2 | 538 | 15.570 | 8,383 | ||||||||||||||||||||
Money Market Variable Account — | |||||||||||||||||||||||
Compass 2 | 855 | $ | 21.816 | $ | 18,649 | ||||||||||||||||||
Compass 3 | 52 | 17.810 | 934 | ||||||||||||||||||||
Compass 3 – Level 2 | 1,723 | 13.420 | 23,116 | ||||||||||||||||||||
Total Return Variable Account — | |||||||||||||||||||||||
Compass 2 | 879 | $ | 48.843 | $ | 42,931 | ||||||||||||||||||
Compass 3 | 90 | 47.381 | 4,282 | ||||||||||||||||||||
Compass 3 – Level 2 | 3,889 | 23.027 | 89,560 | ||||||||||||||||||||
Net assets applicable to owners of deferred contracts | 165,286 | 8,413 | 65,884 | 44,269 | 42,699 | 136,773 | |||||||||||||||||
Reserve for variable annuities — | |||||||||||||||||||||||
Compass 2 Contracts | 2,262 | 17 | 1,369 | 839 | 279 | 1,128 | |||||||||||||||||
Compass 3 Contracts | 1 | 1 | — | 2 | 1 | 2 | |||||||||||||||||
Compass 3 – Level 2 Contracts | 245 | 51 | 43 | 39 | 64 | 418 | |||||||||||||||||
Net assets | $ | 167,794 | $ | 8,482 | $ | 67,296 | $ | 45,149 | $ | 43,043 | $ | 138,321 | |||||||||||
See notes to financial statements.
29
Statements of Operations (unaudited)— Six Months Ended June 30, 2008
(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 | $ | 45 | $ | 148 | $ | 1,693 | $ | 2,033 | $ | 718 | $ | 1,668 | ||||||||||||
Dividends | 1,281 | — | — | 11 | — | 1,014 | ||||||||||||||||||
Foreign taxes withheld | (67 | ) | — | — | — | — | (15 | ) | ||||||||||||||||
Total investment income | $ | 1,259 | $ | 148 | $ | 1,693 | $ | 2,044 | $ | 718 | $ | 2,667 | ||||||||||||
Expenses — | ||||||||||||||||||||||||
Mortality and expense risk charges | $ | 1,114 | $ | 53 | $ | 430 | $ | 298 | $ | 273 | $ | 909 | ||||||||||||
Management fee | 665 | 32 | 188 | 178 | 109 | 554 | ||||||||||||||||||
Boards of Managers fees | 10 | 0 | * | 4 | 3 | 2 | 8 | |||||||||||||||||
Distribution fee | 2 | 0 | * | 1 | 0 | * | 1 | 4 | ||||||||||||||||
Administrative fee | 22 | 5 | 9 | 6 | 6 | 18 | ||||||||||||||||||
Custodian fee | 27 | 21 | 14 | 12 | 6 | 37 | ||||||||||||||||||
Printing | 13 | 6 | 8 | 8 | 12 | 10 | ||||||||||||||||||
Auditing fees | 18 | 23 | 21 | 25 | 11 | 25 | ||||||||||||||||||
Legal fees | 3 | 3 | 3 | 3 | 3 | 3 | ||||||||||||||||||
Miscellaneous | 8 | 2 | 4 | 4 | 4 | 8 | ||||||||||||||||||
Total expenses | $ | 1,882 | $ | 145 | $ | 682 | $ | 537 | $ | 427 | $ | 1,576 | ||||||||||||
Fees paid indirectly | (1 | ) | (0 | )* | (1 | ) | (2 | ) | (2 | ) | (1 | ) | ||||||||||||
Reduction of expenses by investment adviser | (39 | ) | (39 | ) | — | (25 | ) | — | (35 | ) | ||||||||||||||
Net expenses | $ | 1,842 | $ | 106 | $ | 681 | $ | 510 | $ | 425 | $ | 1,540 | ||||||||||||
Net investment income (loss) | $ | (583 | ) | $ | 42 | $ | 1,012 | $ | 1,534 | $ | 293 | $ | 1,127 | |||||||||||
Realized and unrealized gain (loss) on investments: | ||||||||||||||||||||||||
Realized gain (loss) (identified cost basis) — | ||||||||||||||||||||||||
Investment transactions | $ | 1,259 | $ | 216 | $ | 481 | $ | (1,192 | ) | $ | — | $ | (2,534 | ) | ||||||||||
Futures contracts | — | — | 151 | — | — | — | ||||||||||||||||||
Swap transactions | — | — | — | 48 | — | — | ||||||||||||||||||
Foreign currency transactions | (5 | ) | 22 | — | (12 | ) | — | 0 | * | |||||||||||||||
Net realized gain (loss) on investments and | $ | 1,254 | $ | 238 | $ | 632 | $ | (1,156 | ) | $ | — | $ | (2,534 | ) | ||||||||||
Change in unrealized appreciation (depreciation) — | ||||||||||||||||||||||||
Investments | $ | (19,714 | ) | $ | (35 | ) | $ | (702 | ) | $ | (1,306 | ) | $ | — | $ | (9,939 | ) | |||||||
Futures contracts | — | — | (43 | ) | — | — | — | |||||||||||||||||
Swap transactions | — | — | — | (61 | ) | — | — | |||||||||||||||||
Translation of assets and liabilities in foreign currencies | 4 | 5 | — | (1 | ) | — | 2 | |||||||||||||||||
Net unrealized gain (loss) on investments and | $ | (19,710 | ) | $ | (30 | ) | $ | (745 | ) | $ | (1,368 | ) | $ | — | $ | (9,937 | ) | |||||||
Net realized and unrealized gain (loss) on | $ | (18,456 | ) | $ | 208 | $ | (113 | ) | $ | (2,524 | ) | $ | — | $ | (12,471 | ) | ||||||||
Change in net assets from operations | $ | (19,039 | ) | $ | 250 | $ | 899 | $ | (990 | ) | $ | 293 | $ | (11,344 | ) | |||||||||
* | Amount was less than $500. |
See notes to financial statements.
30
Statements of Changes in Net Assets
(000 Omitted)
Capital Appreciation Variable Account | Global Governments Variable Account | Government Securities Variable Account | ||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (583 | ) | $ | (1,868 | ) | $ | 42 | $ | 132 | $ | 1,012 | $ | 2,385 | ||||||||||
Net realized gain (loss) on investments and | 1,254 | 19,822 | 238 | 445 | 632 | 702 | ||||||||||||||||||
Net unrealized gain (loss) on investments and | (19,710 | ) | 1,267 | (30 | ) | 29 | (745 | ) | 890 | |||||||||||||||
Change in net assets from operations | $ | (19,039 | ) | $ | 19,221 | $ | 250 | $ | 606 | $ | 899 | $ | 3,977 | |||||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 1,414 | $ | 3,083 | $ | 69 | $ | 182 | $ | 423 | $ | 888 | ||||||||||||
Net transfers between variable and fixed | (1,111 | ) | (6,076 | ) | 510 | (63 | ) | 1,123 | (2,041 | ) | ||||||||||||||
Withdrawals, surrenders, annuitizations, | (9,612 | ) | (37,910 | ) | (421 | ) | (1,776 | ) | (3,951 | ) | (12,438 | ) | ||||||||||||
Net accumulation activity | $ | (9,309 | ) | $ | (40,903 | ) | $ | 158 | $ | (1,657 | ) | $ | (2,405 | ) | $ | (13,591 | ) | |||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | 39 | $ | 139 | $ | (4 | ) | $ | 17 | $ | (23 | ) | $ | 240 | ||||||||||
Annuity payments and contract charges | (198 | ) | (409 | ) | (4 | ) | (6 | ) | (118 | ) | (252 | ) | ||||||||||||
Net transfers among accounts for annuity reserves | — | (168 | ) | — | — | — | — | |||||||||||||||||
Adjustments to annuity reserves | (28 | ) | 41 | (0 | )* | (5 | ) | (52 | ) | 26 | ||||||||||||||
Net annuitization activity | $ | (187 | ) | $ | (397 | ) | $ | (8 | ) | $ | 6 | $ | (193 | ) | $ | 14 | ||||||||
Change in net assets from participations transactions | $ | (9,496 | ) | $ | (41,300 | ) | $ | 150 | $ | (1,651 | ) | $ | (2,598 | ) | $ | (13,577 | ) | |||||||
Total change in net assets | $ | (28,535 | ) | $ | (22,079 | ) | $ | 400 | $ | (1,045 | ) | $ | (1,699 | ) | $ | (9,600 | ) | |||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 196,329 | 218,408 | 8,082 | 9,127 | 68,995 | 78,595 | ||||||||||||||||||
At end of period | $ | 167,794 | $ | 196,329 | $ | 8,482 | $ | 8,082 | $ | 67,296 | $ | 68,995 | ||||||||||||
See notes to financial statements.
31
Statements of Changes in Net Assets — continued
(000 Omitted)
High Yield Variable Account | Money Market Variable Account | Total Return Variable Account | ||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | Six Months Ended 6/30/08 (unaudited) | Year Ended 12/31/07 | |||||||||||||||||||
Change in net assets: | ||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,534 | $ | 3,290 | $ | 293 | $ | 1,548 | $ | 1,127 | $ | 2,238 | ||||||||||||
Net realized gain (loss) on investments and | (1,156 | ) | 285 | — | (5 | ) | (2,534 | ) | 11,869 | |||||||||||||||
Net unrealized gain (loss) on investments and | (1,368 | ) | (3,174 | ) | — | — | (9,937 | ) | (9,246 | ) | ||||||||||||||
Change in net assets from operations | $ | (990 | ) | $ | 401 | $ | 293 | $ | 1,543 | $ | (11,344 | ) | $ | 4,861 | ||||||||||
Participant transactions: | ||||||||||||||||||||||||
Accumulation activity: | ||||||||||||||||||||||||
Purchase payments received | $ | 274 | $ | 702 | $ | 429 | $ | 1,063 | $ | 1,569 | $ | 3,595 | ||||||||||||
Net transfers between variable and fixed | (736 | ) | (2,554 | ) | 842 | 6,899 | (2,071 | ) | 1,562 | |||||||||||||||
Withdrawals, surrenders, annuitizations, and | (2,752 | ) | (8,241 | ) | (4,168 | ) | (11,300 | ) | (9,213 | ) | (32,427 | ) | ||||||||||||
Net accumulation activity | $ | (3,214 | ) | $ | (10,093 | ) | $ | (2,897 | ) | $ | (3,338 | ) | $ | (9,715 | ) | $ | (27,270 | ) | ||||||
Annuitization activity: | ||||||||||||||||||||||||
Annuitizations | $ | (1 | ) | $ | 30 | $ | 3 | $ | (68 | ) | $ | 15 | $ | 18 | ||||||||||
Annuity payments and contract charges | (73 | ) | (156 | ) | (45 | ) | (118 | ) | (124 | ) | (315 | ) | ||||||||||||
Net transfers among accounts for annuity reserves | — | — | — | 0 | * | — | 168 | |||||||||||||||||
Adjustments to annuity reserves | 13 | (42 | ) | 0 | * | 79 | 0 | * | (6 | ) | ||||||||||||||
Net annuitization activity | $ | (61 | ) | $ | (168 | ) | $ | (42 | ) | $ | (107 | ) | $ | (109 | ) | $ | (135 | ) | ||||||
Change in net assets from participations transactions | $ | (3,275 | ) | $ | (10,261 | ) | $ | (2,939 | ) | $ | (3,445 | ) | $ | (9,824 | ) | $ | (27,405 | ) | ||||||
Total change in net assets | $ | (4,265 | ) | $ | (9,860 | ) | $ | (2,646 | ) | $ | (1,902 | ) | $ | (21,168 | ) | $ | (22,544 | ) | ||||||
Net assets: | ||||||||||||||||||||||||
At beginning of period | 49,414 | 59,274 | 45,689 | 47,591 | 159,489 | 182,033 | ||||||||||||||||||
At end of period | $ | 45,149 | $ | 49,414 | $ | 43,043 | $ | 45,689 | $ | 138,321 | $ | 159,489 | ||||||||||||
* | Amount was less than $500. |
See notes to financial statements.
32
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 63.669 | $ | 58.101 | $ | 55.446 | $ | 55.625 | $ | 50.814 | $ | 39.859 | ||||||||||||
Investment income | $ | 0.459 | $ | 0.751 | $ | 0.560 | $ | 0.580 | $ | 0.744 | $ | 0.402 | ||||||||||||
Expenses | (0.675 | ) | (1.319 | ) | (1.198 | ) | (1.179 | ) | (1.109 | ) | (0.951 | ) | ||||||||||||
Net investment loss | $ | (0.216 | ) | $ | (0.568 | ) | $ | (0.638 | ) | $ | (0.599 | ) | $ | (0.365 | ) | $ | (0.549 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (6.078 | ) | 6.136 | 3.293 | 0.420 | 5.176 | 11.504 | |||||||||||||||||
Change in unit value | $ | (6.294 | ) | $ | 5.568 | $ | 2.655 | $ | (0.179 | ) | $ | 4.811 | $ | 10.955 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 57.375 | $ | 63.669 | $ | 58.101 | $ | 55.446 | $ | 55.625 | $ | 50.814 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.89 | )(n) | 9.58 | 4.79 | (0.32 | ) | 9.47 | (b) | 27.48 | (j) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.17 | (a) | 2.15 | 2.15 | 2.16 | 2.14 | 2.12 | |||||||||||||||||
Expenses after expense reductions (f) | 2.12 | (a) | 2.14 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.66 | )(a) | (0.91 | ) | (1.11 | ) | (1.08 | ) | (0.70 | ) | (1.20 | ) | ||||||||||||
Portfolio turnover (%) | 18 | 63 | 61 | 130 | 65 | 104 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,868 | 1,980 | 2,419 | 3,018 | 3,544 | 4,040 | ||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 41.858 | $ | 38.235 | $ | 36.524 | $ | 36.678 | $ | 33.539 | $ | 26.334 | ||||||||||||
Investment income | $ | 0.272 | $ | 0.490 | $ | 0.355 | $ | 0.370 | $ | 0.458 | $ | 0.260 | ||||||||||||
Expenses | (0.427 | ) | (0.903 | ) | (0.807 | ) | (0.795 | ) | (0.753 | ) | (0.648 | ) | ||||||||||||
Net investment loss | $ | (0.155 | ) | $ | (0.413 | ) | $ | (0.452 | ) | $ | (0.425 | ) | $ | (0.295 | ) | $ | (0.388 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (4.001 | ) | 4.036 | 2.163 | 0.271 | 3.434 | 7.593 | |||||||||||||||||
Change in unit value | $ | (4.156 | ) | $ | 3.623 | $ | 1.711 | $ | (0.154 | ) | $ | 3.139 | $ | 7.205 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 37.702 | $ | 41.858 | $ | 38.235 | $ | 36.524 | $ | 36.678 | $ | 33.539 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.93 | )(n) | 9.48 | 4.69 | (0.42 | ) | 9.36 | (b) | 27.36 | (j) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.27 | (a) | 2.25 | 2.25 | 2.26 | 2.24 | 2.22 | |||||||||||||||||
Expenses after expense reductions (f) | 2.22 | (a) | 2.24 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.80 | )(a) | (1.04 | ) | (1.30 | ) | (1.20 | ) | (0.87 | ) | (1.31 | ) | ||||||||||||
Portfolio turnover (%) | 18 | 63 | 61 | 130 | 65 | 104 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 56 | 73 | 128 | 237 | 413 | 621 |
33
Financial Highlights — continued
Capital Appreciation Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.501 | $ | 15.963 | $ | 15.226 | $ | 15.267 | $ | 13.940 | $ | 10.929 | ||||||||||||
Investment income | $ | 0.120 | $ | 0.203 | $ | 0.152 | $ | 0.158 | $ | 0.205 | $ | 0.109 | ||||||||||||
Expenses | (0.174 | ) | (0.352 | ) | (0.320 | ) | (0.316 | ) | (0.297 | ) | (0.254 | ) | ||||||||||||
Net investment loss | $ | (0.054 | ) | $ | (0.149 | ) | $ | (0.168 | ) | $ | (0.158 | ) | $ | (0.092 | ) | $ | (0.145 | ) | ||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (1.672 | ) | 1.687 | 0.905 | 0.117 | 1.419 | 3.156 | |||||||||||||||||
Change in unit value | $ | (1.726 | ) | $ | 1.538 | $ | 0.737 | $ | (0.041 | ) | $ | 1.327 | $ | 3.011 | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 15.775 | $ | 17.501 | $ | 15.963 | $ | 15.226 | $ | 15.267 | $ | 13.940 | ||||||||||||
Total Return (%) (k)(r)(s) | (9.86 | )(n) | 9.64 | 4.84 | (0.27 | ) | 9.52 | (b) | 27.55 | (j) | ||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.12 | (a) | 2.10 | 2.10 | 2.11 | 2.09 | 2.07 | |||||||||||||||||
Expenses after expense reductions (f) | 2.07 | (a) | 2.09 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment loss | (0.63 | )(a) | (0.88 | ) | (1.13 | ) | (1.05 | ) | (0.65 | ) | (1.17 | ) | ||||||||||||
Portfolio turnover (%) | 18 | 63 | 61 | 130 | 65 | 104 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 3,548 | 3,671 | 4,378 | 5,248 | 5,798 | 6,086 |
(a) | Annualized. |
(b) | The variable account’s net asset value and total return calculation include a non-recurring accrual recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The non-recurring accrual resulted in an increase in the net asset value of $0.039, $0.026, and $0.010 per unit for Compass 2, Compass 3, and Compass 3 – Level 2, respectively, based on units outstanding on the day the proceeds were recorded. |
(d) | Per unit data are based on the average number of units outstanding during each year. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(j) | The variable account’s net asset value and total return calculation include proceeds received on March 26, 2003 for the partial payment of a non-recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions. The proceeds resulted in an increase in the net asset value of $0.900, $0.594, and $0.247 per unit for Compass 2, Compass 3, and Compass 3 – Level 2, respectively, based on units outstanding on the day the proceeds were received. Excluding the effect of this payment from the ending net asset value per unit, the Compass 2, Compass 3, and Compass 3 – Level 2 total return per unit value for the year ended December 31, 2003 would have been lower by approximately 2.24%, 2.24%, and 2.25%, respectively. |
(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.
34
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 27.622 | $ | 25.732 | $ | 24.865 | $ | 27.240 | $ | 25.169 | $ | 22.125 | ||||||||||||
Investment income | $ | 0.545 | $ | 1.052 | $ | 1.003 | $ | 0.925 | $ | 0.872 | $ | 0.877 | ||||||||||||
Expenses | (0.389 | ) | (0.653 | ) | (0.629 | ) | (0.651 | ) | (0.633 | ) | (0.584 | ) | ||||||||||||
Net investment income | $ | 0.156 | $ | 0.399 | $ | 0.374 | $ | 0.274 | $ | 0.239 | $ | 0.293 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.716 | 1.491 | 0.493 | (2.649 | ) | 1.832 | 2.751 | |||||||||||||||||
Change in unit value | $ | 0.872 | $ | 1.890 | $ | 0.867 | $ | (2.375 | ) | $ | 2.071 | $ | 3.044 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 28.494 | $ | 27.622 | $ | 25.732 | $ | 24.865 | $ | 27.240 | $ | 25.169 | ||||||||||||
Total Return (%) (k)(r) | 3.16 | (n) | 7.34 | 3.49 | (8.72 | ) | 8.23 | 13.76 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.43 | (a) | 3.35 | 3.39 | 2.95 | 2.67 | 2.47 | |||||||||||||||||
Expenses after expense reductions (f) | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | N/A | |||||||||||||||||
Net investment income | 1.00 | (a) | 1.52 | 1.48 | 1.04 | 0.94 | 1.23 | |||||||||||||||||
Portfolio turnover (%) | 46 | 141 | 118 | 144 | 128 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 96 | 85 | 104 | 116 | 128 | 161 | ||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 26.814 | $ | 25.017 | $ | 24.209 | $ | 26.561 | $ | 24.578 | $ | 21.638 | ||||||||||||
Investment income | $ | 0.484 | $ | 1.044 | $ | 1.025 | $ | 0.949 | $ | 0.883 | $ | 0.869 | ||||||||||||
Expenses | (0.369 | ) | (0.678 | ) | (0.659 | ) | (0.688 | ) | (0.662 | ) | (0.600 | ) | ||||||||||||
Net investment income | $ | 0.115 | $ | 0.366 | $ | 0.366 | $ | 0.261 | $ | 0.221 | $ | 0.269 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.711 | 1.431 | 0.442 | (2.613 | ) | 1.762 | 2.671 | |||||||||||||||||
Change in unit value | $ | 0.826 | $ | 1.797 | $ | 0.808 | $ | (2.352 | ) | $ | 1.983 | $ | 2.940 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 27.640 | $ | 26.814 | $ | 25.017 | $ | 24.209 | $ | 26.561 | $ | 24.578 | ||||||||||||
Total Return (%) (k)(r) | 3.08 | (n) | 7.18 | 3.34 | (8.85 | ) | 8.07 | 13.59 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.58 | (a) | 3.50 | 3.54 | 3.10 | 2.82 | 2.62 | |||||||||||||||||
Expenses after expense reductions (f) | 2.65 | (a) | 2.65 | 2.65 | 2.65 | 2.65 | N/A | |||||||||||||||||
Net investment income | 0.82 | (a) | 1.44 | 1.41 | 0.97 | 0.85 | 1.15 | |||||||||||||||||
Portfolio turnover (%) | 46 | 141 | 118 | 144 | 128 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 13 | 15 | 18 | 26 | 28 | 41 |
35
Financial Highlights — continued
Global Governments Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 15.798 | $ | 14.718 | $ | 14.221 | $ | 15.580 | $ | 14.396 | $ | 12.655 | ||||||||||||
Investment income | $ | 0.304 | $ | 0.608 | $ | 0.574 | $ | 0.526 | $ | 0.497 | $ | 0.494 | ||||||||||||
Expenses | (0.218 | ) | (0.377 | ) | (0.361 | ) | (0.371 | ) | (0.361 | ) | (0.331 | ) | ||||||||||||
Net investment income | $ | 0.086 | $ | 0.231 | $ | 0.213 | $ | 0.155 | $ | 0.136 | $ | 0.163 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | 0.413 | 0.849 | 0.284 | (1.514 | ) | 1.048 | 1.578 | |||||||||||||||||
Change in unit value | $ | 0.499 | $ | 1.080 | $ | 0.497 | $ | (1.359 | ) | $ | 1.184 | $ | 1.741 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 16.297 | $ | 15.798 | $ | 14.718 | $ | 14.221 | $ | 15.580 | $ | 14.396 | ||||||||||||
Total Return (%) (k)(r) | 3.16 | (n) | 7.34 | 3.49 | (8.72 | ) | 8.23 | 13.76 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 3.43 | (a) | 3.35 | 3.39 | 2.95 | 2.67 | 2.47 | |||||||||||||||||
Expenses after expense reductions | 2.50 | (a) | 2.50 | 2.50 | 2.50 | 2.50 | N/A | |||||||||||||||||
Net investment income | 1.00 | (a) | 1.53 | 1.47 | 1.04 | 0.94 | 1.21 | |||||||||||||||||
Portfolio turnover (%) | 46 | 141 | 118 | 144 | 128 | 130 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 325 | 332 | 403 | 468 | 500 | 559 |
(a) | Annualized. |
(d) | Per unit data are based on the average number of units outstanding during each year. |
(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. |
See notes to financial statements.
36
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 40.804 | $ | 38.619 | $ | 37.679 | $ | 37.338 | $ | 36.470 | $ | 36.124 | ||||||||||||
Investment income | $ | 1.125 | $ | 2.117 | $ | 2.024 | $ | 1.936 | $ | 1.834 | $ | 1.482 | ||||||||||||
Expenses | (0.453 | ) | (0.802 | ) | (0.757 | ) | (0.752 | ) | (0.726 | ) | (0.711 | ) | ||||||||||||
Net investment income | $ | 0.672 | $ | 1.315 | $ | 1.267 | $ | 1.184 | $ | 1.108 | $ | 0.771 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.149 | ) | 0.870 | (0.327 | ) | (0.843 | ) | (0.240 | ) | (0.425 | ) | |||||||||||||
Change in unit value | $ | 0.523 | $ | 2.185 | $ | 0.940 | $ | 0.341 | $ | 0.868 | $ | 0.346 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 41.327 | $ | 40.804 | $ | 38.619 | $ | 37.679 | $ | 37.338 | $ | 36.470 | ||||||||||||
Total Return (%) (k) | 1.28 | (n) | 5.66 | 2.50 | 0.91 | 2.38 | 0.96 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.03 | (a) | 2.02 | 2.01 | 2.01 | 1.97 | 1.95 | |||||||||||||||||
Net investment income | 2.95 | (a) | 3.26 | 3.28 | 3.09 | 2.96 | 2.08 | |||||||||||||||||
Portfolio turnover (%) | 22 | 35 | 17 | 69 | 89 | 138 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,219 | 1,269 | 1,538 | 1,852 | 2,125 | 2,447 | ||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 28.419 | $ | 26.924 | $ | 26.295 | $ | 26.082 | $ | 25.501 | $ | 25.284 | ||||||||||||
Investment income | $ | 0.719 | $ | 1.470 | $ | 1.352 | $ | 1.316 | $ | 1.244 | $ | 1.045 | ||||||||||||
Expenses | (0.309 | ) | (0.583 | ) | (0.538 | ) | (0.543 | ) | (0.525 | ) | (0.514 | ) | ||||||||||||
Net investment income | $ | 0.410 | $ | 0.887 | $ | 0.814 | $ | 0.773 | $ | 0.719 | $ | 0.531 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.059 | ) | 0.608 | (0.185 | ) | (0.560 | ) | (0.138 | ) | (0.314 | ) | |||||||||||||
Change in unit value | $ | 0.351 | $ | 1.495 | $ | 0.629 | $ | 0.213 | $ | 0.581 | $ | 0.217 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 28.770 | $ | 28.419 | $ | 26.924 | $ | 26.295 | $ | 26.082 | $ | 25.501 | ||||||||||||
Total Return (%) (k) | 1.23 | (n) | 5.55 | 2.40 | 0.82 | 2.28 | 0.86 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.13 | (a) | 2.12 | 2.11 | 2.11 | 2.07 | 2.05 | |||||||||||||||||
Net investment income | 2.82 | (a) | 3.25 | 3.15 | 2.96 | 2.82 | 2.08 | |||||||||||||||||
Portfolio turnover (%) | 22 | 35 | 17 | 69 | 89 | 138 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 26 | 28 | 40 | 69 | 100 | 147 |
37
Financial Highlights — continued
Government Securities Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 16.717 | $ | 15.814 | $ | 15.421 | $ | 15.274 | $ | 14.912 | $ | 14.763 | ||||||||||||
Investment income | $ | 0.434 | $ | 0.848 | $ | 0.813 | $ | 0.781 | $ | 0.742 | $ | 0.597 | ||||||||||||
Expenses | (0.173 | ) | (0.318 | ) | (0.300 | ) | (0.299 | ) | (0.289 | ) | (0.282 | ) | ||||||||||||
Net investment income | $ | 0.261 | $ | 0.530 | $ | 0.513 | $ | 0.482 | $ | 0.453 | $ | 0.315 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.042 | ) | 0.373 | (0.120 | ) | (0.335 | ) | (0.091 | ) | (0.166 | ) | |||||||||||||
Change in unit value | $ | 0.219 | $ | 0.903 | $ | 0.393 | $ | 0.147 | $ | 0.362 | $ | 0.149 | ||||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 16.936 | $ | 16.717 | $ | 15.814 | $ | 15.421 | $ | 15.274 | $ | 14.912 | ||||||||||||
Total Return (%) (k) | 1.31 | (n) | 5.71 | 2.55 | 0.96 | 2.43 | 1.01 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 1.98 | (a) | 1.97 | 1.96 | 1.96 | 1.92 | 1.90 | |||||||||||||||||
Net investment income | 2.97 | (a) | 3.29 | 3.30 | 3.12 | 2.99 | 2.10 | |||||||||||||||||
Portfolio turnover (%) | 22 | 35 | 17 | 69 | 89 | 138 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 872 | 889 | 1,054 | 1,280 | 1,377 | 1,562 |
(a) | Annualized. |
(d) | Per unit data are based on the average number of units outstanding during each year. |
(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. |
See notes to financial statements.
38
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 40.344 | $ | 40.172 | $ | 36.840 | $ | 36.669 | $ | 34.056 | $ | 28.505 | ||||||||||||
Investment income | $ | 1.868 | $ | 3.391 | $ | 3.121 | $ | 2.959 | $ | 2.857 | $ | 2.769 | ||||||||||||
Expenses | (0.467 | ) | (0.901 | ) | (0.847 | ) | (0.820 | ) | (0.770 | ) | (0.689 | ) | ||||||||||||
Net investment income | $ | 1.401 | $ | 2.490 | $ | 2.274 | $ | 2.139 | $ | 2.087 | $ | 2.080 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (2.223 | ) | (2.318 | ) | 1.058 | (1.968 | ) | 0.526 | 3.471 | |||||||||||||||
Change in unit value | $ | (0.822 | ) | $ | 0.172 | $ | 3.332 | $ | 0.171 | $ | 2.613 | $ | 5.551 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 39.522 | $ | 40.344 | $ | 40.172 | $ | 36.840 | $ | 36.669 | $ | 34.056 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.04 | )(n) | 0.43 | 9.04 | 0.47 | 7.67 | 19.47 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.31 | (a) | 2.25 | 2.32 | 2.28 | (o) | 2.21 | 2.20 | ||||||||||||||||
Expenses after expense reductions (f) | 2.20 | (a) | 2.20 | 2.22 | 2.25 | N/A | N/A | |||||||||||||||||
Net investment income | 6.48 | (a) | 5.96 | 5.84 | 5.76 | 5.91 | 6.53 | |||||||||||||||||
Portfolio turnover (%) | 42 | 66 | 88 | 53 | 81 | 164 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 896 | 958 | 1,119 | 1,323 | 1,601 | 1,827 | ||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 29.556 | $ | 29.459 | $ | 27.043 | $ | 26.943 | $ | 25.048 | $ | 20.986 | ||||||||||||
Investment income | $ | 1.246 | $ | 2.445 | $ | 2.212 | $ | 2.118 | $ | 2.021 | $ | 1.964 | ||||||||||||
Expenses | (0.330 | ) | (0.681 | ) | (0.635 | ) | (0.620 | ) | (0.576 | ) | (0.514 | ) | ||||||||||||
Net investment income | $ | 0.916 | $ | 1.764 | $ | 1.577 | $ | 1.498 | $ | 1.445 | $ | 1.450 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (1.532 | ) | (1.667 | ) | 0.839 | (1.398 | ) | 0.450 | 2.612 | |||||||||||||||
Change in unit value | $ | (0.616 | ) | $ | 0.097 | $ | 2.416 | $ | 0.100 | $ | 1.895 | $ | 4.062 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 28.940 | $ | 29.556 | $ | 29.459 | $ | 27.043 | $ | 26.943 | $ | 25.048 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.09 | )(n) | 0.33 | 8.94 | 0.37 | 7.57 | 19.35 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.41 | (a) | 2.35 | 2.42 | 2.38 | (o) | 2.31 | 2.30 | ||||||||||||||||
Expenses after expense reductions (f) | 2.30 | (a) | 2.30 | 2.32 | 2.35 | N/A | N/A | |||||||||||||||||
Net investment income | 6.35 | (a) | 5.93 | 5.71 | 5.64 | 5.75 | 6.41 | |||||||||||||||||
Portfolio turnover (%) | 42 | 66 | 88 | 53 | 81 | 164 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 16 | 21 | 34 | 47 | 67 | 115 |
39
Financial Highlights — continued
High Yield Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 15.890 | $ | 15.814 | $ | 14.495 | $ | 14.421 | $ | 13.386 | $ | 11.199 | ||||||||||||
Investment income | $ | 0.718 | $ | 1.310 | $ | 1.202 | $ | 1.142 | $ | 1.019 | $ | 1.161 | ||||||||||||
Expenses | (0.177 | ) | (0.344 | ) | (0.323 | ) | (0.312 | ) | (0.275 | ) | (0.286 | ) | ||||||||||||
Net investment income | $ | 0.541 | $ | 0.966 | $ | 0.879 | $ | 0.830 | $ | 0.744 | $ | 0.875 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.861 | ) | (0.890 | ) | 0.440 | (0.756 | ) | 0.291 | 1.312 | |||||||||||||||
Change in unit value | $ | (0.320 | ) | $ | 0.076 | $ | 1.319 | $ | 0.074 | $ | 1.035 | $ | 2.187 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 15.570 | $ | 15.890 | $ | 15.814 | $ | 14.495 | $ | 14.421 | $ | 13.386 | ||||||||||||
Total Return (%) (k)(r)(s) | (2.01 | )(n) | 0.48 | 9.10 | 0.52 | 7.73 | 19.53 | |||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.26 | (a) | 2.20 | 2.27 | 2.23 | (o) | 2.16 | 2.15 | ||||||||||||||||
Expenses after expense reductions (f) | 2.15 | (a) | 2.15 | 2.17 | 2.20 | N/A | N/A | |||||||||||||||||
Net investment income | 6.50 | (a) | 5.98 | 5.86 | 5.81 | 5.77 | 6.57 | |||||||||||||||||
Portfolio turnover (%) | 42 | 66 | 88 | 53 | 81 | 164 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 538 | 579 | 774 | 937 | 971 | 2,631 |
(a) | Annualized. |
(d) | Per unit data are based on the average number of units outstanding during each year. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(k) | The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown. |
(n) | Not annualized. |
(o) | Due to a revision, the ratios of expenses before expense reductions for the year ended December 31, 2005 not previously reported, were 2.28%, 2.38% and 2.23% for Compass 2, Compass 3, and Compass 3 – Level 2, respectively. There was no impact to net assets or the expenses charged to the shareholder. |
(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.
40
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 21.676 | $ | 20.979 | $ | 20.331 | $ | 20.073 | $ | 20.188 | $ | 20.322 | ||||||||||||
Investment income | $ | 0.372 | $ | 1.145 | $ | 1.051 | $ | 0.661 | $ | 0.281 | $ | 0.247 | ||||||||||||
Expenses | (0.232 | ) | (0.431 | ) | (0.403 | ) | (0.403 | ) | (0.396 | ) | (0.381 | ) | ||||||||||||
Net investment income (loss) | $ | 0.140 | $ | 0.714 | $ | 0.648 | $ | 0.258 | $ | (0.115 | ) | $ | (0.134 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | (0.017 | )(g) | — | (0.000 | )(w) | — | — | ||||||||||||||||
Change in unit value | $ | 0.140 | $ | 0.697 | $ | 0.648 | $ | 0.258 | $ | (0.115 | ) | $ | (0.134 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 21.816 | $ | 21.676 | $ | 20.979 | $ | 20.331 | $ | 20.073 | $ | 20.188 | ||||||||||||
Total Return (%) (k)(s) | 0.65 | (n) | 3.32 | 3.19 | 1.29 | (0.57 | ) | (0.66 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.00 | (a) | 2.00 | 1.95 | 1.99 | 1.96 | 1.87 | |||||||||||||||||
Net investment income (loss) | 1.33 | (a) | 3.29 | 3.15 | 1.38 | (0.56 | ) | (0.63 | ) | |||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 855 | 887 | 928 | 1,128 | 1,009 | 1,172 | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 17.704 | $ | 17.152 | $ | 16.638 | $ | 16.443 | $ | 16.553 | $ | 16.680 | ||||||||||||
Investment income | $ | 0.292 | $ | 0.902 | $ | 0.852 | $ | 0.539 | $ | 0.229 | $ | 0.198 | ||||||||||||
Expenses | (0.186 | ) | (0.356 | ) | (0.338 | ) | (0.344 | ) | (0.339 | ) | (0.325 | ) | ||||||||||||
Net investment income (loss) | $ | 0.106 | $ | 0.546 | $ | 0.514 | $ | 0.195 | $ | (0.110 | ) | $ | (0.127 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | 0.006 | (g) | — | (0.000 | )(w) | — | — | ||||||||||||||||
Change in unit value | $ | 0.106 | $ | 0.552 | $ | 0.514 | $ | 0.195 | $ | (0.110 | ) | $ | (0.127 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 17.810 | $ | 17.704 | $ | 17.152 | $ | 16.638 | $ | 16.443 | $ | 16.553 | ||||||||||||
Total Return (%) (k)(s) | 0.60 | (n) | 3.22 | 3.09 | 1.19 | (0.67 | ) | (0.76 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 2.10 | (a) | 2.10 | 2.05 | 2.09 | 2.06 | 1.97 | |||||||||||||||||
Net investment income (loss) | 1.24 | (a) | 3.20 | 3.00 | 1.42 | (0.71 | ) | (0.74 | ) | |||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 52 | 64 | 131 | 218 | 97 | 155 |
41
Financial Highlights — continued
Money Market Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 13.330 | $ | 12.895 | $ | 12.491 | $ | 12.326 | $ | 12.390 | $ | 12.466 | ||||||||||||
Investment income | $ | 0.224 | $ | 0.695 | $ | 0.644 | $ | 0.405 | $ | 0.181 | $ | 0.131 | ||||||||||||
Expenses | (0.134 | ) | (0.257 | ) | (0.240 | ) | (0.240 | ) | (0.245 | ) | (0.207 | ) | ||||||||||||
Net investment income (loss) | $ | 0.090 | $ | 0.438 | $ | 0.404 | $ | 0.165 | $ | (0.064 | ) | $ | (0.076 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | — | (0.003 | )(g) | — | (0.000 | )(w) | — | — | ||||||||||||||||
Change in unit value | $ | 0.090 | $ | 0.435 | $ | 0.404 | $ | 0.165 | $ | (0.064 | ) | $ | (0.076 | ) | ||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 13.420 | $ | 13.330 | $ | 12.895 | $ | 12.491 | $ | 12.326 | $ | 12.390 | ||||||||||||
Total Return (%) (k)(s) | 0.67 | (n) | 3.38 | 3.24 | 1.34 | (0.52 | ) | (0.61 | ) | |||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses (f) | 1.95 | (a) | 1.95 | 1.90 | 1.94 | 1.91 | 1.82 | |||||||||||||||||
Net investment income (loss) | 1.37 | (a) | 3.32 | 3.18 | 1.39 | (0.48 | ) | (0.61 | ) | |||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 1,723 | 1,871 | 1,969 | 2,384 | 2,259 | 896 |
(a) | Annualized. |
(d) | Per unit data are based on the average number of units outstanding during each year. |
(f) | Ratios do not reflect reductions from fees paid indirectly, if applicable. |
(g) | The per share 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. |
(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 $0.01. |
See notes to financial statements.
42
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 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 52.709 | $ | 51.373 | $ | 46.459 | $ | 45.729 | $ | 41.571 | $ | 35.950 | ||||||||||||
Investment income | $ | 0.998 | $ | 1.832 | $ | 1.749 | $ | 1.521 | $ | 1.450 | $ | 1.237 | ||||||||||||
Expenses | (0.570 | ) | (1.126 | ) | (1.033 | ) | (0.970 | ) | (0.905 | ) | (0.800 | ) | ||||||||||||
Net investment income | $ | 0.428 | $ | 0.706 | $ | 0.716 | $ | 0.551 | $ | 0.545 | $ | 0.437 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (4.294 | ) | 0.630 | 4.198 | 0.179 | 3.613 | 5.184 | |||||||||||||||||
Change in unit value | $ | (3.866 | ) | $ | 1.336 | $ | 4.914 | $ | 0.730 | $ | 4.158 | $ | 5.621 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 48.843 | $ | 52.709 | $ | 51.373 | $ | 46.459 | $ | 45.729 | $ | 41.571 | ||||||||||||
Total Return (%) (k)(r)(s) | (7.34 | )(n) | 2.60 | 10.58 | 1.60 | 10.00 | (b) | 15.64 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.15 | (a) | 2.12 | 2.14 | 2.12 | 2.11 | 2.10 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.11 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.54 | (a) | 1.30 | 1.46 | 1.18 | 1.25 | 1.13 | |||||||||||||||||
Portfolio turnover (%) | 24 | 54 | 45 | 49 | 64 | 62 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 879 | 948 | 1,156 | 1,349 | 1,511 | 1,688 | ||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 51.169 | $ | 49.947 | $ | 45.236 | $ | 44.592 | $ | 40.597 | $ | 35.160 | ||||||||||||
Investment income | $ | 0.903 | $ | 1.770 | $ | 1.645 | $ | 1.450 | $ | 1.375 | $ | 1.200 | ||||||||||||
Expenses | (0.561 | ) | (1.165 | ) | (1.051 | ) | (1.019 | ) | (0.929 | ) | (0.823 | ) | ||||||||||||
Net investment income | $ | 0.342 | $ | 0.605 | $ | 0.594 | $ | 0.431 | $ | 0.446 | $ | 0.377 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (4.130 | ) | 0.617 | 4.117 | 0.213 | 3.549 | 5.060 | |||||||||||||||||
Change in unit value | $ | (3.788 | ) | $ | 1.222 | $ | 4.711 | $ | 0.644 | $ | 3.995 | $ | 5.437 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 47.381 | $ | 51.169 | $ | 49.947 | $ | 45.236 | $ | 44.592 | $ | 40.597 | ||||||||||||
Total Return (%) (k)(r)(s) | (7.40 | )(n) | 2.45 | 10.42 | 1.45 | 9.84 | (b) | 15.46 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.30 | (a) | 2.27 | 2.29 | 2.27 | 2.26 | 2.25 | |||||||||||||||||
Expenses after expense reductions (f) | 2.25 | (a) | 2.26 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.37 | (a) | 1.18 | 1.28 | 0.97 | 1.07 | 1.01 | |||||||||||||||||
Portfolio turnover (%) | 24 | 54 | 45 | 49 | 64 | 62 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 90 | 107 | 142 | 217 | 315 | 453 |
43
Financial Highlights — continued
Total Return Variable Account | ||||||||||||||||||||||||
Compass 3 – Level 2 | ||||||||||||||||||||||||
Six Months Ended 6/30/08 (unaudited) | Years Ended 12/31 | |||||||||||||||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||||||
Per unit data: (d) | ||||||||||||||||||||||||
Net asset value — beginning of period | $ | 24.850 | $ | 24.220 | $ | 21.903 | $ | 21.559 | $ | 19.599 | $ | 16.949 | ||||||||||||
Investment income | $ | 0.446 | $ | 0.849 | $ | 0.812 | $ | 0.710 | $ | 0.676 | $ | 0.575 | ||||||||||||
Expenses | (0.258 | ) | (0.527 | ) | (0.484 | ) | (0.457 | ) | (0.425 | ) | (0.376 | ) | ||||||||||||
Net investment income | $ | 0.188 | $ | 0.322 | $ | 0.328 | $ | 0.253 | $ | 0.251 | $ | 0.199 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (2.011 | ) | 0.308 | 1.989 | 0.091 | 1.709 | 2.451 | |||||||||||||||||
Change in unit value | $ | (1.823 | ) | $ | 0.630 | $ | 2.317 | $ | 0.344 | $ | 1.960 | $ | 2.650 | |||||||||||
Unit value: | ||||||||||||||||||||||||
Net asset value — end of period | $ | 23.027 | $ | 24.850 | $ | 24.220 | $ | 21.903 | $ | 21.559 | $ | 19.599 | ||||||||||||
Total Return (%) (k)(r)(s) | (7.34 | )(n) | 2.60 | 10.58 | 1.60 | 10.00 | (b) | 15.64 | ||||||||||||||||
Ratios (%) (to average net assets): | ||||||||||||||||||||||||
Expenses before expense reductions (f) | 2.15 | (a) | 2.12 | 2.14 | 2.12 | 2.11 | 2.10 | |||||||||||||||||
Expenses after expense reductions (f) | 2.10 | (a) | 2.11 | N/A | N/A | N/A | N/A | |||||||||||||||||
Net investment income | 1.53 | (a) | 1.28 | 1.44 | 1.17 | 1.24 | 1.11 | |||||||||||||||||
Portfolio turnover (%) | 24 | 54 | 45 | 49 | 64 | 62 | ||||||||||||||||||
Number of units outstanding at end of period (000 Omitted) | 3,889 | 4,116 | 4,695 | 5,462 | 5,646 | 5,946 |
(a) | Annualized. |
(b) | The variable account’s net asset value and total return calculation include a non-recurring accrual recorded as a result of an administrative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The non-recurring accrual did not have a material impact on the net asset value per share based on the shares outstanding on the day the proceeds were recorded. |
(d) | Per unit data are based on average number of units outstanding during each year. |
(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.
44
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. The High Yield Variable Account can invest up to 100% of its portfolio in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. The Capital Appreciation Variable Account, Global Governments Variable Account, High Yield Variable Account, and Total Return Variable Account can invest in foreign securities, including securities of emerging market issuers. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s legal, political, and economic environment. The markets of emerging markets countries are generally more volatile than the markets of developed countries with more mature economies. All of the risks of investing in foreign securities previously described are heightened when investing in emerging markets countries.
Investment Valuations – Money market instruments are valued at amortized cost, which approximates market value. Amortized cost involves valuing an instrument at its cost as adjusted for amortization of premium or accretion of discount rather than its current market value. Each money market fund’s use of amortized cost is subject to the fund’s compliance with Rule 2a-7 under the Investment Company Act of 1940. 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 reported by an independent pricing service on the market or exchange on which they are primarily traded. For securities for which there were no sales reported that day, equity securities are generally valued at the last quoted daily bid quotation as reported by an independent pricing service on the market or exchange on which they are primarily traded. For securities held short for which there were no sales reported for the day, the position is generally valued at the last quoted daily ask quotation as reported by an independent 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 reported by an independent pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as reported by an independent 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 reported by an independent pricing service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker-dealer bid quotation. Foreign currency options are generally valued using an external pricing model that uses market data from an independent source. Futures contracts are generally valued at last posted settlement price as reported by an independent 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 reported by an independent 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 reported by an independent pricing service for proximate time periods. Swaps are generally valued at an evaluated bid as reported by an independent pricing service. Securities and other assets generally valued on the basis of information from an independent pricing service may also be valued at a broker-dealer bid quotation. Values obtained from pricing services can utilize both dealer-supplied valuations and electronic data processing techniques, which take into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates reported by an independent pricing service.
The Board of Trustees 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 Trustees. 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 independent pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the variable accounts’ net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the variable accounts’ net asset value may be deemed to have a material affect on the value of securities traded in foreign markets. Accordingly, the variable accounts’ foreign equity securities may often be valued at fair value. The adviser may rely on independent pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the
45
Notes to Financial Statements (unaudited) — continued
type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the variable accounts’ net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of investments used to determine the variable accounts’ net asset value may differ from quoted or published prices for the same investments.
The variable accounts adopted FASB Statement No. 157, Fair Value Measurements (the “Statement”) in this reporting period. This Statement provides a single definition of fair value, a hierarchy for measuring fair value and expanded disclosures about fair value measurements. Various inputs are used in determining the value of each variable account’s assets or liabilities carried at market value. These inputs are categorized into three broad levels. Level 1 includes quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures, forwards, swap contracts and written options, which are valued at the unrealized appreciation/depreciation on the instrument. The following is a summary of the levels used as of June 30, 2008 in valuing each variable account’s assets or liabilities carried at market value:
Capital Appreciation Variable Account:
Level 1 | Level 2 | Level 3 | Total | |||||
Investments in Securities | $151,016,283 | $16,746,847 | $— | $167,763,130 | ||||
Other Financial Instruments | $— | $— | $— | $— |
Global Governments Variable Account:
Level 1 | Level 2 | Level 3 | Total | |||||
Investments in Securities | $1,493 | $8,520,459 | $— | $8,521,952 | ||||
Other Financial Instruments | $4,912 | $— | $— | $4,912 |
Government Securities Variable Account:
Level 1 | Level 2 | Level 3 | Total | |||||||
Investments in Securities | $— | $66,143,025 | $— | $66,143,025 | ||||||
Other Financial Instruments | $(10,995 | ) | $— | $— | $(10,995 | ) |
High Yield Variable Account:
Level 1 | Level 2 | Level 3 | Total | ||||||||
Investments in Securities | $1,230,937 | $43,242,160 | $— | $44,473,097 | |||||||
Other Financial Instruments | $(1,099 | ) | $(170,474 | ) | $— | $(171,573 | ) |
Money Market Variable Account:
Level 1 | Level 2 | Level 3 | Total | |||||
Investments in Securities | $ | $42,997,952 | $— | $42,997,952 | ||||
Other Financial Instruments | $— | $— | $— | $— |
Total Return Variable Account:
Level 1 | Level 2 | Level 3 | Total | |||||
Investments in Securities | $76,737,581 | $61,074,443 | $— | $137,812,024 | ||||
Other Financial Instruments | $— | $— | $— | $— |
Repurchase Agreements – Each variable account may enter into repurchase agreements with institutions that the variable accounts’ investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. The variable accounts require that the securities collateral in a repurchase transaction be transferred to a custodian in a manner sufficient to enable the variable accounts to obtain those securities in the event of a default under the repurchase agreement. The variable accounts monitor, on a daily basis, the value of the collateral to ensure that its value, including accrued interest, is greater than amounts owed to the variable accounts under each such repurchase agreement. The variable account and other funds managed by Massachusetts Financial Services Company (MFS), may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.
Inflation-Adjusted Debt Securities – Certain variable accounts invest in inflation-adjusted debt securities issued by the U.S. Treasury. The variable accounts may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.
Foreign Currency Translation – Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. Gains and losses attributable to foreign currency exchange rates on sales of
46
Notes to Financial Statements (unaudited) — continued
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 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.
Derivative Risk – Certain variable accounts may invest in derivatives 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 gain market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost. Cash that has been segregated on behalf of certain derivative contracts will be reported separately on the Statement of Assets and Liabilities as restricted cash. On certain over-the-counter derivatives, the variable account attempts to reduce its exposure to counterparty credit risk by entering into an 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 the variable account the right, upon an event of default by the applicable counterparty, 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 account’s 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, the ISDA Master Agreement does not result in an offset of reported balance sheet assets and liabilities across transactions between the variable account and the applicable counterparty. Derivative instruments include purchased options and forward foreign currency exchange contracts for the Global Governments Variable Account, futures contracts for the Government Securities Variable Account and swap agreements and forward foreign currency exchange contracts for the High Yield Variable Account.
Purchased Options – Certain variable accounts may purchase call or put options for a premium. Purchasing call options may be a hedge against an anticipated increase in the dollar cost of securities to be acquired or to increase the variable accounts’ exposure to the underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities. The premium paid is included as an investment in the Statement of Assets and Liabilities and is subsequently adjusted to the current value of the option. Premiums paid for purchased options which have expired are treated as realized losses on investments in the Statement of Operations. Premiums paid for purchased options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying security or financial instrument to determine the realized gain or loss. The risk of loss associated with purchased options is limited to the premium paid.
Futures Contracts – Certain variable accounts may enter into futures contracts for the delayed delivery of securities or currency, or contracts based on financial indices at a fixed price on a future date. In entering such contracts, the variable accounts are required to deposit with the broker either in cash or securities an amount equal to a certain percentage of the contract amount. Subsequent payments are made or received by the variable account each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the variable account. Upon entering into such contracts, the variable accounts bear the risk of interest or 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.
Forward Foreign Currency Exchange Contracts – Certain variable accounts may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the contract. The variable accounts may enter into forward foreign currency exchange contracts for hedging purposes as well as for non-hedging purposes. For hedging purposes, the variable accounts may enter into contracts to deliver or receive foreign currency it will receive from or require for its normal investment activities. The variable accounts may also use contracts in a manner intended to protect foreign currency denominated securities from declines in value due to unfavorable exchange rate movements. For non-hedging purposes, the variable accounts may enter into contracts with the intent of changing the relative exposure of the variable accounts’ portfolio of securities to different currencies to take advantage of anticipated changes. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until the contract settlement date. On contract settlement date, the gains or losses are recorded as realized gains or losses on foreign currency transactions.
Swap Agreements – Certain variable accounts may enter into swap agreements. A swap is an exchange of cash payments between the fund and another party. Net cash payments are exchanged at specified intervals and are recorded as a realized gain or loss in the Statement of Operations. The value of the swap is adjusted daily and the change in value, including accruals of periodic amounts of interest to be paid or received, is recorded as unrealized appreciation or depreciation in the Statement of Operations. Amounts paid or received at the inception of the swap are reflected as premiums paid or received on the Statement of Assets and Liabilities and are amortized using the effective interest method over the term of the agreement. A liquidation payment received or made upon early termination is recorded as a realized gain or loss in the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund’s custodian in connection with these agreements. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include the possible lack of a liquid market, failure of the counterparty to perform under the terms of the agreements, and unfavorable market and interest rate movements of the underlying instrument.
The High Yield Variable Account holds credit default swaps in which one party makes a stream of payments based on a fixed percentage applied to the notional amount to another party in exchange for the right to receive a specified return in the event of a default by a third party, such as a corporate issuer or foreign issuer, on its obligation. The variable accounts may enter into credit default swaps to limit or to reduce its risk exposure to defaults of corporate and sovereign issuers or to create direct or synthetic short or long exposure to corporate debt securities or certain sovereign debt securities to which it is not otherwise exposed.
47
Notes to Financial Statements (unaudited) — continued
In March 2008, FASB Statement No. 161, Disclosures about Derivative Instruments and Hedging Activities (the “Standard”) was issued, and is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. This Standard provides enhanced disclosures about the variable account’s use of and accounting for derivative instruments and the effect of derivative instruments on the variable account’s results of operations and financial position. Management is evaluating the application of the Standard to each variable account, and has not at this time determined the impact, if any, resulting from the adoption of this Standard on each variable account’s financial statements.
Loans and Other Direct Debt Instruments – Certain variable accounts may invest in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the variable account to supply additional cash to the borrower on demand. At June 30, 2008, the High Yield variable account had unfunded loan commitments of $8,611, which could be extended at the option of the borrower and which are covered by sufficient cash and/or liquid securities held by the variable account. The market value and obligation of the variable account on these unfunded loan commitments is included in Investments, at value and Payable for investments purchased, respectively, on the Statement of Assets and Liabilities. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary.
Indemnifications – Under each variable accounts’ organizational documents, its officers and trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the variable account. Additionally, in the normal course of business, the variable account enters 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 account that have not yet occurred.
Investment Transactions and Income – Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Certain variable accounts earn certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements. 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.
The variable accounts may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statement of Operations in realized gain/loss if the security has been disposed of by the variable accounts or in unrealized gain/loss if the security is still held by the variable accounts. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statement of Operations.
Fees Paid Indirectly – The variable accounts’ custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the variable account. This amount, for the six months ended June 30, 2008, is shown as a reduction of total expenses on the Statement of Operations.
Federal Income Taxes – The variable accounts are funding vehicles for individual variable annuities. The operations of the variable accounts are part of the operations of Sun Life Assurance Company of Canada (U.S.), the Sponsor, and are not taxed separately; the variable accounts are not taxed as regulated investment companies. The Sponsor qualifies for the federal income tax treatment granted to life insurance companies under Subchapter L of the Internal Revenue Code. Accordingly, no provision for federal income or excise tax is necessary. Foreign taxes have been provided for on interest and dividend income earned on foreign investments in accordance with the applicable country’s tax rates and to the extent unrecoverable are recorded as a reduction of investment income.
(3) | Contract Charges |
The Sponsor makes a deduction from the variable accounts at the end of each valuation period, during both the accumulation period and after annuity payments begin, for assuming the mortality and expense risks under the contracts. The rate of the deduction may be changed annually but in no event may it exceed 1.25% of the average net assets of each variable account attributable to Compass 3 contracts, or, with respect to Compass 2 contracts, 1.30% of the assets of Capital Appreciation Variable Account, Government Securities Variable Account, High Yield Variable Account, and Money Market Variable Account, or 1.25% of the assets of Global Governments Variable Account, and Total Return Variable Account attributable to such contracts.
For assuming the distribution expense risk under Compass 3 contracts, the Sponsor makes a deduction from the variable accounts at the end of each valuation period for the first seven contract years at an effective annual rate of 0.15% of the net assets of the variable accounts attributable to such contracts. Contracts are transferred from Compass 3 to Compass 3 – Level 2 in the month following the seventh contract anniversary. No deduction is made after the seventh contract anniversary. No deduction is made with respect to assets attributable to Compass 2 contracts.
Each year, on the contract anniversary, a contract maintenance charge of $25 with respect to Compass 2 contracts and $30 with respect to Compass 3 contracts is deducted from each contract’s accumulation account and paid the Sponsor to cover administrative expenses relating to the contract. After the annuity commencement date, the annual contract maintenance charge is deducted pro rata from each annuity payment made during the year.
The Sponsor does not deduct a sales charge from purchase payments. However, a withdrawal charge (contingent deferred sales charge) may be deducted to cover certain expenses relating to the sale of the contract. In no event shall the aggregate withdrawal charges (including the distribution
48
Notes to Financial Statements (unaudited) — continued
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.
(4) | Annuity Reserves |
Annuity reserves for contracts with annuity commencement dates prior to February 1, 1987 have been calculated using the 1971 Individual Annuitant Mortality Table. Annuity reserves for contracts with annuity commencement dates between February 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.
(5) | 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 accounts’ average daily net assets:
Annual Rate of Management Fee Based on Average Daily Net Assets Not Exceeding $300 Million | Annual Rate of Management Fee Based on Average Daily Net Assets In Excess of $300 Million | Effective Management Fees | |||||||
Capital Appreciation Variable Account | 0.75 | % | 0.675 | % | 0.75 | % | |||
Global Governments Variable Account | 0.75 | % | 0.675 | % | 0.75 | % | |||
Government Securities Variable Account | 0.55 | % | 0.495 | % | 0.55 | % | |||
High Yield Variable Account | 0.75 | %(a) | 0.675 | % | 0.70 | % | |||
Money Market Variable Account | 0.50 | %(b) | 0.50 | %(b) | 0.50 | % | |||
Total Return Variable Account | 0.75 | % | 0.675 | % | 0.75 | % |
(a) | The investment adviser had agreed to reduce its management fee to 0.70% for the first $300 million of average daily net assets. This written agreement will continue through April 30, 2010, unless changed or rescinded by the variable accounts’ Board of Managers. This management fee reduction amounted to $11,834, which is shown as a reduction of total expenses in the Statement of Operations. |
(b) | The investment adviser has agreed in writing to reduce its management fee to 0.45% of average daily net assets in excess of $500 million. This written agreement may be rescinded only upon consent of the variable accounts’ Board of Managers. For the six months ended June 30, 2008, the Money Market Variable Account’s average daily net assets did not exceed $500 million, and therefore, the management fee was not reduced. |
The investment adviser has agreed in writing to pay each variable accounts’ operating expenses, exclusive of certain expenses and charges, such that total operating expenses do not exceed 1.25% annually of the average daily net assets of each variable account. These agreements are contained in the investment advisory agreement between MFS and the variable accounts and may not be rescinded without shareholder approval. For the six months ended June 30, 2008, this reduction amounted to $39,432 for the Global Governments Variable Account and is reflected as a reduction of total expenses in the Statement of Operations. Each of the other variable accounts did not exceed the limit and therefore, the investment adviser did not pay any portion of the variable accounts’ expenses. In addition, the investment adviser has agreed in writing to pay a portion of the operating expenses of the variable accounts listed below, exclusive of certain expenses and charges, such that total annual operating expenses of these variable accounts do not exceed the expense limitations indicated below, based on the average daily net assets of such variable accounts. These written agreements will continue through April 30, 2010, unless changed or rescinded by the variable accounts’ Board of Managers. For the six months ended June 30, 2008, these reductions amounted to the following for each variable account and are reflected as a reduction of the total expenses in the Statement of Operations:
Expense Limitation | Expense Reduction | |||||
Capital Appreciation Variable Account | 0.82 | % | $ | 38,970 | ||
High Yield Variable Account | 0.90 | % | 13,523 | |||
Money Market Variable Account | 0.65 | %(a) | — | |||
Total Return Variable Account | 0.85 | % | 34,858 |
(a) | The expense limitation noted is effective on September 1, 2008 through April 30, 2010, unless changed or rescinded by the variable accounts’ Board of Managers. |
Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to each variable account. Under an administrative services agreement, each variable account partially reimburses MFS the costs incurred to provide these services. Each variable accounts’ is charged an annual fixed amount of $10,000 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended June 30, 2008 was equivalent to the following annual effective rate of the variable accounts’ 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 | 0.0250 | % | 0.1169 | % | 0.0264 | % | 0.0274 | % | 0.0277 | % | 0.0252 | % | ||||||
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
49
Notes to Financial Statements (unaudited) — continued
Investment Adviser or the Sponsor all of whom receive remuneration for their services to the variable accounts from MFS. Certain officers of the variable accounts are officers or directors of MFS, MFS Fund Distributors, Inc. (MFD), and MFS Service Center, Inc. (MFSC).
Other – These variable accounts and certain other MFS funds (the funds) have entered into a services agreement (the Agreement) which provides for payment of fees by the funds to Tarantino LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) for the funds. The ICCO is an officer of the funds and the sole member of Tarantino LLC. The funds can terminate the Agreement with Tarantino LLC at any time under the terms of the Agreement. MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO. For the six months ended June 30, 2008, the fees paid to Tarantino LLC were as follows:
Capital Appreciation Variable Account | $ | 652 | |
Global Governments Variable Account | 31 | ||
Government Securities Variable Account | 249 | ||
High Yield Variable Account | 170 | ||
Money Market Variable Account | 162 | ||
Total Return Variable Account | 545 |
(6) | 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 | $ | 31,455,714 | $ | 41,878,517 | ||
Global Governments Variable Account | 2,337,648 | 2,159,289 | ||||
Government Securities Variable Account | 2,388,528 | 3,278,548 | ||||
High Yield Variable Account | 19,000,540 | 19,888,176 | ||||
Total Return Variable Account | 29,343,663 | 30,901,631 |
Purchases and sales of investments for the Money Market Variable Account, exclusive of securities subject to repurchase agreements, aggregated $260,923,708 and $264,021,000, respectively.
Purchases and sales of U.S. government securities, other than purchased option transactions and short-term obligations, were as follows:
Purchases | Sales | |||||
Global Governments Variable Account | $ | 1,919,020 | $ | 1,476,507 | ||
Government Securities Variable Account | 12,067,555 | 14,221,798 | ||||
High Yield Variable Account | — | 361,481 | ||||
Total Return Variable Account | 8,466,937 | 16,624,823 |
50
Notes to Financial Statements (unaudited) — continued
(7) | Participant Transactions |
The changes in net assets from changes in numbers of outstanding units were as follows:
Six Months Ended 6/30/08 (000 Omitted) | ||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | |||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 8 | $ | 482 | (14 | ) | $ | (815 | ) | (106 | ) | $ | (6,302 | ) | (112 | ) | $ | (6,635 | ) | $ | (170 | ) | $ | (6,805 | ) | ||||||||||
Compass 3 Contracts | 5 | 185 | (18 | ) | (713 | ) | (4 | ) | (151 | ) | (17 | ) | (679 | ) | 0 | * | (679 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 45 | 747 | 26 | 417 | (194 | ) | (3,159 | ) | (123 | ) | (1,995 | ) | (17 | ) | (2,012 | ) | ||||||||||||||||||
$ | 1,414 | $ | (1,111 | ) | $ | (9,612 | ) | $ | (9,309 | ) | $ | (187 | ) | $ | (9,496 | ) | ||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 1 | $ | 11 | 12 | $ | 365 | (2 | ) | $ | (44 | ) | 11 | $ | 332 | $ | (3 | ) | $ | 329 | |||||||||||||||
Compass 3 Contracts | 1 | 21 | (1 | ) | (18 | ) | (2 | ) | (66 | ) | (2 | ) | (63 | ) | 0 | * | (63 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 2 | 37 | 10 | 163 | (19 | ) | (311 | ) | (7 | ) | (111 | ) | (5 | ) | (116 | ) | ||||||||||||||||||
$ | 69 | $ | 510 | $ | (421 | ) | $ | 158 | $ | (8 | ) | $ | 150 | |||||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 5 | $ | 226 | 22 | $ | 918 | (77 | ) | $ | (3,188 | ) | (50 | ) | $ | (2,044 | ) | $ | (191 | ) | $ | (2,235 | ) | ||||||||||||
Compass 3 Contracts | 2 | 47 | (3 | ) | (93 | ) | (1 | ) | (20 | ) | (2 | ) | (66 | ) | — | (66 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 9 | 150 | 18 | 298 | (44 | ) | (743 | ) | (17 | ) | (295 | ) | (2 | ) | (297 | ) | ||||||||||||||||||
$ | 423 | $ | 1,123 | $ | (3,951 | ) | $ | (2,405 | ) | $ | (193 | ) | $ | (2,598 | ) | |||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 3 | $ | 130 | (23 | ) | $ | (912 | ) | (42 | ) | $ | (1,688 | ) | (62 | ) | $ | (2,470 | ) | $ | (59 | ) | $ | (2,529 | ) | ||||||||||
Compass 3 Contracts | 1 | 42 | (4 | ) | (105 | ) | (2 | ) | (61 | ) | (5 | ) | (124 | ) | 0 | * | (124 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 6 | 102 | 18 | 281 | (65 | ) | (1,003 | ) | (41 | ) | (620 | ) | (2 | ) | (622 | ) | ||||||||||||||||||
$ | 274 | $ | (736 | ) | $ | (2,752 | ) | $ | (3,214 | ) | $ | (61 | ) | $ | (3,275 | ) | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 2 | $ | 47 | 37 | $ | 792 | (71 | ) | $ | (1,544 | ) | (32 | ) | $ | (705 | ) | $ | (24 | ) | $ | (729 | ) | ||||||||||||
Compass 3 Contracts | 4 | 76 | (13 | ) | (230 | ) | (3 | ) | (49 | ) | (12 | ) | (203 | ) | 0 | * | (203 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 23 | 306 | 21 | 280 | (192 | ) | (2,575 | ) | (148 | ) | (1,989 | ) | (18 | ) | (2,007 | ) | ||||||||||||||||||
$ | 429 | $ | 842 | $ | (4,168 | ) | $ | (2,897 | ) | $ | (42 | ) | $ | (2,939 | ) | |||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 8 | $ | 393 | (21 | ) | $ | (1,062 | ) | (55 | ) | $ | (2,801 | ) | (68 | ) | $ | (3,470 | ) | $ | (67 | ) | $ | (3,537 | ) | ||||||||||
Compass 3 Contracts | 5 | 252 | (16 | ) | (772 | ) | (7 | ) | (316 | ) | (18 | ) | (836 | ) | 0 | * | (836 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 39 | 924 | (10 | ) | (237 | ) | (255 | ) | (6,096 | ) | (226 | ) | (5,409 | ) | (42 | ) | (5,451 | ) | ||||||||||||||||
$ | 1,569 | $ | (2,071 | ) | $ | (9,213 | ) | $ | (9,715 | ) | $ | (109 | ) | $ | (9,824 | ) | ||||||||||||||||||
Year Ended 12/31/07 (000 Omitted) | ||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | |||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||
Capital Appreciation Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 14 | $ | 843 | (65 | ) | $ | (3,891 | ) | (388 | ) | $ | (23,761 | ) | (439 | ) | $ | (26,809 | ) | $ | (361 | ) | $ | (27,170 | ) | ||||||||||
Compass 3 Contracts | 12 | 478 | (50 | ) | (1,999 | ) | (17 | ) | (695 | ) | (55 | ) | (2,216 | ) | 0 | * | (2,216 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 105 | 1,762 | (14 | ) | (186 | ) | (798 | ) | (13,454 | ) | (707 | ) | (11,878 | ) | (36 | ) | (11,914 | ) | ||||||||||||||||
$ | 3,083 | $ | (6,076 | ) | $ | (37,910 | ) | $ | (40,903 | ) | $ | (397 | ) | $ | (41,300 | ) | ||||||||||||||||||
* | Amount less than $500 |
51
Notes to Financial Statements (unaudited) — continued
Year Ended 12/31/07 (000 Omitted) | ||||||||||||||||||||||||||||||||||
Purchase Payments Received | Transfers Between Variable Accounts and Fixed Accumulation Account | Withdrawals, Surrenders, Annuitizations, and Contract Charges | Net Accumulation Activity | Net | Net | |||||||||||||||||||||||||||||
Units | Dollars | Units | Dollars | Units | Dollars | Units | Dollars | Dollars | Dollars | |||||||||||||||||||||||||
Global Governments Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 1 | $ | 34 | (7 | ) | $ | (170 | ) | (13 | ) | $ | (339 | ) | (19 | ) | $ | (475 | ) | $ | (3 | ) | $ | (478 | ) | ||||||||||
Compass 3 Contracts | 2 | 62 | (3 | ) | (68 | ) | (2 | ) | (65 | ) | (3 | ) | (71 | ) | 0 | * | (71 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 6 | 86 | 12 | 175 | (89 | ) | (1,372 | ) | (71 | ) | (1,111 | ) | 9 | (1,102 | ) | |||||||||||||||||||
$ | 182 | $ | (63 | ) | $ | (1,776 | ) | $ | (1,657 | ) | $ | 6 | $ | (1,651 | ) | |||||||||||||||||||
Government Securities Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 10 | $ | 383 | (36 | ) | $ | (1,401 | ) | (243 | ) | $ | (9,579 | ) | (269 | ) | $ | (10,597 | ) | $ | 18 | $ | (10,579 | ) | |||||||||||
Compass 3 Contracts | 5 | 141 | (8 | ) | (234 | ) | (9 | ) | (244 | ) | (12 | ) | (337 | ) | — | (337 | ) | |||||||||||||||||
Compass 3 – Level 2 Contracts | 23 | 364 | (25 | ) | (406 | ) | (163 | ) | (2,615 | ) | (165 | ) | (2,657 | ) | (4 | ) | (2,661 | ) | ||||||||||||||||
$ | 888 | $ | (2,041 | ) | $ | (12,438 | ) | $ | (13,591 | ) | $ | 14 | $ | (13,577 | ) | |||||||||||||||||||
High Yield Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 7 | $ | 304 | (21 | ) | $ | (860 | ) | (147 | ) | $ | (5,999 | ) | (161 | ) | $ | (6,555 | ) | $ | (162 | ) | $ | (6,717 | ) | ||||||||||
Compass 3 Contracts | 4 | 115 | (10 | ) | (311 | ) | (7 | ) | (192 | ) | (13 | ) | (388 | ) | 0 | * | (388 | ) | ||||||||||||||||
Compass 3– Level 2 Contracts | 18 | 283 | (85 | ) | (1,383 | ) | (128 | ) | (2,050 | ) | (195 | ) | (3,150 | ) | (6 | ) | (3,156 | ) | ||||||||||||||||
$ | 702 | $ | (2,554 | ) | $ | (8,241 | ) | $ | (10,093 | ) | $ | (168 | ) | $ | (10,261 | ) | ||||||||||||||||||
Money Market Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 8 | $ | 165 | 184 | $ | 3,917 | (233 | ) | $ | (4,971 | ) | (41 | ) | $ | (889 | ) | $ | (66 | ) | $ | (955 | ) | ||||||||||||
Compass 3 Contracts | 11 | 190 | (59 | ) | (1,035 | ) | (19 | ) | (326 | ) | (67 | ) | (1,171 | ) | (7 | ) | (1,178 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 54 | 708 | 306 | 4,017 | (458 | ) | (6,003 | ) | (98 | ) | (1,278 | ) | (34 | ) | (1,312 | ) | ||||||||||||||||||
$ | 1,063 | $ | 6,899 | $ | (11,300 | ) | $ | (3,338 | ) | $ | (107 | ) | $ | (3,445 | ) | |||||||||||||||||||
Total Return Variable Account | ||||||||||||||||||||||||||||||||||
Compass 2 Contracts | 10 | $ | 543 | 18 | $ | 932 | (236 | ) | $ | (12,501 | ) | (208 | ) | $ | (11,026 | ) | $ | (2 | ) | $ | (11,028 | ) | ||||||||||||
Compass 3 Contracts | 14 | 733 | (28 | ) | (1,444 | ) | (21 | ) | (1,098 | ) | (35 | ) | (1,809 | ) | 0 | * | (1,809 | ) | ||||||||||||||||
Compass 3 – Level 2 Contracts | 93 | 2,319 | 82 | 2,074 | (754 | ) | (18,828 | ) | (579 | ) | (14,435 | ) | (133 | ) | (14,568 | ) | ||||||||||||||||||
$ | 3,595 | $ | 1,562 | $ | (32,427 | ) | $ | (27,270 | ) | $ | (135 | ) | $ | (27,405 | ) | |||||||||||||||||||
* | Amount less than $500 |
(8) | Line of Credit |
The variable accounts and other funds managed by MFS participate in a $1 billion unsecured committed line of credit provided by a syndication of banks under a credit agreement. In addition, the variable accounts and other funds managed by MFS have established uncommitted borrowing arrangements with certain banks. 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 Federal Reserve funds rate plus 0.30%. In addition, 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. For the six months ended June 30, 2008, the variable accounts’ commitment fee and interest expense are included in miscellaneous expense on the Statement of Operations and were as follows:
Commitment fee | Interest expense | |||||
Capital Appreciation Variable Account | $ | 463 | $ | — | ||
Global Governments Variable Account | 21 | — | ||||
Government Securities Variable Account | 172 | — | ||||
High Yield Variable Account | 117 | — | ||||
Money Market Variable Account | 113 | — | ||||
Total Return Variable Account | 377 | — |
52
Investment Adviser
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
Custodian
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
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, 2008 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.
cous-sem-8/08
Sun Life Financial Distributors Inc.
ITEM 2. CODE OF ETHICS.
The Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to any element of the Code’s definition enumerated in paragraph (b) of Item 2 of this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for semi-annual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for semi-annual reports.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. INVESTMENTS
A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. EXHIBITS.
(a) | File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated. |
(1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. |
(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2): Attached hereto. |
(b) | If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto. |
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) | GOVERNMENT SECURITIES VARIABLE ACCOUNT | |||
By (Signature and Title)* | /s/ ROBERT J. MANNING | |||
Robert J. Manning, President |
Date: August 15, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ ROBERT J. MANNING | |||
Robert J. Manning, President (Principal Executive Officer) |
Date: August 15, 2008
By (Signature and Title)* | /s/ MARIA F. DWYER | |||
Maria F. Dwyer, Treasurer (Principal Financial Officer and Accounting Officer) |
Date: August 15, 2008
* | Print name and title of each signing officer under his or her signature. |