UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3563
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MONEY MARKET VARIABLE ACCOUNT
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(Exact name of registrant as specified in charter)
500 Boylston Street, Boston, Massachusetts 02116
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(Address of principal executive offices) (Zip code)
Susan S. Newton
Massachusetts Financial Services Company
500 Boylston Street
Boston, Massachusetts 02116
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(Name and address of agents for service)
Registrant's telephone number, including area code: (617) 954-5000
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2005
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ITEM 1. REPORTS TO STOCKHOLDERS.
COMPASS [logo]
PROFESSIONALLY MANAGED COMBINATION
FIXED/VARIABLE ANNUITIES
FOR PERSONAL INVESTMENTS AND
QUALIFIED RETIREMENT PLANS
SEMIANNUAL REPORT o JUNE 30, 2005
Capital Appreciation Variable Account
Global Governments Variable Account
Government Securities Variable Account
High Yield Variable Account
Managed Sectors 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
Letter from the CEO of MFS ........................................... 1
Key Risk Considerations .............................................. 1
Performance Summary .................................................. 3
Portfolio Composition ................................................ 4
Portfolio of Investments ............................................. 11
Financial Statements ................................................. 29
Notes to Financial Statements ........................................ 49
Investment Advisor ................................................ Back Cover
Custodian and Dividend Disbursing Agent ........................... Back Cover
Proxy Voting Policies and Information ............................. Back Cover
Quarterly Portfolio Disclosure .................................... Back Cover
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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.
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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
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LETTER FROM THE CEO OF MFS
DEAR CONTRACT OWNERS,
As a professional investor for more than 20 years, I've often been asked to
name the single most important factor in investment success. My answer is
always the same: diversification. At MFS we talk about applying a disciplined
diversification(SM) strategy to a portfolio as a three step process: allocate
among the major asset classes; diversify within each asset class; and
rebalance regularly to avoid unnecessary risk.
Individual investors sometimes assume that the amount they're putting away is
too small to allow for diversification. My response would be that a good
investment plan, developed with the help of an investment professional, should
provide a way to properly diversify your contributions.
Remember that the purpose of diversification is to own investments that
historically have not moved in sync with each other - in the hope that, in any
given period, underperforming holdings will be somewhat counteracted by other
outperforming holdings. If none of your asset classes did badly in the past
year or so, you're probably not properly diversified.
Americans today have more of their wealth tied up in the markets than in any
previous period of our history, but we are not yet making the most of our
opportunities. While neither asset allocation nor diversification can
guarantee a profit or protect against a loss, I would voice the opinion that,
to a large extent, a failure to have a plan, diversify contributions, and
rebalance a portfolio annually has been behind many U.S. investors' failure to
reach their long-term financial goals.
For more information on how to apply a disciplined diversification(SM)
strategy to your portfolio, I would urge you to contact your own investment
professional.
Respectfully,
/s/ Robert J. Manning
Robert J. Manning
Chief Executive Officer and Chief Investment Officer
MFS Investment Management(R)
August 15, 2005
The opinions expressed in this letter are those of MFS, and no forecasts can
be guaranteed.
KEY RISK CONSIDERATIONS
CAPITAL APPRECIATION VARIABLE ACCOUNT
The value of the portfolio's domestic investments will fluctuate in response
to many factors including the performance and valuation of the issuer and
general market conditions. Stock markets are volatile and can decline due to
adverse issuer, political, regulatory, or economic conditions. Foreign
investments can be more volatile than U.S investments.
GLOBAL GOVERNMENTS VARIABLE ACCOUNT
The portfolio's yield and unit price change daily and are based on changes in
interest rates and market conditions, and in response to other economic,
political, or financial developments. In general, the value of debt securities
will decline when interest rates rise and will increase when interest rates
fall. Lower-quality debt securities and certain types of other securities
involve greater risk of default or price changes due to changes in the credit
quality of the issuer. Debt securities with longer maturity dates will be
subject to greater price fluctuations than those with shorter maturities and
are more affected by interest rate changes than short-term issues.
Stock markets are volatile and can decline due to adverse issuer, political,
regulatory, or economic conditions. Foreign investments can be more volatile
than U.S investments. The portfolio may invest in lower-quality debt
securities which generally offer higher yields, and carry more risk. Lower-
quality debt securities involve greater risk of default on interest and
principal payments or price changes due to changes in credit quality of the
issuer. The value of lower-quality debt securities can be more volatile due to
increased sensitivity to adverse issuer, political, regulatory, market, or
economic developments. Because the portfolio is considered non-diversified,
MFS may invest a significant percentage of the portfolios' assets in a single
issuer. Emerging markets can be subject to greater social, economic,
regulatory, and political uncertainty and can be extremely volatile. The
portfolio may invest a substantial amount of its assets in issuers located in
a single country or limited number of countries and therefore is susceptible
to market, economic, political, or regulatory conditions and developments
affecting those countries. The portfolio's performance could be more volatile
than the performance of more geographically diversified portfolios. Mortgage-
backed securities are subject to prepayment risk which can offer less
potential for gains in a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment.
GOVERNMENT SECURITIES VARIABLE ACCOUNT
The portfolio's yield and unit price change daily and are based on changes in
interest rates and market conditions, and in response to other economic,
political, or financial developments. In general, the value of debt securities
will decline when interest rates rise and will increase when interest rates
fall. Lower-quality debt securities and certain types of other securities
involve greater risk of default or price changes due to changes in the credit
quality of the issuer. Debt securities with longer maturity dates will be
subject to greater price fluctuations than those with shorter maturities and
are more affected by interest rate changes than short-term issues.
Mortgage-backed securities are subject to prepayment risk which can offer less
potential for gains in a declining interest rate environment and similar or
greater potential for loss in a rising interest rate environment.
HIGH YIELD VARIABLE ACCOUNT
The portfolio's yield and unit price change daily and are based on changes in
interest rates and market conditions, and in response to other economic,
political, or financial developments. In general, the value of debt securities
will decline when interest rates rise and will increase when interest rates
fall. Lower-quality debt securities and certain types of other securities
involve greater risk of default or price changes due to changes in the credit
quality of the issuer. Debt securities with longer maturity dates will be
subject to greater price fluctuations than those with shorter maturities and are
more affected by interest rate changes than short-term issues. Stock markets are
volatile and can decline due to adverse issuer, political, regulatory, or
economic conditions. Foreign investments can be more volatile than U.S
investments. The portfolio may invest in lower-quality debt securities which
generally offer higher yields, and carry more risk. Lower- quality debt
securities involve greater risk of default on interest and principal payments or
price changes due to changes in credit quality of the issuer. The value of
lower-quality debt securities can be more volatile due to increased sensitivity
to adverse issuer, political, regulatory, market, or economic developments.
Because the portfolio is considered non-diversified, MFS may invest a
significant percentage of the portfolio's assets in a single issuer.
MANAGED SECTORS VARIABLE ACCOUNT
The value of the portfolio's domestic investments will fluctuate in response
to many factors including the performance and valuation of the issuer and
general market conditions. Stock markets are volatile and can decline due to
adverse issuer, political, regulatory, or economic conditions. Foreign
investments can be more volatile than U.S. investments.
MONEY MARKET VARIABLE ACCOUNT
The portfolio's yield and unit price change daily and are based on changes in
interest rates and market conditions, and in response to other economic,
political, or financial developments. In general, the value of debt securities
will decline when interest rates rise and will increase when interest rates
fall. Certain types of securities involve greater risk of default or price
changes due to changes in the credit quality of the issuer. Debt securities
with longer maturity dates will be subject to greater price fluctuations than
those with shorter maturities and are more affected by interest rate changes
than short-term issues. The municipal market is volatile and can be
significantly affected by adverse tax, legislative or political changes and
the financial condition of the issuers of municipal securities. Interest rate
increases can cause the price of a debt security to decrease. Unfavorable
political or economic conditions within the State can affect the credit
quality of issuers located in that state. The value of the portfolio's
domestic investments will fluctuate in response to many factors including the
performance and valuation of the issuer and general market conditions. Stock
markets are volatile and can decline due to adverse issuer, political,
regulatory, or economic conditions. Foreign investments can be more volatile
than U.S. investments.
TOTAL RETURN VARIABLE ACCOUNT
The value of the portfolio's domestic investments will fluctuate in response
to many factors including the performance and valuation of the issuer and
general market conditions. Stock markets are volatile and can decline due to
adverse issuer, political, regulatory, or economic conditions. Foreign
investments can be more volatile than U.S. investments. Value companies can
continue to be undervalued for long periods of time and not realize their full
value. The portfolio's yield and unit price change daily and are based on
changes in interest rates and market conditions and in response to other
economic, political, or financial developments. In general, the value of debt
securities will decline when interest rates rise and will increase when
interest rates fall. Lower-quality debt securities and certain types of other
securities involve greater risk of default or price changes due to changes in
the credit quality of the issuer. Debt securities with longer maturity dates
will be subject to greater price fluctuations than those with shorter
maturities and are more affected by interest rate changes than short-term
issues.
When you sell your units, they will be worth more or less than the amount you
paid for them. Please see the prospectus for further information regarding
these and other risks considerations.
PERFORMANCE SUMMARY
THESE PERFORMANCE RESULTS REFLECT ANY APPLICABLE CONTRACT OR SURRENDER
CHARGES.
SIX MONTH PERFORMANCE THROUGH JUNE 30, 2005
Compass 2 Compass 3 Compass 3 -
(U.S.) (U.S.) Level 2 (U.S.)
Capital Appreciation (2.98)% (3.03)% (2.96)%
Variable Account+
Global Governments Variable (4.83)% (4.90)% (4.83)%
Account
Government Securities 1.69% 1.64% 1.72%
Variable Account
High Yield Variable Account (0.40)% (0.45)% (0.38)%
Managed Sectors Variable (3.09)% (3.16)% (3.09)%
Account+
Money Market 0.32% 0.27% 0.34%
Variable Account
Total Return 0.13% 0.05% 0.13%
Variable Account
VISIT SUNLIFE-USA.COM FOR THE MOST RECENT MONTH-END PERFORMANCE RESULTS.
MARKET VOLATILITY CAN SIGNIFICANTLY AFFECT SHORT-TERM PERFORMANCE, AND MORE
RECENT RETURNS MAY BE DIFFERENT FROM THOSE SHOWN.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE
OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND
UNITS, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. ANY
HIGH SHORT-TERM RETURNS WERE PRIMARILY ACHIEVED DURING FAVORABLE MARKET
CONDITIONS, WHICH MAY NOT BE REPEATED.
+ The performance shown reflects a non-recurring accrual made to the variable
accounts on July 28, 2004 relating to MFS' revenue sharing settlement with
the Securities and Exchange Commission without which the performance would
have been lower. The proceeds were paid to the variable accounts on February
16, 2005.
From time to time the variable accounts may receive proceeds from litigation
settlements, without which performance would be lower.
See notes to financial statements.
PORTFOLIO COMPOSITION -- CAPITAL APPRECIATION VARIABLE ACCOUNT
PORTFOLIO STRUCTURE
Stocks 96.4%
Cash & Other Net Assets 3.6%
TOP TEN HOLDINGS
Cisco Systems, Inc. 4.0%
------------------------------------------------
Johnson & Johnson 3.7%
------------------------------------------------
Microsoft Corp. 3.2%
------------------------------------------------
Amgen, Inc. 3.1%
------------------------------------------------
Wyeth 3.0%
------------------------------------------------
Dell, Inc. 2.8%
------------------------------------------------
PepsiCo, Inc. 2.7%
------------------------------------------------
Wal-Mart Stores, Inc. 2.5%
------------------------------------------------
Oracle Corp. 2.4%
------------------------------------------------
Abbott Laboratories 2.0%
------------------------------------------------
SECTOR WEIGHTINGS
Health Care 25.7%
------------------------------------------------
Technology 24.5%
------------------------------------------------
Retailing 10.8%
------------------------------------------------
Industrial Goods & Services 6.8%
------------------------------------------------
Leisure 6.3%
------------------------------------------------
Special Products & Services 4.6%
------------------------------------------------
Financial Services 4.3%
------------------------------------------------
Consumer Staples 3.8%
------------------------------------------------
Energy 3.4%
------------------------------------------------
Basic Materials 2.0%
------------------------------------------------
Autos & Housing 1.7%
------------------------------------------------
Transportation 1.4%
------------------------------------------------
Utilities & Communications 1.1%
------------------------------------------------
Percentages are based on net assets as of 6/30/05.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- GLOBAL GOVERNMENTS VARIABLE ACCOUNT
PORTFOLIO STRUCTURE*
Bonds 96.8%
Cash & Other Net Assets 3.2%
MARKET SECTORS*
International Bonds 78.9%
------------------------------------------------
U.S. Treasury Securities 4.7%
------------------------------------------------
Commercial Mortgage-Backed Securities 4.1%
------------------------------------------------
Cash & Other Net Assets 3.2%
------------------------------------------------
U.S. Government Agencies 3.0%
------------------------------------------------
Emerging Market Bonds 2.1%
------------------------------------------------
Municipal Bonds 2.0%
------------------------------------------------
Mortgage-Backed Securities 2.0%
------------------------------------------------
CREDIT QUALITY**
AAA 86.6%
------------------------------------------------
AA 8.6%
------------------------------------------------
A 3.3%
------------------------------------------------
BBB 0.9%
------------------------------------------------
BB 0.6%
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PORTFOLIO FACTS
Average Duration 5.5
------------------------------------------------
Average Life 8.0 yrs.
------------------------------------------------
Average Maturity*** 9.4 yrs.
------------------------------------------------
Average Quality**** AAA
------------------------------------------------
Average Short Term Quality A-1
------------------------------------------------
COUNTRY WEIGHTINGS
United States 21.4%
------------------------------------------------
Germany 13.7%
------------------------------------------------
Spain 7.9%
------------------------------------------------
France 7.6%
------------------------------------------------
Great Britain 7.4%
------------------------------------------------
Ireland 5.6%
------------------------------------------------
New Zealand 5.1%
------------------------------------------------
Finland 5.0%
------------------------------------------------
Canada 5.0%
------------------------------------------------
Other 21.3%
------------------------------------------------
* For purposes of this graphical presentation, the bond component includes
both accrued interest on bonds and the equivalent exposure from any
derivative holdings, if applicable.
** 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 a "AAA"-rating
category. Percentages are based on the total market value of investments
as of 6/30/05.
*** 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 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.
**** The Portfolio Average Credit Quality rating is based upon a market
weighted average of portfolio holdings.
Percentages are based on net assets as of 6/30/05, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- GOVERNMENT SECURITIES VARIABLE ACCOUNT
PORTFOLIO STRUCTURE*
BONDS 91.0%
Cash & Other Net Assets 9.0%
MARKET SECTORS*
Mortgage-Backed Securities 55.4%
-------------------------------------------------
U.S. Government Agencies 32.2%
-------------------------------------------------
Cash & Other Net Assets 9.0%
-------------------------------------------------
U.S. Treasury Securities 3.3%
-------------------------------------------------
Residential Mortgage-Backed Securities 0.1%
-------------------------------------------------
PORTFOLIO FACTS
Average Duration 3.7
-------------------------------------------------
Average Life 6.5 yrs.
-------------------------------------------------
Average Maturity** 16.1 yrs.
-------------------------------------------------
Average Quality*** AAA
-------------------------------------------------
Average Short Term Quality A-1
-------------------------------------------------
* For purposes of this graphical presentation, the bond component includes
both accrued interest on bonds and the equivalent exposure from any
derivative holdings, if applicable.
** 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 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.
*** The Portfolio Average Credit Quality rating is based upon a market
weighted average of portfolio holdings.
Percentages are based on net assets as of 6/30/05, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- HIGH YIELD VARIABLE ACCOUNT
PORTFOLIO STRUCTURE*
Bonds 93.3%
Cash & Other Net Assets 5.0%
Stocks 1.2%
Convertible Preferred Stock 0.3%
Preferred Stock 0.2%
TOP FIVE BOND INDUSTRIES*
Utilities - Electric Power 8.2%
-------------------------------------------------
Gaming & Lodging 6.2%
-------------------------------------------------
Telecommunication - Wireline 6.0%
-------------------------------------------------
Medical & Health Technology & Services 5.2%
-------------------------------------------------
Chemicals 4.8%
-------------------------------------------------
CREDIT QUALITY OF BONDS**
BBB 4.8%
-------------------------------------------------
BB 37.6%
-------------------------------------------------
B 40.2%
-------------------------------------------------
CCC 14.7%
-------------------------------------------------
CC 1.2%
-------------------------------------------------
D 0.2%
-------------------------------------------------
Not Rated 1.3%
-------------------------------------------------
PORTFOLIO FACTS
Average Duration 4.7
-------------------------------------------------
Average Life 8.1 yrs.
-------------------------------------------------
Average Maturity*** 8.5 yrs.
-------------------------------------------------
Average Quality**** B+
-------------------------------------------------
Average Short Term Quality A-1
-------------------------------------------------
* For purposes of this graphical presentation, the bond component includes
both accrued interest on bonds and the equivalent exposure from any
derivative holdings, if applicable.
** 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 a "AAA"-rating
category. Percentages are based on the total market value of investments
as of 6/30/05.
*** 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 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.
**** The Portfolio Average Credit Quality rating is based upon a market
weighted average of portfolio holdings.
Percentages are based on net assets as of 6/30/05, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- MANAGED SECTORS VARIABLE ACCOUNT
PORTFOLIO STRUCTURE
Stocks 96.7%
Cash & Other Net Assets 3.3%
TOP TEN HOLDINGS
Johnson & Johnson 5.1%
-------------------------------------------------
Microsoft Corp. 4.7%
-------------------------------------------------
Cisco Systems, Inc. 4.1%
-------------------------------------------------
Dell, Inc. 4.0%
-------------------------------------------------
Wyeth 3.9%
-------------------------------------------------
Abbott Laboratories 3.2%
-------------------------------------------------
Oracle Corp. 2.7%
-------------------------------------------------
Medtronic, Inc. 2.5%
-------------------------------------------------
Genzyme Corp. 2.5%
-------------------------------------------------
CVS Corp. 2.2%
-------------------------------------------------
SECTOR WEIGHTINGS
Health Care 30.7%
-------------------------------------------------
Technology 30.4%
-------------------------------------------------
Retailing 10.0%
-------------------------------------------------
Financial Services 8.0%
-------------------------------------------------
Leisure 7.3%
-------------------------------------------------
Consumer Staples 2.9%
-------------------------------------------------
Transportation 2.3%
-------------------------------------------------
Industrial Goods & Services 2.3%
-------------------------------------------------
Special Products & Services 2.1%
-------------------------------------------------
Utilities & Communications 0.7%
-------------------------------------------------
Percentages are based on net assets as of 6/30/05.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- MONEY MARKET VARIABLE ACCOUNT
PORTFOLIO STRUCTURE*
Commercial Paper 97.2%
Repurchase Agreements 3.0%
Other Non Short-Term Assets -0.2%
MATURITY BREAKDOWN*
0 to 29 Days 59.3%
-------------------------------------------------
30 to 59 Days 21.8%
-------------------------------------------------
60 to 89 Days 19.1%
-------------------------------------------------
Other non short-term assets -0.2%
-------------------------------------------------
SHORT TERM CREDIT QUALITY**
Average Short Term Quality A-1
-------------------------------------------------
COUNTRY WEIGHTINGS
United States 71.5%
-------------------------------------------------
Great Britain 6.5%
-------------------------------------------------
France 6.3%
-------------------------------------------------
Germany 3.3%
-------------------------------------------------
Netherlands 3.3%
-------------------------------------------------
Switzerland 3.2%
-------------------------------------------------
Belgium 3.1%
-------------------------------------------------
Sweden 2.8%
-------------------------------------------------
* For purposes of this graphical presentation, the fixed income portion
includes both accrued interest on bonds and the equivalent exposure from
any derivative holdings, if applicable, are included in this graphical
presentation.
** The Portfolio Average Credit Quality rating is based upon a market weighted
average of portfolio holdings.
From time to time, "Other non short-term assets" may be negative due to timing
of cash receipts.
Percentages are based on net assets as of 6/30/05, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
PORTFOLIO COMPOSITION -- TOTAL RETURN VARIABLE ACCOUNT
PORTFOLIO STRUCTURE*
Stocks 59.5%
Bonds 38.8%
Cash & Other Net Assets 1.7%
TOP TEN HOLDINGS*
Agency - FNMA, 30 yr, 5.5% 3.7%
-------------------------------------------------
U.S. Treasury Note - 5.625%, 5/15/08 2.2%
-------------------------------------------------
Spring Corp. (FON GRP) 2.2%
-------------------------------------------------
Bank of America Corp. 2.0%
-------------------------------------------------
U.S. Treasury Bonds - 6.25%, 8/15/23 1.9%
-------------------------------------------------
FNMA - 6.625%, 11/15/10 1.8%
-------------------------------------------------
Verizon Communications, Inc. 1.6%
-------------------------------------------------
Citigroup, Inc. 1.4%
-------------------------------------------------
J.P. Morgan Chase & Co. 1.4%
-------------------------------------------------
U.S. Treasury Note - 7.0%, 7/15/06 1.4%
-------------------------------------------------
MARKET SECTORS*
Domestic Equities 55.7%
-------------------------------------------------
Mortgage-Backed Securities 13.6%
-------------------------------------------------
High Grade Corporates 9.1%
-------------------------------------------------
U.S. Treasury Securities 8.6%
-------------------------------------------------
U.S. Government Agencies 4.4%
-------------------------------------------------
International Equities 3.8%
-------------------------------------------------
Cash & Other Net Assets 1.7%
-------------------------------------------------
Commercial Mortgage-Backed Securities 1.6%
-------------------------------------------------
Asset-Backed Securities 0.8%
-------------------------------------------------
High Yield Corporates 0.3%
-------------------------------------------------
Emerging Market Bonds 0.2%
-------------------------------------------------
International Bonds 0.2%
-------------------------------------------------
EQUITY SECTOR WEIGHTINGS
Financial Services 24.5%
-------------------------------------------------
Energy 11.6%
-------------------------------------------------
Utilities & Communications 11.4%
-------------------------------------------------
Health Care 8.3%
-------------------------------------------------
Industrial Goods & Services 7.6%
-------------------------------------------------
Technology 7.3%
-------------------------------------------------
Basic Materials 6.7%
-------------------------------------------------
Consumer Staples 6.4%
-------------------------------------------------
Leisure 6.4%
-------------------------------------------------
Retailing 3.8%
-------------------------------------------------
Autos & Housing 2.3%
-------------------------------------------------
Special Products & Services 0.7%
-------------------------------------------------
Transportation 0.4%
-------------------------------------------------
* For purposes of this graphical presentation, the fixed income portion
includes both accrued interest on bonds and the equivalent exposure from any
derivative holdings, if applicable, are included in this graphical
presentation.
Percentages are based on net assets as of 6/30/05, unless otherwise noted.
The portfolio is actively managed and current holdings may be different.
Issuer Shares Value
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
CAPITAL APPRECIATION VARIABLE ACCOUNT
STOCKS -- 96.4%
Issuer Shares Value
AEROSPACE -- 1.4%
Lockheed Martin Corp. .......................... 45,900 $ 2,977,533
United Technologies Corp. ...................... 15,800 811,330
-------------
$ 3,788,863
-------------
APPAREL MANUFACTURERS -- 0.4%
Nike, Inc., "B" ................................ 5,300 $ 458,980
Polo Ralph Lauren Corp., "A" ................... 12,900 556,119
-------------
$ 1,015,099
-------------
AUTOMOTIVE -- 1.1%
Harley-Davidson, Inc. .......................... 59,800 $ 2,966,080
-------------
BANKS & CREDIT COMPANIES -- 2.0%
American Express Co. ........................... 12,800 $ 681,344
Citigroup, Inc. ................................ 58,196 2,690,401
Countrywide Financial Corp. .................... 19,000 733,590
SLM Corp. ...................................... 28,800 1,463,040
-------------
$ 5,568,375
-------------
BIOTECHNOLOGY -- 4.5%
Amgen, Inc.* ................................... 139,440 $ 8,430,542
Genzyme Corp.* ................................. 44,500 2,674,005
ImClone Systems, Inc.* ......................... 43,200 1,337,904
-------------
$ 12,442,451
-------------
BROADCAST & CABLE TV -- 3.3%
Citadel Broadcasting Corp.* .................... 153,000 $ 1,751,850
Comcast Corp., "A"* ............................ 87,300 2,680,110
EchoStar Communications Corp., "A"* ............ 94,785 2,857,768
Univision Communications, Inc., "A"* ........... 54,200 1,493,210
XM Satellite Radio Holdings, Inc., "A"* ........ 8,200 276,012
-------------
$ 9,058,950
-------------
BROKERAGE & ASSET MANAGERS -- 0.2%
Legg Mason, Inc. ............................... 4,900 $ 510,139
-------------
BUSINESS SERVICES -- 2.8%
Accenture Ltd., "A"* ........................... 211,700 $ 4,799,239
Fiserv, Inc.* .................................. 65,100 2,796,045
-------------
$ 7,595,284
-------------
CHEMICALS -- 1.2%
3M Co. ......................................... 43,900 $ 3,173,970
-------------
COMPUTER SOFTWARE -- 8.7%
Amdocs Ltd.* ................................... 106,300 $ 2,809,509
Microsoft Corp. ................................ 356,520 8,855,957
NAVTEQ Corp.* .................................. 7,600 282,568
Oracle Corp.* .................................. 505,500 6,672,600
Symantec Corp.* ................................ 246,600 5,361,084
-------------
$ 23,981,718
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.6%
CDW Corp. ...................................... 86,300 $ 4,926,867
Dell, Inc.* .................................... 193,720 7,653,877
-------------
$ 12,580,744
-------------
CONSTRUCTION -- 0.6%
KB Home ........................................ 11,600 $ 884,268
Pulte Homes, Inc. .............................. 9,400 791,950
-------------
$ 1,676,218
-------------
CONSUMER GOODS & SERVICES -- 2.4%
Apollo Group, Inc., "A"* ....................... 41,200 $ 3,222,664
Avon Products, Inc. ............................ 25,900 980,315
Career Education Corp.* ........................ 48,300 1,768,263
Fortune Brands, Inc. ........................... 6,500 577,200
-------------
$ 6,548,442
-------------
ELECTRICAL EQUIPMENT -- 2.3%
Emerson Electric Co. ........................... 32,400 $ 2,029,212
Tyco International Ltd. ........................ 143,500 4,190,200
-------------
$ 6,219,412
-------------
ELECTRONICS -- 2.7%
Amphenol Corp., "A" ............................ 35,700 $ 1,434,069
Analog Devices, Inc. ........................... 80,190 2,991,889
Samsung Electronics Co. Ltd., GDR .............. 2,300 550,275
Xilinx, Inc. ................................... 101,000 2,575,500
-------------
$ 7,551,733
-------------
ENERGY -- INDEPENDENT -- 0.7%
Arch Coal, Inc. ................................ 17,700 $ 964,119
Massey Energy Co. .............................. 24,000 905,280
-------------
$ 1,869,399
-------------
FOOD & DRUG STORES -- 1.0%
CVS Corp. ...................................... 95,520 $ 2,776,766
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 3.2%
PepsiCo, Inc. .................................. 136,420 $ 7,357,131
SYSCO Corp. .................................... 38,400 1,389,696
-------------
$ 8,746,827
-------------
GAMING & LODGING -- 0.8%
Carnival Corp. ................................. 41,400 $ 2,258,370
-------------
GENERAL MERCHANDISE -- 5.6%
Family Dollar Stores, Inc. ..................... 107,700 $ 2,810,970
Kohl's Corp.* .................................. 49,190 2,750,213
Target Corp. ................................... 51,460 2,799,939
Wal-Mart Stores, Inc. .......................... 142,700 6,878,140
-------------
$ 15,239,262
-------------
HEALTH MAINTENANCE ORGANIZATIONS -- 0.3%
UnitedHealth Group, Inc. ....................... 13,600 $ 709,104
-------------
INSURANCE -- 2.1%
American International Group, Inc. ............. 46,700 $ 2,713,270
St. Paul Travelers Cos., Inc. .................. 79,900 3,158,447
-------------
$ 5,871,717
-------------
INTERNET -- 2.5%
Amazon.com, Inc.* .............................. 37,500 $ 1,240,500
eBay, Inc.* .................................... 20,700 683,307
IAC/InterActiveCorp* ........................... 144,200 3,468,010
Yahoo!, Inc.* .................................. 43,900 1,521,135
-------------
$ 6,912,952
-------------
LEISURE & TOYS -- 1.4%
Electronic Arts, Inc.* ......................... 69,700 $ 3,945,717
-------------
MACHINERY & TOOLS -- 3.1%
Caterpillar, Inc. .............................. 46,200 $ 4,403,322
Illinois Tool Works, Inc. ...................... 50,200 3,999,936
-------------
$ 8,403,258
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 3.5%
Caremark Rx, Inc.* ............................. 70,400 $ 3,134,208
Community Health Systems, Inc.* ................ 81,700 3,087,443
HCA, Inc. ...................................... 61,600 3,490,872
-------------
$ 9,712,523
-------------
MEDICAL EQUIPMENT -- 3.9%
Boston Scientific Corp.* ....................... 44,400 $ 1,198,800
Medtronic, Inc. ................................ 104,700 5,422,413
St. Jude Medical, Inc.* ........................ 6,900 300,909
Waters Corp.* .................................. 32,700 1,215,459
Zimmer Holdings, Inc.* ......................... 32,900 2,505,993
-------------
$ 10,643,574
-------------
METALS & MINING -- 0.7%
BHP Billiton Ltd., ADR ......................... 21,200 $ 578,760
Companhia Vale do Rio Doce, ADR ................ 48,300 1,414,224
-------------
$ 1,992,984
-------------
OIL SERVICES -- 2.7%
BJ Services Co. ................................ 29,200 $ 1,532,416
GlobalSantaFe Corp. ............................ 41,200 1,680,960
Noble Corp. .................................... 27,400 1,685,374
Smith International, Inc. ...................... 24,600 1,567,020
Tenaris S.A., ADR .............................. 12,100 947,067
-------------
$ 7,412,837
-------------
PERSONAL COMPUTERS & PERIPHERALS -- 1.5%
Lexmark International, Inc., "A"* .............. 61,700 $ 4,000,011
-------------
PHARMACEUTICALS -- 13.5%
Abbott Laboratories ............................ 113,700 $ 5,572,437
Allergan, Inc. ................................. 40,100 3,418,124
Eli Lilly & Co. ................................ 93,800 5,225,598
Johnson & Johnson .............................. 156,000 10,140,000
Roche Holding AG ............................... 33,700 4,244,093
Wyeth .......................................... 187,600 8,348,200
-------------
$ 36,948,452
-------------
RESTAURANTS -- 0.8%
Outback Steakhouse, Inc. ....................... 48,600 $ 2,198,664
-------------
SPECIALTY CHEMICALS -- 0.1%
Praxair, Inc. .................................. 5,800 $ 270,280
-------------
SPECIALTY STORES -- 3.8%
Best Buy Co., Inc. ............................. 40,100 $ 2,748,855
CarMax, Inc.* .................................. 67,200 1,790,880
Lowe's Cos., Inc. .............................. 64,600 3,761,012
PETsMART, Inc. ................................. 65,900 2,000,065
-------------
$ 10,300,812
-------------
TELECOMMUNICATIONS -- WIRELINE -- 4.5%
Cisco Systems, Inc.* ........................... 573,000 $ 10,950,030
NeuStar, Inc., "A"* ............................ 1,170 29,952
QUALCOMM, Inc. ................................. 41,300 1,363,313
-------------
$ 12,343,295
-------------
TELEPHONE SERVICES -- 1.1%
Sprint Corp. ................................... 119,650 $ 3,002,019
-------------
TRUCKING -- 1.4%
FedEx Corp. .................................... 47,200 $ 3,823,671
-------------
Total Stocks (Identified Cost, $240,468,935) $ 264,059,972
-------------
SHORT-TERM OBLIGATION -- 3.7%
Issuer Par Amount Value
General Electric Capital Corp.,
3.4%, due 7/01/05, at Amortized Cost< ........$10,237,000 $ 10,237,000
-------------
Total Investments
(Identified Cost, $250,705,935)(+) ....... $ 274,296,972
-------------
OTHER ASSETS,
LESS LIABILITIES -- (0.1)% ................... (314,858)
-------------
Net Assets -- 100.0% ....................... $ 273,982,114
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
GLOBAL GOVERNMENTS VARIABLE ACCOUNT
BONDS -- 96.5%
Issuer Par Amount Value
FOREIGN BONDS -- 77.0%
AUSTRALIA -- 1.4%
Commonwealth of Australia, 6%, 2017 .......... AUD 203,000 $ 165,803
-------------
AUSTRIA -- 2.5%
Republic of Austria, 5%, 2012 ................ EUR 214,000 $ 293,769
-------------
BELGIUM -- 3.1%
Kingdom of Belgium, 3.75%, 2009 .............. EUR 164,000 $ 208,286
Kingdom of Belgium, 5%, 2012 ................. EUR 111,000 152,793
-------------
$ 361,079
-------------
CANADA -- 4.9%
Canada Housing Trust, 4.65%, 2009 ............ CAD 135,000 $ 115,788
Government of Canada, 5.25%, 2012 ............ CAD 75,000 67,142
Government of Canada, 4.5%, 2015 ............. CAD 113,000 96,837
Quebec Province, 1.6%, 2013 .................. JPY 31,000,000 293,690
-------------
$ 573,457
-------------
DENMARK -- 1.1%
Kingdom of Denmark, 4%, 2015 ................. DKK 701,000 $ 122,664
-------------
FINLAND -- 4.9%
Republic of Finland, 3%, 2008 ................ EUR 416,000 $ 514,864
Republic of Finland, 5.375%, 2013 ............ EUR 36,000 51,107
-------------
$ 565,971
-------------
FRANCE -- 7.3%
Republic of France, 4.75%, 2007 .............. EUR 379,000 $ 482,544
Republic of France, 4.75%, 2012 .............. EUR 131,000 178,029
Republic of France, 6%, 2025 ................. EUR 113,000 184,035
-------------
$ 844,608
-------------
GERMANY -- 13.4%
Federal Republic of Germany,
3.5%, 2008 ................................. EUR 427,000 $ 536,961
Federal Republic of Germany,
3.75%, 2015 ................................ EUR 80,000 101,910
Federal Republic of Germany,
6.25%, 2024 ................................ EUR 289,000 477,043
Federal Republic of Germany,
6.25%, 2030 ................................ EUR 253,000 434,352
-------------
$ 1,550,266
-------------
IRELAND -- 5.5%
Republic of Ireland, 4.25%, 2007 ............. EUR 454,000 $ 575,360
Republic of Ireland, 4.6%, 2016 .............. EUR 45,000 61,514
-------------
$ 636,874
-------------
JAPAN -- 4.0%
Development Bank of Japan,
1.4%, 2012 ................................. JPY 39,000,000 $ 368,190
Development Bank of Japan,
1.6%, 2014 ................................. JPY 10,000,000 94,792
-------------
$ 462,982
-------------
MEXICO -- 0.5%
United Mexican States, 8.125%, 2019 .......... $ 51,000 $ 62,603
-------------
NETHERLANDS -- 3.8%
Kingdom of Netherlands, 5.75%, 2007 .......... EUR 323,000 $ 413,688
Kingdom of Netherlands, 5%, 2012 ............. EUR 19,697 27,071
-------------
$ 440,759
-------------
NEW ZEALAND -- 5.0%
Government of New Zealand,
6.5%, 2013 ................................. NZD 664,000 $ 483,800
Government of New Zealand,
6%, 2015 ................................... NZD 133,000 94,419
-------------
$ 578,219
-------------
NORWAY -- 1.0%
Kingdom of Norway, 6.5%, 2013 ................ NOK 591,000 $ 109,989
-------------
QATAR -- 0.7%
State of Qatar, 9.75%, 2030 .................. $ 50,000 $ 77,625
-------------
RUSSIA -- 0.9%
Russian Federation, 3%, 2008 ................. $ 66,000 $ 62,271
Russian Federation, 5% to 2007,
7.5% to 2030 ............................... 38,000 42,423
-------------
$ 104,694
-------------
SPAIN -- 7.7%
Kingdom of Spain, 6%, 2008 ................... EUR 401,000 $ 531,154
Kingdom of Spain, 5.35%, 2011 ................ EUR 262,000 364,674
-------------
$ 895,828
-------------
SWEDEN -- 1.9%
Kingdom of Sweden, 5.25%, 2011 ............... SEK 780,000 $ 114,248
Kingdom of Sweden, 4%, 2020 .................. SEK 651,597 111,046
-------------
$ 225,294
-------------
UNITED KINGDOM -- 7.4%
United Kingdom Treasury, 5.75%, 2009 ......... GBP 65,000 $ 124,413
United Kingdom Treasury, 8%, 2015 ............ GBP 307,000 728,203
-------------
$ 852,616
=============
Total Foreign Bonds ...................... $ 8,925,100
-------------
U.S. BONDS -- 19.5%
ASSET BACKED & SECURITIZED -- 4.1%
Commercial Mortgage Asset Trust, FRN,
1.0939%, 2032## ............................ $ 1,560,930 $ 72,050
Commercial Mortgage Pass-Through
Certificate, 3.41%, 2017## ................. 59,000 58,987
Deutsche Mortgage & Asset Receiving
Corp., 6.538%, 2031 ........................ 49,476 51,865
First Union National Bank Commercial
Mortgage Trust, FRN, 1.206%, 2043##^^ ..... 1,731,260 76,687
J.P. Morgan Chase Commercial Mortgage
Securities Corp., 3.42%, 2046 .............. 52,080 52,120
J.P. Morgan Chase Commercial Mortgage
Securities Corp., FRN,
5.3839%, 2041 .............................. 55,952 58,754
Wachovia Bank Commercial Mortgage Trust,
3.51%, 2015## .............................. 22,101 22,114
Wachovia Bank Commerical Mortgage Trust,
3.46%, 2015## .............................. 83,496 83,613
-------------
$ 476,190
-------------
MORTGAGE BACKED -- 2.0%
Fannie Mae, 5.5%, 2034 ....................... $ 227,002 $ 230,315
-------------
MUNICIPALS -- 2.0%
Honolulu, HI, City & County Rev., "A",
5%, 2015 ................................... $ 85,000 $ 95,135
Massachusetts State Water Resources
Authority, "A", 5.25%, 2015 ................ 80,000 91,282
New York, NY, City Municipal Water
Finance Authority, Water & Sewer
Systems Rev., "D", 5%, 2037 ................ 40,000 42,544
-------------
$ 228,961
-------------
SUPRANATIONAL -- 2.4%
Inter-American Development Bank,
1.9%, 2009 ................................. JPY 29,000,000 $ 279,650
-------------
U.S. GOVERNMENT AGENCIES -- 3.0%
Fannie Mae, 4.25%, 2007 ...................... $ 346,000 $ 347,118
-------------
U.S. TREASURY OBLIGATIONS -- 6.0%
U.S. Treasury Bonds, 6.25%, 2030 ............. $ 181,000 $ 235,759
U.S. Treasury Notes, 4.25%, 2013 ............. 40,000 41,061
U.S. Treasury Notes, 2%, 2014 ................ 268,500 276,565
U.S. Treasury Notes, 4%, 2015 ................ 137,000 137,487
-------------
$ 690,872
-------------
Total U.S. Bonds ......................... $ 2,253,106
-------------
Total Bonds (Identified Cost, $11,083,944) $ 11,178,206
-------------
CALL OPTIONS PURCHASED -- 0%
Number
of Contacts
Issue/Strike Price/Expiration (000 Omitted) Value
USD Call /KRW Put/August 1025
Call/8/10/2005
(Premiums Paid, $1,392) .................... 236,775 $ 3,315
-------------
PUT OPTIONS PURCHASED -- 0%
U.S. Treasury 10yr Note Future/September
112 Put/8/26/2005 .......................... 2 $ 781
U.S. Treasury 10yr Note Future/September
113 Put/8/26/2005 .......................... 2 1,406
-------------
Total Put Options Purchased
(Premiums Paid, $4,710) ................ $ 2,187
-------------
REPURCHASE AGREEMENTS -- 5.5%
Issuer Par Amount Value
Goldman Sachs, 3.25%, dated 6/30/05, due
7/01/05, total to be received $523,047
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account) ............................ $ 523,000 $ 523,000
Morgan Stanley, 3.35%, dated 6/30/05, due
7/01/05, total to be received $113,011
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account) ............................ 113,000 113,000
-------------
Total Repurchase Agreement, at Cost ...... $ 636,000
-------------
Total Investments (Identified Cost, $11,726,046) $ 11,819,708
-------------
OTHER ASSETS,
LESS LIABILITIES -- (2.0)% ................. (231,493)
-------------
Net Assets -- 100.0% ..................... $ 11,588,215
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
GOVERNMENT SECURITIES VARIABLE ACCOUNT
BONDS -- 99.1%
Issuer Par Amount Value
AGENCY -- OTHER -- 4.4%
Financing Corp., 10.35%, 2018 ..................$ 1,150,000 $ 1,810,731
Resolution Funding Corp., 8.875%, 2020 ......... 1,700,000 2,520,337
-------------
$ 4,331,068
-------------
ASSET BACKED & SECURITIZED -- 0.1%
Freddie Mac, 3.108%, 2035 ......................$ 132,727 $ 131,945
-------------
MORTGAGE BACKED - 55.2%
Fannie Mae, 8.5%, 2007 .........................$ 4,532 $ 4,943
Fannie Mae, 6.8%, 2011 ......................... 99,865 110,438
Fannie Mae, 4.79%, 2012 ........................ 934,169 930,749
Fannie Mae, 4.73%, 2012 ........................ 96,544 98,319
Fannie Mae, 5%, 2013 - 2019 .................... 11,000,749 11,137,625
Fannie Mae, 4.8%, 2013 ......................... 91,728 93,788
Fannie Mae, 4.845%, 2013 ....................... 266,651 273,697
Fannie Mae, 5.06%, 2013 ........................ 107,427 111,336
Fannie Mae, 4.65%, 2013 ........................ 253,261 254,828
Fannie Mae, 4.45%, 2014 ........................ 327,061 327,373
Fannie Mae, 4.771%, 2014 ....................... 653,393 669,035
Fannie Mae, 4.6%, 2014 ......................... 127,852 129,182
Fannie Mae, 4.667%, 2014 ....................... 856,692 871,370
Fannie Mae, 4.846%, 2014 ....................... 928,008 954,842
Fannie Mae, 5.1%, 2014 ......................... 139,738 145,728
Fannie Mae, 4.62%, 2015 ........................ 183,507 185,570
Fannie Mae, 4.82%, 2015 ........................ 249,673 255,953
Fannie Mae, 4.69%, 2015 ........................ 90,579 92,032
Fannie Mae, 4.85%, 2015 ........................ 90,562 93,022
Fannie Mae, 4.56%, 2015 ........................ 164,686 165,812
Fannie Mae, 4.665%, 2015 ....................... 111,064 112,641
Fannie Mae, 4.7%, 2015 ......................... 127,595 129,712
Fannie Mae, 4.89%, 2015 ........................ 89,727 92,421
Fannie Mae, 4.74%, 2015 ........................ 100,000 101,941
Fannie Mae, 4.925%, 2015 ....................... 354,101 365,997
Fannie Mae, 6%, 2016 - 2034 .................... 6,717,997 6,919,138
Fannie Mae, 6.5%, 2016 - 2032 .................. 2,361,153 2,451,250
Fannie Mae, 5.5%, 2017 - 2034 .................. 16,017,929 16,286,844
Fannie Mae, 10%, 2018 .......................... 299,582 336,323
Fannie Mae, 4.5%, 2019 ......................... 2,491,856 2,482,463
Fannie Mae, 4.88%, 2020 ........................ 98,900 101,649
Fannie Mae, 5.9958%, 2020 ...................... 5,977 5,962
Fannie Mae, 7.5%, 2022 - 2031 .................. 320,990 343,227
Freddie Mac, 4.375%, 2015 ...................... 782,009 782,450
Freddie Mac, 5.5%, 2025 - 2034 ................. 2,090,159 2,124,305
Freddie Mac, 7.5%, 2027 ........................ 142,595 153,066
Freddie Mac, 6.5%, 2032 ........................ 1,115,261 1,156,279
Freddie Mac, 6%, 2034 .......................... 1,824,463 1,872,020
Ginnie Mae, 5.5%, 2033 ......................... 2,193,107 2,242,136
-------------
$ 54,965,466
-------------
U.S. GOVERNMENT AGENCIES -- 27.4%
Aid to Israel, 6.6%, 2008 ......................$ 762,191 $ 780,417
Aid to Israel, 5.5%, 2023 ...................... 1,097,000 1,229,026
Aid to Israel, 0%, 2024 ........................ 1,442,000 596,565
Aid to Peru, 9.98%, 2008 ....................... 636,918 690,712
Empresa Energetica Cornito Ltd.,
6.07%, 2010 .................................. 2,325,000 2,417,814
Fannie Mae, 3.41%, 2007 ........................ 1,060,000 1,048,151
Fannie Mae, 4.25%, 2009 ........................ 1,073,000 1,084,606
Fannie Mae, 4.625%, 2014 ....................... 761,000 780,462
Freddie Mac, 5.625%, 2011 ...................... 3,664,000 3,956,032
Freddie Mac, 5.05%, 2015 ....................... 956,000 967,692
Overseas Private Investment Corp.,
0%, 2007 ..................................... 163,996 164,928
Small Business Administration,
8.4%, 2007 ................................... 6,418 6,541
Small Business Administration,
10.05%, 2009 ................................. 16,402 17,379
Small Business Administration,
8.7%, 2009 ................................... 81,124 85,592
Small Business Administration,
6.34%, 2021 .................................. 727,521 780,199
Small Business Administration,
6.44%, 2021 .................................. 692,672 745,828
Small Business Administration,
6.625%, 2021 ................................. 756,202 823,186
Small Business Administration,
6.07%, 2022 .................................. 550,140 585,629
Small Business Administration,
4.98%, 2023 .................................. 268,148 274,472
Small Business Administration,
4.89%, 2023 .................................. 700,263 713,780
Small Business Administration,
4.72%, 2024 .................................. 715,549 723,592
Small Business Administration,
4.34%, 2024 .................................. 388,554 385,097
Small Business Administration,
4.77%, 2024 .................................. 665,134 673,950
Small Business Administration,
5.52%, 2024 .................................. 363,831 381,683
Small Business Administration,
4.99%, 2024 .................................. 447,067 457,605
Small Business Administration,
4.86%, 2024 .................................. 343,619 349,448
Small Business Administration,
4.88%, 2024 .................................. 313,318 318,909
Small Business Administration,
4.87%, 2024 .................................. 409,602 416,652
Small Business Administration,
5.11%, 2025 .................................. 356,000 366,335
Tennessee Valley Authority,
4.375%, 2015 ................................. 991,000 998,215
Tennessee Valley Authority STRIPS,
0%, 2042^^ .................................. 2,250,000 1,766,543
U.S. Department of Housing & Urban
Development, 6.36%, 2016 ..................... 500,000 556,248
U.S. Department of Housing & Urban
Development, 6.59%, 2016 ..................... 2,045,000 2,186,508
-------------
$ 27,329,796
-------------
U.S. TREASURY OBLIGATIONS -- 12.0%
U.S. Treasury Bonds, 12%, 2013 .................$ 19,000 $ 23,591
U.S. Treasury Bonds, 6%, 2026 .................. 123,000 151,549
U.S. Treasury Bonds, 5.25%, 2028 ............... 346,000 395,183
U.S. Treasury Bonds, 5.375%, 2031 .............. 956,000 1,128,080
U.S. Treasury Notes, 3.375%, 2007 .............. 2,102,319 2,169,084
U.S. Treasury Notes, 3.625%, 2008### ........... 1,981,041 2,096,266
U.S. Treasury Notes, 5.5%, 2008 ................ 2,755,000 2,882,526
U.S. Treasury Notes, 6.5%, 2010 ................ 248,000 276,762
U.S. Treasury Notes, 2%, 2014 .................. 2,044,809 2,106,234
U.S. Treasury Notes, 4%, 2014 .................. 84,000 84,505
U.S. Treasury STRIPS, 0%, 2016^^ .............. 1,030,000 659,007
-------------
$ 11,972,787
-------------
Total Bonds (Identified Cost, $96,332,224) ............ $ 98,731,062
-------------
REPURCHASE AGREEMENT - 1.4%
Morgan Stanley, 3.35%, dated 6/30/05, due
7/01/05, total to be received $1,404,131
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at Cost .....................$ 1,404,000 $ 1,404,000
-------------
Total Investments (Identified Cost, $97,736,224) $ 100,135,062
-------------
OTHER ASSETS,
LESS LIABILITIES - (0.5)% .............................. (455,931)
-------------
Net Assets - 100.0% .................................. $ 99,679,131
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
HIGH YIELD VARIABLE ACCOUNT
BONDS -- 91.8%
Issuer Par Amount Value
ADVERTISING & BROADCASTING -- 4.1%
Allbritton Communications Co.,
7.75%, 2012 ..................................$ 275,000 $ 270,875
DIRECTV Holdings LLC, 8.375%, 2013 ............. 120,000 132,900
DIRECTV Holdings LLC,
6.375%, 2015## ............................... 145,000 144,275
Echostar DBS Corp., 6.375%, 2011 ............... 465,000 460,931
Emmis Operating Co., 6.875%, 2012 .............. 135,000 133,650
Granite Broadcasting Corp., 9.75%, 2010 ........ 260,000 241,800
Innova S. de R.L., 9.375%, 2013 ................ 200,000 225,500
Intelsat Ltd., 8.625%, 2015## .................. 205,000 216,275
Intelsat Ltd., 0% to 2010, 9.25% to 2015## ..... 280,000 186,900
Lamar Media Corp., 7.25%, 2013 ................. 135,000 142,425
Panamsat Holding Corp., 0% to 2005, 10.375%
to 2014 ...................................... 315,000 216,563
Paxson Communications Corp.,
0% to 2006, 12.25% to 2009 ................... 495,000 462,825
-------------
$ 2,834,919
-------------
AEROSPACE -- 0.7%
Argo-Tech Corp., 9.25%, 2011 ...................$ 130,000 $ 141,050
BE Aerospace, Inc., 8.875%, 2011 ............... 125,000 130,625
TransDigm Holding Co., 8.375%, 2011 ............ 170,000 180,200
-------------
$ 451,875
-------------
AIRLINES -- 0.6%
Continental Airlines, Inc., 6.9%, 2017 .........$ 73,411 $ 59,790
Continental Airlines, Inc., 6.748%, 2017 ....... 74,147 60,872
Continental Airlines, Inc., 6.795%, 2018 ....... 121,955 101,820
Continental Airlines, Inc., 7.566%, 2020 ....... 244,890 201,688
-------------
$ 424,170
-------------
APPAREL MANUFACTURERS -- 0.5%
Levi Strauss & Co., 12.25%, 2012 ...............$ 150,000 $ 163,875
Levi Strauss & Co., 9.75%, 2015 ................ 180,000 178,650
-------------
$ 342,525
-------------
ASSET BACKED & SECURITIZED -- 2.2%
Airplane Pass-Through Trust,
10.875%, 2019** ..............................$ 740,775 $ 2,222
ARCap, Inc., 6.1%, 2045## ...................... 165,567 155,633
Asset Securitization Corp.,
8.7809%, 2029## .............................. 200,000 188,203
Asset Securitization Corp., FRN,
8.2909%, 2029 ................................ 150,000 156,487
Crest Ltd., 7%, 2040## ......................... 154,000 149,786
First Union National Bank Commercial
Mortgage Corp., 6.75%, 2032 .................. 165,000 171,479
GMAC Commercial Mortgage Securities, Inc.,
FRN, 7.9079%, 2034## ......................... 192,000 213,107
Mortgage Capital Funding, Inc.,
7.214%, 2027 ................................. 500,000 525,402
-------------
$ 1,562,319
-------------
AUTOMOTIVE -- 4.0%
Affinia Group, Inc., 9%, 2014## ................$ 200,000 $ 168,000
Ford Motor Credit Co., 6.625%, 2008 ............ 208,000 205,431
Ford Motor Credit Co., 5.625%, 2008 ............ 140,000 133,417
General Motors Acceptance Corp., 6.125%,
2008 ......................................... 110,000 106,482
General Motors Acceptance Corp.,
5.85%, 2009 .................................. 200,000 187,482
General Motors Acceptance Corp.,
6.75%, 2014 .................................. 429,000 383,815
General Motors Corp., 8.375%, 2033 ............. 304,000 253,840
INTERMET Corp., 9.75%, 2009** .................. 160,000 69,200
Lear Corp., 8.11%, 2009 ........................ 195,000 201,638
Metaldyne Corp., 11%, 2012 ..................... 49,000 31,728
Metaldyne Corp., 10%, 2013## ................... 260,000 213,200
AUTOMOTIVE -- continued
Navistar International Corp., 7.5%, 2011 .......$ 395,000 $ 402,900
TRW Automotive, Inc., 9.375%, 2013 ............. 185,000 204,888
TRW Automotive, Inc., 11%, 2013 ................ 199,000 228,850
-------------
$ 2,790,871
-------------
BASIC INDUSTRY -- 0.1%
Trimas Corp., 9.875%, 2012 .....................$ 115,000 $ 96,600
-------------
BROADCAST & CABLE TV -- 3.3%
Cablevision Systems Corp., 8%, 2012 ............$ 155,000 $ 151,900
CCO Holdings LLC, 8.75%, 2013 .................. 150,000 147,750
Charter Communications, Inc.,
8.625%, 2009 ................................. 510,000 378,675
Charter Communications, Inc.,
9.92%, 2011 .................................. 495,000 361,350
Charter Communications, Inc.,
8.375%, 2014## ............................... 120,000 119,400
CSC Holdings, Inc., 8.125%, 2009 ............... 125,000 126,562
CSC Holdings, Inc., 6.75%, 2012## .............. 215,000 202,100
FrontierVision Holdings LP,
11.875%, 2007** .............................. 50,000 68,750
FrontierVision Holdings LP, "B",
11.875%, 2007** .............................. 80,000 110,000
Frontiervision Operating Partners LP,
11%, 2006** .................................. 195,000 262,275
Mediacom Broadband LLC, 9.5%, 2013 ............. 210,000 209,475
Rogers Cable, Inc., 8.75%, 2032 ................ 140,000 158,900
-------------
$ 2,297,137
-------------
BROKERAGE & ASSET MANAGERS -- 0.2%
Refco Finance Holdings LLC, 9%, 2012 ...........$ 135,000 $ 143,100
-------------
BUILDING -- 0.8%
Interface, Inc., 10.375%, 2010 .................$ 167,000 $ 183,700
Nortek Holdings, Inc., 8.5%, 2014 .............. 210,000 195,300
Nortek Holdings, Inc., 0% to 2009,
10.75% to 2014## ............................. 238,000 111,860
Texas Industries, Inc., 7.25%, 2013## .......... 35,000 35,875
-------------
$ 526,735
-------------
BUSINESS SERVICES -- 1.9%
Iron Mountain, Inc., 8.625%, 2013 ..............$ 240,000 $ 248,400
Iron Mountain, Inc., 7.75%, 2015 ............... 5,000 5,025
Iron Mountain, Inc., 6.625%, 2016 .............. 105,000 97,125
Lucent Technologies, Inc., 5.5%, 2008 .......... 135,000 133,988
Lucent Technologies, Inc., 6.45%, 2029 ......... 160,000 143,200
Northern Telecom Corp., 6.875%, 2023 ........... 115,000 107,525
Northern Telecom Corp., 7.875%, 2026 ........... 70,000 70,000
Xerox Corp., 7.625%, 2013 ...................... 485,000 521,981
-------------
$ 1,327,244
-------------
CHEMICALS -- 4.7%
ARCO Chemical Co., 9.8%, 2020 ..................$ 155,000 $ 173,600
BCP Crystal Holdings Corp., 9.625%, 2014 ....... 121,000 135,520
Crystal U.S. Holdings LLC, 0% to 2009, 10%
to 2014 ...................................... 62,000 43,710
Crystal U.S. Holdings LLC, 0% to 2009, 10.5%
to 2014 ...................................... 337,000 234,215
Equistar Chemicals LP, 10.625%, 2011 ........... 115,000 126,931
Hercules, Inc., 6.75%, 2029 .................... 205,000 198,850
Huntsman International LLC,
10.125%, 2009 ................................ 197,000 202,664
Huntsman International LLC,
7.375%, 2015## ............................... 215,000 212,312
IMC Global, Inc., 10.875%, 2013 ................ 110,000 128,975
KI Holdings, Inc., 0% to 2009,
9.875% to 2014## ............................. 233,000 135,140
Kronos International, Inc., 8.875%, 2009 .......EUR 15,000 19,222
Lyondell Chemical Co., 9.5%, 2008 ..............$ 130,000 138,288
Lyondell Chemical Co., 11.125%, 2012 ........... 130,000 147,550
Nalco Co., 7.75%, 2011 ......................... 110,000 117,150
Nalco Co., 8.875%, 2013 ........................ 135,000 144,788
Nova Chemicals Corp., 6.5%, 2012 ............... 340,000 329,800
Resolution Performance Products LLC,
13.5%, 2010 .................................. 130,000 139,750
Rhodia S.A., 8.875%, 2011 ...................... 430,000 413,875
Rockwood Specialties Group, Inc.,
10.625%, 2011 ................................ 180,000 198,450
Rockwood Specialties Group, Inc.,
7.5%, 2014## ................................. 50,000 49,625
-------------
$ 3,290,415
-------------
CONSTRUCTION -- 1.5%
Beazer Homes USA, Inc.,
6.875%, 2015## ...............................$ 225,000 $ 222,750
D.R. Horton, Inc., 8%, 2009 .................... 250,000 273,851
Technical Olympic USA, Inc., 9%, 2010 .......... 75,000 77,156
Technical Olympic USA, Inc., 7.5%, 2011 ........ 50,000 46,500
Technical Olympic USA, Inc., 7.5%, 2015 ........ 150,000 135,000
WCI Communities, Inc., 7.875%, 2013 ............ 210,000 210,000
WCI Communities, Inc., 6.625%, 2015 ............ 105,000 96,075
-------------
$ 1,061,332
-------------
CONSUMER GOODS & SERVICES -- 2.3%
Bombardier Recreational Products, Inc.,
8.375%, 2013 .................................$ 150,000 $ 159,750
Church & Dwight, Inc., 6%, 2012 ................ 135,000 136,350
Integrated Electrical Services, Inc.,
9.375%, 2009 ................................. 185,000 138,287
K2, Inc., 7.375%, 2014 ......................... 65,000 68,412
Revlon Consumer Products Corp.,
9.5%, 2011 ................................... 220,000 207,900
Safilo Capital International S.A.,
9.625%, 2013## ...............................EUR 320,000 416,829
Samsonite Corp., 8.875%, 2011 ..................$ 210,000 223,125
Service Corp. International, 7%, 2017## ........ 215,000 220,913
-------------
$ 1,571,566
-------------
CONTAINERS -- 1.6%
Crown European Holdings S.A.,
9.5%, 2011 ...................................$ 170,000 $ 187,850
Greif, Inc., 8.875%, 2012 ...................... 210,000 225,750
Huntsman Packaging Corp., 13%, 2010 ............ 180,000 145,800
Owens-Brockway Glass Container, Inc., 8.25%,
2013 ......................................... 195,000 211,819
Owens-Illinois, Inc., 7.8%, 2018 ............... 150,000 157,500
Plastipak Holdings, Inc., 10.75%, 2011 ......... 145,000 159,863
Pliant Corp., 13%, 2010 ........................ 40,000 32,400
-------------
$ 1,120,982
-------------
DEFENSE ELECTRONICS -- 0.5%
L-3 Communications Holdings, Inc.,
6.125%, 2014 .................................$ 230,000 $ 230,000
L-3 Communications Holdings, Inc.,
5.875%, 2015 ................................. 130,000 126,100
-------------
$ 356,100
-------------
ELECTRONICS -- 0.5%
Flextronics International Ltd., 6.5%, 2013 .....$ 285,000 $ 294,975
Magnachip Semiconductor S.A.,
8%, 2014## ................................... 30,000 28,800
-------------
$ 323,775
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 0.6%
Gazprom OAO, 9.625%, 2013## ....................$ 120,000 $ 147,000
Gazprom OAO, 8.625%, 2034## .................... 220,000 275,825
-------------
$ 422,825
-------------
EMERGING MARKET SOVEREIGN -- 0.8%
Federal Republic of Brazil, 8%, 2014 ...........$ 18,999 $ 19,450
Federal Republic of Brazil, 8.875%, 2019 ....... 203,000 215,180
Republic of Panama, 9.375%, 2023 ............... 123,000 151,905
Republic of Panama, 9.375%, 2029 ............... 36,000 44,550
Russian Ministry of Finance,
12.75%, 2028## ............................... 84,000 151,922
-------------
$ 583,007
-------------
ENERGY -- INDEPENDENT -- 2.4%
Belden & Blake Corp., 8.75%, 2012 ..............$ 160,000 $ 156,800
Chesapeake Energy Corp., 7%, 2014 .............. 254,000 269,240
Chesapeake Energy Corp.,
6.375%, 2015## ............................... 120,000 123,000
Chesapeake Energy Corp.,
6.875%, 2016 ................................. 205,000 213,712
Encore Acquisition Co., 8.375%, 2012 ........... 135,000 146,475
Encore Acquisition Co., 6.25%, 2014 ............ 35,000 35,437
Encore Acquisition Co., 6%, 2015 ............... 110,000 107,976
Kerr-McGee Corp., 6.95%, 2024 .................. 280,000 289,316
Newfield Exploration Co., 6.625%, 2014 ......... 140,000 146,650
Plains Exploration & Production Co., 7.125%,
2014 ......................................... 200,000 214,000
-------------
$ 1,702,606
-------------
ENERGY -- INTEGRATED -- 0.3%
Amerada Hess Corp., 7.3%, 2031 .................$ 195,000 $ 235,281
-------------
ENTERTAINMENT -- 1.3%
AMC Entertainment, Inc., 9.5%, 2011 ............$ 140,000 $ 137,375
AMC Entertainment, Inc., 8.625%, 2012 .......... 260,000 266,500
Intrawest Corp., 7.5%, 2013 .................... 65,000 66,706
Loews Cineplex Entertainment Corp.,
9%, 2014## ................................... 215,000 208,013
Six Flags, Inc., 9.75%, 2013## ................. 225,000 212,344
-------------
$ 890,938
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.2%
Burns, Philp & Co. Ltd., 9.75%, 2012 ...........$ 235,000 $ 252,625
Merisant Co., 9.5%, 2013## ..................... 60,000 42,600
Michael Foods, Inc., 8%, 2013 .................. 225,000 228,938
Smithfield Foods, Inc., 7%, 2011 ............... 220,000 231,550
United Biscuits Finance PLC,
10.625%, 2011 ................................EUR 80,000 102,031
-------------
$ 857,744
-------------
FOREST & PAPER PRODUCTS -- 4.5%
Abitibi-Consolidated, Inc., 8.55%, 2010 ........$ 390,000 $ 406,575
Abitibi-Consolidated, Inc., 7.75%, 2011 ........ 95,000 95,475
Buckeye Technologies, Inc., 8.5%, 2013 ......... 180,000 183,600
Corporacion Durango S.A. de C.V.,
7.5%, 2012 ................................... 151,000 119,290
Georgia-Pacific Corp., 9.375%, 2013 ............ 505,000 571,281
Georgia-Pacific Corp., 7.75%, 2029 ............. 200,000 224,750
Graphic Packaging International, Inc.,
9.5%, 2013 ................................... 230,000 231,725
Jefferson Smurfit Corp., 8.25%, 2012 ........... 205,000 206,025
JSG Funding LLC, 11.5%, 2015## .................EUR 293,702 281,169
MDP Acquisitions PLC, 9.625%, 2012 .............$ 205,000 205,000
Newark Group, Inc., 9.75%, 2014 ................ 145,000 133,400
NewPage Corp., 12%, 2013## ..................... 25,000 24,750
Norske Skog Canada Ltd., 8.625%, 2011 .......... 195,000 201,094
Norske Skog Canada Ltd., 7.375%, 2014 .......... 125,000 122,500
Stone Container Corp., 7.375%, 2014 ............ 140,000 131,600
-------------
$ 3,138,234
-------------
GAMING & LODGING -- 6.1%
Aztar Corp., 7.875%, 2014 ......................$ 165,000 $ 174,487
Boyd Gaming Corp., 6.75%, 2014 ................. 290,000 297,250
Caesars Entertainment, Inc., 8.875%, 2008 ...... 80,000 89,300
Caesars Entertainment, Inc., 8.125%, 2011 ...... 375,000 431,250
Host Marriott LP, 7.125%, 2013 ................. 250,000 260,625
Host Marriott LP, 6.375%, 2015## ............... 140,000 138,600
Mandalay Resort Group, 9.375%, 2010 ............ 175,000 195,563
MGM Mirage, Inc., 8.5%, 2010 ................... 140,000 155,400
MGM Mirage, Inc., 8.375%, 2011 ................. 410,000 446,900
MGM Mirage, Inc., 5.875%, 2014 ................. 195,000 189,394
Penn National Gaming, Inc.,
6.75%, 2015## ................................ 150,000 148,875
Pinnacle Entertainment, Inc.,
8.25%, 2012 .................................. 200,000 208,000
Pinnacle Entertainment, Inc.,
8.75%, 2013 .................................. 120,000 127,200
Royal Caribbean Cruises Ltd.,
6.875%, 2013 ................................. 420,000 447,300
Scientific Games Corp., 6.25%, 2012## .......... 130,000 131,300
Starwood Hotels & Resorts Worldwide, Inc.,
7.875%, 2012 ................................. 465,000 524,288
Station Casinos, Inc., 6.5%, 2014 .............. 140,000 142,800
Wynn Las Vegas LLC, 6.625%, 2014## ............. 155,000 150,738
-------------
$ 4,259,270
-------------
INDUSTRIAL -- 2.8%
Amsted Industries, Inc., 10.25%, 2011## ........$ 325,000 $ 351,000
Da Lite Screen Co., Inc., 9.5%, 2011 ........... 210,000 223,650
JohnsonDiversey Holdings, Inc., "B",
9.625%, 2012 ................................. 255,000 258,825
JohnsonDiversey Holdings, Inc.,
0% to 2007, 10.67% to 2013 ................... 485,000 344,956
Knowledge Learning Corp., 7.75%, 2015## ........ 125,000 119,375
Milacron Escrow Corp., 11.5%, 2011 ............. 280,000 294,000
Valmont Industries, Inc., 6.875%, 2014 ......... 215,000 215,000
Williams Scotsman, Inc., 9.875%, 2007 .......... 65,000 65,325
Williams Scotsman, Inc., 10%, 2008 ............. 50,000 55,257
-------------
$ 1,927,388
-------------
INSURANCE -- PROPERTY & CASUALTY -- 0.2%
AXIS Capital Holdings Ltd., 5.75%, 2014 ........$ 140,000 $ 144,987
-------------
MACHINERY & TOOLS -- 2.3%
Case Corp., 7.25%, 2016 ........................$ 75,000 $ 71,437
Case New Holland, Inc., 9.25%, 2011 ............ 250,000 262,500
JLG Industries, Inc., 8.25%, 2008 .............. 210,000 219,975
Manitowoc Co., Inc., 10.375%, 2011 .............EUR 115,000 153,621
Terex Corp., 10.375%, 2011 .....................$ 340,000 368,900
United Rentals, Inc., 6.5%, 2012 ............... 165,000 162,319
United Rentals, Inc., 7.75%, 2013 .............. 175,000 171,938
United Rentals, Inc., 7%, 2014 ................. 170,000 161,925
-------------
$ 1,572,615
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 5.1%
AmerisourceBergen Corp., 7.25%, 2012 ...........$ 165,000 $ 181,706
CDRV Investors, Inc., 0% to 2010,
9.625% to 2015## ............................. 350,000 171,500
DaVita, Inc., 6.625%, 2013## ................... 125,000 129,062
DaVita, Inc., 7.25%, 2015## .................... 145,000 148,987
Extendicare Health Services, Inc.,
6.875%, 2014 ................................. 215,000 213,387
Fisher Scientific International, Inc.,
6.75%, 2014 .................................. 45,000 47,025
Fisher Scientific International, Inc.,
6.125%, 2015## ............................... 135,000 135,169
HCA, Inc., 7.875%, 2011 ........................ 410,000 451,118
HCA, Inc., 6.375%, 2015 ........................ 685,000 710,761
HealthSouth Corp., 7.625%, 2012 ................ 180,000 174,600
InSight Health Services Corp.,
9.875%, 2011 ................................. 125,000 97,500
Psychiatric Solutions, Inc.,
7.75%, 2015## ................................ 70,000 70,000
Select Medical Corp., 7.625%, 2015## ........... 135,000 133,650
Tenet Healthcare Corp., 6.5%, 2012 ............. 115,000 109,250
Tenet Healthcare Corp., 9.875%, 2014 ........... 195,000 209,138
Tenet Healthcare Corp., 9.25%, 2015## .......... 155,000 160,813
Triad Hospitals, Inc., 7%, 2013 ................ 195,000 200,363
U.S. Oncology, Inc., 10.75%, 2014 .............. 180,000 196,200
-------------
$ 3,540,229
-------------
MEDICAL EQUIPMENT -- 0.4%
Warner Chilcott Corp., 8.75%, 2015## ...........$ 250,000 $ 243,125
-------------
METALS & MINING -- 1.3%
Century Aluminum Co., 7.5%, 2014 ...............$ 240,000 $ 237,000
Doe Run Resources Corp., 11.75%, 2008# ......... 252,800 202,240
Foundation PA Coal Co., 7.25%, 2014 ............ 140,000 147,000
Peabody Energy Corp., 5.875%, 2016 ............. 140,000 140,000
Russel Metals, Inc., 6.375%, 2014 .............. 220,000 205,700
-------------
$ 931,940
-------------
NATURAL GAS -- DISTRIBUTION -- 0.2%
AmeriGas Partners LP, 7.25%, 2015## ............$ 150,000 $ 156,000
-------------
NATURAL GAS -- PIPELINE -- 3.5%
ANR Pipeline Co., 9.625%, 2021 .................$ 220,000 $ 278,909
Colorado Interstate Gas Co.,
5.95%, 2015## ................................ 80,000 78,500
El Paso Energy Corp., 7.625%, 2010 ............. 190,000 200,583
El Paso Energy Corp., 7%, 2011 ................. 405,000 403,987
El Paso Energy Corp., 7.75%, 2013 .............. 390,000 416,325
Enterprise Products Operating LP,
6.375%, 2013 ................................. 115,000 124,611
Enterprise Products Partners LP,
5.6%, 2014 ................................... 310,000 319,006
Markwest Energy Partners LP,
6.875%, 2014## ............................... 210,000 208,950
Transcontinental Gas Pipe Line Corp.,
7%, 2011 ..................................... 135,000 145,463
Williams Cos., Inc., 7.125%, 2011 .............. 187,000 201,960
Williams Cos., Inc., 7.75%, 2031 ............... 70,000 77,175
-------------
$ 2,455,469
-------------
OIL SERVICES -- 0.9%
Gulfmark Offshore, Inc., 7.75%, 2014 ...........$ 180,000 $ 189,450
Hanover Compressor Co., 9%, 2014 ............... 190,000 202,350
Petroleum Geo-Services A.S.A.,
10%, 2010 .................................... 200,000 224,000
-------------
$ 615,800
-------------
OILS -- 0.7%
CITGO Petroleum Corp., 6%, 2011 ................$ 275,000 $ 274,312
Premcor Refining Group, Inc.,
7.75%, 2012 .................................. 120,000 131,100
Premcor Refining Group, Inc.,
7.5%, 2015 ................................... 85,000 93,075
-------------
$ 498,487
-------------
POLLUTION CONTROL -- 0.5%
Allied Waste North America, Inc.,
6.5%, 2010 ...................................$ 170,000 $ 167,450
Allied Waste North America, Inc.,
7.875%, 2013 ................................. 170,000 173,825
-------------
$ 341,275
-------------
PRECIOUS METALS & MINERALS -- 0.4%
Freeport-McMoRan Copper & Gold, Inc.,
6.875%, 2014 .................................$ 251,000 $ 244,725
-------------
PRINTING & PUBLISHING -- 2.8%
Cenveo Corp., 9.625%, 2012 .....................$ 60,000 $ 64,800
Cenveo Corp., 7.875%, 2013 ..................... 100,000 95,000
Dex Media East LLC, 12.125%, 2012 .............. 146,000 174,835
Dex Media, Inc., 0% to 2008,
9% to 2013 ................................... 635,000 511,175
Hollinger, Inc., 12.875%, 2011## ............... 99,000 108,281
Lighthouse International Co. S.A.,
8%, 2014## ...................................EUR 170,000 212,192
MediaNews Group, Inc., 6.875%, 2013 ............$ 205,000 203,206
PRIMEDIA, Inc., 8.875%, 2011 ................... 330,000 345,675
WDAC Subsidiary Corp.,
8.375%, 2014## ............................... 230,000 219,650
-------------
$ 1,934,814
-------------
RAILROAD & SHIPPING -- 0.8%
Kansas City Southern Railway Co.,
7.5%, 2009 ...................................$ 360,000 $ 371,700
TFM S.A. de C.V., 9.375%, 2012## ............... 102,000 106,080
TFM S.A. de C.V., 12.5%, 2012 .................. 51,000 59,670
-------------
$ 537,450
-------------
RESTAURANTS -- 0.3%
Carrols Holdings Corp., 9%, 2013## .............$ 200,000 $ 202,500
-------------
RETAILERS -- 2.3%
Buhrmann U.S., Inc., 7.875%, 2015## ............$ 205,000 $ 199,875
Couche-Tard, Inc., 7.5%, 2013 .................. 320,000 336,000
Dollar General Corp., 8.625%, 2010 ............. 230,000 262,200
Eye Care Centers of America, Inc.,
10.75%, 2015## ............................... 110,000 98,450
Finlay Fine Jewelry Corp., 8.375%, 2012 ........ 305,000 274,881
J.C. Penney Corp., Inc., 8%, 2010 .............. 180,000 198,000
Rite Aid Corp., 9.25%, 2013 .................... 120,000 117,600
Rite Aid Corp., 6.875%, 2013 ................... 155,000 134,075
-------------
$ 1,621,081
-------------
SPECIALTY STORES -- 0.3%
Payless ShoeSource, Inc., 8.25%, 2013 ..........$ 195,000 $ 205,725
-------------
STEEL -- 0.5%
AK Steel Holding Corp., 7.75%, 2012 ............$ 285,000 $ 240,825
Chaparral Steel Co., 10%, 2013## ............... 95,000 95,712
-------------
$ 336,537
-------------
SUPERMARKETS -- 0.5%
Roundy's, Inc., 8.875%, 2012 ...................$ 310,000 $ 319,300
-------------
TELECOMMUNICATIONS -- WIRELESS -- 3.9%
Alamosa Holdings, Inc., 0% to 2005,
12% to 2009 ..................................$ 170,000 $ 187,425
American Tower Corp., 9.375%, 2009 ............. 18,000 18,877
American Tower Corp., 7.125%, 2012 ............. 150,000 158,625
American Towers, Inc., 7.25%, 2011 ............. 130,000 137,150
Centennial Communications Corp.,
10.125%, 2013 ................................ 120,000 135,600
Dobson Cellular Systems, Inc.,
9.875%, 2012 ................................. 55,000 57,887
Dolphin Telecom PLC, 11.5%, 2008** ............. 1,500,000 0
Dolphin Telecom PLC, 14%, 2009** ............... 530,000 0
IWO Escrow Co., FRN,
6.8906%, 2012## .............................. 30,000 29,775
Nextel Communications, Inc.,
5.95%, 2014 .................................. 960,000 997,200
Rogers Wireless, Inc., 6.375%, 2014 ............ 250,000 254,375
Rogers Wireless, Inc., 7.5%, 2015 .............. 185,000 201,188
Rural Cellular Corp., 9.75%, 2010 .............. 145,000 134,850
Rural Cellular Corp., 9.875%, 2010 ............. 200,000 206,500
U.S. Unwired, Inc., 10%, 2012 .................. 160,000 178,000
-------------
$ 2,697,452
-------------
TELECOMMUNICATIONS -- WIRELINE -- 5.9%
AT&T Corp., 7.3%, 2011 .........................$ 231,000 $ 266,227
AT&T Corp., 9.75%, 2031 ........................ 115,000 149,644
Cincinnati Bell, Inc., 8.375%, 2014 ............ 200,000 205,000
Cincinnati Bell, Inc.,
8.375%, 2014## ............................... 35,000 35,875
Citizens Communications Co.,
9.25%, 2011 .................................. 395,000 440,919
Citizens Communications Co.,
6.25%, 2013 .................................. 170,000 164,475
Citizens Communications Co., 9%, 2031 .......... 65,000 66,625
Eircom Funding PLC, 8.25%, 2013 ................ 130,000 141,050
GCI, Inc., 7.25%, 2014 ......................... 215,000 206,400
Hawaiian Telecom Communications, Inc.,
9.75%, 2013## ................................ 50,000 53,000
Hawaiian Telecom Communications, Inc.,
12.5%, 2015## ................................ 30,000 31,950
MCI, Inc., 6.908%, 2007 ........................ 168,000 170,310
MCI, Inc., 7.688%, 2009 ........................ 143,000 148,899
Qwest Capital Funding, Inc.,
7.25%, 2011 .................................. 240,000 229,800
Qwest Corp., 7.875%, 2011## .................... 230,000 239,775
Qwest Corp., 8.875%, 2012## .................... 405,000 440,438
Qwest Services Corp., 13.5%, 2010 .............. 695,000 802,725
Time Warner Telecom Holdings, Inc., 9.25%,
2014 ......................................... 100,000 96,500
Time Warner Telecom Holdings, Inc., 9.25%,
2014## ....................................... 190,000 183,350
-------------
$ 4,072,962
-------------
TIRE & RUBBER -- 0.4%
Cooper Standard Automotive, Inc.,
8.375%, 2014 .................................$ 170,000 $ 134,300
Goodyear Tire & Rubber Co.,
9%, 2015## ................................... 135,000 132,637
-------------
$ 266,937
-------------
TOBACCO -- 0.5%
R. J. Reynolds Tobacco Holdings, Inc.,
7.25%, 2012 ..................................$ 185,000 $ 188,238
R. J. Reynolds Tobacco Holdings, Inc., 7.3%,
2015## ....................................... 155,000 155,000
-------------
$ 343,238
-------------
TRANSPORTATION -- SERVICES -- 0.6%
CHC Helicopter Corp., 7.375%, 2014 .............$ 155,000 $ 154,612
Stena AB, 9.625%, 2012 ......................... 80,000 87,200
Stena AB, 7%, 2016 ............................. 171,000 158,603
Westinghouse Air Brake Technologies Corp.,
6.875%, 2013 ................................. 35,000 35,875
-------------
$ 436,290
-------------
UTILITIES -- ELECTRIC POWER -- 8.0%
AES Corp., 8.75%, 2013## .......................$ 345,000 $ 385,537
AES Corp., 9%, 2015## .......................... 115,000 129,087
Allegheny Energy Supply Co. LLC,
8.25%, 2012## ................................ 225,000 252,000
Calpine Corp., 8.5%, 2008 ...................... 170,000 122,400
Calpine Corp., 9.625%, 2014## .................. 75,000 75,000
CenterPoint Energy, Inc., 7.25%, 2010 .......... 134,000 148,677
CMS Energy Corp., 8.5%, 2011 ................... 260,000 289,900
DPL, Inc., 6.875%, 2011 ........................ 125,000 135,000
Dynegy Holdings, Inc., 9.875%, 2010## .......... 80,000 88,400
Dynegy Holdings, Inc., 6.875%, 2011 ............ 15,000 14,812
Dynegy Holdings, Inc.,
10.125%, 2013## .............................. 105,000 118,650
Empresa Nacional de Electricidad S.A.,
8.35%, 2013 .................................. 250,000 290,359
FirstEnergy Corp., 6.45%, 2011 ................. 242,000 264,415
FirstEnergy Corp., 7.375%, 2031 ................ 71,000 86,789
Midwest Generation LLC, 8.75%, 2034 ............ 345,000 386,400
Nevada Power Co., 6.5%, 2012 ................... 50,000 52,250
Nevada Power Co., 5.875%, 2015## ............... 120,000 120,600
NorthWestern Corp., 5.875%, 2014## ............. 220,000 225,500
NRG Energy, Inc., 8%, 2013## ................... 370,000 390,350
PSEG Energy Holdings LLC,
8.625%, 2008 ................................. 315,000 334,688
Reliant Energy, Inc., 6.75%, 2014 .............. 95,000 92,863
Reliant Resources, Inc., 9.25%, 2010 ........... 80,000 87,200
Reliant Resources, Inc., 9.5%, 2013 ............ 95,000 105,450
Sierra Pacific Power Co., 6.25%, 2012 .......... 105,000 107,888
Sierra Pacific Resources, 8.625%, 2014 ......... 145,000 160,225
Teco Energy, Inc., 7%, 2012 .................... 190,000 205,200
Tenaska Alabama Partners LP,
7%, 2021## ................................... 100,000 101,250
Texas Genco LLC, 6.875%, 2014## ................ 205,000 215,763
TXU Corp., 5.55%, 2014## ....................... 610,000 591,612
-------------
$ 5,578,265
-------------
Total Bonds (Identified Cost, $64,045,832) ............ $ 63,836,161
-------------
STOCKS -- 1.2%
Issuer Shares Value
AUTOMOTIVE -- 0.3%
Magna International, Inc., "A" ................. 3,000 $ 211,020
Oxford Automotive* ............................. 53 0
-------------
$ 211,020
-------------
BROADCAST & CABLE TV -- 0.6%
NTL, Inc.* ..................................... 2,203 $ 150,729
Telewest Global, Inc.* ......................... 10,166 231,581
-------------
$ 382,310
-------------
FOREST & PAPER PRODUCTS -- 0%
Corporacion Durango S.A. de C.V.+* ............. 12,137 $ 9,429
-------------
PHARMACEUTICALS -- 0.2%
Merck & Co., Inc. .............................. 4,500 $ 138,600
-------------
PRINTING & PUBLISHING -- 0%
Golden Books Family Entertainment, Inc.* ....... 21,250 $ 0
-------------
SPECIALTY CHEMICALS -- 0%
Sterling Chemicals, Inc.* ...................... 31 $ 1,085
-------------
TELECOMMUNICATIONS -- WIRELESS -- 0.1%
Vodafone Group PLC, ADR ........................ 2,574 $ 62,600
-------------
TELEPHONE SERVICES -- 0%
VersaTel Telecom International N.V.* ........... 7,740 $ 17,213
-------------
Total Stocks (Identified Cost, $984,450) .............. $ 822,257
-------------
CONVERTIBLE PREFERRED STOCK -- 0.3%
AUTOMOTIVE -- 0.3%
General Motors Corp., 5.25%
(Identified Cost, $236,236) .................. 13,178 $ 244,584
-------------
PREFERRED STOCKS -- 0.2%
Issuer Shares Value
BROADCAST & CABLE TV -- 0.1%
Paxson Communications Corp.,
14.25%#* ..................................... 10 $ 64,500
-------------
CONSUMER GOODS & SERVICES -- 0%
Renaissance Cosmetics, Inc., 14%* .............. 975 $ 0
-------------
PRINTING & PUBLISHING -- 0.1%
PRIMEDIA, Inc., 8.625% ......................... 500 $ 49,125
-------------
REAL ESTATE -- 0%
HRPT Properties Trust, "B", 8.75% .............. 200 $ 5,416
-------------
TELEPHONE SERVICES -- 0%
PTV, Inc., "A", 10% * .......................... 10 $ 20
-------------
Total Preferred Stocks (Identified Cost, $12$ 119,061
-------------
WARRANTS -- 0%
GT Group Telecom, Inc., $0.0, 8/01/00
(Telephone Services)* ........................ 1,050 $ 0
Knology, Inc., $0.1, 11/22/97
(Telecommunications - Wireline)##* ........... 500 0
Loral Space & Communications Ltd., $0.14,
1/28/97 (Business Services)* ................. 1,000 9
Loral Space & Communications Ltd., $0.14,
1/28/97 (Business Services)* ................. 1,100 8
Ono Finance, $0.023, 5/31/09 (Broadcast &
Cable TV)* ................................... 1,225 0
Renaissance Cosmetics, Inc.,
$0.01, 8/08/96 (Consumer Goods &
Services)* ................................... 788 0
Sterling Chemicals, Inc., $52.00, 12/31/02
(Specialty Chemicals)* ....................... 51 61
Thermadyne Holdings Corp., $20.78,
5/29/03 (Machinery & Tools)* ................. 2,705 541
XM Satellite Radio, Inc., $45.24, 9/16/00
(Broadcast & Cable TV)* ...................... 425 25,500
XO Communications, Inc., "A", $6.25,
5/27/03 (Telephone Services)* ................ 397 139
XO Communications, Inc., "B", $7.50,
5/27/03 (Telephone Services)* ................ 298 77
XO Communications, Inc., "C",$10.00,
5/27/03 (Telephone Services)* ................ 298 63
-------------
Total Warrants (Identified Cost, $203,646) ............ $ 26,398
-------------
SHORT-TERM OBLIGATION -- 4.0%
Issuer Par Amount Value
General Electric Capital Corp.,
3.4%, due 7/01/05,
at Amortized Cost< ...........................$ 2,775,000 $ 2,775,000
-------------
REPURCHASE AGREEMENT -- 1.2%
Morgan Stanley, 3.35%, dated 6/30/05, due 7/
01/05, total to be received $861,080
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at Cost .....................$ 861,000 $ 861,000
-------------
Total Investments (Identified Cost, $69,235,906)....... $ 68,684,461
-------------
OTHER ASSETS,
LESS LIABILITIES -- 1.3% ................................ 872,099
-------------
Net Assets -- 100.0% .................................. $ 69,556,560
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
MANAGED SECTORS VARIABLE ACCOUNT
STOCKS -- 96.7%
Issuer Shares Value
AEROSPACE -- 0.7%
Northrop Grumman Corp. ......................... 5,250 $ 290,062
-------------
APPAREL MANUFACTURERS -- 1.3%
Nike, Inc., "B" ................................ 1,590 $ 137,694
Reebok International Ltd. ...................... 10,290 430,431
-------------
$ 568,125
-------------
BANKS & CREDIT COMPANIES -- 5.7%
American Express Co. ........................... 11,910 $ 633,969
Citigroup, Inc. ................................ 20,660 955,112
Countrywide Financial Corp. .................... 24,160 932,818
-------------
$ 2,521,899
-------------
BIOTECHNOLOGY -- 6.3%
Amgen, Inc.* ................................... 13,650 $ 825,279
Genentech, Inc.* ............................... 3,280 263,318
Genzyme Corp.* ................................. 18,420 1,106,858
Gilead Sciences, Inc.* ......................... 13,130 577,589
-------------
$ 2,773,044
-------------
BROADCAST & CABLE TV -- 5.1%
Comcast Corp., "A"* ............................ 15,060 $ 462,342
Time Warner, Inc.* ............................. 41,610 695,303
Univision Communications, Inc., "A"* ........... 11,560 318,478
Viacom, Inc., "B" .............................. 6,990 223,820
Walt Disney Co. ................................ 22,980 578,636
-------------
$ 2,278,579
-------------
BROKERAGE & ASSET MANAGERS -- 2.3%
Goldman Sachs Group, Inc. ...................... 7,160 $ 730,463
Merrill Lynch & Co., Inc. ...................... 4,960 272,850
-------------
$ 1,003,313
-------------
BUSINESS SERVICES -- 2.1%
Accenture Ltd., "A"* ........................... 16,970 $ 384,710
Fiserv, Inc.* .................................. 12,340 530,003
-------------
$ 914,713
-------------
COMPUTER SOFTWARE -- 12.6%
Amdocs Ltd.* ................................... 18,980 $ 501,641
Mercury Interactive Corp.* ..................... 9,230 354,063
Microsoft Corp. ................................ 84,730 2,104,693
Oracle Corp.* .................................. 89,990 1,187,868
Symantec Corp.* ................................ 28,950 629,373
VERITAS Software Corp.* ........................ 33,190 809,836
-------------
$ 5,587,474
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.0%
Dell, Inc.* .................................... 45,390 $ 1,793,359
-------------
CONSUMER GOODS & SERVICES -- 2.9%
Avon Products, Inc. ............................ 8,300 $ 314,155
Procter & Gamble Co. ........................... 18,310 965,853
-------------
$ 1,280,008
-------------
ELECTRICAL EQUIPMENT -- 0.4%
Tyco International Ltd. ........................ 6,810 $ 198,852
-------------
ELECTRONICS -- 5.2%
Amphenol Corp., "A" ............................ 11,370 $ 456,733
Analog Devices, Inc. ........................... 17,070 636,882
KLA-Tencor Corp. ............................... 6,840 298,908
Maxim Integrated Products, Inc. ................ 6,020 230,024
Texas Instruments, Inc. ........................ 24,390 684,627
-------------
$ 2,307,174
-------------
FOOD & DRUG STORES -- 2.2%
CVS Corp. ...................................... 34,040 $ 989,543
-------------
GAMING & LODGING -- 2.2%
Carnival Corp. ................................. 13,850 $ 755,518
Harrah's Entertainment, Inc. ................... 3,230 232,786
-------------
$ 988,304
-------------
GENERAL MERCHANDISE -- 1.8%
Target Corp. ................................... 14,250 $ 775,342
-------------
HEALTH MAINTENANCE ORGANIZATIONS -- 1.7%
WellPoint, Inc.* ............................... 11,010 $ 766,736
-------------
INTERNET -- 1.7%
eBay, Inc.* .................................... 15,940 $ 526,179
Yahoo!, Inc.* .................................. 7,130 247,055
-------------
$ 773,234
-------------
MACHINERY & TOOLS -- 1.2%
Caterpillar, Inc. .............................. 5,370 $ 511,815
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 3.1%
Community Health Systems, Inc.* ................ 11,800 $ 445,922
HCA, Inc. ...................................... 16,180 916,921
-------------
$ 1,362,843
-------------
MEDICAL EQUIPMENT -- 5.6%
Fisher Scientific International, Inc.* ......... 12,230 $ 793,727
Medtronic, Inc. ................................ 22,000 1,139,380
Waters Corp.* .................................. 14,910 554,205
-------------
$ 2,487,312
-------------
PERSONAL COMPUTERS & PERIPHERALS -- 2.2%
EMC Corp.* ..................................... 38,540 $ 528,383
Network Appliance, Inc.* ....................... 15,050 425,463
-------------
$ 953,846
-------------
PHARMACEUTICALS -- 14.0%
Abbott Laboratories ............................ 29,650 $ 1,453,147
Eli Lilly & Co. ................................ 12,290 684,676
Johnson & Johnson .............................. 35,390 2,300,350
Wyeth .......................................... 39,420 1,754,190
-------------
$ 6,192,363
-------------
SPECIALTY STORES -- 4.7%
Abercrombie & Fitch Co., "A" ................... 3,940 $ 270,678
Best Buy Co., Inc. ............................. 7,050 483,278
Lowe's Cos., Inc. .............................. 6,810 396,478
PETsMART, Inc. ................................. 10,210 309,873
Staples, Inc. .................................. 28,940 617,001
-------------
$ 2,077,308
-------------
TELECOMMUNICATIONS -- WIRELINE -- 4.7%
Cisco Systems, Inc.* ........................... 95,330 $ 1,821,756
Corning, Inc.* ................................. 15,170 252,125
-------------
$ 2,073,881
-------------
TELEPHONE SERVICES -- 0.7%
Sprint Corp. ................................... 13,200 $ 331,188
-------------
TRUCKING -- 2.3%
FedEx Corp. .................................... 7,220 $ 584,892
United Parcel Service, Inc., "B" ............... 6,450 446,082
-------------
$ 1,030,974
-------------
Total Investments (Identified Cost, $36,504,905)....... $ 42,831,291
-------------
OTHER ASSETS,
LESS LIABILITIES -- 3.3% ................................ 1,452,768
-------------
Net Assets -- 100.0% .................................. $ 44,284,059
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
MONEY MARKET VARIABLE ACCOUNT
COMMERCIAL PAPER< -- 97.1%
Issuer Par Amount Value
Abbey National North America LLC,
3%, due 7/08/05 ..............................$ 1,550,000 $ 1,549,095
American Express Credit Corp.,
2.98%, due 7/05/05 ........................... 235,000 234,922
American Express Credit Corp.,
3.15%, due 8/09/05 ........................... 1,265,000 1,260,683
American General Finance Corp.,
3.13%, due 7/28/05 ........................... 1,435,000 1,431,631
Barton Capital LLC, 3.15%, due 7/14/05@ ........ 460,000 459,477
Blue Ridge Asset Funding,
3.24%, due 8/05/05@ .......................... 1,433,000 1,428,486
CAFCO LLC, 3.03%, due 7/05/05@ ................. 1,500,000 1,499,495
Ciesco LLC, 3.32%, due 9/13/05@ ................ 1,440,000 1,430,173
Citibank Credit Card Issuance Trust,
3.15%, due 7/26/05@ .......................... 1,435,000 1,431,861
Citigroup Funding, Inc.,
3.43%, due 7/01/05 ........................... 1,362,000 1,362,000
Coca-Cola Enterprises, Inc.,
3.1%, due 7/25/05@ ........................... 1,190,000 1,187,541
Depfa Bank PLC, 3.16%, due 8/08/05@ ............ 440,000 438,532
Depfa Bank PLC, 3.035%, due 7/07/05@ ........... 1,061,000 1,060,463
Dexia Delaware LLC, 3.31%, due 8/24/05 ......... 1,434,000 1,426,880
Edison Asset Securitization LLC,
3.02%, due 7/07/05@ .......................... 388,000 387,805
Edison Asset Securitization LLC,
3.1%, due 7/22/05@ ........................... 660,000 658,807
Edison Asset Securitization LLC,
3.33%, due 8/26/05@ .......................... 312,000 310,384
Falcon Asset Securitization Corp.,
3.16%, due 7/14/05@ .......................... 1,425,000 1,423,374
General Electric Capital Corp.,
3.12%, due 7/25/05 ........................... 725,000 723,492
General Electric Capital Corp.,
3.37%, due 9/21/05 ........................... 710,000 704,550
Govco, Inc., 3.04%, due 7/12/05@ ............... 375,000 374,652
HBOS Treasury Services PLC,
3.37%, due 9/07/05 ........................... 1,440,000 1,430,834
HSBC USA, Inc., 3.39%, due 9/27/05 ............. 1,052,000 1,043,282
ING America Insurance Holdings, Inc.,
3.03%, due 7/06/05 ........................... 495,000 494,792
ING America Insurance Holdings, Inc.,
3.05%, due 7/08/05@ .......................... 1,000,000 999,407
Jupiter Securitization Corp.,
3.2%, due 7/22/05 ............................ 1,432,000 1,429,327
Mcgraw-Hill Cos., Inc. (The),
3.03%, due 7/07/05 ........................... 40,000 39,980
MetLife Funding, Inc., 3.32%, due 8/23/05 ...... 1,000,000 995,112
MetLife Funding, Inc., 3.38%, due 9/20/05 ...... 370,000 367,186
Morgan Stanley, Inc., 3%, due 7/07/05 .......... 1,545,000 1,544,228
Natexis Banques Populaires,
3.115%, due 7/26/05 .......................... 1,455,000 1,451,853
New Center Asset Trust,
3.4%, due 7/01/05 ............................ 1,362,000 1,362,000
Preferred Receivables Funding Corp.,
3.37%, due 9/20/05@ .......................... 1,438,000 1,427,096
Procter & Gamble Co., 3.04%,
due 7/20/05@ ................................. 1,500,000 1,497,593
SBC Communications, Inc.,
3.26%, due 8/01/05@ .......................... 1,365,000 1,361,168
Societe Generale N.A. Inc.,
3.17%, due 8/05/05 ........................... 1,425,000 1,420,608
Svenska Handelsbanken, Inc.,
3.2%, due 8/03/05 ............................ 2,000 1,258,298
Thunder Bay Funding, LLC,
3.33%, due 9/14/05@ .......................... 946,000 939,437
Toyota Motor Credit Corp.,
3%, due 7/06/05 .............................. 1,530,000 1,529,363
UBS Finance Delaware LLC,
3.08%, due 7/13/05 ........................... 1,450,000 1,448,511
Verizon Network Funding Co.,
3.36%, due 8/30/05 ........................... 1,365,000 1,357,356
-------------
Total Commercial Paper, at Amortized Cost
and Value ................................ $ 44,181,734
-------------
REPURCHASE AGREEMENT - 3.1%
Morgan Stanley, 3.35%, dated 6/30/05, due 7/
01/05, total to be received $1,383,129
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at Cost .....................$ 1,383,000 $ 1,383,000
-------------
Total Investments, at Amortized Cost and Value ........ $ 45,564,734
-------------
OTHER ASSETS,
LESS LIABILITIES - (0.2)% ............................... (37,097)
-------------
Net Assets - 100.0% ................................... $ 45,527,637
=============
See portfolio footnotes and notes to financial statements.
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 2005
TOTAL RETURN VARIABLE ACCOUNT
STOCKS -- 59.5%
Issuer Shares Value
AEROSPACE -- 1.7%
ITT Industries, Inc. ........................... 2,200 $ 214,786
Lockheed Martin Corp. .......................... 33,130 2,149,143
Northrop Grumman Corp. ......................... 11,280 623,220
United Technologies Corp. ...................... 9,120 468,312
-------------
$ 3,455,461
-------------
ALCOHOLIC BEVERAGES -- 0.3%
Diageo PLC ..................................... 36,990 $ 543,483
-------------
AUTOMOTIVE -- 0.4%
SPX Corp. ...................................... 11,450 $ 526,471
Toyota Motor Corp. ............................. 6,100 218,129
-------------
$ 744,600
-------------
BANKS & CREDIT COMPANIES -- 8.6%
American Express Co. ........................... 13,440 $ 715,411
Bank of America Corp. .......................... 87,922 4,010,122
Citigroup, Inc. ................................ 62,786 2,902,597
Countrywide Financial Corp. .................... 9,100 351,351
Fannie Mae ..................................... 12,200 712,480
Freddie Mac .................................... 10,520 686,220
J.P. Morgan Chase & Co. ........................ 82,068 2,898,642
MBNA Corp. ..................................... 7,450 194,892
PNC Financial Services Group, Inc. ............. 49,590 2,700,671
SunTrust Banks, Inc. ........................... 18,380 1,327,771
Wells Fargo & Co. .............................. 12,510 770,366
-------------
$ 17,270,523
-------------
BIOTECHNOLOGY -- 0.5%
Amgen, Inc.* ................................... 3,000 $ 181,380
MedImmune, Inc.* ............................... 27,550 736,136
-------------
$ 917,516
-------------
BROADCAST & CABLE TV -- 2.8%
Interpublic Group of Cos., Inc.* ............... 88,630 $ 1,079,513
Time Warner, Inc.* ............................. 33,820 565,132
Viacom, Inc., "B" .............................. 79,788 2,554,812
Walt Disney Co. ................................ 55,470 1,396,735
-------------
$ 5,596,192
-------------
BROKERAGE & ASSET MANAGERS -- 3.1%
Franklin Resources, Inc. ....................... 6,210 $ 478,046
Goldman Sachs Group, Inc. ...................... 9,750 994,695
Lehman Brothers Holdings, Inc. ................. 4,170 413,998
Mellon Financial Corp. ......................... 78,280 2,245,853
Merrill Lynch & Co., Inc. ...................... 30,730 1,690,457
Morgan Stanley ................................. 9,720 510,008
-------------
$ 6,333,057
-------------
BUSINESS SERVICES -- 0.4%
Accenture Ltd., "A"* ........................... 39,110 $ 886,624
-------------
CHEMICALS -- 1.6%
3M Co. ......................................... 4,000 $ 289,200
Dow Chemical Co. ............................... 17,950 799,314
E.I. du Pont de Nemours & Co. .................. 9,890 425,369
Nalco Holding Co.* ............................. 22,220 436,179
PPG Industries, Inc. ........................... 13,810 866,716
Syngenta AG .................................... 3,010 307,883
-------------
$ 3,124,661
-------------
COMPUTER SOFTWARE -- 1.9%
Compuware Corp.* ............................... 77,720 $ 558,807
Microsoft Corp. ................................ 28,590 710,176
Oracle Corp.* .................................. 33,250 438,900
Symantec Corp.* ................................ 99,600 2,165,304
-------------
$ 3,873,187
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 0.7%
Hewlett-Packard Co. ............................ 5,660 $ 133,067
International Business Machines Corp. .......... 760 56,392
Sun Microsystems, Inc.* ........................ 317,920 1,185,842
-------------
$ 1,375,301
-------------
CONSTRUCTION -- 1.0%
Masco Corp. .................................... 64,850 $ 2,059,636
-------------
CONSUMER GOODS & SERVICES -- 1.0%
Colgate-Palmolive Co. .......................... 7,400 $ 369,334
Gillette Co. ................................... 18,340 928,554
Kimberly-Clark Corp. ........................... 12,560 786,130
-------------
$ 2,084,018
-------------
CONTAINERS -- 1.0%
Owens-Illinois, Inc.* .......................... 75,790 $ 1,898,540
Smurfit-Stone Container Corp.* ................. 14,890 151,431
-------------
$ 2,049,971
-------------
ELECTRICAL EQUIPMENT -- 2.0%
Cooper Industries Ltd., "A" .................... 3,500 $ 223,650
Emerson Electric Co. ........................... 4,910 307,513
General Electric Co. ........................... 40,310 1,396,742
Hubbell, Inc., "B" ............................. 3,950 174,195
Tyco International Ltd. ........................ 59,980 1,751,416
W.W. Grainger, Inc. ............................ 2,000 109,580
-------------
$ 3,963,096
-------------
ELECTRONICS -- 0.2%
Analog Devices, Inc. ........................... 12,200 $ 455,182
-------------
ENERGY -- INDEPENDENT -- 1.9%
Apache Corp. ................................... 3,730 $ 240,958
Devon Energy Corp. ............................. 38,330 1,942,564
EnCana Corp. ................................... 10,800 427,572
EOG Resources, Inc. ............................ 8,760 497,568
Unocal Corp. ................................... 10,080 655,704
-------------
$ 3,764,366
-------------
ENERGY -- INTEGRATED -- 3.0%
Amerada Hess Corp. ............................. 1,900 $ 202,369
BP PLC, ADR .................................... 13,340 832,149
ConocoPhillips ................................. 28,160 1,618,918
Exxon Mobil Corp. .............................. 33,152 1,905,245
TOTAL S.A., ADR ................................ 13,180 1,540,083
-------------
$ 6,098,764
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 1.5%
Archer Daniels Midland Co. ..................... 17,980 $ 384,412
General Mills, Inc. ............................ 9,150 428,129
H.J. Heinz Co. ................................. 18,190 644,290
Kellogg Co. .................................... 12,520 556,389
Nestle S.A ..................................... 694 177,118
PepsiCo, Inc. .................................. 11,700 630,981
Sara Lee Corp. ................................. 14,060 278,529
-------------
$ 3,099,848
-------------
FOREST & PAPER PRODUCTS -- 0.8%
Bowater, Inc. .................................. 27,010 $ 874,314
International Paper Co. ........................ 18,180 549,218
MeadWestvaco Corp. ............................. 9,800 274,792
-------------
$ 1,698,324
-------------
GAMING & LODGING -- 0.3%
Cendant Corp. .................................. 24,290 $ 543,367
-------------
GENERAL MERCHANDISE -- 0.6%
Family Dollar Stores, Inc. ..................... 8,420 $ 219,762
Wal-Mart Stores, Inc. .......................... 19,450 937,490
-------------
$ 1,157,252
-------------
INSURANCE -- 3.2%
AFLAC, Inc. .................................... 5,480 $ 237,174
Allstate Corp. ................................. 42,390 2,532,803
Chubb Corp. .................................... 2,360 202,040
Conseco, Inc.* ................................. 48,520 1,058,706
Genworth Financial, Inc., "A" .................. 10,600 320,438
Hartford Financial Services Group, Inc. ........ 15,620 1,168,064
MetLife, Inc. .................................. 21,720 976,097
-------------
$ 6,495,322
-------------
LEISURE & TOYS -- 0.4%
Hasbro, Inc. ................................... 7,240 $ 150,520
Mattel, Inc. ................................... 32,460 594,018
-------------
$ 744,538
-------------
MACHINERY & TOOLS -- 1.0%
Deere & Co. .................................... 10,280 $ 673,237
Finning International, Inc.##* ................. 460 13,549
Illinois Tool Works, Inc. ...................... 8,270 658,954
Ingersoll-Rand Co. Ltd., "A" ................... 2,480 176,948
Precision Castparts Corp. ...................... 4,280 333,412
Sandvik AB ..................................... 2,740 101,354
-------------
$ 1,957,454
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 0.6%
Tenet Healthcare Corp.* ........................ 90,040 $ 1,102,090
-------------
MEDICAL EQUIPMENT -- 0.2%
Baxter International, Inc. ..................... 5,360 $ 198,856
Boston Scientific Corp.* ....................... 5,700 153,900
-------------
$ 352,756
-------------
METALS & MINING -- 0.2%
BHP Billiton PLC ............................... 36,350 $ 466,186
-------------
NATURAL GAS -- DISTRIBUTION -- 0.3%
AGL Resources, Inc. ............................ 8,290 $ 320,409
Sempra Energy .................................. 7,500 309,825
-------------
$ 630,234
-------------
OIL SERVICES -- 2.2%
BJ Services Co. ................................ 9,600 $ 503,808
Cooper Cameron Corp.* .......................... 14,470 897,864
GlobalSantaFe Corp. ............................ 35,500 1,448,400
Noble Corp. .................................... 24,375 1,499,306
-------------
$ 4,349,378
-------------
PHARMACEUTICALS -- 3.9%
Abbott Laboratories ............................ 34,790 $ 1,705,058
Eli Lilly & Co. ................................ 1,600 89,136
Johnson & Johnson .............................. 13,880 902,200
Merck & Co., Inc. .............................. 66,090 2,035,572
Novartis AG .................................... 2,390 113,363
Pfizer, Inc. ................................... 4,810 132,660
Roche Holding AG ............................... 1,170 147,347
Wyeth .......................................... 60,160 2,677,120
-------------
$ 7,802,456
-------------
PRINTING & PUBLISHING -- 0.4%
Reed Elsevier PLC .............................. 61,660 $ 588,626
Tribune Co. .................................... 6,730 236,761
-------------
$ 825,387
-------------
RAILROAD & SHIPPING -- 0.2%
Burlington Northern Santa Fe Corp. ............. 8,090 $ 380,877
-------------
RESTAURANTS -- 0.1%
McDonald's Corp. ............................... 7,440 $ 206,460
-------------
SPECIALTY CHEMICALS -- 0.5%
Air Liquide S.A ................................ 500 $ 84,909
Air Products & Chemicals, Inc. ................. 12,150 732,645
Praxair, Inc. .................................. 2,480 115,568
-------------
$ 933,122
-------------
SPECIALTY STORES -- 1.7%
Circuit City Stores, Inc. ...................... 24,920 $ 430,867
Gap, Inc. ...................................... 78,030 1,541,093
Lowe's Cos., Inc. .............................. 4,010 233,462
OfficeMax, Inc. ................................ 22,960 683,519
TJX Cos., Inc. ................................. 24,850 605,098
-------------
$ 3,494,039
-------------
TELECOMMUNICATIONS -- WIRELESS -- 0.5%
Vodafone Group PLC, ADR ........................ 41,422 $ 1,007,383
-------------
TELECOMMUNICATIONS -- WIRELINE -- 1.7%
Cisco Systems, Inc.* ........................... 8,960 $ 171,226
Nokia Corp., ADR ............................... 86,260 1,435,366
Nortel Networks Corp.* ......................... 654,570 1,708,428
-------------
$ 3,315,020
-------------
TELEPHONE SERVICES -- 4.0%
SBC Communications, Inc. ....................... 22,344 $ 530,670
Sprint Corp. ................................... 176,690 4,433,152
Verizon Communications, Inc. ................... 90,666 3,132,510
-------------
$ 8,096,332
-------------
TOBACCO -- 1.0%
Altria Group, Inc. ............................. 32,170 $ 2,080,112
-------------
TRUCKING -- 0%
CNF, Inc. ...................................... 1,660 $ 74,534
-------------
UTILITIES -- ELECTRIC POWER -- 2.1%
Calpine Corp.* ................................. 257,580 $ 875,772
Dominion Resources, Inc. ....................... 15,190 1,114,794
Entergy Corp. .................................. 11,140 841,627
Exelon Corp. ................................... 9,360 480,449
FPL Group, Inc. ................................ 1,570 66,034
PPL Corp. ...................................... 9,410 558,766
Public Service Enterprise Group, Inc. .......... 2,800 170,296
TXU Corp. ...................................... 2,550 211,880
-------------
$ 4,319,618
-------------
Total Stocks (Identified Cost, $106,139,901) .......... $ 119,727,727
-------------
BONDS -- 38.5%
Issuer Par Amount Value
ADVERTISING & BROADCASTING -- 0.1%
News America Holdings, 8.5%, 2025 ..............$ 99,000 $ 125,620
News America, Inc., 6.2%, 2034 ................. 92,000 96,553
-------------
$ 222,173
-------------
AEROSPACE -- 0.4%
Boeing Capital Corp., 6.5%, 2012 ...............$ 373,000 $ 417,236
Northrop Grumman Corp., 7.75%, 2031 ............ 226,000 305,700
-------------
$ 722,936
-------------
AIRLINES -- 0.1%
Continental Airlines, Inc., 6.648%, 2017 .......$ 179,852 $ 177,473
-------------
ALCOHOLIC BEVERAGES -- 0.2%
Foster's Financial Corp., 5.875%, 2035## .......$ 150,000 $ 150,753
Miller Brewing Co., 5.5%, 2013## ............... 276,000 286,022
-------------
$ 436,775
-------------
ASSET BACKED & SECURITIZED -- 2.4%
AmeriCredit Automobile Receivables Trust,
2.18%, 2008 ..................................$ 236,000 $ 234,022
Bear Stearns Commercial Mortgage Securities,
Inc., 6.8%, 2008 ............................. 179,042 183,773
Bear Stearns Commercial Mortgage Securities,
Inc., FRN, 5.116%, 2041 ...................... 82,288 85,761
Blackrock Capital Finance LP,
7.75%, 2026## ................................ 58,829 59,565
Chase Commercial Mortgage Securities Corp.,
7.543%, 2009 ................................. 94,203 99,667
Chase Commercial Mortgage Securities Corp.,
6.39%, 2030 .................................. 369,000 392,671
Citibank Credit Card Issuance Trust,
6.65%, 2008 .................................. 623,000 637,142
Countrywide Asset-Backed Certificates,
4.823%, 2035 ................................. 75,000 75,754
Credit Suisse First Boston Mortgage
Securities Corp., 6.38%, 2035 ................ 35,000 38,161
CRIIMI MAE CMBS Corp., 6.7%, 2008## ............ 190,000 195,227
CRIIMI MAE Commercial Mortgage Trust, 7%,
2011## ....................................... 320,000 332,800
Deutsche Mortgage & Asset Receiving Corp.,
FRN, 6.538%, 2031 ............................ 188,680 197,790
Falcon Franchise Loan LLC,
7.382%, 2010##^^ ............................ 52,908 55,993
First Union-Lehman Brothers Bank of America,
6.56%, 2035 .................................. 100,451 105,803
First Union-Lehman Brothers Commercial
Mortgage Trust, 7.38%, 2029 .................. 49,571 51,412
First Union-Lehman Brothers Commercial
Mortgage Trust, 6.65%, 2029 .................. 27,473 28,725
Goldman Sachs Mortgage Securities Corp.,
6.06%, 2030 .................................. 48,006 48,098
Greenwich Capital Commercial Funding Corp.,
FRN, 5.317%, 2036 ............................ 60,728 64,036
Greenwich Capital Commercial Funding Corp.,
FRN, 4.305%, 2042 ............................ 107,385 107,353
J.P. Morgan Chase Commercial Mortgage
Securities Corp., FRN, 5.3839%, 2041 ......... 39,903 41,901
J.P. Morgan Chase Commercial Mortgage
Securities Corp., FRN, 5.038%, 2046 .......... 197,476 204,493
J.P. Morgan Commercial Mortgage Finance
Corp., 6.613%, 2030 .......................... 175,000 183,457
Merrill Lynch Mortgage Investors, Inc.,
6.39%, 2030 .................................. 64,475 67,319
Morgan Stanley Capital I, 5.168%, 2042 ......... 48,533 50,609
Morgan Stanley Capital I, Inc., FRN,
0.7546%, 2030##^^ ........................... 8,516,305 176,692
Mortgage Capital Funding, Inc.,
6.337%, 2031 ................................. 314,214 329,547
Multi-Family Capital Access One, Inc.,
6.65%, 2024 .................................. 53,722 56,758
Residential Asset Mortgage Products, Inc.,
3.8%, 2030 ................................... 100,827 100,471
Residential Asset Mortgage Products, Inc.,
4.109%, 2035 ................................. 112,691 111,911
ASSET BACKED & SECURITIZED -- continued
Residential Asset Mortgage Products, Inc.,
FRN, 4.9708%, 2034 ...........................$ 92,000 $ 91,703
Structured Asset Securities Corp., FRN,
4.67%, 2035 .................................. 298,098 296,804
Wachovia Bank Commercial Mortgage Trust,
FRN, 4.847%, 2041 ............................ 50,000 50,992
Wachovia Bank Commercial Mortgage Trust,
FRN, 5.083%, 2042 ............................ 75,000 77,914
-------------
$ 4,834,324
-------------
AUTOMOTIVE -- 0.3%
Ford Motor Co., 7.45%, 2031 ....................$ 74,000 $ 61,776
Ford Motor Credit Co., 7.75%, 2007 ............. 80,000 81,556
Ford Motor Credit Co., 5.7%, 2010 .............. 193,000 178,012
General Motors Acceptance Corp.,
5.85%, 2009 .................................. 93,000 87,179
General Motors Acceptance Corp.,
7.25%, 2011 .................................. 82,000 76,889
General Motors Corp., 8.375%, 2033 ............. 202,000 168,670
-------------
$ 654,082
-------------
BANKS & CREDIT COMPANIES -- 1.8%
Abbey National Capital Trust I,
8.963% to 2030, FRN to 2049 ..................$ 179,000 $ 261,069
Bank of America Corp., 7.4%, 2011 .............. 299,000 342,199
Bank of America Corp., 5.375%, 2014 ............ 110,000 116,880
Citigroup, Inc., 5%, 2014 ...................... 250,000 255,737
Credit Suisse First Boston (USA), Inc.,
4.625%, 2008 ................................. 92,000 92,994
Credit Suisse First Boston (USA), Inc.,
4.125%, 2010 ................................. 215,000 213,481
DBS Capital Funding Corp.,
7.657% to 2011, FRN to 2049## ................ 170,000 194,835
HBOS Capital Funding LP, 6.071% to 2014, FRN
to 2049## .................................... 100,000 107,944
J.P. Morgan Chase & Co., 5.125%, 2014 .......... 150,000 153,443
Mizuho Financial Group, Inc.,
5.79%, 2014## ................................ 103,000 108,340
Nordea Bank AB, 5.424% to 2015,
FRN to 2049## ................................ 100,000 102,989
Popular North America, Inc., 4.25%, 2008 ....... 211,000 211,018
RBS Capital Trust II, 6.425% to 2034,
FRN to 2049 .................................. 161,000 178,591
Socgen Real Estate LLC, 7.64% to 2007, FRN
to 2049## .................................... 361,000 386,301
UFJ Finance Aruba AEC, 6.75%, 2013 ............. 45,000 50,184
UniCredito Italiano Capital Trust II,
9.2% to 2010, FRN to 2049## .................. 208,000 249,747
Wachovia Corp., 5.25%, 2014 .................... 175,000 182,680
Wells Fargo National Bank, 4.75%, 2015 ......... 315,000 318,792
-------------
$ 3,527,224
-------------
BROADCAST & CABLE TV -- 0.4%
Cox Communications, Inc., 4.625%, 2013 .........$ 159,000 $ 154,343
TCI Communications Financing III,
9.65%, 2027 .................................. 425,000 481,585
Time Warner Entertainment Co. LP,
10.15%, 2012 ................................. 1,000 1,293
Time Warner Entertainment Co. LP,
8.375%, 2033 ................................. 75,000 99,540
-------------
$ 736,761
-------------
BROKERAGE & ASSET MANAGERS -- 0.5%
Goldman Sachs Group, Inc., 5.7%, 2012 ..........$ 247,000 $ 262,813
Lehman Brothers Holdings, Inc.,
8.25%, 2007 .................................. 334,000 359,749
Merrill Lynch & Co., Inc., 5.45%, 2014 ......... 127,000 134,126
Morgan Stanley Group, Inc., 6.75%, 2011 ........ 156,000 172,729
Morgan Stanley Group, Inc., 4.75%, 2014 ........ 78,000 76,843
-------------
$ 1,006,260
-------------
BUILDING -- 0.1%
CRH North America, Inc., 6.95%, 2012 ...........$ 208,000 $ 234,771
-------------
CHEMICALS -- 0.1%
Dow Chemical Co., 5.75%, 2008 ..................$ 162,000 $ 169,892
Dow Chemical Co., 6%, 2012 ..................... 15,000 16,438
-------------
$ 186,330
-------------
CONGLOMERATES -- 0.1%
Kennametal, Inc., 7.2%, 2012 ...................$ 211,000 $ 236,047
Tyco International Group S.A.,
6.75%, 2011 .................................. 40,000 44,404
-------------
$ 280,451
-------------
CONSUMER GOODS & SERVICES -- 0.1%
Cendant Corp., 6.875%, 2006 ....................$ 147,000 $ 151,126
-------------
DEFENSE ELECTRONICS -- 0.2%
BAE Systems Holdings, Inc.,
6.4%, 2011## .................................$ 223,000 $ 242,910
Raytheon Co., 6.15%, 2008 ...................... 114,000 120,291
-------------
$ 363,201
-------------
EMERGING MARKET QUASI-SOVEREIGN -- 0%
Pemex Project Funding Master Trust, 8.625%,
2022 .........................................$ 39,000 $ 48,068
-------------
EMERGING MARKET SOVEREIGN -- 0.2%
State of Israel, 4.625%, 2013 ..................$ 112,000 $ 110,832
United Mexican States, 6.625%, 2015 ............ 213,000 234,407
-------------
$ 345,239
-------------
ENERGY -- INDEPENDENT -- 0.2%
Devon Financing Corp. U.L.C.,
6.875%, 2011 .................................$ 142,000 $ 158,893
EnCana Holdings Finance Corp.,
5.8%, 2014 ................................... 98,000 105,033
Kerr-McGee Corp., 6.95%, 2024 .................. 18,000 18,599
Pioneer Natural Resource Co.,
5.875%, 2016 ................................. 75,000 75,634
-------------
$ 358,159
-------------
ENERGY -- INTEGRATED -- 0%
Amerada Hess Corp., 7.3%, 2031 .................$ 62,000 $ 74,807
-------------
ENTERTAINMENT -- 0.1%
Walt Disney Co., 6.75%, 2006 ...................$ 69,000 $ 70,368
Walt Disney Co., 6.375%, 2012 .................. 98,000 108,377
-------------
$ 178,745
-------------
FINANCIAL INSTITUTIONS -- 0.1%
General Electric Capital Corp.,
8.75%, 2007 ..................................$ 130,000 $ 140,812
SLM Corp., 4%, 2009 ............................ 115,000 114,080
-------------
$ 254,892
-------------
FOOD & NON-ALCOHOLIC BEVERAGES -- 0.2%
Cadbury Schweppes PLC,
5.125%, 2013## ...............................$ 270,000 $ 275,892
Kraft Foods, Inc., 6.25%, 2012 ................. 142,000 156,102
-------------
$ 431,994
-------------
FOREST & PAPER PRODUCTS -- 0.2%
MeadWestvaco Corp., 6.8%, 2032 .................$ 69,000 $ 81,938
Weyerhaeuser Co., 6.75%, 2012 .................. 254,000 279,461
-------------
$ 361,399
-------------
INSURANCE -- 0.4%
AIG SunAmerica Institutional Funding II,
5.75%, 2009 ..................................$ 441,000 $ 462,342
Genworth Financial, Inc., 5.75%, 2014 .......... 40,000 42,898
MetLife, Inc., 6.5%, 2032 ...................... 48,000 55,102
Prudential Financial, Inc., 5.1%, 2014 ......... 80,000 82,343
Prudential Funding Corp., 6.6%, 2008## ......... 179,000 190,844
-------------
$ 833,529
-------------
INSURANCE -- PROPERTY & CASUALTY -- 0.2%
Allstate Corp., 6.125%, 2032 ...................$ 185,000 $ 208,569
Fund American Cos., Inc., 5.875%, 2013 ......... 117,000 121,862
Travelers Property Casualty Corp.,
6.375%, 2033 ................................. 84,000 91,620
-------------
$ 422,051
-------------
INTERNATIONAL MARKET QUASI-SOVEREIGN -- 0.1%
Hydro-Quebec, 6.3%, 2011 .......................$ 262,000 $ 289,503
-------------
MEDICAL & HEALTH TECHNOLOGY & SERVICES -- 0.1%
HCA, Inc., 8.75%, 2010 .........................$ 40,000 $ 45,460
HCA, Inc., 6.95%, 2012 ......................... 139,000 147,690
-------------
$ 193,150
-------------
METALS & MINING -- 0%
Alcan, Inc., 5.75%, 2035 .......................$ 83,000 $ 84,428
-------------
MORTGAGE BACKED -- 13.6%
Fannie Mae, 5.722%, 2009 .......................$ 830,000 $ 863,196
Fannie Mae, 4.01%, 2013 ........................ 19,511 19,030
Fannie Mae, 4.63%, 2014 ........................ 48,190 48,812
Fannie Mae, 4.518%, 2014 ....................... 177,955 179,275
Fannie Mae, 4.846%, 2014 ....................... 74,282 76,430
Fannie Mae, 4.925%, 2015 ....................... 270,929 280,031
Fannie Mae, 6%, 2016 - 2034 .................... 3,289,675 3,382,864
Fannie Mae, 5.5%, 2016 - 2035 .................. 8,621,873 8,763,858
Fannie Mae, 5%, 2018 - 2034 .................... 1,784,781 1,804,639
Fannie Mae, 4.5%, 2018 - 2035 .................. 964,102 959,080
Fannie Mae, 6.5%, 2028 - 2034 .................. 1,623,694 1,684,707
Fannie Mae, 7.5%, 2031 ......................... 52,904 56,530
Fannie Mae TBA, 5.5%, 2035 ..................... 82,000 83,102
Freddie Mac, 6%, 2016 - 2034 ................... 1,881,306 1,933,827
Freddie Mac, 5%, 2017 - 2033 ................... 1,460,641 1,467,778
Freddie Mac, 4.5%, 2018 - 2035 ................. 1,178,770 1,172,962
Freddie Mac, 5.5%, 2019 - 2034 ................. 1,611,720 1,637,557
Freddie Mac, 6.5%, 2034 ........................ 351,902 364,374
Ginnie Mae, 7.5%, 2023 - 2024 .................. 77,875 83,872
Ginnie Mae, 6.5%, 2028 ......................... 245,792 257,115
Ginnie Mae, 6%, 2033 - 2034 .................... 750,577 774,776
Ginnie Mae, 4.5%, 2033 - 2034 .................. 202,029 199,550
Ginnie Mae, 5.5%, 2033 ......................... 1,130,783 1,156,063
Ginnie Mae, 5%, 2034 ........................... 166,830 168,325
-------------
$ 27,417,753
-------------
NATURAL GAS -- PIPELINE -- 0.3%
CenterPoint Energy Resources Corp.,
7.875%, 2013 ................................$ 82,000 $ 97,402
Kinder Morgan Energy Partners LP,
6.75%, 2011 .................................. 315,000 346,428
Kinder Morgan Energy Partners LP,
7.75%, 2032 .................................. 117,000 148,528
-------------
$ 592,358
-------------
OIL SERVICES -- 0%
Halliburton Co., 5.25%, 2010 ...................$ 50,000 $ 52,437
-------------
PHARMACEUTICALS -- 0.1%
Wyeth, 5.5%, 2013 ..............................$ 123,000 $ 129,451
-------------
POLLUTION CONTROL -- 0.1%
Waste Management, Inc., 7.375%, 2010 ...........$ 134,000 $ 149,846
-------------
RAILROAD & SHIPPING -- 0.1%
CSX Corp., 6.75%, 2011 .........................$ 35,000 $ 38,639
Union Pacific Corp., 6.125%, 2012 .............. 50,000 53,966
Union Pacific Corp., 5.375%, 2014 .............. 110,000 114,713
-------------
$ 207,318
-------------
REAL ESTATE -- 0.4%
Boston Properties, Inc., 5%, 2015 ..............$ 42,000 $ 41,989
EOP Operating LP, 6.8%, 2009 ................... 29,000 31,081
HRPT Properties Trust, 6.25%, 2016 ............. 115,000 124,513
Simon Property Group LP, 5.1%, 2015## .......... 193,000 192,897
Vornado Realty Trust, 5.625%, 2007 ............. 383,000 390,378
-------------
$ 780,858
-------------
RESTAURANTS -- 0%
YUM! Brands, Inc., 8.875%, 2011 ................$ 35,000 $ 42,407
-------------
SUPERMARKETS -- 0.1%
Kroger Co., 6.75%, 2012 ........................$ 102,000 $ 112,946
-------------
TELECOMMUNICATIONS -- WIRELESS -- 0.2%
AT&T Wireless Services, Inc.,
7.35%, 2006 ..................................$ 107,000 $ 109,338
AT&T Wireless Services, Inc.,
8.75%, 2031 .................................. 78,000 109,328
Cingular Wireless LLC, 6.5%, 2011 .............. 35,000 38,664
Sprint Capital Corp., 6.875%, 2028 ............. 106,000 121,675
-------------
$ 379,005
-------------
TELECOMMUNICATIONS -- WIRELINE -- 0.9%
BellSouth Corp., 6.55%, 2034 ...................$ 146,000 $ 166,235
Deutsche Telekom International Finance B.V.,
8.75%, 2030 .................................. 161,000 217,991
France Telecom S.A., 7.75%, 2011 ............... 85,000 98,640
PCCW-HKTC Capital II Ltd., 6%, 2013## .......... 150,000 159,264
SBC Communications, Inc., 5.1%, 2014 ........... 126,000 128,830
SBC Communications, Inc., 6.15%, 2034 .......... 35,000 37,913
Telecom Italia Capital, 5.25%, 2013 ............ 60,000 60,912
Telecom Italia Capital, 6%, 2034## ............. 97,000 99,030
Telecomunicaciones de Puerto Rico, Inc.,
6.65%, 2006 .................................. 270,000 275,474
Verizon New York, Inc., 6.875%, 2012 ........... 486,000 537,114
-------------
$ 1,781,403
-------------
U.S. GOVERNMENT AGENCIES -- 4.3%
Fannie Mae, 3.25%, 2006 ........................$ 100,000 $ 99,437
Fannie Mae, 3%, 2007 ........................... 244,000 240,812
Fannie Mae, 5.25%, 2007 ........................ 397,000 406,732
Fannie Mae, 6.625%, 2009 - 2010 ................ 3,428,000 3,844,788
Fannie Mae, 6%, 2011 ........................... 165,000 181,466
Fannie Mae, 4.625%, 2014 ....................... 250,000 256,394
Federal Home Loan Bank, 3.25%, 2006 ............ 315,000 313,268
Federal Home Loan Bank, 3.75%, 2006 ............ 940,000 937,921
Federal Home Loan Bank, 3.9%, 2008 ............. 40,000 39,978
Freddie Mac, 3.75%, 2006 ....................... 1,405,000 1,404,076
Freddie Mac, 4.125%, 2009 ...................... 50,000 49,973
Small Business Administration,
4.35%, 2023 .................................. 48,414 48,135
Small Business Administration,
4.77%, 2024 .................................. 117,377 118,932
Small Business Administration,
5.18%, 2024 .................................. 191,002 197,295
Small Business Administration,
5.52%, 2024 .................................. 268,836 282,027
Small Business Administration,
4.99%, 2024 .................................. 153,280 156,893
Small Business Administration,
4.95%, 2025 .................................. 116,000 118,424
-------------
$ 8,696,551
-------------
U.S. TREASURY OBLIGATIONS -- 8.5%
U.S. Treasury Bonds, 10.375%, 2012 .............$ 140,000 $ 161,027
U.S. Treasury Bonds, 9.875%, 2015 .............. 175,000 261,557
U.S. Treasury Bonds, 8%, 2021 .................. 37,000 53,313
U.S. Treasury Bonds, 6.25%, 2023 ............... 3,050,000 3,800,944
U.S. Treasury Bonds, 5.375%, 2031 .............. 672,000 792,960
U.S. Treasury Notes, 5.75%, 2005 ............... 665,000 670,897
U.S. Treasury Notes, 5.875%, 2005 .............. 186,000 187,729
U.S. Treasury Notes, 7%, 2006 .................. 2,545,000 2,633,179
U.S. Treasury Notes, 4.375%, 2007 .............. 146,000 147,945
U.S. Treasury Notes, 5.625%, 2008 .............. 4,210,000 4,432,010
U.S. Treasury Notes, 4.75%, 2008 ............... 942,000 973,204
U.S. Treasury Notes, 4%, 2009 .................. 23,000 23,248
U.S. Treasury Notes, 4.25%, 2010 ............... 773,625 870,569
U.S. Treasury Notes, 3%, 2012 .................. 1,207,590 1,326,367
U.S. Treasury Notes, 3.875%, 2013 .............. 199,000 199,241
U.S. Treasury Notes, 4.75%, 2014 ............... 150,000 159,164
U.S. Treasury Notes, 4.125%, 2015 .............. 400,000 405,844
-------------
$ 17,099,198
-------------
UTILITIES -- ELECTRIC POWER -- 1.3%
DTE Energy Co., 7.05%, 2011 ....................$ 238,000 $ 266,473
Duke Capital Corp., 8%, 2019 ................... 113,000 139,854
Exelon Generation Co. LLC, 6.95%, 2011 ......... 77,000 86,379
FirstEnergy Corp., 6.45%, 2011 ................. 147,000 160,616
MidAmerican Energy Holdings Co.,
3.5%, 2008 ................................... 118,000 114,993
MidAmerican Energy Holdings Co.,
5.875%, 2012 ................................. 61,000 64,795
MidAmerican Funding LLC, 6.927%, 2029 .......... 454,000 540,685
Niagara Mohawk Power Corp., 7.75%, 2006 ........ 1,000 1,032
Northeast Utilities, 8.58%, 2006 ............... 105,897 107,896
Oncor Electric Delivery Co., 7%, 2022## ........ 202,000 236,116
Pacific Gas & Electric Co., 4.8%, 2014 ......... 125,000 125,309
PSEG Power LLC, 6.95%, 2012 .................... 71,000 79,813
PSEG Power LLC, 8.625%, 2031 ................... 91,000 125,636
System Energy Resources, Inc.,
5.129%, 2014## ............................... 104,272 103,851
TXU Energy Co., 7%, 2013 ....................... 37,000 41,264
W3A Funding Corp., 8.09%, 2017 ................. 337,724 375,927
-------------
$ 2,570,639
-------------
Total Bonds (Identified Cost, $75,546,171) ............ $ 77,422,021
-------------
SHORT-TERM OBLIGATION -- 2.0%
Citigroup Funding, Inc.,
3.43%, due 7/01/05, at Amortized Cost< .......$ 4,000,000 $ 4,000,000
-------------
Total Investments
(Identified Cost, $185,686,072)(+) .................. $ 201,149,748
-------------
OTHER ASSETS,
LESS LIABILITIES ........................................ 81,887
-------------
Net Assets -- 100.0% .................................. $ 201,231,635
=============
PORTFOLIO FOOTNOTES:
* Non-income producing security.
** Non-income producing security - in default.
+ Restricted security.
# Payment-in-kind security.
## SEC Rule 144A restriction.
### All or a portion of the security has been segregated as collateral
for an open futures contract.
< The rate shown represents an annualized yield at time of purchase.
@ Security exempt from registration under Section 4(2) of the
Securities Act of 1933.
^^ 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.
(+) As of June 30, 2005, the Capital Appreciation Variable Account had
one security representing $4,244,093 and 1.5% of net assets that was
fair valued in accordance with the policies adopted by the Board of
Trustees.
(+) As of June 30, 2005, the High Yield Variable Account had ten
securities representing $17,213 and less than 0.1% of net assets
that were fair valued in accordance with the policies adopted by the
Board of Trustees.
(+) As of June 30, 2005 the Total Return Variable Account had ten
securities representing $2,748,398 and 1.4% of net assets that were
fair valued in accordance with the policies adopted by the Board of
Trustees.
Abbreviations:
ADR= American Depository Receipt.
FRN= Floating rate note. The interest rate is the rate in effect as
of period end.
GDR= Global Depository Receipt.
STRIPS= Separate trading of Registered Interest and Principal of
Securities.
TBA= To Be Announced.
Abbreviations have been used throughout this report to 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 JPY= Japanese Yen
CAD= Canadian Dollar KRW= Korean Won
CHF= Swiss Franc NOK= Norwegian Krone
DKK= Danish Krone NZD= New Zealand Dollar
EUR= Euro SEK= Swedish Krona
GBP= British Pound
See notes to financial statements.
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 2005
(000 Omitted)
Capital Global Govern-
Appre- Govern- ment High Managed Money Total
ciation ments Securities Yield Sectors Market Return
Variable Variable Variable Variable Variable Variable Variable
Account Account Account Account Account Account Account
-------- -------- -------- -------- -------- -------- --------
Assets:
Investments --
Investments, cost ....................... $250,706 $ 11,726 $ 97,736 $ 69,236 $ 36,505 $ 45,565 $185,686
Unrealized appreciation (depreciation) .. 23,591 94 2,399 (552) 6,326 -- 15,464
-------- -------- -------- -------- -------- -------- --------
Total investments, at value ........... $274,297 $ 11,820 $100,135 $ 68,684 $ 42,831 $ 45,565 $201,150
Cash ...................................... $ 1 $ 3 $ 1 $ 3 $-- $ 0* $ 0*
Receivable for forward foreign currency
exchange contracts ...................... -- 54 -- 16 -- -- --
Receivable for forward currency
exchange contracts subject to
master netting agreements ............... -- 6 -- -- -- -- --
Receivable for investments sold ........... 1,962 -- -- 198 3,065 -- 287
Receivable for units sold ................. 56 7 60 129 3 4 251
Interest and dividends receivable ......... 116 196 894 1,144 7 0* 969
Receivable from sponsor ................... -- 0* -- 7 -- 1 2
Other assets .............................. 4 0* 2 1 1 0* 2
-------- -------- -------- -------- -------- -------- --------
Total assets .......................... $276,436 $ 12,086 $101,092 $ 70,182 $ 45,907 $ 45,570 $202,661
======== ======== ======== ======== ======== ======== ========
Liabilities:
Payable to custodian ...................... $ -- $ -- $ -- $ -- $ 1,074 $ -- $ --
Payable for forward foreign currency
exchange contracts....................... -- 186 -- 2 -- -- --
Payable for daily variation margin on
open futures contracts .................. -- -- 6 -- -- -- --
Payable for investments purchased ......... 2,070 212 1,221 518 -- -- 1,029
Payable for TBA purchase commitments ...... -- -- -- -- -- -- 83
Payable for units surrendered ............. 329 78 138 68 512 23 274
Payable to affiliates --
Investment Adviser ...................... 6 0* 2 1 1 1 4
Administrative services fee ............. 0* 0* 0* 0* 0* 0* 0*
Sponsor ................................. 9 -- 13 -- 10 -- --
Accrued expenses and other liabilities .... 40 22 33 36 26 18 39
-------- -------- -------- -------- -------- -------- --------
Total liabilities ..................... $ 2,454 $ 498 $ 1,413 $ 625 $ 1,623 $ 42 $ 1,429
-------- -------- -------- -------- -------- -------- --------
Net assets .......................... $273,982 $ 11,588 $ 99,679 $ 69,557 $ 44,284 $ 45,528 $201,232
======== ======== ======== ======== ======== ======== ========
* Amount less than $500.
See notes to financial statements.
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 2005 -- continued
(000 Omitted except for unit values)
Governme
Capital Global nt
Appreciat Governme Securiti High Managed Money Total
ion nts es Yield Sectors Market Return
Unit Variable Variable Variable Variable Variable Variable Variable
Unit Value Account Account Account Account Account Account Account
------ -------- --------- -------- -------- -------- -------- -------- --------
Net assets applicable to contract owners:
Capital Appreciation Variable Account --
Compass 2 .............................. 3,303 $53.968 $178,246
Compass 3 .............................. 309 35.568 10,982
Compass 3 - Level 2 .................... 5,513 14.816 81,681
Global Governments Variable Account --
Compass 2 .............................. 135 $25.925 $3,505
Compass 3 .............................. 29 25.260 741
Compass 3 - Level 2 .................... 491 14.828 7,279
Government Securities Variable Account --
Compass 2 .............................. 1,970 $37.969 $74,807
Compass 3 .............................. 85 26.510 2,250
Compass 3 - Level 2 .................... 1,368 15.536 21,257
High Yield Variable Account --
Compass 2 .............................. 1,454 $36.522 $53,080
Compass 3 .............................. 53 26.822 1,432
Compass 3 - Level 2 .................... 975 14.366 14,008
Managed Sectors Variable Account --
Compass 2 .............................. 221 $42.357 $9,383
Compass 3 .............................. 100 41.564 4,175
Compass 3 - Level 2 .................... 2,267 13.480 30,566
Money Market Variable Account --
Compass 2 .............................. 972 $20.136 $19,621
Compass 3 .............................. 85 16.487 1,406
Compass 3 - Level 2 .................... 1,938 12.368 23,971
Total Return Variable Account --
Compass 2 .............................. 1,432 $45.788 $65,560
Compass 3 .............................. 266 44.616 11,856
Compass 3 - Level 2 .................... 5,646 21.587 121,879
--------- -------- -------- -------- -------- -------- --------
Net assets applicable to owners of deferred contracts ...... 270,909 11,525 98,314 68,520 44,124 44,998 199,295
Reserve for variable annuities --
Compass 2 Contracts .................................... 2,797 16 1,316 990 66 457 1,228
Compass 3 Contracts .................................... 1 40 -- 1 13 7 83
Compass 3 - Level 2 Contracts .......................... 275 7 49 46 81 66 626
--------- -------- -------- -------- -------- -------- --------
Net assets ........................................... $273,982 $11,588 $99,679 $69,557 $44,284 $45,528 $201,232
======== ======= ======= ======= ======= ======= ========
See notes to financial statements.
STATEMENTS OF OPERATIONS (Unaudited) -- Six Months Ended June 30, 2005
(000 Omitted)
Capital Global Government High Managed Money Total
Appreciation Governments Securities Yield Sectors Market Return
Variable Variable Variable Variable Variable Variable Variable
Account Account Account Account Account Account Account
-------- ------- -------- -------- -------- -------- -------
Net investment income (loss):
Income --
Interest ...................................... $ 171 $ 209 $ 2,544 $ 2,669 $ 9 $ 689 $ 1,982
Dividends ..................................... 1,359 -- -- 15 244 -- 1,254
-------- ------- -------- -------- -------- -------- -------
Total investment income ..................... $ 1,530 $ 209 $ 2,544 $ 2,684 $ 253 $ 689 $ 3,236
-------- ------- -------- -------- -------- -------- -------
Expenses --
Mortality and expense risk charges ............ $ 1,774 $ 72 $ 635 $ 432 $ 349 $ 310 $ 1,215
Management fee ................................ 1,059 44 278 258 212 124 743
Boards of Managers fees ....................... 15 1 5 4 3 3 10
Distribution fee .............................. 9 1 2 1 4 1 9
Administrative services fee ................... 22 1 8 5 4 4 15
Custodian fee ................................. 53 12 23 26 11 11 41
Printing ...................................... 17 4 9 9 8 4 11
Auditing fees ................................. 17 21 20 22 2 11 23
Legal fees .................................... 10 2 3 3 31 4 3
Miscellaneous ................................. 15 2 8 5 6 12 8
-------- ------- -------- -------- -------- -------- -------
Total expenses .............................. $ 2,991 $ 160 $ 991 $ 765 $ 630 $ 484 $ 2,078
Fees paid indirectly .......................... (4) (0)* (3) (1) (1) (0)* (2)
Reduction of expenses by investment adviser ... -- (15) -- -- -- -- --
-------- ------- -------- -------- -------- -------- -------
Net expenses ................................ $ 2,987 $ 145 $ 988 $ 764 $ 629 $ 484 $ 2,076
-------- ------- -------- -------- -------- -------- -------
Net investment income (loss) ...................... $ (1,457) $ 64 $ 1,556 $ 1,920 $ (376) $ 205 $ 1,160
-------- ------- -------- -------- -------- -------- -------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ....................... $ 9,750 $ 404 $ (54) $ 622 $ 1,227 $-- $ 5,304
Futures contracts ............................. -- -- (28) -- -- -- --
Foreign currency transactions ................. (6) 36 -- 68 -- -- 6
-------- ------- -------- -------- -------- -------- -------
Net realized gain (loss) on investments and
foreign currency transactions ............. $ 9,744 $ 440 $ (82) $ 690 $ 1,227 $-- $ 5,310
-------- ------- -------- -------- -------- -------- -------
Change in unrealized appreciation (depreciation)
-- Investments ................................ $(17,434) $ (946) $ 186 $ (2,923) $ (2,800) $-- $(6,340)
Futures contracts ............................. -- -- 49 -- -- -- --
Translation of assets and liabilities
in foreign currency ......................... (4) (136) -- 84 0* -- (10)
-------- ------- -------- -------- -------- -------- -------
Net unrealized gain (loss) on investments
and foreign currency translation ........... $(17,438) $(1,082) $ 235 $ (2,839) $ (2,800) $-- $(6,350)
-------- ------- -------- -------- -------- -------- -------
Net realized and unrealized gain (loss) on
investments and foreign currency .......... $ (7,694) $ (642) $ 153 $ (2,149) $ (1,573) $-- $(1,040)
-------- ------- -------- -------- -------- -------- -------
Change in net assets from operations .............. $ (9,151) $ (578) $ 1,709 $ (229) $ (1,949) $ 205 $ 120
======== ======= ======== ======== ======== ======== =======
* Amount less than $500.
See notes to financial statements.
STATEMENTS OF CHANGES IN NET ASSETS
(000 Omitted)
Capital Appreciation Global Governments Government Securities
Variable Account Variable Account Variable Account
---------------------- ----------------------- ----------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
June 30, December 31, June 30, December 31, June 30, December 31,
2005 2004 2005 2004 2005 2004
(Unaudited) (Unaudited) (Unaudited)
--------- --------- --------- --------- --------- ---------
Change in net assets:
From operations:
Net investment income (loss) ................... $ (1,457) $ (2,078) $ 64 $ 113 $ 1,556 $ 3,252
Net realized gain (loss) on investments
and foreign currency transactions ............ 9,744 16,588 440 1,023 (82) 1,187
Net unrealized gain (loss) on investments
and foreign currency translation ............. (17,438) 12,496 (1,082) (227) 235 (1,846)
--------- --------- --------- --------- --------- ---------
Change in net assets from operations ......... $ (9,151) $ 27,006 $ (578) $ 909 $ 1,709 $ 2,593
--------- --------- --------- --------- --------- ---------
Participant transactions:
Accumulation activity:
Purchase payments received ..................... $ 3,145 $ 7,120 $ 186 $ 375 $ 834 $ 1,762
Net transfers between variable and fixed
accumulation accounts ........................ (2,681) (2,841) 1,059 (604) 341 (4,683)
Withdrawals, surrenders, annuitizations, and
contract charges ............................. (21,444) (41,093) (1,169) (1,777) (7,498) (12,905)
--------- --------- --------- --------- --------- ---------
Net accumulation activity .................... $ (20,980) $ (36,814) $ 76 $ (2,006) $ (6,323) $ (15,826)
--------- --------- --------- --------- --------- ---------
Annuitization activity:
Annuitizations ................................... $ 84 $ 261 $ 0* $ 0* $ 89 $ (5)
Annuity payments and contract charges ............ (230) (513) (4) (6) (155) (308)
Net transfers among accounts for annuity reserves -- -- -- -- 5 (87)
Adjustments to annuity reserves .................. 37 (44) 0* 0* (5) (13)
--------- --------- --------- --------- --------- ---------
Net annuitization activity ..................... $ (109) $ (296) $ (4) $ (6) $ (66) $ (413)
--------- --------- --------- --------- --------- ---------
Change in net assets from participations
transactions ................................... $ (21,089) $ (37,110) $ 72 $ (2,012) $ (6,389) $ (16,239)
--------- --------- --------- --------- --------- ---------
Total change in net assets ..................... $ (30,240) $ (10,104) $ (506) $ (1,103) $ (4,680) $ (13,646)
Net assets:
At beginning of period ........................... 304,222 314,326 12,094 13,197 104,359 118,005
--------- --------- --------- --------- --------- ---------
At end of period ................................. $ 273,982 $ 304,222 $ 11,588 $ 12,094 $ 99,679 $ 104,359
========= ========= ========= ========= ========= =========
* Amount less than $500.
See notes to financial statements.
STATEMENTS OF CHANGES IN NET ASSETS -- continued
(000 Omitted)
High Yield Managed Sectors
Variable Account Variable Account
---------------------- ----------------------
Six Months Six Months
Ended Ended
June 30, Year Ended June 30, Year Ended
2005 December 31, 2005 December 31,
(Unaudited) 2004 (Unaudited) 2004
--------- --------- --------- ---------
Change in net assets:
From operations:
Net investment income (loss) ............................................. $ 1,920 $ 4,654 $ (376) $ (542)
Net realized gain (loss) on investments and foreign currency transactions 690 (1,716) 1,227 4,523
Net unrealized gain (loss) on investments and foreign currency translation (2,839) 2,313 (2,800) (902)
--------- --------- --------- ---------
Change in net assets from operations ................................... $ (229) $ 5,251 $ (1,949) $ 3,079
--------- --------- --------- ---------
Participant transactions:
Accumulation activity:
Purchase payments received ............................................... $ 591 $ 999 $ 1,219 $ 2,607
Net transfers between variable and fixed accumulation accounts ........... 365 (22,124) (11,472) (653)
Withdrawals, surrenders, annuitizations, and contract charges ............ (6,697) (9,829) (6,818) (9,735)
--------- --------- --------- ---------
Net accumulation activity .............................................. $ (5,741) $ (30,954) $ (17,071) $ (7,781)
--------- --------- --------- ---------
Annuitization activity:
Annuitizations ............................................................. $ (81) $ 100 $ 7 $ (1)
Annuity payments and contract charges ...................................... (89) (207) (20) (36)
Adjustments to annuity reserves ............................................ (71) 77 (8) (2)
--------- --------- --------- ---------
Net annuitization activity ............................................... $ (241) $ (30) $ (21) $ (39)
--------- --------- --------- ---------
Change in net assets from participations transactions ...................... $ (5,982) $ (30,984) $ (17,092) $ (7,820)
--------- --------- --------- ---------
Total change in net assets ............................................... $ (6,211) $ (25,733) $ (19,041) $ (4,741)
Net assets:
At beginning of period ..................................................... 75,768 101,501 63,325 68,066
--------- --------- --------- ---------
At end of period ........................................................... $ 69,557 $ 75,768 $ 44,284 $ 63,325
========= ========= ========= =========
See notes to financial statements.
STATEMENTS OF CHANGES IN NET ASSETS -- continued
(000 Omitted)
Money Market Total Return
Variable Account Variable Account
---------------------- ----------------------
Six Months Six Months
Ended Ended
June 30, Year Ended June 30, Year Ended
2005 December 31, 2005 December 31,
(Unaudited) 2004 (Unaudited) 2004
--------- --------- --------- ---------
Change in net assets:
From operations:
Net investment income (loss) ............................................. $ 205 $ (269) $ 1,160 $ 2,485
Net realized gain (loss) on investments and foreign currency transactions -- -- 5,310 13,823
Net unrealized gain (loss) on investments and foreign currency translation -- -- (6,350) 2,965
--------- --------- --------- ---------
Change in net assets from operations ................................... $ 205 $ (269) $ 120 $ 19,273
--------- --------- --------- ---------
Participant transactions:
Accumulation activity:
Purchase payments received ............................................... $ 716 $ 1,576 $ 2,967 $ 5,581
Net transfers between variable and fixed accumulation accounts ........... 2,237 22,089 7,846 4,317
Withdrawals, surrenders, annuitizations, and contract charges ............ (7,754) (11,007) (16,484) (29,151)
--------- --------- --------- ---------
Net accumulation activity .............................................. $ (4,801) $ 12,658 $ (5,671) $ (19,253)
--------- --------- --------- ---------
Annuitization activity:
Annuitizations ............................................................. $ 18 $ 96 $ (6) $ 102
Annuity payments and contract charges ...................................... (78) (179) (245) (432)
Net transfers among accounts for annuity reserves .......................... (10) 82 5 4
Adjustments to annuity reserves ............................................ 17 (19) (49) 49
--------- --------- --------- ---------
Net annuitization activity ............................................... $ (53) $ (20) $ (295) $ (277)
--------- --------- --------- ---------
Change in net assets from participations transactions ...................... $ (4,854) $ 12,638 $ (5,966) $ (19,530)
--------- --------- --------- ---------
Total change in net assets ............................................... $ (4,649) $ 12,369 $ (5,846) $ (257)
Net assets:
At beginning of period ..................................................... 50,177 37,808 207,078 207,335
--------- --------- --------- ---------
At end of period ........................................................... $ 45,528 $ 50,177 $ 201,232 $ 207,078
========= ========= ========= =========
See notes to financial statements.
FINANCIAL HIGHLIGHTS
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 55.625 $ 50.814 $ 39.859 $ 59.446 $ 80.578 $ 92.242
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.295 $ 0.744 $ 0.402 $ 0.369 $ 0.598 $ 0.907
Expenses ................................. (0.577) (1.109) (0.951) (1.002) (1.401) (1.920)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.282) $ (0.365) $ (0.549) $ (0.633) $ (0.803) $ (1.013)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.375) 5.176 11.504 (18.954) (20.329) (10.651)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.657) $ 4.811 $ 10.955 $ (19.587) $ 21.132) $ (11.664)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 53.968 $ 55.625 $ 50.814 $ 39.859 $ 59.446 $ 80.578
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (2.98)++ 9.47+ 27.48^ (32.95) (26.22) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.16+ 2.14 2.12 2.12 0.79# 0.76#
Net investment loss ...................... (1.04)+ (0.70) (1.20) (1.36) (1.19)# (1.08)#
Portfolio turnover (%) ..................... 37 65 104 80 123 140
Number of units outstanding at end of period
(000 Omitted) ............................ 3,303 3,544 4,040 4,521 5,340 5,818
Capital Appreciation Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 36.678 $ 33.539 $ 26.334 $ 39.314 $ 53.342 $ 61.123
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.189 $ 0.458 $ 0.260 $ 0.240 $ 0.417 $ 0.591
Expenses ................................. (0.391) (0.753) (0.648) (0.688) (1.025) (1.317)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.202) $ (0.295) $ (0.388) $ (0.448) $ (0.608) $ (0.736)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.908) 3.434 7.593 (12.532) (13.420) (7.045)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.110) $ 3.139 $ 7.205 $ (12.980) $ (14.028) $ (7.781)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 35.568 $ 36.678 $ 33.539 $ 26.334 $ 39.314 $ 53.342
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (3.03)++ 9.36+ 27.36^ (33.02) (26.30) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.26+ 2.24 2.22 2.22 0.79# 0.76#
Net investment loss ...................... (1.16)+ (0.87) (1.31) (1.42) (1.19)# (1.08)#
Portfolio turnover (%) ..................... 37 65 104 80 123 140
Number of units outstanding at end of period
(000 Omitted) ............................ 309 413 621 812 999 1,327
FINANCIAL HIGHLIGHTS -- continued
Capital Appreciation Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 15.267 $ 13.940 $ 10.929 $ 16.292 $ 22.072 $ 25.255
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.080 $ 0.205 $ 0.109 $ 0.100 $ 0.154 $ 0.247
Expenses ................................. (0.154) (0.297) (0.254) (0.260) (0.357) (0.513)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.074) $ (0.092) $ (0.145) $ (0.160) $ (0.203) $ (0.266)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.377) 1.419 3.156 (5.203) (5.577) (2.917)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.451) $ 1.327 $ 3.011 $ (5.363) $ (5.780) $ (3.183)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 14.816 $ 15.267 $ 13.940 $ 10.929 $ 16.292 $ 22.072
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (2.96)++ 9.52+ 27.55^ (32.92) (26.19) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.11+ 2.09 2.07 2.07 0.79# 0.76#
Net investment loss ...................... (1.00)+ (0.65) (1.17) (1.32) (1.19)# (1.08)#
Portfolio turnover (%) ..................... 37 65 104 80 123 140
Number of units outstanding at end of period
(000 Omitted) ............................ 5,513 5,798 6,086 6,148 6,705 6,283
* Per unit data are based on average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
^ The accounts' 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.
+ The accounts' 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.
(+) 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.
& From time to time the variable account may receive proceeds from litigation settlements, without which performance would be
lower.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 27.240 $ 25.169 $ 22.125 $ 18.653 $ 19.378 $ 19.459
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.475 $ 0.872 $ 0.877 $ 0.861 $ 0.946 $ 1.144
Expenses ................................. (0.329) (0.633) (0.584) (0.486) (0.500) (0.471)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.146 $ 0.239 $ 0.293 $ 0.375 $ 0.446 $ 0.673
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.461) 1.832 2.751 3.097 (1.171) (0.754)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.315) $ 2.071 $ 3.044 $ 3.472 $ (0.725) $ (0.081)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 25.925 $ 27.240 $ 25.169 $ 22.125 $ 18.653 $ 19.378
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... (4.83)++*** 8.23*** 13.76 18.61 (3.74)*** --
Ratios (%) (to average net assets):
Expenses before expense reductions## ..... 2.75+ 2.67 2.47 2.44 1.39# 1.25#
Expenses after expense reductions## ...... 2.50+ 2.50 2.47 2.50^^ 1.28# 1.25#
Net investment income(S) ................. 1.10+ 0.94 1.23 1.73 2.23# 3.50#
Portfolio turnover (%) ..................... 73 128 130 126 72 130
Number of units outstanding at end of period
(000 Omitted) ............................ 135 128 161 160 134 167
Global Governments Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 26.561 $ 24.578 $ 21.638 $ 18.269 $ 19.007 $ 19.115
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.492 $ 0.883 $ 0.869 $ 0.846 $ 1.063 $ 1.103
Expenses ................................. (0.350) (0.662) (0.600) (0.511) (0.579) (0.480)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.142 $ 0.221 $ 0.269 $ 0.335 $ 0.484 $ 0.623
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.443) 1.762 2.671 3.034 (1.222) (0.731)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.301) $ 1.983 $ 2.940 $ 3.369 $ (0.738) $ (0.108)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 25.260 $ 26.561 $ 24.578 $ 21.638 $ 18.269 $ 19.007
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... (4.90)++*** 8.07*** 13.59 18.44 (3.88)*** --
Ratios (%) (to average net assets)(S):
Expenses before expense reductions## ..... 2.90+ 2.82 2.62 2.56 1.39# 1.25#
Expenses after expense reductions## ...... 2.65+ 2.65 2.62 2.65^^ 1.28# 1.25#
Net investment income(S) ................. 1.04+ 0.85 1.15 1.77 2.23# 3.50#
Portfolio turnover (%) ..................... 73 128 130 126 72 130
Number of units outstanding at end of period
(000 Omitted) ............................ 29 28 41 58 68 108
FINANCIAL HIGHLIGHTS -- continued
Global Governments Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 15.580 $ 14.396 $ 12.655 $ 10.669 $ 11.083 $ 11.130
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.271 $ 0.497 $ 0.494 $ 0.499 $ 0.520 $ 0.654
Expenses ................................. (0.188) (0.361) (0.331) (0.281) (0.274) (0.270)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.083 $ 0.136 $ 0.163 $ 0.218 $ 0.246 $ 0.384
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.835) 1.048 1.578 1.768 (0.660) (0.431)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.752) $ 1.184 $ 1.741 $ 1.986 $ (0.414) $ (0.047)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 14.828 $ 15.580 $ 14.396 $ 12.655 $ 10.669 $ 11.083
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... (4.83)++*** 8.23*** 13.76 18.61 (3.74)*** --
Ratios (%) (to average net assets):
Expenses before expense reductions## ..... 2.75+ 2.67 2.47 2.42 1.40# 1.25#
Expenses after expense reductions## ...... 2.50+ 2.50 2.47 2.50^^ 1.28# 1.25#
Net investment income(S) ................. 1.10+ 0.94 1.21 1.70 2.23# 3.50#
Portfolio turnover (%) ..................... 73 128 130 126 72 130
Number of units outstanding at end of period
(000 Omitted) ............................. 491 500 559 568 574 619
(S) Effective January 1, 2001, the variable account adopted the provisions of the AICPA Audit and Accounting Guide for Investment
Companies and began amortizing and accreting all premiums and discounts on debt securities. Per unit data and ratios for
periods prior to J anuary 1, 2001 have not been restated to reflect this change.
* Per unit data are based on the average number of units outstanding during each year.
*** Certain expenses have been reduced without which performance would have been lower.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
^^ Ratio includes a reimbursement fee for expenses borne by MFS in prior years under the then existing expense reimbursement agr
eement. (+) 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.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 37.338 $ 36.470 $ 36.124 $ 33.448 $ 31.520 $ 28.523
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.957 $ 1.834 $ 1.482 $ 1.862 $ 2.183 $ 2.169
Expenses ................................. (0.372) (0.726) (0.711) (0.677) (0.661) (0.572)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.585 $ 1.108 $ 0.771 $ 1.185 $ 1.522 $ 1.597
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... 0.046 (0.240) (0.425) 1.491 0.406 1.400
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.631 $ 0.868 $ 0.346 $ 2.676 $ 1.928 $ 2.997
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 37.969 $ 37.338 $ 36.470 $ 36.124 $ 33.448 $ 31,520
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 1.69++ 2.38 0.96 8.00 6.12 --
Ratios (%) (to average net assets):
Expenses## ............................... 2.00+ 1.97 1.95 1.94 0.66# 0.64#
Net investment income(S) ................. 3.09+ 2.96 2.08 3.19 4.42# 5.28#
Portfolio turnover (%) ..................... 29 89 138 139 89 51
Number of units outstanding at end of period
(000 Omitted) ............................ 1,970 2,125 2,447 2,759 3,043 3,210
Government Securities Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 26.082 $ 25.501 $ 25.284 $ 23.434 $ 22.105 $ 20.023
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.650 $ 1.244 $ 1.045 $ 1.300 $ 1.590 $ 1.476
Expenses ................................. (0.269) (0.525) (0.514) (0.495) (0.510) (0.412)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.381 $ 0.719 $ 0.531 $ 0.805 $ 1.080 $ 1.064
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... 0.047 (0.138) (0.314) 1.045 0.249 1.018
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.428 $ 0.581 $ 0.217 $ 1.850 $ 1.329 $ 2.082
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 26.510 $ 26.082 $ 25.501 $ 25.284 $ 23.434 $ 22.105
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 1.64++ 2.28 0.86 7.89 6.01 --
Ratios (%) (to average net assets):
Expenses## ............................... 2.10+ 2.07 2.05 2.04 0.66# 0.64#
Net investment income(S) ................. 2.96+ 2.82 2.08 3.36 4.42# 5.28#
Portfolio turnover (%) ..................... 29 89 138 139 89 51
Number of units outstanding at end of period
(000 Omitted) ............................ 85 100 147 205 254 398
FINANCIAL HIGHLIGHTS -- continued
Government Securities Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 15.274 $ 14.912 $ 14.763 $ 13.663 $ 12.868 $ 11.639
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.385 $ 0.742 $ 0.597 $ 0.732 $ 0.826 $ 0.876
Expenses ................................. (0.148) (0.289) (0.282) (0.267) (0.248) (0.228)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.237 $ 0.453 $ 0.315 $ 0.465 $ 0.578 $ 0.648
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... 0.025 (0.091) (0.166) 0.635 0.217 0.581
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.262 $ 0.362 $ 0.149 $ 1.100 $ 0.795 $ 1.229
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 15.536 $ 15.274 $ 14.912 $ 14.763 $ 13.663 $ 12.868
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 1.72++ 2.43 1.01 8.05 6.17 --
Ratios (%) (to average net assets):
Expenses## ............................... 1.95+ 1.92 1.90 1.89 0.66# 0.64#
Net investment income(S) ................. 3.11+ 2.99 2.10 3.17 4.42# 5.28#
Portfolio turnover (%) ..................... 29 89 138 139 89 51
Number of units outstanding at end of period
(000 Omitted) ............................ 1,368 1,377 1,562 1,692 1,617 1,542
(S) Effective January 1, 2001, the variable account adopted the provisions of the AICPA Audit and Accounting Guide for Investment
Companies and began amortizing and accreting all premiums and discounts on debt securities. Per unit data and ratios for
periods prior to J anuary 1, 2001 have not been restated to reflect this change.
* Per unit data are based on the average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
(+) 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.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 36.669 $ 34.056 $ 28.505 $ 28.969 $ 29.882 $ 33.630
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 1.429 $ 2.857 $ 2.769 $ 3.015 $ 3.684 $ 3.786
Expenses ................................. (0.407) (0.770) (0.689) (0.617) (0.699) (0.725)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 1.022 $ 2.087 $ 2.080 $ 2.398 $ 2.985 $ 3.061
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.169) 0.526 3.471 (2.862) (3.898) (6.809)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.147) $ 2.613 $ 5.551 $ (0.464) $ (0.913) $ (3.748)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 36.522 $ 36.669 $ 34.056 $ 28.505 $ 28.969 $ 29.882
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (0.40)++ 7.67 19.47 (1.60) (3.05) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.27+ 2.21 2.20 2.18 0.90# 0.89#
Net investment income(S) ................. 5.60+ 5.91 6.53 7.84 9.16# 9.00#
Portfolio turnover (%) ..................... 32 81 164 172 103 109
Number of units outstanding at end of period
(000 Omitted) ............................ 1,454 1,601 1,827 2,069 2,328 2,677
High Yield Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 26.943 $ 25.048 $ 20.986 $ 21.349 $ 22.043 $ 24.832
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 1.035 $ 2.021 $ 1.964 $ 2.141 $ 3.188 $ 2.730
Expenses ................................. (0.310) (0.576) (0.514) (0.469) (0.643) (0.557)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.725 $ 1.445 $ 1.450 $ 1.672 $ 2.545 $ 2.173
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.846) 0.450 2.612 (2.035) (3.239) (4.962)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.121) $ 1.895 $ 4.062 $ (0.363) $ (0.694) $ (2.789)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 26.822 $ 26.943 $ 25.048 $ 20.986 $ 21.349 $ 22.043
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (0.45)++ 7.57 19.35 (1.70) (3.15) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.37+ 2.31 2.30 2.28 0.90# 0.89#
Net investment income(S) ................. 5.51+ 5.75 6.41 8.45 9.16# 9.00#
Portfolio turnover (%) ..................... 32 81 164 172 103 109
Number of units outstanding at end of period
(000 Omitted) ............................ 53 67 115 178 231 297
FINANCIAL HIGHLIGHTS -- continued
High Yield Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 14.421 $ 13.386 $ 11.199 $ 11.376 $ 11.728 $ 13.193
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.545 $ 1.019 $ 1.161 $ 1.220 $ 0.784 $ 1.527
Expenses ................................. (0.154) (0.275) (0.286) (0.257) (0.151) (0.290)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.391 $ 0.744 $ 0.875 $ 0.963 $ 0.633 $ 1.237
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.446) 0.291 1.312 (1.140) (0.985) (2.702)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.055) $ 1.035 $ 2.187 $ (0.177) $ (0.352) $ (1.465)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 14.366 $ 14.421 $ 13.386 $ 11.199 $ 11.376 $ 11.728
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (0.38)++ 7.73 19.53 (1.55) (3.01) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.22+ 2.16 2.15 2.13 0.90# 0.89#
Net investment income(S) ................. 5.60+ 5.77 6.57 6.08 9.16# 9.00#
Portfolio turnover (%) ..................... 32 81 164 172 103 109
Number of units outstanding at end of period
(000 Omitted) ............................ 975 971 2,631 2,684 1,131 2,619
(S) Effective January 1, 2001, the variable account adopted the provisions of the AICPA Audit and Accounting Guide for Investment
Companies and began amortizing and accreting all premiums and discounts on debt securities. Per unit data and ratios for
periods prior to J anuary 1, 2001 have not been restated to reflect this change.
* Per unit data are based on the average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
(+) 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.
& From time to time the variable account may receive proceeds from litigation settlements, without which performance would be l
ower.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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.
Managed Sectors Variable Account
------------------------------------------------------------------------------------
Compass 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 43.708 $ 41.525 $ 33.716 $ 46.116 $ 72.313 $ 92.865
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.193 $ 0.549 $ 0.333 $ 0.270 $ 0.465 $ 0.633
Expenses ................................. (0.472) (0.894) (0.788) (0.810) (1.179) (1.817)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.279) $ (0.345) $ (0.455) $ (0.540) $ (0.714) $ (1.184)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.072) 2.528 8.264 (11.860) (25.483) (19.368)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.351) $ 2.183 $ 7.809 $ (12.400) $ (26.197) $ (20.552)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 42.357 $ 43.708 $ 41.525 $ 33.716 $ 46.116 $ 72.313
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (3.09)++ 5.26+ 23.16^ (26.89) (36.23) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.23+ 2.17 2.12 2.10 0.88# 0.83#
Net investment loss ...................... (1.31)+ (0.83) (1.22) (1.45) (1.32)# (1.39)#
Portfolio turnover (%) ..................... 16 93 80 264 295 447
Number of units outstanding at end of period
(000 Omitted) ............................ 221 345 409 455 573 697
Managed Sectors Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 42.920 $ 40.837 $ 33.207 $ 45.487 $ 71.434 $ 91.870
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.183 $ 0.515 $ 0.321 $ 0.251 $ 0.487 $ 0.602
Expenses ................................. (0.484) (0.933) (0.817) (0.852) (1.297) (1.908)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.301) $ (0.418) $ (0.496) $ (0.601) $ (0.810) $ (1.306)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (1.055) 2.501 8.126 (11.679) (25.137) (19.130)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (1.356) $ 2.083 $ 7.630 $ (12.280) $ (25.947) $ (20.436)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 41.564 $ 42.920 $ 40.837 $ 33.207 $ 45.487 $ 71.434
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (3.16)++ 5.10+ 22.98^ (27.00) (36.32) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.38+ 2.32 2.27 2.25 0.88# 0.83#
Net investment loss ...................... (1.47)+ (1.03) (1.37) (1.56) (1.32)# (1.39)#
Portfolio turnover (%) ..................... 16 93 80 264 295 447
Number of units outstanding at end of period
(000 Omitted) ............................ 100 141 202 296 390 576
FINANCIAL HIGHLIGHTS -- continued
Managed Sectors Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 13.910 $ 13.215 $ 10.730 $ 14.676 $ 23.014 $ 29.554
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.061 $ 0.177 $ 0.106 $ 0.083 $ 0.136 $ 0.201
Expenses ................................. (0.150) (0.285) (0.252) (0.259) (0.350) (0.578)
---------- ---------- ---------- ---------- ---------- ----------
Net investment loss .................. $ (0.089) $ (0.108) $ (0.146) $ (0.176) $ (0.214) $ (0.377)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.341) 0.803 2.631 (3.770) (8.124) (6.163)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ (0.430) $ 0.695 $ 2.485 $ (3.946) $ (8.338) $ (6.540)
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 13.480 $ 13.910 $ 13.215 $ 10.730 $ 14.676 $ 23.014
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... (3.09)++ 5.26+ 23.16^ (26.89) (36.23) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.23+ 2.17 2.12 2.10 0.88# 0.83#
Net investment loss ...................... (1.32)+ (0.82) (1.22) (1.46) (1.32)# (1.39)#
Portfolio turnover (%) ..................... 16 93 80 264 295 447
Number of units outstanding at end of period
(000 Omitted) ............................. 2,267 3,020 3,228 3,173 3,559 3,548
* Per unit data are based on the average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
^ The accounts' net asset value and total return calculation include proceeds received on March 26, 2003 for the partial paymen
t of a non-recurring litigation settlement from Cendant Corporation, recorded as a realized gain on investment transactions.
The proceed s resulted in an increase in the net asset value of $0.083, $0.081, and $0.026 per unit for Compass 2, Compass 3,
and Compass 3 - Level 2, res pectively, based on units outstanding on the day the proceeds were received. Excluding the effect
of this payment from the ending net asset va lue 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 0.24%, 0.25%, and 0.24%, respectively.
+ The account's net asset value and total return calculation include a non-recurring accrual recorded as a result of an adminis
trative proceeding regarding disclosure of brokerage allocation practices in connection with fund sales. The non-recurring
accrual re sulted in an increase in the net asset value of $0.041, $0.040, and $0.013 per unit for Compass 2, Compass 3, and
Compass 3 - Level 2, res pectively, based on units outstanding on the day the proceeds were recorded.
(+) 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.
& From time to time the variable account may receive proceeds from litigation settlements, without which performance would be
lower.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 20.073 $ 20.188 $ 20.322 $ 20.341 $ 19.862 $ 18.997
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.262 $ 0.281 $ 0.247 $ 0.382 $ 0.950 $ 1.232
Expenses ................................. (0.199) (0.396) (0.381) (0.401) (0.471) (0.367)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ....................... $ 0.063 $ (0.115) $ (0.134) $ (0.019) $ 0.479 $ 0.865
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 20.136 $ 20.073 $ 20.188 $ 20.322 $ 20.341 $ 19.862
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 0.32++ (0.57) (0.66) (0.09) 2.41 --
Ratios (%) (to average net assets):
Expenses## ............................... 1.99+ 1.96 1.87 1.96 0.65# 0.60#
Net investment income (loss) ............. 0.83+ (0.56) (0.63) (0.12) 2.51# 4.45#
Number of units outstanding at end of period
(000 Omitted) ............................ 972 1,009 1,172 1,626 1,986 3,304
Money Market Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 16.443 $ 16.553 $ 16.680 $ 16.712 $ 16.334 $ 15.638
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.217 $ 0.229 $ 0.198 $ 0.318 $ 0.784 $ 1.002
Expenses ................................. (0.173) (0.339) (0.325) (0.350) (0.406) (0.306)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ....................... $ 0.044 $ (0.110) $ (0.127) $ (0.032) $ 0.378 $ 0.696
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 16.487 $ 16.443 $ 16.553 $ 16.680 $ 16.712 $ 16.334
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 0.27++ (0.67) (0.76) (0.19) 2.31 --
Ratios (%) (to average net assets):
Expenses## ............................... 2.09+ 2.06 1.97 2.06 0.65# 0.60#
Net investment income (loss) ............. 0.68+ (0.71) (0.74) (0.14) 2.51# 4.45#
Number of units outstanding at end of period
(000 Omitted) ............................ 85 97 155 186 222 468
FINANCIAL HIGHLIGHTS -- continued
Money Market Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 12.326 $ 12.390 $ 12.466 $ 12.472 $ 12.172 $ 11.636
---------- ---------- ---------- ---------- ---------- ----------
Investment income ........................ $ 0.162 $ 0.181 $ 0.131 $ 0.223 $ 0.710 $ 0.747
Expenses ................................. (0.120) (0.245) (0.207) (0.229) (0.410) (0.211)
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.042 $ (0.064) $ (0.076) $ (0.006) $ 0.300) $ 0.536
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 12.368 $ 12.326 $ 12.390 $ 12.466 $ 12.472 $ 12.172
========== ========== ========== ========== ========== ==========
Total Return (%)(+) ...................... 0.34++ (0.52) (0.61) (0.04) 2.46 --
Ratios (%) (to average net assets):
Expenses## ............................... 1.94+ 1.91 1.82 1.91 0.65# 0.60#
Net investment income (loss) ............. 0.84+ (0.48) (0.61) (0.01) 2.51# 4.45#
Number of units outstanding at end of period
(000 Omitted) ............................ 1,938 2,259 896 1,113 2,835 1,562
* Per unit data are based on the average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
(+) 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.
See notes to financial statements.
FINANCIAL HIGHLIGHTS -- continued
The financial highlights tables are intended to help you understand the variable accounts' 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 Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 45.729 $ 41.571 $ 35.950 $ 38.562 $ 39.126 $ 33.728
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.746 $ 1.450 $ 1.237 $ 1.407 $ 1.513 $ 1.464
Expenses ................................. (0.474) (0.905) (0.800) (0.777) (0.830) (0.727)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.272 $ 0.545 $ 0.437 $ 0.630 $ 0.683 $ 0.737
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.213) 3.613 5.184 (3.242) (1.247) 4.661
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.059 $ 4.158 $ 5.621 $ (2.612) $ (0.564) $ 5.398
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 45.788 $ 45.729 $ 41.571 $ 35.950 $ 38.562 $ 39.126
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... 0.13++ 10.00+ 15.64 (6.77) (1.44) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.11+ 2.11 2.10 2.08 0.85# 0.83#
Net investment income(S) ................. 1.19+ 1.25 1.13 1.43 1.67# 2.02#
Portfolio turnover (%) ..................... 27 64 62 76 104 105
Number of units outstanding at end of period
(000 Omitted) ............................ 1,432 1,511 1,688 1,871 2,080 2,240
Total Return Variable Account
------------------------------------------------------------------------------------
Compass 3
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 44.592 $ 40.597 $ 35.160 $ 37.771 $ 38.380 $ 33.134
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.715 $ 1.375 $ 1.200 $ 1.360 $ 1.599 $ 1.395
Expenses ................................. (0.488) (0.929) (0.823) (0.804) (0.939) (0.749)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.227 $ 0.446 $ 0.377 $ 0.556 $ 0.660 $ 0.646
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.203) 3.549 5.060 (3.167) (1.269) 4.600
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.024 $ 3.995 $ 5.437 $ (2.611) $ (0.609) $ 5.246
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 44.616 $ 44.592 $ 40.597 $ 35.160 $ 37.771 $ 38.380
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... 0.05++ 9.84+ 15.46 (6.91) (1.59) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.26+ 2.26 2.25 2.23 0.85# 0.83#
Net investment income(S) ................. 1.04+ 1.07 1.01 1.61 1.67# 2.02#
Portfolio turnover (%) ..................... 27 64 62 76 104 105
Number of units outstanding at end of period
(000 Omitted) ............................ 266 315 453 634 838 1,253
FINANCIAL HIGHLIGHTS -- continued
Total Return Variable Account
------------------------------------------------------------------------------------
Compass 3 - Level 2
------------------------------------------------------------------------------------
Six Months
Ended Years Ended December 31,
June 30, 2005 -------------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001 2000
---------- ---------- ---------- ---------- ---------- ----------
Per unit data:*
Net asset value -- beginning of period ... $ 21.559 $ 19.599 $ 16.949 $ 18.180 $ 18.446 $ 15.901
---------- ---------- ---------- ---------- ---------- ----------
Investment income(S) ..................... $ 0.349 $ 0.676 $ 0.575 $ 0.658 $ 0.687 $ 0.683
Expenses ................................. (0.224) (0.425) (0.376) (0.367) (0.382) (0.343)
---------- ---------- ---------- ---------- ---------- ----------
Net investment income ................ $ 0.125 $ 0.251 $ 0.199 $ 0.291 $ 0.305 $ 0.340
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................... (0.097) 1.709 2.451 (1.522) (0.571) 2.205
---------- ---------- ---------- ---------- ---------- ----------
Change in unit value ..................... $ 0.028 $ 1.960 $ 2.650 $ (1.231) $ (0.266) $ 2.545
---------- ---------- ---------- ---------- ---------- ----------
Unit value:
Net asset value -- end of period ......... $ 21.587 $ 21.559 $ 19.599 $ 16.949 $ 18.180 $ 18.446
========== ========== ========== ========== ========== ==========
Total Return (%)(+)& ..................... 0.13++ 10.00+ 15.64 (6.77) (1.44) --
Ratios (%) (to average net assets):
Expenses## ............................... 2.11+ 2.11 2.10 2.08 0.85# 0.83#
Net investment income(S) ................. 1.18+ 1.24 1.11 1.55 1.67# 2.02#
Portfolio turnover (%) ..................... 27 64 62 76 104 105
Number of units outstanding at end of period
(000 Omitted) ............................ 5,646 5,646 5,946 6,236 6,537 6,382
(S) Effective January 1, 2001, the variable account adopted the provisions of the AICPA Audit and Accounting Guide for Investment
Companies and began amortizing and accreting all premiums and discounts on debt securities. Per unit data and ratios for
periods prior to J anuary 1, 2001 have not been restated to reflect this change.
* Per unit data are based on the average number of units outstanding during each year.
+ Annualized.
++ Not annualized.
# Excluding mortality and expense risk charges and distribution expense charges.
## Ratios do not reflect reductions from fees paid indirectly.
+ The 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 unit based on the units outstanding on the day
the proceeds were recorded.
(+) 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.
& From time to time the variable account may receive proceeds from litigation settlements, without which performance would be
lower.
See notes to financial statements.
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, Managed
Sectors 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. Capital Appreciation Variable Account, Government Securities Variable
Account, Money Market Variable Account, and Total Return Variable Account
operate as open-end, diversified management investment companies, and Global
Governments Variable Account, High Yield Variable Account, and Managed Sectors
Variable Account operate as open-end, non- diversified management investment
companies as those terms are defined in the Investment Company Act of 1940, as
amended. Effective July 18, 2005, the Managed Sectors Variable Account
terminated operations.
(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, Managed Sectors Variable Account, and Total Return
Variable Account can invest in foreign securities. Investments in foreign
securities are vulnerable to the effects of changes in the relative values of
the local currency and the U.S. dollar and to the effects of changes in each
country's legal, political, and economic environment.
Investment Valuations - Equity securities in the variable accounts' portfolio
for which market quotations are available are valued at the last sale or
official closing price as reported by an independent pricing service on the
primary market or exchange on which they are primarily traded, or at the last
quoted bid price for securities in which there were no sales during the day.
Equity securities traded over the counter are valued at the last sales price
traded each day as reported by an independent pricing service, or to the extent
there are no sales reported, such securities are valued on the basis of
quotations obtained from brokers and dealers. Bonds and other fixed income
securities (other than short-term obligations) in the variable accounts'
portfolio are valued at an evaluated bid price as reported by an independent
pricing service, or to the extent a valuation is not reported by a pricing
service, such securities are valued on the basis of quotes from brokers and
dealers. Prices obtained from pricing services utilize both dealer-supplied
valuations and electronic data processing techniques which take into account
appropriate 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 without exclusive reliance upon quoted
prices or exchange or over-the-counter prices, since such valuations are
believed to reflect more accurately the fair value of such securities. Foreign
currency options are valued by Massachusetts Financial Services Company (MFS)
using an external pricing model approved by the Board of Managers that uses
market data from an independent pricing source. Futures contracts are valued at
the settlement price as reported by an independent pricing service on the
primary exchange on which they are traded. Forward foreign currency contracts
are valued using spot rates and forward points as reported by an independent
pricing source. Short-term obligations with a remaining maturity in excess of 60
days will be valued upon dealer-supplied valuations. All other short-term
obligations in the variable accounts' portfolio are valued at amortized cost,
which approximates market value as determined by the Board of Managers. Money
market instruments are valued at amortized cost, which the Managers have
determined in good faith approximates market value. The variable accounts' use
of amortized cost is subject to the variable accounts' compliance with certain
conditions as specified under Rule 2a-7 of the Investment Company Act of 1940.
Investment valuations, other assets, and liabilities initially expressed in
foreign currencies are converted each business day into U.S. dollars based upon
current exchange rates. When pricing service information or market quotations
are not readily available, securities are priced at fair value as determined
under the direction of the Board of Managers. For example, significant events
(such as movement in the U.S. securities market, or other regional and local
developments) may occur between the time that foreign markets close (where the
security is principally traded) and the time that the variable accounts
calculates its net asset value (generally, the close of the NYSE) that may
impact the value of securities traded in these foreign markets. In these cases,
the variable accounts may utilize information from an external vendor or other
sources to adjust closing market quotations of foreign equity securities to
reflect what it believes to be the fair value of the securities as of the
variable accounts' valuation time. Because the frequency of significant events
is not predictable, fair valuation of foreign equity securities may occur on a
frequent basis.
Repurchase Agreements - Certain variable accounts 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 the 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 accounts, along with other affiliated entities of MFS,
may utilize a joint trading account for the purpose of entering into one or more
repurchase agreements.
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
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.
Written Options - Certain variable accounts may write call or put options in
exchange for a premium. The premium is initially recorded as a liability, which
is subsequently adjusted to the current value of the option contract. When a
written option expires, the variable accounts realize a gain equal to the amount
of the premium received. When a written call option is exercised or closed, the
premium received is offset against the proceeds to determine the realized gain
or loss. When a written put option is exercised, the premium reduces the cost
basis of the security purchased by the variable accounts. The variable accounts,
as writer of an option, may have no control over whether the underlying
securities may be sold (call) or purchased (put) and, as a result, bears the
market risk of an unfavorable change in the price of the securities underlying
the written option. In general, written call options may serve as a partial
hedge against decreases in value in the underlying securities to the extent of
the premium received. Written options may also be used as part of an income
producing strategy reflecting the view of the variable accounts' management on
the direction of interest rates.
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 accounts 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 accounts. The variable accounts' investment in futures contracts is
designed to hedge against anticipated future changes in interest or securities
prices. Investments in interest rate futures for purposes other than hedging may
be made to modify the duration of the portfolio without incurring the additional
transaction costs involved in buying and selling the underlying securities.
Investments in equity index contracts or contracts on related options for
purposes other than hedging, may be made when the variable account has cash on
hand and wishes to participate in anticipated market appreciation while the cash
is being invested. Should interest rates or securities prices move unexpectedly,
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 a foreign currency relative to the U.S. dollar. 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.
Dollar Roll Transactions - The Government Securities Variable Account may enter
into dollar roll transactions, with respect to mortgage backed securities issued
by Ginnie Mae, Fannie Mae, and Freddie Mac, in which the variable accounts sells
mortgage backed securities to financial institutions and simultaneously agrees
to accept substantially similar (same type, coupon, and maturity) securities at
a later date at an agreed-upon price. During the period between the sale and
repurchase in a dollar roll transaction the variable account will not be
entitled to receive interest and principal payments on the securities sold but
is compensated by interest earned on the proceeds of the initial sale and by a
lower purchase price on the securities to be repurchased which enhances the
variable account's total return. The variable account accounts for dollar roll
transactions as purchases and sales. If certain criteria are met these dollar
roll transactions may be considered a financing transaction whereby the
difference in the sales price and the future purchase price is recorded as an
adjustment to interest income.
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. For the Money Market
Variable Account, all premium and discount is amortized and accreted for
financial statement purposes and tax reporting purposes in accordance with
generally accepted accounting principles and federal tax regulations,
respectively. Dividends received in cash are recorded on the ex-dividend date.
Dividend and interest payments received in additional securities are recorded on
the ex-dividend or ex-interest date in an amount equal to the value of the
security on such date.
The variable accounts may receive proceeds from litigation settlements involving
its portfolio holdings. Any proceeds received are reflected in realized
gain/loss in the Statement of Operations, or in unrealized gain/loss if the
security is still held by the variable accounts. The Capital Appreciation
Variable Account was a participation in a class action lawsuit against Cendant
Corporation. On March 19, 2004, the variable account received a cash settlement
in the amount of $622,626.
Certain variable accounts may enter into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed unit price at a future date.
Although the unit price has been established, the principal value has not been
finalized. However, the principal amount of the commitments will not fluctuate
more than 0.01%. The variable accounts hold, and maintain until settlement date,
cash or high-grade debt obligations in an amount sufficient to meet the purchase
price, or the variable accounts may enter into offsetting contracts for the
forward sale of other securities it owns. Income on the securities will not be
earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a risk of loss if the value of the
security to be purchased declines prior to settlement date, which is in addition
to the risk of decline in the value of the variable accounts' other assets.
Unsettled TBA purchase commitments are valued at the current market value of the
underlying securities.
Certain variable accounts may enter into "TBA" (to be announced) sale
commitments to hedge its portfolio positions or to sell mortgage-backed
securities it owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date. During the
time a TBA sale commitment is outstanding, equivalent deliverable securities, or
an offsetting TBA purchase commitment deliverable on or before the sale
commitment date, are held as "cover" for the transaction.
Legal fees and other related expenses incurred to preserve and protect the value
of a security owned are added to the cost of the security; other legal fees are
expensed. Capital infusions made directly to the security issuer, which are
generally non-recurring, incurred to protect or enhance the value of high-yield
debt securities, are reported as additions to the cost basis of the security.
Costs that are incurred to negotiate the terms or conditions of capital
infusions or that are expected to result in a plan of reorganization are
reported as realized losses. Ongoing costs incurred to protect or enhance an
investment, or costs incurred to pursue other claims or legal actions, are
expensed.
Fees Paid Indirectly - The variable accounts' custody fee is reduced according
to an arrangement that measures the value of cash deposited with the custodian
by the variable accounts. During the six months ended June 30, 2005, each
variable accounts' custodian fees were reduced under this arrangement. The
variable accounts have entered into a commission recapture agreement, under
which certain brokers will credit the variable accounts a portion of the
commissions generated, to offset certain expenses of the variable accounts. For
the six months ended June 30, 2005, the variable accounts' miscellaneous
expenses were reduced under this agreement. These amounts are shown as a
reduction of total expenses on the Statement of Operations.
Capital Global Government High Managed Money Total
Appreciation Governments Securities Yield Sectors Market Return
Variable Variable Variable Variable Variable Variable Variable
Account Account Account Account Account Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
Balance credits ................................. $ 2,678 $ 199 $ 2,945 $ 1,322 $ 532 $ 373 $2,000
Commission recapture credits .................... 1,410 -- -- 61 742 -- --
-------- -------- -------- -------- -------- -------- ------
Total ........................................... $ 4,088 $ 199 $ 2,945 $ 1,383 $ 1,274 $ 373 $2,000
======== ======== ======== ======== ======== ======== ======
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, Managed Sectors Variable Account, and Total Return Variable Account
attributable to such contracts.
For assuming the distribution expense risk under Compass 3 contracts, the
Sponsor makes a deduction from the variable accounts at the end of each
valuation period for the first seven contract years at an effective annual
rate of 0.15% of the net assets of the variable accounts attributable to such
contracts. Contracts are transferred from Compass 3 to Compass 3 -- Level 2 in
the month following the seventh contract anniversary. No deduction is made
after the seventh contract anniversary. No deduction is made with respect to
assets attributable to Compass 2 contracts.
Each year, on the contract anniversary, a contract maintenance charge of $25
with respect to Compass 2 contracts and $30 with respect to Compass 3
contracts is deducted from each contract's accumulation account and paid the
Sponsor to cover administrative expenses relating to the contract. After the
annuity commencement date, the annual contract maintenance charge is deducted
pro rata from each annuity payment made during the year.
The Sponsor does not deduct a sales charge from purchase payments. However, a
withdrawal charge (contingent deferred sales charge) may be deducted to cover
certain expenses relating to the sale of the contract. In no event shall the
aggregate withdrawal charges (including the distribution expense charge
described above applicable to Compass 3 contracts) exceed 5% of the purchase
payments made under a Compass 2 contract or 9% of the purchase payments made
under a Compass 3 contract.
(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 advisory and administrative
services, and general office facilities. The management fee is computed daily
and paid monthly at the following annual rate based on a percentage of each
variable account's average daily net assets:
Annual Rate of Management Fee Annual Rate of Management Fee
Based on Average Based on Average
Daily Net Assets Daily Net Assets
Not Exceeding $300 Million In Excess of $300 Million
- ---------------------------------------------------------------------------------------------------------------
Capital Appreciation Variable Account ....... 0.75% 0.675%
Global Governments Variable Account ......... 0.75% 0.675%
Government Securities Variable Account ...... 0.55% 0.495%
High Yield Variable Account ................. 0.75% 0.675%
Managed Sectors Variable Account ............ 0.75% 0.675%
Money Market Variable Account ............... 0.50%* 0.50%*
Total Return Variable Account ............... 0.75% 0.675%
* The management fee for the Money Market Variable Account is reduced to 0.45% of the average daily net assets in
excess of $500 million.
The investment adviser has agreed to pay a portion of certain variable
accounts' operating expenses, exclusive of taxes, extraordinary expenses,
brokerage and transaction costs, mortality and expense risk charges, and
contract maintenance charges, such that the operating expenses of the variable
accounts do not exceed the expense limitations indicated below, based on the
average daily net assets of such variable accounts. This is reflected as a
reduction of total expenses in the Statements of Operations for these variable
accounts. Effective management fees and expense limitations are as follows:
Compass 3 -
Effective Compass 2 Compass 3 Level 2
Management Expense Expense Expense
Fees Limitations Limitations Limitations
- ---------------------------------------------------------------------------------------------------------------------------------
Capital Appreciation Variable Account ..... 0.75% 1.10% 1.25% 1.10%
Global Governments Variable Account ....... 0.75% 1.10% 1.25% 1.10%
Government Securities Variable Account .... 0.55% 1.10% 1.25% 1.10%
High Yield Variable Account ............... 0.75% 1.10% 1.25% 1.10%
Managed Sectors Variable Account .......... 0.75% 1.10% 1.25% 1.10%
Money Market Variable Account ............. 0.50% 1.10% 1.25% 1.10%
Total Return Variable Account ............. 0.75% 1.10% 1.25% 1.10%
Administrator - MFS provides certain financial, legal, shareholder
communications, compliance, and other administrative services to certain funds
for which MFS acts as investment adviser. Under an administrative services
agreement, the variable accounts may partially reimburse MFS the costs
incurred to provide these services, subject to review and approval by the
Board of Managers. Each variable account is allocated a portion of these
administrative costs based on its size and relative average net assets. The
administrative services fee incurred for the six months ended June 30, 2005
was equivalent to the following annual effective rate of the variable
accounts' average daily net assets:
Capital Global Government High Managed Money Total
Appreciation Governments Securities Yield Sectors Market Return
Variable Variable Variable Variable Variable Variable Variable
Account Account Account Account Account Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
Percent of average daily net assets .......... 0.0156% 0.0156% 0.0156% 0.0156% 0.0154% 0.0155% 0.0156%
====== ====== ====== ====== ====== ====== ======
Managers' and Officers' Compensation - Each variable account pays compensation
to Independent 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 or members of the Board of Managers
who are affiliated with the Investment Advisor or the Sponsor. Certain
officers and Managers 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. MFS has agreed
to bear all expenses associated with office space, other administrative
support, and supplies provided to the ICCO. The funds can terminate the
Agreement with Tarantino LLC at any time under the terms of the Agreement. For
the six months ended June 30, 2005, payments made by the variable accounts to
Tarantino LLC amounted to the following:
ICCO Fee
- ----------------------------------------------------------------------------
Capital Appreciation Variable Account .......................... $656
Global Governments Variable Account ............................ 27
Government Securities Variable Account ......................... 240
High Yield Variable Account .................................... 157
Managed Sectors Variable Account ............................... 135
Money Market Variable Account .................................. 118
Total Return Variable Account .................................. 473
The variable accounts' investment adviser, MFS, has been the subject of an
administrative proceeding regarding disclosure of brokerage allocation
practices in connection with fund sales. On July 28, 2004, certain variable
accounts accrued an estimate of the amount to be received pursuant to this
matter, which resulted in an increase in net asset value of per unit based on
the shares outstanding on the day the proceeds were recorded.
Capital Managed
Appreciation Sectors
Variable Variable
Account Account
- ------------------------------------------------------------------------------------------------------------------------------
Cash Settlement ............................................................................... $227,161 $63,230
Increase in net asset value per unit
Compass 2 Contracts ....................................................................... $ 0.039 $ 0.041
Compass 3 Contracts ....................................................................... $ 0.026 $ 0.040
Compass 3 -- Level 2 Contracts ............................................................ $ 0.010 $ 0.013
The proceeds were paid to the variable accounts on February 16, 2005.
(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 ..................................................... $ 1,642,861 $19,781,128
Global Governments Variable Account ....................................................... 5,817,479 5,882,462
Government Securities Variable Account .................................................... 981,744 380,180
High Yield Variable Account ............................................................... 20,935,226 26,529,286
Managed Sectors Variable Account .......................................................... 8,711,765 26,391,900
Total Return Variable Account ............................................................. 18,437,727 14,529,081
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 ....................................................... $ 2,514,223 $ 1,997,413
Government Securities Variable Account .................................................... 26,984,613 31,244,835
Total Return Variable Account ............................................................. 34,987,828 43,627,271
Purchases and sales of investments for Money Market Variable Account, which consist solely of short-term obligations, amounted to
$287,796,846 and $292,997,380, respectively, excluding repurchase agreements.
(7) PARTICIPANT TRANSACTIONS
The changes in net assets from changes in numbers of outstanding units were as follows:
Six Months Ended June 30, 2005 (000 Omitted)
---------------------------------------------------------------------------------------
Transfers
Between
Variable Withdrawals,
Accounts Surrenders,
Purchase and Fixed Annuitizations Net Net Net
Payments Accumulation and Contract Accumulation Annuitization Increase
Received Account Charges Activity Activity (Decrease)
------------ ---------------- -------------- ---------------- ----- --------
Units Dollars Units Dollars Units Dollars Units Dollars Dollars Dollars
----- ------- ----- ------- ----- ------------- ------- ------- -------
Capital Appreciation Variable Account
Compass 2 Contracts ...................... 17 $965 (22) $ (1,209) (236) $(12,867) (241) $(13,111) $ (74) $(13,185)
Compass 3 Contracts ...................... 22 781 (92) (3,280) (34) (1,209) (104) (3,708) (9) (3,717)
Compass 3 -- Level 2 Contracts ........... 95 1,399 120 1,808 (500) (7,368) (285) (4,161) (26) (4,187)
------ -------- -------- -------- ----- --------
$3,145 $ (2,681) $(21,444) $(20,980) $(109) $(21,089)
====== ======== ======== ======== ===== ========
Global Governments Variable Account
Compass 2 Contracts ...................... 1 $ 24 18 $ 475 (12) $ (313) 7 $186 $(2) $184
Compass 3 Contracts ...................... 2 57 2 50 (3) (79) 1 28 (2) 26
Compass 3 -- Level 2 Contracts ........... 7 105 35 534 (51) (777) (9) (138) 0* (138)
------ -------- -------- -------- ----- --------
$ 186 $ 1,059 $ (1,169) $ 76 $ (4) $ 72
====== ======== ======== ======== ===== ========
Government Securities Variable Account
Compass 2 Contracts ...................... 9 $ 370 (9) $ (355) (155) $ (5,829) (155) $ (5,814) $ (60) $ (5,874)
Compass 3 Contracts ...................... 7 202 (14) (363) (8) (218) (15) (379) -- (379)
Compass 3 -- Level 2 Contracts ........... 17 262 69 1,059 (95) (1,451) (9) (130) (6) (136)
------ -------- -------- -------- ----- --------
$ 834 $ 341 $ (7,498) $ (6,323) $ (66) $ (6,389)
====== ======== ======== ======== ===== ========
High Yield Variable Account
Compass 2 Contracts ...................... 7 $ 269 (8) $ (328) (146) $ (5,329) (147) $ (5,388) $(221) $ (5,609)
Compass 3 Contracts ...................... 5 147 (11) (286) (8) (218) (14) (357) (8) (365)
Compass 3 -- Level 2 Contracts ........... 12 175 73 979 (81) (1,150) 4 4 (12) (8)
------ -------- -------- -------- ----- --------
$ 591 $ 365 $ (6,697) $ (5,741) $(241) $ (5,982)
====== ======== ======== ======== ===== ========
Managed Sectors Variable Account
Compass 2 Contracts ...................... 2 $ 101 (91) $ (3,863) (35) $(1,499) (124) $(5,261) $(12) $(5,273)
Compass 3 Contracts ...................... 8 365 (40) (1,659) (9) (377) (41) (1,671) (7) (1,678)
Compass 3 -- Level 2 Contracts ........... 56 753 (438) (5,950) (371) (4,942) (753) (10,139) (2) (10,141)
------ -------- -------- -------- ----- --------
$1,219 $(11,472) $(6,818) $(17,071) $ (21) $(17,092)
====== ======== ======= ======== ===== ========
Money Market Variable Account
Compass 2 Contracts .......... 4 $ 163 43 $ 871 (84) $ (1,701) (37) $ (667) $ (33) $ (700)
Compass 3 Contracts .......... 16 289 (4) (64) (24) (399) (12) (174) (5) (179)
Compass 3 -- Level 2 Contracts 20 264 116 1,430 (457) (5,654) (321) (3,960) (15) (3,975)
------ -------- -------- -------- ----- -------
$ 716 2,237 $ (7,754) $ (4,801) $ (53) $(4,854)
====== ======== ======== ======== ===== =======
Total Return Variable Account
Compass 2 Contracts .......... 6 $ 282 63 $ 2,875 (148) $ (6,719) 1 $ (3,562) $(147) $(3,709)
Compass 3 Contracts .......... 17 780 (49) (2,155) (18) (778) (50) (2,153) (46) (2,199)
Compass 3 -- Level 2 Contracts 89 1,905 331 7,126 (420) (8,987) -- 44 (102) (58)
------ -------- -------- -------- ----- -------
$2,967 $ 7,846 $(16,484) $ (5,671) $(295) $(5,966)
====== ======== ======== ======== ===== =======
*Amount less than $500.
Year Ended December 31, 2004 (000 Omitted)
---------------------------------------------------------------------------------------
Transfers
Between
Variable Withdrawals,
Accounts Surrenders,
Purchase and Fixed Annuitizations, Net Net Net
Payments Accumulation and Contract Accumulation Annuitization Increase
Received Account Charges Activity Activity (Decrease)
------------ ---------------- -------------- --------------- ------------- --------
Units Dollars Units Dollars Units Dollars Units Dollars Dollars Dollars
----- ------- ----- ------- ----- -------- ----- ------- ------- -------
Capital Appreciation Variable Account
Compass 2 Contracts ...................... 38 $ 1,960 (30) $ (1,561) (504) $(26,042) (496) $(25,643) $(264) $(25,907)
Compass 3 Contracts ...................... 72 2,460 (201) (6,881) (79) (2,675) (208) (7,096) 1 (7,095)
Compass 3 -- Level 2 Contracts ........... 190 2,700 393 5,601 (871) (12,376) (288) (4,075) (33) (4,108)
------- -------- -------- -------- ----- --------
$ 7,120 $ (2,841) $(41,093) $(36,814) (296) $(37,110)
======= ======== ======== ======== ===== ========
Global Governments Variable Account
Compass 2 Contracts ...................... 2 $ 45 (16) $ (379) (19) $ (487) (33) $ (821) $ (2) $ (823)
Compass 3 Contracts ...................... 5 130 (15) (380) (3) (78) (13) (328) (3) (331)
Compass 3 -- Level 2 Contracts ........... 14 200 11 155 (84) (1,212) (59) (857) (1) (858)
------- -------- -------- -------- ----- --------
$375 $(604) $(1,777) $(2,006) $(6) $ (2,012)
======= ======== ======== ======== ===== ========
Government Securities Variable Account
Compass 2 Contracts ...................... 21 $ 777 (100) $ (3,640) (243) $ (8,929) (322) $(11,792) $(382) $(12,174)
Compass 3 Contracts ...................... 18 461 (44) (1,132) (21) (559) (47) (1,230) -- (1,230)
Compass 3 -- Level 2 Contracts ........... 35 524 6 89 (226) (3,417) (185) (2,804) (31) (2,835)
------- -------- -------- -------- ----- --------
$ 1,762 $ (4,683) $(12,905) $(15,826) $(413) $(16,239)
======= ======== ======== ======== ===== ========
High Yield Variable Account
Compass 2 Contracts ...................... 11 $ 378 (31) $ (1,003) (206) $ (7,129) (226) $ (7,754) $ (49) $ (7,803)
Compass 3 Contracts ...................... 12 301 (48) (1,217) (12) (289) (48) (1,205) (0)* (1,205)
Compass 3 -- Level 2 Contracts ........... 24 320 (1,507) (19,904) (177) (2,411)(1,660) (21,995) 19 (21,976)
------- -------- -------- -------- ----- --------
$ 999 $(22,124) $ (9,829) $(30,954) $ (30) $(30,984)
======= ======== ======== ======== ===== ========
Managed Sectors Variable Account
Compass 2 Contracts ...................... 5 $ 237 (5) $ (186) (64) $ (2,652) (64) $ (2,601) $ (19) $ (2,620)
Compass 3 Contracts ...................... 24 982 (64) (2,603) (21) (848) (61) (2,469) (7) (2,476)
Compass 3 -- Level 2 Contracts ........... 105 1,388 160 2,136 (473) (6,235) (208) (2,711) (13) (2,724)
------- -------- -------- -------- ----- --------
$ 2,607 $ (653) $ (9,735) $ (7,781) $ (39) $ (7,820)
======= ======== ======== ======== ===== ========
Money Market Variable Account
Compass 2 Contracts ...................... 13 $ 262 125 $ 2,531 (301) $ (6,058) (163) $ (3,265) $ 13 $ (3,252)
Compass 3 Contracts ...................... 54 896 (78) (1,291) (34) (556) (58) (951) (10) (961)
Compass 3 -- Level 2 Contracts ........... 34 418 1,685 20,849 (356) (4,393) 1,363 16,874 (23) 16,851
------- -------- -------- -------- ----- --------
$ 1,576 $ 22,089 $(11,007) $ 12,658 $ (20) $ 12,638
======= ======== ======== ======== ===== ========
Total Return Variable Account
Compass 2 Contracts ...................... 14 $ 590 54 $ 2,308 (245) $(10,438) (177) $ (7,540) $(149) $ (7,689)
Compass 3 Contracts ...................... 52 2,180 (136) (5,641) (54) (2,231) (138) (5,692) (88) (5,780)
Compass 3 -- Level 2 Contracts ........... 139 2,811 379 7,650 (818) (16,482) (300) (6,021) (40) (6,061)
------- -------- -------- -------- ----- --------
$ 5,581 $ 4,317 $(29,151) $(19,253) $(277) $(19,530)
======= ======== ======== ======== ===== ========
*Amount less than $500.
(8) LINE OF CREDIT
The variable accounts and other affiliated funds participate in a $1 billion
unsecured line of credit provided by a syndication of banks under a credit
agreement. Borrowings may be made for temporary financing needs. Interest is
charged to each variable account, based on its borrowings, at a rate equal to
the Federal Reserve funds rate plus 0.35%. In addition, a commitment fee,
based on the average daily, unused portion of the line of credit, is allocated
among the participating variable accounts at the end of each calendar quarter.
The commitment fee allocated to each variable account for the six months ended
June 30, 2005 is included in miscellaneous expense and was as follows:
Commitment fee
- ------------------------------------------------------------------------
Capital Appreciation Variable Account ............ $1,004
Global Governments Variable Account .............. 346
Government Securities Variable Account ........... 219
High Yield Variable Account ...................... 169
Managed Sectors Variable Account ................. 214
Money Market Variable Account .................... 732
Total Return Variable Account .................... 42
The variable accounts had no significant borrowings during the six months
ended June 30, 2005.
(9) FINANCIAL INSTRUMENTS
The variable accounts trade financial instruments with off-balance-sheet risk
in the normal course of its investing activities in order to manage exposure
to market risks such as interest rates and foreign currency exchange rates.
These financial instruments include forward foreign currency exchange
contracts and futures contracts. The notional or contractual amounts of these
instruments represent the investment the variable accounts have in particular
classes of financial instruments and does not necessarily represent the
amounts potentially subject to risk. The measurement of the risks associated
with these instruments is meaningful only when all related and offsetting
transactions are considered.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Sales and purchases in the table below are netted by currency.
Net
Unrealized
Settlement Contracts to In Exchange Contracts Appreciation
Date Deliver/Receive For at Value (Depreciation)
- -----------------------------------------------------------------------------------------------------------------------------------
Global Governments Variable Account ........ Sales 8/08/05 AUD 278,063 $ 208,548 $ 211,148 $ (2,600)
7/15/05 CAD 21,893 17,489 17,844 (355)
8/15/05 DKK 590,864 96,339 95,989 350
8/08/05-8/24/05 EUR 1,885,066 2,292,102 2,282,927 9,175
7/05/05-9/06/05 GBP 385,720 712,641 690,301 22,340
8/08/05 JPY 42,466,369 393,518 384,357 9,161
7/07/05 NOK 542,100 84,642 82,877 1,765
7/07/05-8/08/05 NZD 940,708 654,938 652,321 2,617
8/15/2005 SEK 1,769,870 234,771 227,083 7,688
---------- ---------- ---------
$4,694,988 $4,644,847 $50,141
========== ========== =========
Purchases 7/06/05 AUD 62,509 $ 47,073 $ 47,561 $ 488
9/07/05 CHF 284,033 227,810 222,499 (5,311)
7/11/05 DKK 415,512 72,391 67,418 (4,973)
8/08/05-8/24/05 EUR 578,767 706,351 700,781 (5,570)
7/06/05 GBP 211,186 379,700 378,254 (1,446)
8/08/05-8/09/05 JPY 300,364,342 2,882,955 2,718,564 (164,391)
7/07/05 NOK 413,236 64,005 63,176 (829)
8/08/05 NZD 101,269 70,577 70,218 (359)
---------- ---------- ---------
$4,450,862 $4,268,471 $(182,391)
========== ========== =========
High Yield Variable Account ................ Sales 8/08/05-8/24/05 EUR 1,536,000 $1,876,190 $1,859,629 $16,561
========== ========== =========
Purchases 8/08/05-8/24/05 EUR 511,784 $ 621,929 $ 619,860 $ (2,069)
8/15/05 SEK 76,260 10,116 9,785 (331)
---------- ---------- ---------
$ 632,045 $ 629,645 $ (2,400)
========== ========== =========
At June 30, 2005, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net payable/receivable of
$1,668 with Goldman Sachs & Co. and $4,792 with Merrill Lynch International
for the Global Governments Variable Account.
See page 28 for an explanation of abbreviations used to indicate amounts shown
in currencies other than U.S. Dollar.
At June 30, 2005, the variable accounts had sufficient cash and/or securities
to cover any commitments under these contracts.
FUTURES CONTRACTS
Government Securities Variable Account
Unrealized
Appreciation
Description Expiration Contracts Position (Depreciation)
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes 2 Year ....... September 2005 24 Short $ 276
U.S. Treasury Notes 5 Year ....... September 2005 14 Short (2,026)
U.S. Treasury Notes 10 Year ...... September 2005 21 Short (3,783)
-------
$(5,533)
=======
At June 30, 2005, the variable account had sufficient cash and/or securities
to cover any margin requirements under these contracts.
(10) RESTRICTED SECURITIES
At June 30, 2005, the High Yield Variable Account owned the following
restricted securities which are subject to legal or contractual restrictions
on resale, excluding securities issued under Rule 144A, constituting 0.01% of
net assets which may not be publicly sold without registration under the
Securities Act of 1933. The variable account does not have the right to demand
that such securities be registered. The value of these securities is
determined by valuations furnished by dealers or by a pricing service, or if
not available, in good faith at the direction of the Managers.
High Yield Variable Account
Date of
Description Acquisition Shares Cost Value
- ---------------------------------------------------------------------------------------------------------------------
Corporacion Durango S.A. de C.V. .. 6/18/02 12,137 $0 $9,429
(11) SUBSEQUENT EVENT
On April 28, 2005, the Board of Managers approved the termination of the
Managed Sectors Variable Account. The account terminated operations effective
July 18, 2005.
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
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 the
accounts' Investment Advisory Agreement with MFS will be available on or
before December 1, 2005 by clicking on "Sun Life Annuities" in the "Products
and Performance" section of the MFS website (mfs.com).
PROXY VOTING POLICIES AND INFORMATION
A general description of the 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.
(C)2005 Sun Life Financial Distributors Inc.
ITEM 2. CODE OF ETHICS.
The Registrant has amended its Code of Ethics to reflect that the Registrant's
Principal Financial Officer has changed.
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. SCHEDULE OF 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 7(d)(2)(ii)(G) of Schedule 14A or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Act) as conducted within
90 days of the filing date of this 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 covered by the report that has materially
affected, or is 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: Code of Ethics attached hereto.
(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) MONEY MARKET VARIABLE ACCOUNT
------------------------------------------------------------------
By (Signature and Title)* ROBERT J. MANNING
------------------------------------------------------
Robert J. Manning, President
Date: August 23, 2005
---------------
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)* ROBERT J. MANNING
-----------------------------------------------------
Robert J. Manning, President (Principal Executive
Officer)
Date: August 23, 2005
---------------
By (Signature and Title)* MARIA F. DWYER
-----------------------------------------------------
Maria F. Dwyer, Treasurer (Principal Financial Officer
and Accounting Officer)
Date: August 23, 2005
---------------
* Print name and title of each signing officer under his or her signature.